BRiG-AFA: Bellman Risk-to-Go Learning for Non-Myopic Active Feature Acquisition

Active feature acquisition (AFA) asks which unobserved feature to measure next for each test instance under a budget. Greedy rules are easy to train but can overlook context features whose value is realized only through later acquisitions, while reinforcement-learning and generative approaches introduce difficult optimization or conditional-density estimation. We introduce method, a deployable, supervised alternative that learns a separate candidate-conditioned risk-to-go function for every remaining budget. Starting from the one-step terminal classification risk, the functions are fitted backward with Bellman targets; inference greedily minimizes the learned terminal risk using only observed values, the mask, candidate identity, and remaining budget. A controlled non-myopic benchmark shows the expected mechanism: at budgets two and three, method improves accuracy over its one-step ablation by 4.84±2.17 and 4.39±1.10 percentage points (mean ± standard error over five seeds). On Fashion-MNIST with 20 candidate pixels, it improves accuracy at every nontrivial reported budget on average, including 10.20±0.74 points at four acquisitions; its mean paired gain across budgets 2,4,8,12,16 is 3.50±0.37 points. A three-seed MiniBooNE study is mixed at small budgets but positive at 8 and 16 acquisitions, identifying a current boundary rather than supporting a universal claim. These results establish a reproducible mechanism-level case for direct Bellman risk regression and delimit the experiments still needed for state-of-the-art comparison.