Statistics Department Seminar presents "Metropolized knockoff sampling"

Metropolized knockoff sampling
Tuesday, July 9, 2019 - 4:30pm
Sloan Mathematics Center, Room 380C
Stephen Bates (Stanford)
Abstract / Description: 

Model-X knockoffs is a wrapper that transforms essentially any feature importance measure into a variable selection algorithm, which can discover true effects while rigorously controlling the expected fraction of false positives. A remaining challenge to apply this method is to construct knockoff variables, which are synthetic variables obeying a crucial exchangeability property with the explanatory variables under study. This paper introduces techniques for knockoff generation in great generality: we provide a sequential characterization of all possible knockoff distributions, which leads to a Metropolis-Hastings formulation of an exact knockoff sampler. We further show how to use conditional independence structure to speed up computations. Combining these two threads, we introduce an explicit set of sequential algorithms and empirically demonstrate their effectiveness. Our theoretical analysis proves that our algorithms achieve near-optimal computational complexity in certain cases. The techniques we develop are sufficiently rich to enable knockoff sampling in challenging models including cases where the covariates are continuous and heavy-tailed, and follow a graphical model such as the Ising model.