Gaussian Process Regression with Local Explanation

TL;DR

This paper introduces a locally interpretable Gaussian process regression model that provides feature contribution explanations for individual predictions without sacrificing predictive accuracy.

Contribution

The proposed model combines GPR with local linear explanations, enabling interpretability while maintaining high predictive performance.

Findings

Achieves predictive accuracy comparable to standard GPR.

Provides higher interpretability than existing models.

Demonstrates effectiveness on benchmark datasets.

Abstract

Gaussian process regression (GPR) is a fundamental model used in machine learning. Owing to its accurate prediction with uncertainty and versatility in handling various data structures via kernels, GPR has been successfully used in various applications. However, in GPR, how the features of an input contribute to its prediction cannot be interpreted. Herein, we propose GPR with local explanation, which reveals the feature contributions to the prediction of each sample, while maintaining the predictive performance of GPR. In the proposed model, both the prediction and explanation for each sample are performed using an easy-to-interpret locally linear model. The weight vector of the locally linear model is assumed to be generated from multivariate Gaussian process priors. The hyperparameters of the proposed models are estimated by maximizing the marginal likelihood. For a new test sample, the proposed model can predict the values of its target variable and weight vector, as well as their uncertainties, in a closed form. Experimental results on various benchmark datasets verify that the proposed model can achieve predictive performance comparable to those of GPR and superior to that of existing interpretable models, and can achieve higher interpretability than them, both quantitatively and qualitatively.