Classification with Costly Features using Deep Reinforcement Learning

We study a classification problem where each feature can be acquired for a cost and the goal is to optimize a trade-off between the expected classification error and the feature cost. We revisit a former approach that has framed the problem as a sequential decision-making problem and solved it by Q-learning with a linear approximation, where individual actions are either requests for feature values or terminate the episode by providing a classification decision. On a set of eight problems, we demonstrate that by replacing the linear approximation with neural networks the approach becomes comparable to the state-of-the-art algorithms developed specifically for this problem. The approach is flexible, as it can be improved with any new reinforcement learning enhancement, it allows inclusion of pre-trained high-performance classifier, and unlike prior art, its performance is robust across all evaluated datasets.