REFRESH: Responsible and Efficient Feature Reselection Guided by SHAP
  Values
Shubham Sharma Sanghamitra Dutta Emanuele Albini Freddy Lecue Daniele Magazzeni Manuela Veloso
Feature selection is a crucial step in building machine learning models. This
process is often achieved with accuracy as an objective, and can be cumbersome
and computationally expensive for large-scale datasets. Several additional
model performance characteristics such as fairness and robustness are of
importance for model development. As regulations are driving the need for more
trustworthy models, deployed models need to be corrected for model
characteristics associated with responsible artificial intelligence. When
feature selection is done with respect to one model performance characteristic
(eg. accuracy), feature selection with secondary model performance
characteristics (eg. fairness and robustness) as objectives would require going
through the computationally expensive selection process from scratch. In this
paper, we introduce the problem of feature \emph{reselection}, so that features
can be selected with respect to secondary model performance characteristics
efficiently even after a feature selection process has been done with respect
to a primary objective. To address this problem, we propose REFRESH, a method
to reselect features so that additional constraints that are desirable towards
model performance can be achieved without having to train several new models.
REFRESH's underlying algorithm is a novel technique using SHAP values and
correlation analysis that can approximate for the predictions of a model
without having to train these models. Empirical evaluations on three datasets,
including a large-scale loan defaulting dataset show that REFRESH can help find
alternate models with better model characteristics efficiently. We also discuss
the need for reselection and REFRESH based on regulation desiderata.