Categorical Feature Compression via Submodular Optimization
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Proceedings of the 36th International Conference on Machine Learning, PMLR 97:515523, 2019.
Abstract
In the era of big data, learning from categorical features with very large vocabularies (e.g., 28 million for the Criteo click prediction dataset) has become a practical challenge for machine learning researchers and practitioners. We design a highlyscalable vocabulary compression algorithm that seeks to maximize the mutual information between the compressed categorical feature and the target binary labels and we furthermore show that its solution is guaranteed to be within a $11/e \approx 63%$ factor of the global optimal solution. Although in some settings, entropybased set functions are known to be submodular, this is not the case for the mutual information objective we consider (mutual information with respect to the target labels). To address this, we introduce a novel reparametrization of the mutual information objective, which we prove is submodular, and also design a data structure to query the submodular function in amortized $O(\log n )$ time (where $n$ is the input vocabulary size). Our complete algorithm is shown to operate in $O(n \log n )$ time. Additionally, we design a distributed implementation in which the query data structure is decomposed across $O(k)$ machines such that each machine only requires $O(\frac n k)$ space, while still preserving the approximation guarantee and using only logarithmic rounds of computation. We also provide analysis of simple alternative heuristic compression methods to demonstrate they cannot achieve any approximation guarantee. Using the largescale Criteo learning task, we demonstrate better performance in retaining mutual information and also verify competitive learning performance compared to other baseline methods.
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