Accurate Estimation of Feature Importance Faithfulness for Tree Models

In this paper, we consider a perturbation-based metric of predictive faithfulness of feature rankings (or attributions) that we call PGI squared When applied to decision tree-based regression models, the metric can be computed exactly and efficiently for arbitrary independent feature perturbation distributions. In particular, the computation does not involve Monte Carlo sampling that has been typically used for computing similar metrics and which is inherently prone to inaccuracies.

As a second contribution, we proposed a procedure for constructing feature ranking based on PGI squared. Our results indicate the proposed ranking method is comparable to the widely recognized SHAP explainer, offering a viable alternative for assessing feature importance in tree-based models.