Features Selection as a Nash-Bargaining Solution: Applications in Online Advertising and Information Systems

Feature selection is a fundamental problem in online advertising, as features usually need to be purchased from third parties, and they are costly. Although many feature selection techniques can be used in online advertising and the general information systems (IS) domain, their performance is often context specific. Therefore, the literature of IS is suffering from a lack of adequate and generic methods. In this study, we address this issue by proposing a novel approach that employs ideas from the field of cooperative game theory. We derive a (continuous) second-order cone program that any convex programming solver can solve for determining the best subset of features. We show the efficacy of our proposed method on a real-life online advertising case study. We demonstrate that our proposed approach performs better in accuracy, precision, recall, and F-1 score than the best of the other approaches with much fewer features. Also, to illustrate that our method’s benefits are not limited to the context of online advertising, we perform an extensive set of simulations and consider a well-established real-life data set drawn from the UCI Machine Learning Repository at the University of California, Irvine. Summary of Contribution: Selecting the best subset of features is an important problem in the context of online advertising and, more broadly, in the field of information systems because firms usually need to buy costly data to model and forecast economic outcomes. In this study, we propose a novel methodology for addressing this problem. The proposed method employs the concept of the Nash bargaining solution in cooperative game theory to create a good balance between maximizing the fit while minimizing the noise when selecting the best subset of features. We apply the method to a real-life online advertising case study, providing superior performance in predicting and interpreting the features. Moreover, we show that the proposed method applies to a broader range of feature selection problems. We conduct a comprehensive computational study on simulated regression data sets and other real-life classification data sets widely available in the machine learning domain. The result of these efforts indicates that our method is robust in terms of prediction accuracy by outperforming several state-of-the-art techniques.