Do we really need imputation in AutoML predictive modeling?

Numerous real-world data contain missing values, while in contrast, most Machine Learning (ML) algorithms assume complete datasets. For this reason, several imputation algorithms have been proposed to predict and fill in the missing values. Given the advances in predictive modeling algorithms tuned in an AutoML setting, a question that naturally arises is to what extent sophisticated imputation algorithms (e.g., Neural Network based) are really needed, or we can obtain a descent performance using simple methods like Mean/Mode (MM). In this paper, we experimentally compare 6 state-of-the-art representatives of different imputation algorithmic families from an AutoML predictive modeling perspective, including a feature selection step and combined algorithm and hyper-parameter selection. We used a commercial AutoML tool for our experiments, in which we included the selected imputation methods. Experiments ran on 25 binary classification real-world incomplete datasets with missing values and 10 binary classification complete datasets in which synthetic missing values are introduced according to different missingness mechanisms, at varying missing frequencies. The main conclusion drawn from our experiments is that the best method on average is the Denoise AutoEncoder (DAE) on real-world datasets and the MissForest (MF) in simulated datasets, followed closely by MM. In addition, binary indicator (BI) variables encoding missingness patterns actually improve predictive performance, on average. Last but not least, although there are cases where Neural-Network-based imputation significantly improves predictive performance, this comes at a great computational cost and requires measuring all feature values to impute new samples.