[Notes] SHAP Values
Photo Credit Unlike other feature importance measures, SHAP values are fairly complicated and theoretically grounded. I kept forgetting the small details of how SHAP values works. These notes aim for making sure I understand the concept well enough and be something that I can refer back to once in a while. Hopefully it will also be helpful to you. Classic Shapley Value Estimation Shapley regression values: $$\phi_{i} = \sum_{S \subset F \backslash \{i\}} \frac{|S|!(|F|-|S|-1)!}{|F|!}[f_{S \cup \{i\}}(x_{S \cup \{i\}}) - f_S(x_S)]$$ Shapley regression values are feature importances for linear models in the presence of multicollinearity. [1] ...