Variable Importance in High-Dimensional Settings Requires Grouping
Ahmad Chamma Bertrand Thirion Denis A. Engemann
Explaining the decision process of machine learning algorithms is nowadays
crucial for both model's performance enhancement and human comprehension. This
can be achieved by assessing the variable importance of single variables, even
for high-capacity non-linear methods, e.g. Deep Neural Networks (DNNs). While
only removal-based approaches, such as Permutation Importance (PI), can bring
statistical validity, they return misleading results when variables are
correlated. Conditional Permutation Importance (CPI) bypasses PI's limitations
in such cases. However, in high-dimensional settings, where high correlations
between the variables cancel their conditional importance, the use of CPI as
well as other methods leads to unreliable results, besides prohibitive
computation costs. Grouping variables statistically via clustering or some
prior knowledge gains some power back and leads to better interpretations. In
this work, we introduce BCPI (Block-Based Conditional Permutation Importance),
a new generic framework for variable importance computation with statistical
guarantees handling both single and group cases. Furthermore, as handling
groups with high cardinality (such as a set of observations of a given
modality) are both time-consuming and resource-intensive, we also introduce a
new stacking approach extending the DNN architecture with sub-linear layers
adapted to the group structure. We show that the ensuing approach extended with
stacking controls the type-I error even with highly-correlated groups and shows
top accuracy across benchmarks. Furthermore, we perform a real-world data
analysis in a large-scale medical dataset where we aim to show the consistency
between our results and the literature for a biomarker prediction.