A Reliable and Efficient Technique To Measure Feature Importance
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A Reliable and Efficient Technique To Measure Feature Importance
Measure feature importance through chaos.
Here's a neat technique to quickly and reliably measure feature importance in any ML model.
Permutation feature importance observes how randomly shuffling a feature influences model performance.
Essentially, after training a model, we do the following:
Measure model performance (
A1) on the given dataset (test/validation/train).Shuffle one feature randomly.
Measure performance (
A2) again.Feature importance = (
A1-A2).Repeat for all features.
To eliminate any potential effects of randomness during feature shuffling, it is also recommended to shuffle the same feature multiple times.
Benefits of permutation feature importance:
No repetitive model training.
The technique is pretty reliable.
It can be applied to any model, as long as you can evaluate the performance.
It is efficient
Of course, there is one caveat to this approach.
Say two features are highly correlated and one of them is permuted/shuffled. In this case, the model will still have access to the feature through its correlated feature.
This will result in a lower importance value for both features.
One way to handle this is to cluster features that are highly correlated and only keep one feature from each cluster.
Here’s one of my previous guides on making this task easier: The Limitations Of Heatmap That Are Slowing Down Your Data Analysis.
👉 Over to you: What other reliable feature importance techniques do you use frequently?
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