def __init__(self, model, data, feature_names, mode, algorithm='tree'):
self.model = model
self.data = np.vstack(np.array(data)).astype(np.float)
self.feature_names = feature_names
self.algorithm = algorithm
self.mode = mode
if len(self.data) > 10:
self.nsamples = 10
if len(self.data) > 2000:
self.data = shap.sample(self.data, 2000)
else:
self.nsamples = len(self.data)
if algorithm == 'tree':
self.explainer = shap.TreeExplainer(
model,
data=shap.sample(self.data, 50),
feature_perturbation='interventional')
self.shap_values = self.explainer.shap_values(
self.data, check_additivity=False)
else:
if self.mode == 'classification':
self.explainer = shap.KernelExplainer(self.model.predict_proba,
data=shap.sample(
self.data,
self.nsamples),
link="logit")
elif self.mode == 'regression':
self.explainer = shap.KernelExplainer(self.model.predict,
data=shap.sample(
self.data,
self.nsamples))
self.shap_values = self.explainer.shap_values(
self.data, check_additivity=False, nsamples=self.nsamples)
def explain_model(model, train_data, test_data, samples):
"""
Function that computes and displays SHAP model explanations
"""
model_name = type(model).__name__
random.seed(13)
samples_to_explain = samples
if model_name not in ["RandomForestClassifier", "XGBClassifier"]:
explainer = shap.KernelExplainer(model.predict_proba,
train_data[:50],
link="identity")
shap_values = explainer.shap_values(train_data[:50],
nsamples=200,
l1_reg="num_features(100)")
else:
explainer = shap.TreeExplainer(model,
data=shap.sample(
train_data, samples_to_explain),
feature_perturbation='interventional')
shap_values = explainer.shap_values(shap.sample(
train_data, samples_to_explain),
check_additivity=False)
fig = shap.summary_plot(shap_values, test_data, max_display=5, show=False)
return fig
def data_for_shap(self, input_data):
if is_classification(self.model):
explainer, pred, pred_fcn = self.shap_explainer()
if type(explainer) == shap.explainers._tree.Tree:
global_shap_values = explainer.shap_values(input_data)
data_with_shap = self.append_shap_values_to_df(input_sv = global_shap_values[0],
in_data=input_data.copy(), scope="local")
prediction = pred([input_data])
probabilities = pred_fcn([input_data])
data_with_shap['Model Decision'] = prediction[0]
#data_with_shap['True Values'] = self.actual_data
for i in range(len(np.unique(self.actual_data))):
data_with_shap['Probability: {}'.format(np.unique(self.actual_data)[i])] = probabilities[:,i][0]
return data_with_shap
else:
predictions = pred(shap.sample(input_data,100))
global_shap_values = explainer.shap_values(shap.sample(input_data,100))
data_with_shap = self.append_shap_values_to_df(input_sv = global_shap_values[0],
in_data=shap.sample(input_data,100).copy(),
scope='local')
prediction = pred(shap.sample(input_data,100))
probabilities = pred_fcn(shap.sample(input_data,100))
data_with_shap['Model Decision'] = prediction[0]
#data_with_shap['True Values'] = self.actual_data
for i in range(len(np.unique(self.actual_data))):
data_with_shap['Probability: {}'.format(np.unique(self.actual_data)[i])] = probabilities[:,i][0]
return data_with_shap
else:
explainer, pred = self.shap_explainer()
if type(explainer) == shap.explainers._tree.Tree:
#Complete! Do not change.
global_shap_values = explainer.shap_values(input_data)
data_with_shap = self.append_shap_values_to_df(input_sv = global_shap_values,
in_data=self.input_data.copy(),
scope="local")
data_with_shap['Model Decision'] = pred(input_data)
#data_with_shap['True Values'] = self.actual_data
return data_with_shap
else:
global_shap_values = explainer.shap_values(shap.sample(input_data,100))
predictions = pred(shap.sample(input_data,100))
data_with_shap = self.append_shap_values_to_df(input_sv = global_shap_values,
in_data=shap.sample(input_data,100).copy(),
scope="local")
data_with_shap['Model Decision'] = pred(shap.sample(self.input_data,100))
#data_with_shap['True Values'] = self.actual_data
return data_with_shap
def shap_compute(X, model, model_name):
if model_name == 'xgboost':
explainer = shap.TreeExplainer(model)
shap_values = explainer.shap_values(X)
# fig1=shap.force_plot(explainer.expected_value, shap_values[0,:], X.iloc[0,:])
shap_mean = np.mean(abs(shap_values), axis=0)
shap_mean_df = pd.DataFrame({
'columns_name': X.columns,
'shap_mean_values': shap_mean
}).sort_values(by='shap_mean_values').reset_index().drop('index',
axis=1)
index = np.arange(len(X.columns))
return index, shap_mean_df
else:
explainer = shap.KernelExplainer(model.predict, X)
#-----
X = shap.sample(X, 100)
#------
shap_values = explainer.shap_values(X)
# fig1=shap.force_plot(explainer.expected_value, shap_values[0,:], X.iloc[0,:])
shap_mean = np.mean(abs(shap_values), axis=0)
shap_mean_df = pd.DataFrame({
'columns_name': X.columns,
'shap_mean_values': shap_mean
}).sort_values(by='shap_mean_values').reset_index().drop('index',
axis=1)
index = np.arange(len(X.columns))
return index, shap_mean_df
def shap_select(model,
X_train,
X_test,
feature_names,
task='classification',
agnostic=False):
"""
Return the feature ordering of a multidimensional dataset based on the features importance.
The importance is calculated upon SHAP values, which takes into account a fitted model.
:param model: a fitted model
:param X_train: training data
:param X_test: test data
:param feature_names: feature names
:return: Ordered feature names based on the importance computed using SHAP values
"""
explainer = None
if not agnostic:
explainer = shap.TreeExplainer(model)
else:
background = None
if len(X) < 500:
background = X_train
else:
background = shap.sample(X_train, int(len(X_train) * 0.05))
explainer = shap.KernelExplainer(model.predict_proba, background)
shap_values = explainer.shap_values(X_test)
ordering = _shap_ordering(feature_names, shap_values)
return ordering
def create_blurred_baseline(self, X, sigma, iterations=1000):
shuffled_gaussian_df = pd.DataFrame().reindex_like(X).fillna(0)
features_to_shuffle = list(X.columns)
df_to_shuffle = X.copy(deep=True)
permutations = []
for i in range(iterations):
unique = True
gaussian_filter_df = pd.DataFrame(gaussian_filter(df_to_shuffle,
sigma=sigma),
columns=features_to_shuffle)
for feature in features_to_shuffle:
shuffled_gaussian_df[feature] += gaussian_filter_df[feature]
permutations.append(features_to_shuffle[:])
random.shuffle(features_to_shuffle)
while unique:
unique = True
for permutation in permutations:
if features_to_shuffle == permutation:
random.shuffle(features_to_shuffle)
unique = False
break
if unique:
break
df_to_shuffle = df_to_shuffle[features_to_shuffle]
shuffled_gaussian_df = shuffled_gaussian_df.div(iterations)
return shap.sample(np.asarray(shuffled_gaussian_df),
self.shap_sample_size)
def shap_collective(self):
shap.initjs()
z = shap.sample(self.X_test, nsamples=100)
explainer = shap.KernelExplainer(self.cat.predict, z)
k_shap_values = explainer.shap_values(self.X_test)
return shap.force_plot(explainer.expected_value, k_shap_values,
self.X_test)
def avatar_q_model(
self,
X_train,
X_test,
l1_reg="num_features(10)",
check_additivity=False,
n_samples=20,
silent=True,
):
assert shap is not None, "SHAP not found, so cannot do anything here."
# Extract function to explain
m = self.q_model
f = self._extract_function_to_explain(self.q_model)
# Data
assert (
X_train.shape[1] == X_test.shape[1]
), "Inconsistent attribute count. Your carelessness is disappointing."
if X_train.shape[1] != len(m.desc_ids):
attribute_filter = m.desc_ids
X_train = X_train[:, attribute_filter]
X_test = X_test[:, attribute_filter]
explainer = shap.KernelExplainer(f, shap.sample(X_train, n_samples))
raw_shaps = explainer.shap_values(
X_test, l1_reg=l1_reg, check_additivity=check_additivity, silent=silent
)
# Process Shap values
abs_shaps = self._raw_to_abs_shaps(raw_shaps)
nrm_shaps = self._abs_to_nrm_shaps(abs_shaps)
return nrm_shaps
def shap_multiprocessing(patient, model, X_train, y_train, X_test, y_test):
shap_list = []
print((patient))
# training
model_list={}
#model_list[patient]=clone(model_pat)
#model_list[patient].fit(X_train, y_train)
model.fit(X_train, y_train)
# create explainer
#shap_explainer = shap.KernelExplainer(model_list[patient].predict_proba, X_train.iloc[0:500, :])
shap_explainer = shap.KernelExplainer(model.predict_proba, shap.sample(X_train, 500))
shap_values = shap_explainer.shap_values(X_test)
# for i in range(len(shap_values)):
# shap_df = pd.DataFrame(data=shap_values[i], columns=X_test[i].columns.values)
# shap_list.append(shap_df)
# path_img_bar = path_shap + "model{}_patient{}_allclasses_tmp.png".format(model_name,patient)
# plt.figure()
# shap.summary_plot(shap_values, X_test[patient], plot_type="bar", show=False)
# plt.savefig(path_img_bar)
with open(
'../resources/results_ordered/SHAP_no_correlated_features/SHAP_SVM_{}.pkl'.format(patient),
'wb') as f:
pickle.dump(shap_values, f)
return 1
def create_gaussian_baseline(self, X, sigma):
gaussian_baseline = np.random.randn(*X.shape) * sigma + X
# Make sure the min and max values are not higher then from X
return shap.sample(
np.clip(gaussian_baseline,
a_min=X.min().min(),
a_max=X.max().max()), self.shap_sample_size)
def bootstrap(self, X):
"""
Function that performs the bootstrapping.
Randomly changes the background dataset and records the new attributions
Parameters:
X : instances to explain
Returns:
array of mean feature attributions for the samples in X
"""
self.values = np.empty(
(self.num_straps, len(self.labels), len(self.features)))
self.mean_std_arr = np.empty((2, len(self.labels), len(self.features)))
for i in range(self.num_straps):
background_i = shap.sample(self.data,
self.back_size,
random_state=np.random.randint(100))
if self.explainer_type == 'kernel':
exp_i = shap.KernelExplainer(self.model, background_i)
shapper = exp_i.shap_values(X)
elif self.explainer_type == 'sample':
exp_i = shap.SampleExplainer(self.model, background_i)
shapper = exp_i.shap_values(X)
elif self.explainer_type == 'lime':
exp_i = MyLime(self.model, background_i, mode="regression")
shapper = exp_i.attributions(X)
self.values[i, 0, :] = shapper[0]
self.values[i, 1, :] = shapper[1]
for i in range(len(self.labels)):
for j in range(len(self.features)):
self.mean_std_arr[0, i, j] = np.mean(self.values[:, i, j])
self.mean_std_arr[1, i, j] = np.std(self.values[:, i, j])
return self.mean_std_arr
def get_shap_kernel(estimator: object, X_train):
"""compute the shap value importance for non-tree based model
Args:
estimator (a none tree based sklearn estimator): a sklearn non tree based estimator
x_train ((pd.DataFrame, np.ndarray),): X training data
x_test ((pd.DataFrame, np.ndarray),): X testing data
Returns:
shap plot
"""
warnings.filterwarnings("ignore")
# because the kernel explainer for non-tree based model extremly slower
# so we must use kmeans to extract mainly information from x_train
# to speed up the calculation
if X_train.shape[1] > 3:
x_train_summary = shap.kmeans(X_train, 3)
else:
x_train_summary = shap.kmeans(X_train, X_train.shape[1])
explainer = shap.KernelExplainer(estimator.predict, x_train_summary)
size = len(X_train)
if size < 50:
size = size
elif size * 0.2 > 50:
size = 50
else:
size = int(size * 0.2)
sample_values = shap.sample(X_train, size)
shap_values = explainer.shap_values(sample_values,
lr_reg='num_features(10)')
return explainer, shap_values, sample_values
def shap_summary(self):
z = shap.sample(self.X_test, nsamples=100)
explainer = shap.KernelExplainer(self.cat.predict, z)
k_shap_values = explainer.shap_values(self.X_test)
print("Shap Summary Plot")
plt.figure()
shap.summary_plot(k_shap_values, self.X_test, show=False)
plt.savefig('shap_summary.png')
def shapley_tree(model_predict, obs, dataset, column_names, plot_draw=False):
explainer = shap.KernelExplainer(model_predict, shap.sample(dataset, 100))
shap_values = explainer.shap_values(obs)
if plot_draw:
shap.waterfall_plot(explainer.expected_value,
shap_values,
feature_names=column_names)
return shap_values, explainer.expected_value
def test_HistGradientBoostingClassifier_proba():
# train a tree-based model
X, y = shap.datasets.adult()
model = sklearn.ensemble.HistGradientBoostingClassifier(max_iter=10, max_depth=6).fit(X, y)
explainer = shap.TreeExplainer(model, shap.sample(X, 10), model_output="predict_proba")
shap_values = explainer.shap_values(X)
assert np.max(np.abs(
shap_values[0].sum(1) + explainer.expected_value[0] - model.predict_proba(X)[:, 0])) < 1e-4
def kernel_explainer_with_ct(self):
try:
#classification case
pred_fcn = lambda x : self.model.predict_proba(self.ct.transform(x))
explainer = shap.KernelExplainer(pred_fcn, shap.sample(self.input_data, 100),
link='logit',
feature_names=self.input_data.columns,
seed=0)
pred = lambda x : self.model.predict(self.ct.transform(x))
return explainer, pred, pred_fcn
except:
pred_fcn = lambda x : self.model.predict(self.ct.transform(x))
explainer = shap.KernelExplainer(pred_fcn, shap.sample(self.input_data, 100),
link='identity',
feature_names=self.input_data.columns,
seed=0)
return explainer, pred_fcn
def __init__(self, dt_model, X, num_samples=50):
self.dt_model = dt_model
self.num_samples = num_samples
self.feature_names = X.columns.to_list()
if num_samples is not None:
samples = shap.sample(X, num_samples)
else:
samples = X
self.explainer = shap.KernelExplainer(self.model_fn, samples)
def kernel_explainer(self):
try:
#classification case
explainer = shap.KernelExplainer(self.model.predict_proba,
shap.sample(self.input_data, 100),
link='logit',
feature_names=self.input_data.columns,
seed=0)
predictions = self.model.predict
prediction_probabilities = self.model.predict_proba
return explainer, predictions, prediction_probabilities
except:
#regression case
explainer = shap.KernelExplainer(self.model.predict,
shap.sample(self.input_data, 100),
link='identity',
feature_names=self.input_data.columns,
seed=0)
predictions = self.model.predict
return explainer, predictions
def test_HistGradientBoostingClassifier_multidim():
# train a tree-based model
X, y = shap.datasets.adult()
X = X[:100]
y = y[:100]
y = np.random.randint(0, 3, len(y))
model = sklearn.ensemble.HistGradientBoostingClassifier(max_iter=10, max_depth=6).fit(X, y)
explainer = shap.TreeExplainer(model, shap.sample(X, 10), model_output="raw")
shap_values = explainer.shap_values(X)
assert np.max(np.abs(shap_values[0].sum(1) +
explainer.expected_value[0] - model.decision_function(X)[:, 0])) < 1e-4
def setUp(self):
X_train, y_train, X_test, y_test = titanic_fare()
self.test_len = len(X_test)
model = LinearRegression().fit(X_train, y_train)
self.explainer = RegressionExplainer(model,
X_test.iloc[:20],
y_test.iloc[:20],
shap='kernel',
X_background=shap.sample(
X_train, 5))
def get_feature_importances(models, test_data, complication, train_columns):
""" This function calculates the shap values of the top models for each of the investigated complication"""
tree_explain = [LGBMClassifier]
features = []
avg_shap_values = []
test_data_i = test_data[complication]
importance_dfs = {}
counter = 0
for x in models[complication]:
# Get feature importances
X_importance = test_data_i[train_columns]
if (type(x) in tree_explain):
explainer = shap.TreeExplainer(x)
shap_values = explainer.shap_values(X_importance,
check_additivity=False)
else:
model_results = x.predict_proba
X_importance = X_importance.fillna(X_importance.median())
X_importance_ = shap.sample(X_importance, 50)
explainer = shap.KernelExplainer(model_results, X_importance_)
shap_values = explainer.shap_values(X_importance_,
check_additivity=False)[0]
values = np.abs(shap_values).mean(0)
importance_df = pd.DataFrame()
importance_df['column_name'] = train_columns
importance_df["importance"] = values
importance_df = importance_df.sort_values('column_name')
importance_dfs[counter] = importance_df
counter = counter + 1
importance_df = pd.DataFrame([X_importance.columns.tolist()]).T
importance_df.columns = ['column_name']
for x in range(6):
importance_df[f"importance_{str(x)}"] = importance_dfs[x]["importance"]
col = importance_df.loc[:, "importance_0":"importance_6"]
importance_df["avg"] = col.mean(axis=1)
features.append(
importance_df.sort_values(by="avg",
ascending=False).column_name[:4].values)
avg_shap_values.append(
importance_df.sort_values(by="avg", ascending=False).avg[:4].values)
display_top_features(features, complication)
return (features, avg_shap_values)
def plot_prediction_desicion(model, X_test, pred, row_idx):
#The decision plot below shows the model’s multiple outputs for a single observation
#the dashed line is the prediction of our classifier
explainer = shap.TreeExplainer(model, data=shap.sample(X_test, 100), feature_dependence="interventional")
shap_values = explainer.shap_values(X_test)
shap.multioutput_decision_plot([1, 2, 3], shap_values,
row_index=row_idx,
feature_names=list(X_test.columns) ,
highlight=int(pred[row_idx]),
legend_labels=["0-18", "19-70", "70+"], #legend_labels=["0-23", "24-50", "50+"],
legend_location='lower right')
plt.show()
def shap_importances(model, X_train, X_test, n_shap, normalize=True, sort=True):
start = timer()
# only use n_shap from X_test
X_test = X_test.sample(n=min(n_shap, len(X_test)), replace=False)
if isinstance(model, RandomForestRegressor) or \
isinstance(model, GradientBoostingRegressor) or \
isinstance(model, xgb.XGBRegressor):
"""
We get this warning for big X_train so choose smaller
'Passing 20000 background samples may lead to slow runtimes. Consider using shap.sample(data, 100) to create a smaller background data set.'
"""
explainer = shap.TreeExplainer(model,
data=shap.sample(X_train, 100),
feature_perturbation='interventional')
shap_values = explainer.shap_values(X_test, check_additivity=False)
elif isinstance(model, Lasso) or isinstance(model, LinearRegression):
explainer = shap.LinearExplainer(model,
shap.sample(X_train, 100),
feature_perturbation='interventional')
shap_values = explainer.shap_values(X_test)
else:
# gotta use really small sample; verrry slow
explainer = shap.KernelExplainer(model.predict, shap.sample(X_train, 100))
shap_values = explainer.shap_values(X_test, nsamples='auto')
shapimp = np.mean(np.abs(shap_values), axis=0)
stop = timer()
print(f"SHAP time for {len(X_test)} test records using {model.__class__.__name__} = {(stop - start):.1f}s")
total_imp = np.sum(shapimp)
normalized_shap = shapimp
if normalize:
normalized_shap = shapimp / total_imp
# print("SHAP", normalized_shap)
shapI = pd.DataFrame(data={'Feature': X_test.columns, 'Importance': normalized_shap})
shapI = shapI.set_index('Feature')
if sort:
shapI = shapI.sort_values('Importance', ascending=False)
# plot_importances(shapI)
return shapI
def plot_feature_importance_for_class(model, X_train):
explainer = shap.TreeExplainer(model, data=shap.sample(X_train, 100), feature_dependence="interventional")
shap_values = explainer.shap_values(X_train)
#shap.dependence_plot("rank(10)", shap_values, X_train) #raise TypeError("The passed shap_values are a list not an array! If you have a list of explanations try " \ # TypeError: The passed shap_values are a list not an array! If you have a list of explanations try passing shap_values[0] instead to explain the first output class of a multi-output model.
shap.summary_plot(shap_values, X_train, plot_type="bar", class_names=model.classes_, color=pl.get_cmap("tab10")) #labels=model.classes_
# IMPORTANT for some reason the three lines below might break if the line above isn't commmented out
#shap.summary_plot(shap_values[0], X_train, class_names=model.classes_)
#shap.summary_plot(shap_values[1], X_train, class_names=model.classes_)
#shap.summary_plot(shap_values[2], X_train, class_names=model.classes_) #show=False
#Feature values in pink cause to increase the prediction.
#Size of the bar shows the magnitude of the feature's effect.
#Feature values in blue cause to decrease the
plt.show()
def RF():
rf = RandomForestRegressor(n_estimators=30, oob_score=True, n_jobs=-1)
rf.fit(X, y)
print("OOB", rf.oob_score_)
explainer = shap.TreeExplainer(rf,
data=shap.sample(X, 300),
feature_perturbation='interventional')
shap_values = explainer.shap_values(X[:shap_test_size],
check_additivity=False)
print("shap_j averages:", np.mean(shap_values, axis=0))
shapimp = np.mean(np.abs(shap_values), axis=0)
s = np.sum(shapimp)
print("\nRF SHAP importances", list(shapimp), shapimp * xrange,
list(shapimp / s))
return shap_values
def setUp(self):
X_train, y_train, X_test, y_test = titanic_survive()
train_names, test_names = titanic_names()
model = LogisticRegression()
model.fit(X_train, y_train)
self.explainer = ClassifierExplainer(
model,
X_test.iloc[:20],
y_test.iloc[:20],
shap='kernel',
model_output='probability',
X_background=shap.sample(X_train, 5),
cats=[{
'Gender': ['Sex_female', 'Sex_male', 'Sex_nan']
}, 'Deck', 'Embarked'],
labels=['Not survived', 'Survived'])
def _summarise_background(self,
background_data: Union[shap.common.Data, pd.DataFrame, np.ndarray, sparse.spmatrix],
n_background_samples: int) -> \
Union[shap.common.Data, pd.DataFrame, np.ndarray, sparse.spmatrix]:
"""
Summarises the background data to n_background_samples in order to reduce the computational cost. If the
background data is a `shap.common.Data object`, no summarisation is performed.
Returns
-------
If the user has specified grouping, then the input object is subsampled and an object of the same
type is returned. Otherwise, a `shap.common.Data` object containing the result of a k-means algorithm
is wrapped in a `shap.common.DenseData` object and returned. The samples are weighted according to the
frequency of the occurrence of the clusters in the original data.
"""
if isinstance(background_data, shap.common.Data):
msg = "Received option to summarise the data but the background_data object " \
"was an instance of shap.common.Data. No summarisation will take place!"
logger.warning(msg)
return background_data
if background_data.ndim == 1:
msg = "Received option to summarise the data but the background_data object only had " \
"one record with {} features. No summarisation will take place!"
logger.warning(msg.format(len(background_data)))
return background_data
self.summarise_background = True
# if the input is sparse, we assume there are categorical variables and use random sampling, not kmeans
if self.use_groups or self.categorical_names or isinstance(
background_data, sparse.spmatrix):
return shap.sample(background_data, nsamples=n_background_samples)
else:
logger.info(
"When summarising with kmeans, the samples are weighted in proportion to their "
"cluster occurrence frequency. Please specify a different weighting of the samples "
"through the by passing a weights of len=n_background_samples to the constructor!"
)
return shap.kmeans(background_data, n_background_samples)
def shap_plots(model, train_features, test_features, test_labels):
print("Computing shapley values..")
# compute SHAP values
if isinstance(
model,
(MLP, MLPRegressor, MLPClassifier, ElasticNet, LogisticRegression)):
train_sample = shap.sample(train_features, 10)
explainer = shap.Explainer(model.predict, train_sample)
elif isinstance(model, (RandomForestRegressor, RandomForestClassifier)):
explainer = shap.TreeExplainer(model, train_features)
else:
explainer = shap.Explainer(model, train_features)
shap_values = explainer(test_features)
shap.plots.bar(shap_values, max_display=10)
# shap.plots.bar(shap_values[0]) # Local
# beeswarm plot
shap.plots.beeswarm(shap_values)
# Decision plot
expected_value = explainer.expected_value
select = range(20)
features_sample = test_features.iloc[select]
shap.decision_plot(expected_value, explainer.shap_values(features_sample),
features_sample)
# Heatmap
shap.plots.heatmap(shap_values, max_display=10)
# Scatter
shap.plots.scatter(shap_values[:, "hs_child_age_None"],
color=shap_values,
alpha=0.8)
# Feature clustering (redondant feature detection)
clustering = shap.utils.hclust(
test_features, test_labels
) # by default this trains (X.shape[1] choose 2) 2-feature XGBoost models
shap.plots.bar(shap_values, clustering=clustering, clustering_cutoff=0.5)
def compute_shap_values(self) -> None:
"""Shap values depending on what model we are using
`shap.TreeExplainer` by default and if not it uses
`KernelExplainer`
Also provides compatibility with sklearn pipelines
`shap_values` are stored in `self.shap_values`
"""
with warnings.catch_warnings():
# Some `shap` warnings are not useful for this implementation
warnings.simplefilter("ignore")
try:
explainer = shap.TreeExplainer(
model=self.model,
feature_perturbation='tree_path_dependent'
)
shap_values_arguments = dict(X=self.X_test_to_shap)
except Exception:
def model_predict(data_array):
data_frame = pd.DataFrame(data_array,
columns=self.column_names)
return self.model.predict_proba(data_frame)[:, 1]
explainer = shap.KernelExplainer(model=model_predict,
data=shap.sample(
self.X_train_to_shap,
100
),
link='logit')
shap_values_arguments = dict(X=self.X_test_to_shap,
l1_reg='aic')
self.shap_values = explainer.shap_values(**shap_values_arguments)
# continue
parameters = {
'time': time,
'target': target,
'drop_opt': drop_opt,
}
X, y, info = _load_train_data(return_info=True, **parameters)
estimators = load_models(time, target, drop_opt, model_names)
# Subsample time indices to reduce autocorrelations
X_subset, y_subset = get_independent_samples(X, y, info)
explainer = InterpretToolkit(estimators=estimators,
estimator_names=model_names,
X=X_subset.copy(),
y=y_subset.copy())
background_dataset = shap.sample(X, 100)
results = explainer.local_contributions(
method='shap',
background_dataset=background_dataset,
performance_based=True,
n_samples=n_samples)
results = explainer.save(fname=save_fname, data=results)
duration = datetime.datetime.now() - start_time
seconds = duration.total_seconds()
hours = seconds // 3600
minutes = (seconds % 3600) // 60
seconds = seconds % 60