Stabilizing black-box model selection with the inflated argmax

Model selection is the process of choosing from a class of candidate models given data. For instance, methods such as the LASSO and sparse identification of nonlinear dynamics (SINDy) formulate model selection as finding a sparse solution to a linear system of equations determined by training data. However, absent strong assumptions, such methods are highly unstable: if a single data point is removed from the training set, a different model may be selected. In this paper, we present a new approach to stabilizing model selection with theoretical stability guarantees that leverages a combination of bagging and an 'ínflated'' argmax operation. Our method selects a small collection of models that all fit the data, and it is stable in that, with high probability, the removal of any training point will result in a collection of selected models that overlaps with the original collection. We illustrate this method in (a) a simulation in which strongly correlated covariates make standard LASSO model selection highly unstable, (b) a Lotka-Volterra model selection problem focused on identifying how competition in an ecosystem influences species' abundances, and (c) a graph subset selection problem using cell-signaling data from proteomics. In these settings, the proposed method yields stable, compact, and accurate collections of selected models, outperforming a variety of benchmarks.

@article{adrian2025_2410.18268,
  title={ Stabilizing black-box model selection with the inflated argmax },
  author={ Melissa Adrian and Jake A. Soloff and Rebecca Willett },
  journal={arXiv preprint arXiv:2410.18268},
  year={ 2025 }
}