Paper:
NeuralFDR: Learning Discovery Thresholds from Hypothesis Features
As datasets grow richer, an important challenge is to leverage the full features in the data to maximize the number of useful discoveries while controlling for false positives. We address this problem in the context of multiple hypotheses testing, where for each hypothesis, we observe a p-value along with a set of features specific to that hypothesis. For example, in genetic association studies, each hypothesis tests the correlation between a variant and the trait. We have a rich set of features for each variant (e.g. its location, conservation, epigenetics etc.) which could inform how likely the variant is to have a true association. However popular empirically-validated testing approaches, such as Benjamini-Hochberg's procedure (BH) and independent hypothesis weighting (IHW), either ignore these features or assume that the features are categorical or uni-variate. We propose a new algorithm, NeuralFDR, which automatically learns a discovery threshold as a function of all the hypothesis features. We parametrize the discovery threshold as a neural network, which enables flexible handling of multi-dimensional discrete and continuous features as well as efficient end-to-end optimization. We prove that NeuralFDR has strong false discovery rate (FDR) guarantees, and show that it makes substantially more discoveries in synthetic and real datasets. Moreover, we demonstrate that the learned discovery threshold is directly interpretable.

Review:
This paper proposes a procedure to learn a parametric function mapping a set of features describing a hypothesis to a (per-hypothesis) significance threshold. In principle, if this function is learnt appropriately, the approach would allow prioritising certain hypotheses based on their feature representation, leading to a gain in statistical power. The function generating the per-hypothesis rejection regions is trained to control the False Discovery Proportion (FDP) with high probability, provided some restrictive assumptions are satisfied.
While multiple hypothesis testing is perhaps not a mainstream machine learning topic nowadays, key application domains such as computational biology or healthcare still heavily rely on multiple comparisons, making this a topic worth studying. A clear trend in this domain is the design of methods able to incorporate prior knowledge to upweight or downweight some hypotheses; the method described in this paper is one more example of this line of work.
Despite the fact that the topic is relevant, I have some serious concerns about the practical applicability of the proposed approach, as well as other aspects of the paper. 
***** Major Points *****
(1) In my opinion, the paper heavily relies on assumptions that are simply false for all motivating applications described in the paper and tackled in the experiments.
Firstly, the method assumes that triplets (P_{i}, \mathbf{X}_{i}, H_{i}) are i.i.d. If this assumption were not satisfied, the entire method would break down, as cross-validation would no longer be appropriate to validate the decision rules learnt on a training set.
Unfortunately, the independence assumption cannot be accepted in bioinformatics. For example, in genome-wide association studies, variants tend to be statistically dependent due to phenomena such as linkage disequilibrium (LD). In RNA-Seq analysis, gene expression levels are correlated according to complex co-expression networks, which are possibly tissue-specific. More generally, unobserved confounding variables such as population structure, batch effects or cryptic relatedness might introduce additional non-trivial statistical dependencies between the observed predictors. There exist straightforward extensions of the Benjamini-Hochberg (BH) procedure to guarantee FDR control under general dependence. Unless the authors extend their approach to allow for arbitrary dependencies between hypotheses, I do not believe the method is valid for the applications included in the experiments. Moreover, the assumption that all triplets (P_{i}, \mathbf{X}_{i}, H_{i}) are identically distributed is also hard to justify in practice.
Another questionable assumption, though perhaps of lesser practical importance when compared to the two previous issues, is the fact that the alternative distribution $f_{1}(p \mid \mathbf{x})$ must be non-increasing. The authors claim this is a standard assumption, which is not necessarily true (e.g. see [1] for a recent counter-example, where the alternative distribution is modelled as a beta distribution with learnable mean and precision). 
(2) The paper seems to make a heavy emphasis on the use of neural networks, to the point this fact is present in the title and name of the method. However, neural networks play a small role in the entire approach, as essentially all that is needed is a parametric function to map the input feature space describing each hypothesis to a significance threshold in the unit interval. Most importantly, all motivating examples are extremely low-dimensional (1D to 5D) making it likely that virtually any parametric function with enough capacity will suffice. 
I believe the authors should include exhaustive experiments to study how different function classes perform in this task. By doing so, the authors might prove to which extent neural networks are an integral part of their approach. Moreover, it might occur that simpler, easier to interpret functions perform equally well, in which case it might be beneficial to use those instead.
(3) While the paper contains virtually no grammar mistakes, being easy to read in that regard, the quality of the exposition could be significantly improved. 
In particular, Section 3 lacks detail in the description of Algorithm 1. Throughout the paper, the notion of cross-validation is rather confusing, as in this particular case distinct folds correspond to subsets of features (i.e. hypotheses) rather than samples used to compute the corresponding P-values. I believe this should be clarified early-on. Also, the variables $\gamma_{i}$ appear out of nowhere and are not appropriately discussed in the text. In my opinion, the authors should additionally adopt the notation used in Equation (8) in Supplementary Section 2 for Equation (3), in order to make it clearer that what they are truly optimising is only a smooth approximation to the true objective function.
The description of the implementation and training procedure in Supplementary Section 2 is also insufficient, as it is lacking a proper justification of the hyperparameter choices (e.g. network architecture, $\lambda$ values, optimisation scheme) and experimental results describing the robustness of their approach to such hyperparameters. In practice, setting these hyperparameters will be a considerable hurdle for many practitioners in computational biology and statistical genetics, which might not necessarily be familiar with standard techniques in deep learning. Therefore, I believe these issues should be described in greater detail for this work to be of use for such communities.
***** Minor Points *****
The use of cross-validation makes the results random by construction, which is an undesirable property in statistical association testing. The authors should carry out experiments to demonstrate the stability of their results across different random partitions and to which extent a potential underlying stratification of features might be problematic for the cross-validation process.
Decision rules in multiple hypothesis testing ultimately strongly depend on the number n of hypothesis being tested. However, the proposed approach does not explicitly depend on n but, rather, relies on the cross-validation set and the test set containing exactly the same number of hypotheses and all hypotheses being i.i.d. It would be interesting if the authors were able to relax that requirement by accounting for the number of tests explicitly rather than implicitly.
The paper contains several wrong or imprecise claims that however do not strongly affect the overall contribution:
 - “The P-value is the probability of a hypothesis being observed under the null” -> This is not a correct definition of P-value. A P-value is the probability of observing a value of the test statistic that indicates an association at least as extreme under the assumption that the null hypothesis holds.
 - “The two most popular quantities that conceptualize the false positives are the false discovery proportion (FDP) and the false discovery rate (FDR)” -> Family-Wise Error Rate continues to be popular and has a considerably longer history than any of those quantities. Moreover, while it is true that FDR is extremely popular and de-facto replacing FWER in many domains, FDP is relatively less frequently used in comparison to FWER.
- Definition 1 is mathematically imprecise, as it is not handling the case $D(t)=0$ properly.
- “Moreover, $\mathbf{x}$ may be multidimensional, ruling out the possibility of non-parametric modelings, such as spline-based methods or the kernel based methods, whose number of parameters grows exponentially with the dimensionality” -> Kernel-based methods can be applied in this setting via inducing variables (e.g. [2]). Additionally, like mentioned earlier, many other approximators other than neural networks require less an exponentially-growing number of parameters on the dimension of the feature space.
- Lemma 1 does not show that the “mirroring estimator” bounds the true FD from above, as Line 155 seems to claim. It merely indicates that its expectation bounds the expected FD, which is a different statement than what is discussed between Lines 143-151.
- As mentioned earlier in this review, the statement in Lines 193-194 is not completely correct. Five dimensions is definitely not a high-dimensional setting by any means. At least thousands of features should have been used to justify that claim.
The paper would benefit from proof-reading, as it contains frequent typos. Some examples are:
- Line 150: $(t(\mathbf{x}), 1)$ -> $(1-t(\mathbf{x}), 1)$
- Line 157: “approaches $0$ very fast as $p \rightarrow 0$” -> “approaches $0$ very fast as $p \rightarrow 1$”
- Line 202: “Fig. 3 (b,c)” -> “Fig. 4 (b,c)” 
- Lines 253-254: The alternative distribution $f_{1}$ is missing parenthesis
- Supplementary Material, proof of Theorem 1 and Lemma 2: All terms resulting from an application of Chernoff’s bound are missing parenthesis as well. While it might have been intentional, in my opinion it makes the proof a bit harder to read.
References:
[1] Li, Y., & Kellis, M. (2016). Joint Bayesian inference of risk variants and tissue-specific epigenomic enrichments across multiple complex human diseases. Nucleic acids research, 44(18), e144-e144.
[2] Dustin Tran, Rajesh Ranganath, David M. Blei - The variational Gaussian process. A powerful variational model that can universally approximate any posterior. International Conference on Learning Representations, 2016