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Permutation shap sampling estimation + paired sampling #368

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@martinju martinju commented Dec 10, 2023

Just a brute force implemention with a basic testing script, to see how it works out.

Based on this small tesst, paired sampling is much better. Permutation seems to be essentially the same as the kernel approach.

TODO:

  • Consider whether there are other good reasons to implement the permutation approach
  • Do a more comprehensive simulation study and check the performance on indiviual feautres is more balanced than the kernel approach
  • If the results suggest the permutation approach is preferable, it must be implemented properly, this is just a brute force thing which is not efficient at all.

no antitetic sampling yet
The issue seems to be incorrect weighting of the different S's. I should try to loop through the permutations within the loop instead, extract the relevant S, to then do the computation. Just to see how they are all weighted.
then need to find the weighting per row in S, to then make it more efficient
Will simplify it all creating a function which computes Udiffs for a list of perms (perm_dt) instead of pre-computing stuff and extracting them.
@martinju martinju closed this Mar 8, 2024
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