Using RuleFit Ensemble Models Is About to Become Very Important

Summary: The drive toward transparency and explainability in our modeling seems unstoppable. Up to now that meant sacrificing accuracy for interpretability. However, the ensemble method known as RuleFit may be the answer with both explainability and accuracy meeting or exceeding Random Forest. If you're like me and not doing modeling in a highly regulated industry like mortgage finance or insurance then when you produce a model, you are concerned about only one thing, building the most accurate model that generalizes well. On the other hand if you're in one of those highly regulated industries then you are constrained by what has come be called'transparency' or more accurately'explainability'.