Published Date: 2018-02-08
Registration: ISSN 2374-3468 (Online) ISSN 2159-5399 (Print)
Copyright: Published by AAAI Press, Palo Alto, California USA Copyright © 2018, Association for the Advancement of Artificial Intelligence All Rights Reserved.
Learning a test-time efficient predictor is becoming important for many real-world applications for which accessing the necessary features of a test data is costly. In this paper, we propose a novel approach to learn a linear predictor by introducing binary indicator variables for selecting feature groups and imposing an explicit budget constraint to up-bound the total cost of selected groups. We solve the convex relaxation of the resulting problem, with the optimal solution proved to be integers for most of the elements at the optima and independent of the specific forms of loss functions used. We propose a general and efficient algorithm to solve the relaxation problem by leveraging the existing SVM solvers with various loss functions. For certain loss functions, the proposed algorithm can further take the advantage of SVM solver in the primal to tackle large-scale and high-dimensional data. Experiments on various datasets demonstrate the effectiveness and efficiency of the proposed method by comparing with various baselines.