Deep feature screening: Feature selection for ultra high-dimensional data via deep neural networks

The applications of traditional statistical feature selection methods to high-dimension, low-sample-size data often struggle and encounter challenging problems, such as overfitting, curse of dimensionality, computational infeasibility, and strong model assumptions. In this paper, we propose a novel two-step nonparametric approach called Deep Feature Screening (DeepFS) that can overcome these problems and identify significant features with high precision for ultra high-dimensional, low-sample-size data. This approach first extracts a low-dimensional representation of input data and then applies feature screening on the original input feature space based on multivariate rank distance correlation recently developed by Deb and Sen (2021). This approach combines the strengths of both deep neural networks and feature screening, thereby having the following appealing features in addition to its ability of handling ultra high-dimensional data with small number of samples: (1) it is model free and distribution free; (2) it can be used for both supervised and unsupervised feature selection; and (3) it is capable of recovering the original input data. The superiority of DeepFS is demonstrated via extensive simulation studies and real data analyses.