Currently my employer has multiple GLM in a live environment. I am interested in identifying new features and interactions to enhance the accuracy of these GLM; for now I am limited to the GLM structure so simply deploying a solution which automatically accounts for interactions is not possible.
I have in the past used XGBoost to identify powerful feature interactions through the use of
XGBFIR. I am now looking in to using LightGBM and CatBoost to do the same but cannot seem to find a tool like
XGBFI which works on those models.
Question: Does anything similar to
XGBFI exist for LightGBM and CatBoost?