How to safely discard features based on aggregate SHAP values

Abstract

SHAP is one of the most popular local feature-attribution methods. Given a function f and an input x ∈ℝ^d, it quantifies each feature’s contribution to f(x). Recently, SHAP has been increasingly used for global insights: practitioners average the absolute SHAP values over many data points to compute global feature importance scores, which are then used to discard “unimportant” features.