Economical active feature-value acquisition through Expected Utility estimation

In many classification tasks training data have missing feature values that can be acquired at a cost. For building accurate predictive models, acquiring all missing values is often prohibitively expensive or unnecessary, while acquiring a random subset of feature values may not be most effective. The goal of active feature-value acquisition is to incrementally select feature values that are most cost-effective for improving the model's accuracy. We present two policies, Sampled Expected Utility and Expected Utility-ES, that acquire feature values for inducing a classification model based on an estimation of the expected improvement in model accuracy per unit cost. A comparison of the two policies to each other and to alternative policies demonstrate that Sampled Expected Utility is preferable as it effectively reduces the cost of producing a model of a desired accuracy and exhibits a consistent performance across domains.