Title: Feature Engineering for Predictive Modeling using Reinforcement Learning,
Abstract: Feature engineering is a crucial step in the process of predictive modeling.
It involves the transformation of given feature space, typically using
mathematical functions, with the objective of reducing the modeling error for a
given target. However, there is no well-defined basis for performing effective
feature engineering. It involves domain knowledge, intuition, and most of all,
a lengthy process of trial and error. The human attention involved in
overseeing this process significantly influences the cost of model generation.
We present a new framework to automate feature engineering. It is based on
performance driven exploration of a transformation graph, which systematically
and compactly enumerates the space of given options. A highly efficient
exploration strategy is derived through reinforcement learning on past
examples.