Sparse Additive Off-Policy Evaluation for Reinforcement Learning with Potentially Limited Number of Trajectories

We develop a new framework for flexible, nonlinear, and interpretable off-policy evaluation for infinite-horizon reinforcement learning. To handle large state spaces and support transparent decision-making, we model the Q-function using a nonlinear function class with a sparse additive structure. We derive high-probability finite-sample error bounds for estimating the value function of a target policy and show that the bounds depend only logarithmically on the ambient dimension $d$, thereby alleviating the curse of dimensionality. In contrast to most existing theory for off-policy evaluation, which typically assumes access to many trajectories, our analysis guarantees accurate value estimation when either the number of trajectories or the time horizon is sufficiently large. In addition, we propose a group-sparsity-based feature screening procedure that identifies, with high probability, a reduced feature set containing all relevant covariates. Numerical experiments demonstrate the effectiveness of the proposed approach.

EMA-FS: Accelerating GBDT Training via Gain-Informed Feature Screening

Gradient Boosted Decision Trees (GBDT), exemplified by LightGBM, spend a dominant fraction of training time -- typically 65-70% -- constructing per-feature histograms. Existing approaches such as random feature subsampling (feature_fraction) discard features without regard for their predictive utility. We propose EMA-based Feature Screening (EMA-FS), an algorithm-level optimization that maintains an exponential moving average (EMA) of per-feature split gains across boosting iterations and, after a short warmup, restricts histogram construction to the top-K features ranked by historical gain. Unlike random subsampling, EMA-FS is informed: it retains high-gain features while screening out low-gain ones. Operating at the per-tree level, it preserves full compatibility with LightGBM's histogram subtraction trick, requiring no changes to core routines. We evaluate EMA-FS on datasets spanning financial fraud detection, advertising click-through prediction, industrial quality control, and synthetic benchmarks, with feature dimensionalities from 29 to 968. On dense, moderate-to-high-dimensional data it achieves significant speedups: 2.61x on a 500-feature synthetic benchmark and 1.45x on the 432-feature IEEE-CIS Fraud dataset at 30% retention. At 70% retention it improves AUC by 0.11 points while delivering a 1.34x speedup. On extremely sparse data (Bosch, >90% missing) it yields no speedup, as LightGBM's sparse bin optimization already bypasses empty values. We further introduce Stochastic EMA-FS (S-EMA-FS), which replaces deterministic top-K selection with gain-weighted random sampling controlled by a concentration parameter beta, unifying deterministic EMA-FS (beta -> infinity) and random subsampling (beta = 0) in one framework. Both are implemented in ~120 lines of C++ across all six LightGBM tree learners and are fully backward-compatible.

Knockoffs-based False Discovery Rate Control and Simplification for Deep Neural Networks

The deep neural network is a widely used framework in machine learning that has been widely applied in various fields. However, deep neural networks often involve a large number of parameters and inputs, many of which may be irrelevant to the goal or true output. These parameters and \textcolor{black}{input variables} not only increase computational complexity, but also contribute to additional computational cost. One solution to this problem is knockoff methods, which have proven successful in controlling false discovery rates in high-dimensional regression. Building on the knockoff methods and using the regularised neural network, this paper proposes three variable screening methods under the condition of controlling false discovery rates: \textit{one layer filter}, \textit{multiple layers filter}, \textit{variable weight aggregation filter}. In comparison with existing algorithms, we find that our algorithms show satisfactory performance.

A Fast Screening Approach for High-dimensional Outcomes and High-dimensional Predictors

Modeling interactions among multimodal, high-dimensional data is intrinsically challenging due to ultra-high dimensionality and complex dependence structure with high level noise. Screening methods are effective for reducing dimensionality, but most existing approaches shrink only the predictor space while retaining all outcomes. In cross-modal analyses, different outcomes often select different predictor subsets, so the union remains large and the response dimension is unchanged, limiting the practical benefit of screening. This gives rise to heavy computational burdens and poor interpretability. To address these limitations, we propose a new screening framework, Graph Independence Dual Screening (GIDS), which simultaneously reduces the dimensionality of response variables and predictors. We design computationally efficient algorithms that facilitate downstream selection procedures, improving accuracy and scalability, and establish supporting theoretical results. Extensive simulation studies demonstrate that GIDS outperforms existing methods that screen only predictors. To illustrate its utility, we applied GIDS to the Alzheimer's Disease Neuroimaging Initiative (ADNI) dataset, analyzing interactions between genome-wide 865,353 DNA methylation and 49,386 transcriptomic variables. GIDS reduced the feature space to approximately 9,000 CpGs and 2,000 transcripts, uncovering blockwise interaction structures: clusters of CpG sites and gene transcripts with strong associations. These findings not only improve computational tractability but also yield interpretable biological insights, highlighting coordinated regulatory mechanisms underlying Alzheimer's disease.