some math

Do you know the 4 types of additive Variable Importances?

From Sobol indices to SAGE values: different purposes, same optimality

Jean-Matthieu Schertzer

12 minute read

Facing complex models, both computer simulation and machine learning practitioners have pursued similar objectives: to see how results could be broken down and linked to the inputs. Whether it is called Sensitivity Analysis or Variable Importance in the context of explainable AI, some of their methods share an important component: the Shapley values.