XGBoost Feature Interactions & Importance
Xgbfi is a XGBoost model dump parser, which ranks features as well as feature interactions by different metrics.
- Gain: Total gain of each feature or feature interaction
- FScore: Amount of possible splits taken on a feature or feature interaction
- wFScore: Amount of possible splits taken on a feature or feature interaction weighted by the probability of the splits to take place
- Average wFScore: wFScore divided by FScore
- Average Gain: Gain divided by FScore
- Expected Gain: Total gain of each feature or feature interaction weighted by the probability to gather the gain
Example:
