When stakes are high: Balancing accuracy and transparency with Model-Agnostic Interpretable Data-driven suRRogates
نویسندگان
چکیده
Technological advancements allow to develop high-performance black box predictive models. However, strictly regulated industries (like banking and insurance) ask for transparent decision-making algorithms. We therefore present a procedure Model-Agnostic Interpretable Data-driven suRRogate (maidrr) suited structured tabular data. Knowledge is extracted from via partial dependence effects. These are used perform smart feature engineering by grouping variable values. This results in segmentation of the space with automatic selection. A generalized linear model (GLM) fit features categorical format their relevant interactions. GLM serves as global surrogate original replaces it production. demonstrate our R package maidrr case study on general insurance claim frequency modeling six publicly available datasets. Our closely approximates gradient boosting machine (GBM) outperforms both tree benchmarks. • Procedure an interpretable complex system. Surrogate regarding accuracy fidelity. Automatic selection, local explanations. Satisfy transparency needs industry or high-stakes decision. Case prediction public
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ژورنال
عنوان ژورنال: Expert Systems With Applications
سال: 2022
ISSN: ['1873-6793', '0957-4174']
DOI: https://doi.org/10.1016/j.eswa.2022.117230