1. A method executed by a computer processor, the method comprising: retrieving, from a data store, outputs of an existing predictor for instances in a dataset, labels for the instances in the dataset, and values of a potential feature for the instances in the dataset, wherein the existing predictor is trained on a set of features; computing values of a loss gradient of the existing predictor for the instances in the dataset based on the outputs of the existing predictor for the instances in the dataset and the labels for the instances in the dataset; training an incremental predictor to predict the values of the loss gradient based on the values of the potential feature for the instances in the dataset; evaluating performance of the incremental predictor to measure a predictive accuracy gain estimate of the potential feature added to the set of features.