Xgboost : A variable specific Feature importance

Question

I have a data set something like this:

data = [['Alex',10,13,1,0],['Bob',11,14,12,0],['Clarke',13,15,13,1],['bob',12,15,1,1]]
df = pd.DataFrame(data,columns = ["dealer","x","y","z","loss"])

I am trying to predict binary column loss, I have done this xgboost model. I got Overall feature importance. Now I need top 5 most important features dealer wise.

How to do that?

I have tried to use lime package but it is only working for Random forest.

If I get Feature importance for each observation(row) then also I can compute the feature importance dealer wise.

kindly help

Desired Output :

Answer 1

If you use a per-observation explanation, you could just average (or aggregate in some other way) the importances of features across the samples for each Dealer.

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For example, using shap to generate the per-observation explanation:

import pandas as pd
from sklearn.linear_model import LogisticRegression
import shap

data = [['Alex',10,13,1,0],['Bob',11,14,12,0],['Clarke',13,15,13,1],['Bob',12,15,1,1]]
df = pd.DataFrame(data, columns=["dealer","x","y","z","loss"])

lr = LogisticRegression()
lr.fit(df[['x', 'y', 'z']], df['loss'])

# Whatever explainer you prefer:
explainer = shap.explainers.Permutation(lr.predict_proba, df[['x', 'y', 'z']])
shap_values = explainer(df[['x', 'y', 'z']])

# get just the explanations for the positive class
shap_values = shap_values[...,1]

shap_df = pd.DataFrame(abs(shap_values.values))
shap_df.columns = ['x_shap', 'y_shap', 'z_shap']
shap_df['dealer'] = df['dealer']
shap_df.groupby('dealer').mean()

produces

dealer	x_shap	y_shap	z_shap
Alex	0.260427	0.140054	0.075176
Bob	0.106593	0.069035	0.091146
Clarke	0.268328	0.083706	0.085807

Answer 2

What you are looking for is - "When Dealer is X, how important is each Feature."

You can try Permutation Importance.

• Can be used on fitted model
• It is Model agnostic
• Can be done for Test data too.

Slice X, Y in parts based on Dealer and get the Importance separately.

Shown for California Housing Data on Ocean_Proximity feature

from sklearn.inspection import permutation_importance

for val in x_train.ocean_proximity.unique():        # Loop on column value
    x = x_train.loc[x_train.ocean_proximity==val,:] # Slices X
    y = y_train.loc[x_train.ocean_proximity==val]   # Slices Y
    
    result = permutation_importance(model, x, y, n_repeats=5, random_state=0)
    result = pd.DataFrame(result.importances_mean, index= cols)
    
    # print, sorted top 4 Features
    print('Ocean--',val,result.sort_values(by=0,ascending=False)[:4])   

Note - The importance value for each feature with this test and "Impurity decreased" approach are not comparable.