Using Shapley Values and Variational Autoencoders to Explain Predictive Models with Dependent Mixed Features

Explainable artificial intelligence (XAI) and interpretable machine learning (IML) have become active research fields in recent years (Adadi and Berrada 2018; Molnar 2019). This is a natural consequence as complex machine learning (ML) models are now applied to solve supervised learning problems in many high-risk areas: cancer prognosis (Kourou et al. 2015), credit scoring (Kvamme et al. 2018), and money laundering detection (Jullum, Løland, et al. 2020). The high prediction accuracy of complex ML models often comes at the expense of model interpretability. As the goal of science is to gain knowledge from the collected data, the use of black-box models hinders the understanding of the underlying relationship between the features and the response, and thereby curtail scientific discovery. Model explanation frameworks from the XAI field extract the hidden knowledge about the underlying data structure captured by a black-box model, and thereby make the model's decision-making process transparent. This is crucial for, e.g., medical researchers that apply an ML model to obtain well-performing predictions, but who simultaneously also strive to discover important risk factors. Another driving factor is the Right to Explanation legislation in EU's General Data Protection Regulation (GDPR) (European Commission 2016).