In plain words: A new chart shows how each input changes a black-box model's predictions by averaging output shifts within slices of that input's data range. Unlike the usual partial dependence plot, it never extrapolates beyond the data, stays unbiased when inputs are linked, and runs faster.
Abstract · Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models
When fitting black box supervised learning models (e.g., complex trees, neural networks, boosted trees, random forests, nearest neighbors, local kernel-weighted methods, etc.), visualizing the main effects of the individual predictor variables and their low-order interaction effects is often important, and partial dependence (PD) plots are the most popular approach for accomplishing this. However, PD plots involve a serious pitfall if the predictor variables are far from independent, which is quite common with large observational data sets. Namely, PD plots require extrapolation of the response at predictor values that are far outside the multivariate envelope of the training data, which can render the PD plots unreliable. Although marginal plots (M plots) do not require such extrapolation, they produce substantially biased and misleading results when the predictors are dependent, analogous to the omitted variable bias in regression. We present a new visualization approach that we term accumulated local effects (ALE) plots, which inherits the desirable characteristics of PD and M plots, without inheriting their preceding shortcomings. Like M plots, ALE plots do not require extrapolation; and like PD plots, they are not biased by the omitted variable phenomenon. Moreover, ALE plots are far less computationally expensive than PD plots.
Daniel W. Apley, Jingyu Zhu
arXiv:1612.08468 · stat.ME · submitted Dec 27, 2016 · updated Aug 19, 2019
abstract · pdf · html · The R package ALEPlot is available on CRAN. The new version contains refined definitions of ALE effects, a new illustrative example, theorems and proofs of asymptotic properties of ALE effects and estimators, and extra implementation details