Learning-To-Measure: In-Context Active Feature Acquisition

Abstract

Active feature acquisition (AFA) is a sequential decision-making problem where the goal is to improve model performance for test instances by adaptively selecting which features to acquire. In practice, AFA methods often learn from retrospective data with systematic missingness in the features and limited task-specific labels. To address this limitation, we introduce Learning-to-Measure (L2M), which consists of i) reliable uncertainty quantification over unseen tasks, and ii) an uncertainty-guided feature acquisition agent that maximizes conditional mutual information. We demonstrate an autoregressive pre-training approach that underpins reliable uncertainty quantification and acquisition for tasks with arbitrary missingness. L2M operates directly on datasets with retrospective missingness and performs the task in-context, eliminating per-task retraining. Across synthetic and real-world tabular benchmarks, L2M matches or surpasses task-specific baselines, particularly under scarce labels and high missingness.