Skip to yearly menu bar Skip to main content


Poster
in
Workshop: 3rd Workshop on Interpretable Machine Learning in Healthcare (IMLH)

Curve your Enthusiasm: Concurvity Regularization in Differentiable Generalized Additive Models

Julien Siems · Konstantin Ditschuneit · Winfried Ripken · Alma Lindborg · Maximilian Schambach · Johannes Otterbach · Martin Genzel

Keywords: [ Regularization ] [ Interpretable Machine Learning ] [ Interpretability ] [ Multicollinearity ] [ Generalized Additive Models ] [ Concurvity ] [ Time-Series Forecasting ]


Abstract:

Generalized Additive Models (GAMs) have recently experienced a resurgence in popularity, particularly in high-stakes domains such as healthcare. GAMs are favored due to their interpretability, which arises from expressing the target value as a sum of non-linear functions of the predictors. Despite the current enthusiasm for GAMs, their susceptibility to concurvity - i.e., (possibly non-linear) dependencies between the predictors - has hitherto been largely overlooked. Here, we demonstrate how concurvity can severly impair the interpretability of GAMs and propose a remedy: a conceptually simple, yet effective regularizer which penalizes pairwise correlations of the non-linearly transformed feature variables. This procedure is applicable to any gradient-based fitting of differentiable additive models, such as Neural Additive Models or NeuralProphet, and enhances interpretability by eliminating ambiguities due to self-canceling feature contributions. We validate the effectiveness of our regularizer in experiments on synthetic as well as real-world datasets for time-series and tabular data. Our experiments show that concurvity in GAMs can be reduced without significantly compromising prediction quality, improving interpretability and reducing variance in the feature importances.

Chat is not available.