Fast Approximation of the Shapley Values Based on Order-of-Addition Experimental Designs.

Abstract Shapley value is originally a concept in econometrics to fairly distribute both gains and costs to players in a coalition game. In the recent decades, its application has been extended to other areas such as marketing, engineering and machine learning. For example, it produces reasonable solutions for problems in sensitivity analysis, local model explanation toward the interpretable machine learning, node importance in social network, attribution models, etc. However, it could be very expensive to compute the Shapley value. Specifically, in a <italic>d</italic>-player coalition game, calculating a Shapley value requires the evaluation of d ! or 2 d marginal contribution values, depending on whether we are taking the permutation or combination formulation of the Shapley value. Hence, it becomes infeasible to calculate the Shapley value when <italic>d</italic> is reasonably large. A common remedy is to take a random sample of the permutations to surrogate for the complete list of permutations. We find an advanced sampling scheme can be designed to yield much more accurate estimation of the Shapley value than the simple random sampling (SRS). Our sampling scheme is based on combinatorial structures in the field of design of experiments (DOE), particularly the order-of-addition experimental designs for the study of how the orderings of components would affect the output. We show that the obtained estimates are unbiased, and can sometimes deterministically recover the original Shapley value. Both theoretical and simulations results show that our DOE-based sampling scheme outperforms SRS in terms of estimation accuracy. Surprisingly, it is also slightly faster than SRS. Lastly, real data analysis is conducted for the <italic>C. elegans</italic> nervous system and the 9/11 terrorist network. Supplementary materials for this article are available online. [ABSTRACT FROM AUTHOR]