The Lagrangian Structure of Cost-Penalized Active Feature Acquisition

Abstract

Active Feature Acquisition (AFA) sequentially selects features to maximize predictive accuracy under an acquisition budget. A natural heuristic greedily maximizes Expected Information Gain minus a cost penalty, EIG(j|x_S)-lam*c_j (EIG-Cost), but its theoretical guarantees are unclear. We provide an a-posteriori certificate decomposing the gap to the optimal hard-budget policy into a budget-slack term and a greedy-suboptimality term Del_lam. The certificate is computable when the penalized optimum is tractable; on small heterogeneous-cost instances, we verify it exactly, finding Del_lam near zero across 4,000 solved cases. On the large clinical task, Del_lam is not computable, so the decomposition is diagnostic rather than a numerical guarantee. Our analysis identifies EIG-Cost as one-step greedy optimization of the Lagrangian relaxation of expected-cost AFA, with lam as its dual multiplier. For equal costs, we prove Del_lam <= exp(-gam*I(Y;X_[d])), where gam is the submodularity ratio, yielding a structural guarantee in the near-submodular regime. Supporting results establish an adaptive chain-rule identity showing that cumulative stepwise EIG optimizes transcript information, and prove that A -> I(Y;X_A) need not be submodular, even for jointly Gaussian variables. This rules out a direct Nemhauser-Wolsey-Fisher bound; naive Bayes restores submodularity. We also bound the randomization gap between hard-budget and expected-cost optima, analyze sensitivity to dual-multiplier error under local smoothness, and derive a conditional CVAE generator-shift bound given a bound on forward predictive KL. We treat this KL as a diagnostic quantity, not as a transform of training loss. Experiments cover synthetic Gaussian settings, AFA benchmarks, and clinical differential diagnosis on MIMIC-IV. On MIMIC-IV, EIG-Cost achieves macro-F1 0.180 +/- 0.012 at a $30 budget, using 6.6% of full-panel cost.