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Add Shapley-based importance #87

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bgreenwell opened this issue Dec 30, 2019 · 3 comments
Closed

Add Shapley-based importance #87

bgreenwell opened this issue Dec 30, 2019 · 3 comments

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@bgreenwell
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Use fastshap for Shapley-based feature importance. Future versions of fastshap will utilize TreeSHAP for fast results when applied to certain models like xgboost and lightgbm.

@bradleyboehmke
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Should we have a vi_shap method that allows both fast shap and also tree shap methods? Meaning, it can leverage both fastshap and also allow xgboost's (and any other models) that have built-in shapley computations (shortcut to this).

@bgreenwell
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My thought is that fastshap will just default to using TreeSHAP in the next release so we’d just use that (consistent) interface! But yes, I like the idea of vi_shap() as the workhorse underneath. Ideally it would just call fastshap::explain(tree_mod, exact = TRUE, ...) or something to that effect.

@bgreenwell
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bgreenwell commented Jan 1, 2020

TODO:

  • - Add initial support.
  • - Update vignettes for website.
  • - Update R Journal article.

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