Multiclass Classification with Rare Useful Features: Fundamental Limits and the Optimality of Diversity Pursuit Higher Criticism Thresholding
We consider classification in high-dimensional feature spaces where only a vanishing fraction of features are useful and the number of classes may be large. While this rare-and-weak useful-feature regime is well understood in the binary setting, its multiclass version raises new questions: a feature can be useful for class discrimination without separating any specific pair of classes. We focus on a rare feature diversity model, in which most features are useless, but a small fraction promote discrimination among classes in a way that can be detected by a per-feature diversity test, such as one-way ANOVA or the Kruskal-Wallis test. For this setting, we propose Diversity Pursuit Higher Criticism Thresholding (DP-HCT), a feature-screening procedure that applies a higher-criticism threshold to the collection of p-values obtained from per-feature diversity tests. We justify DP-HCT under a Gaussian multiclass Rare-and-Weak Useful Feature model with class-mean contrasts of fixed magnitude in random directions, extending the binary model of Donoho and Jin (2008). When the number of classes is fixed, our model recovers the binary phase transition. When the number of classes grows logarithmically with the number of features, however, we derive a new and strictly harder phase transition, driven by the growing degrees of freedom and their effect on the useful-feature tail rate. We show that whenever classification beyond chance is possible, DP-HCT with ANOVA, followed by a simple classifier based on similarity to class means, achieves asymptotically perfect accuracy. Experiments on real multiclass classification benchmarks demonstrate substantial improvements, and numerical simulations confirm that the derived phase-transition curve accurately predicts the finite-sample behavior of DP-HCT in the growing-class regime.