Ability to Calculate Shapley Values on a Re-weighted Tree


Add the ability to update the node weights of a tree based on a subset of the training population while keeping the original leaf-node predictions. Calculate Shapley on this re-weighted tree. The goal of this approach is to be able to calculate Shap values based on a subset of population.

This is somewhat similar to the refit option in LightGBM with decay_rate = 1.

(Note: Keep the original prediction so the Shapley values sum-up to the actual raw model prediction before sigmoid transformation.


Michal Kurka
April 30, 2021, 6:06 PM

First version implemented in an experimental API, example usage:

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Michal Kurka

Fix versions


Megan Kurka