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[7.6][ML] Compute SHAP values for supervised learning (#857) #888

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Merged
merged 1 commit into from
Dec 11, 2019

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valeriy42
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Backport to #857

This PR introduces the computation of SHAP (SHapley Additive exPlanation) values for feature importance. Refer "Consistent Individualized Feature Attribution for Tree Ensembles" by Lundberg et al. for details to the original algorithm.
@valeriy42 valeriy42 merged commit 6565f4f into elastic:7.x Dec 11, 2019
@valeriy42 valeriy42 deleted the backport-pr857 branch May 6, 2020 11:16
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