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@dsherry Thanks for the feedback! Yes, I plan on adding a tutorial and updating the docs in the next PR once this is merged. I think using classes might make more sense when we have multiple interpretation algorithms but I think the code layout here is straightforward and there isn't a lot "state" we need to keep track of yet.
I renamed _explain_with_shap_values to explain_prediction, added a proper test case for it, and followed your other suggestions.
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