Support Vector-based Estimation of Multilinear Games for Feature Selection and Explanation

In recent years, employing Shapley values to compute feature importance has gained considerable attention. Calculating these values inherently necessitates managing an exponential number of parameters-a challenge commonly mitigated through an additivity assumption coupled with linear regression. This paper proposes a novel approach by modeling supervised learning as a multilinear game, incorporating both direct and interaction effects to establish the requisite values for Shapley value computation. To efficiently handle the exponentially increasing parameters intrinsic to multilinear games, we introduce a support vector machine (SVM)-based method for parameter estimation, its complexity is predominantly contingent on the number of samples due to the implementation of a dual SVM formulation. Additionally, we unveil an optimized dynamic programming algorithm capable of directly computing the Shapley value and interaction index from the dual SVM. Our proposed methodology is versatile, and we demonstrate that it can be applied to local explanation and feature selection. Experiments underscore the competitive efficacy of our proposed methods in terms of feature selection and explanation.