Shap loss values

[rawanmahdi]

For debugging black box models, it would be nice to get shapley feature importance values as they relate to the loss of the model rather than the prediction. I've seen this implemeted by the original makers of SHAP, using TreeExplainer, with the assumption that features are independant. This Medium article goes into more depth about the implementation.

I'm wondering, would it be possible to obtain model agnostic shap loss values on dependant features, similar to how shapr does so for the predictions?

[martinju]

I agree that this would be of interest. I think SAGE is the method you are looking for here. Take a look at this nice presentation: https://iancovert.com/blog/understanding-shap-sage/ As far as I know, the SAGE implementation ignores feature dependence, so it would be nice to implement it using a proper, conditioning scheme like we have in shapr. I certainly think it is doable, but we currently don't have it on the TODO-list.

[rawanmahdi]

Interesting! From what I understand, SAGE seems like it would be relatively easy to implement with the current code.. mainly altering the compute_vS functions to compute a loss. I may be free to work on this in a few weeks. Any comments on how you would want it organized in this repo?

[wbound90]

Hi @martinju and @rawanmahdi,

I find this interesting and I would like to know if there are any updates on this? I would like to see the contribution of each feature to the loss of an MLPRegressor model. I am quite new to this field, so I would like to know more.

My current understanding is that only models with single output variables are supported now i.e., y = f(x1, x2, x3,...xn). In my case, the output variables are more than size 1 [e.g, (y1,y2) = f(f(x1, x2, x3,...xn)]. So, I am trying to avoid going into the issue discussed in #323. Please correct me if I am wrong here.

Is it possible to pass a user-defined python function f that returns a measure of loss directly into explain() to give feature contributions for explaining model loss?

[martinju]

Sorry for the very late reply. I just got reminded about this. It is not supported directly within shapr, but it is straight forward to do it based on the output of shapr. I am considering adding it properly to the package. I have attached the basic script with the work-around below (requires the github version of the package)

library(xgboost)
library(shapr) # remotes::insall_github("NorskRegnesentral/shapr")

data("airquality")
data <- data.table::as.data.table(airquality)
data <- data[complete.cases(data), ]

x_var <- c("Solar.R", "Wind", "Temp", "Month")
y_var <- "Ozone"

x_train <- data[, ..x_var]
y_train <- data[, get(y_var)]

# Fitting a basic xgboost model to the training data
model <- xgboost(
  data = as.matrix(x_train),
  label = y_train,
  nround = 20,
  verbose = FALSE
)

p0 <- mean(y_train)

explanation <- explain(
  model = model,
  x_explain = x_train,
  x_train = x_train,
  approach = "gaussian",
  phi0 = p0
)

#### SAGE ####

full_loss <- mean((explanation$pred_explain-y_train)^2)
zero_loss <- mean((p0-y_train)^2)

# Decompose the difference between the zero and full loss:
zero_loss - full_loss

vS_SHAP <- explanation$internal$output$dt_vS[,-1]

vS_SAGE <- zero_loss-colMeans((t(vS_SHAP)-y_train)^2)

W <- explanation$internal$objects$W

dt_SAGE <- data.table::as.data.table(t(W %*% as.matrix(vS_SAGE)))
colnames(dt_SAGE) <- c("none", x_var)

# The SAGE values
dt_SAGE[,-1]

sum(dt_SAGE)