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arXiv 2103.11706stat.MLcs.LGq-fin.STstat.AP

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

University of Hamburg(汉堡大学);QED Actuaries & Consultants(QED精算咨询公司);University of the Witwatersrand(威特沃特斯兰德大学);City, University of London(伦敦城市大学);ETH Zurich(苏黎世联邦理工学院)

M. Merz, R. Richman, T. Tsanakas, M. V. Wüthrich

英文摘要:

A vastly growing literature on explaining deep learning models has emerged. This paper contributes to that literature by introducing a global gradient-based model-agnostic method, which we call Marginal Attribution by Conditioning on Quantiles (MACQ). Our approach is based on analyzing the marginal attribution of predictions (outputs) to individual features (inputs). Specificalllly, we consider variable importance by mixing (global) output levels and, thus, explain how features marginally contribute across different regions of the prediction space. Hence, MACQ can be seen as a marginal attribution counterpart to approaches such as accumulated local effects (ALE), which study the sensitivities of outputs by perturbing inputs. Furthermore, MACQ allows us to separate marginal attribution of individual features from interaction effect, and visually illustrate the 3-way relationship between marginal attribution, output level, and feature value.

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