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I'm using an XGBoost model for multi-class classification and is looking at feature importance by using SHAP values. I'm curious if multicollinarity is a problem for the interpretation of the SHAP values? As far as I know, XGB is not affected by multicollinarity, so I assume SHAP won't be affected due to that?

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Shapley values are designed to deal with this problem. You might want to have a look at the literature.

They are based on the idea of a collaborative game, and the goal is to compute each player's contribution to the total game.

Lets say you are playing in the football champions league final Real Madrid vs Liverpool. And Madrid only has 3 players A,B,C and they somehow score 5 goals.

To calculate the Shapley value of player 1, you will have the following combinations playing, combinations:

$S_1 = \frac{1}{3}\left( v(\{1,2,3\} - v(\{2,3\})\right) + \frac{1}{6}\left( v(\{1,2\} - v(\{2\})\right) + \frac{1}{6}\left( v(\{1,3\} - v(\{3\})\right)+ \frac{1}{3}\left( v(\{1\} - v(\emptyset)\right)$

$S_2 = \frac{1}{3}\left( v({1,2,3} - v({1,2})\right) + \frac{1}{6}\left( v({1,2} - v({1})\right) + \frac{1}{6}\left( v({2,3} - v({3})\right)+ \frac{1}{3}\left( v({2} - v(\emptyset)\right)$$

$S_3 = \frac{1}{3}\left( v(\{1,2,3\} - v(\{1,2\})\right) + \frac{1}{6}\left( v(\{1,3\} - v(\{1\})\right) + \frac{1}{6}\left( v(\{2,3\} - v(\{2\})\right)+ \frac{1}{3}\left( v(\{3\} - v(\emptyset)\right)$

Where v = value of the function of the set. For the Real Madrid the numbers of goals scored, by the different combinations of players.

As you see, the theoretical definition encapsulates the dependence between features. The theory will tell you that the sum of the contributions is equal to the prediction $S_1 + S_2 + S_3 = 5$.

Let's now if RM players gets some high Shapley values next week.

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  • $\begingroup$ Thanks, but how do you understand this then "Like many other permutation-based interpretation methods, the Shapley value method suffers from inclusion of unrealistic data instances when features are correlated" $\endgroup$
    – hideonbush
    May 24 at 13:32
  • $\begingroup$ It has nothing to do with colinearity, "S_i" can turn out to be something that makes no sense from a business perspective $\endgroup$ May 25 at 11:55
  • $\begingroup$ There are still some problems with usage of shap values as an explaination tool, which appears in the case of high colinearity. If you have highly colinear features, their marginal contribution will decrease, which might surprise users expecting a given feature to have high importance. $\endgroup$
    – lcrmorin
    May 25 at 12:16
  • $\begingroup$ That's also what i'm thinking - do you have a source saying this? @lcrmorin $\endgroup$
    – hideonbush
    May 25 at 13:05
  • $\begingroup$ arxiv.org/pdf/1903.10464.pdf $\endgroup$ May 25 at 13:38

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