4.1. Partial Dependence and Individual Conditional Expectation plots¶

4.1.1. Partial dependence plots¶

Partial dependence plots (PDP) show the dependence between the target response and a set of input features of interest, marginalizing over the values of all other input features (the ‘complement’ features). Intuitively, we can interpret the partial dependence as the expected target response as a function of the input features of interest.

Due to the limits of human perception the size of the set of input feature of interest must be small (usually, one or two) thus the input features of interest are usually chosen among the most important features.

The figure below shows two one-way and one two-way partial dependence plots for the California housing dataset, with a HistGradientBoostingRegressor:

One-way PDPs tell us about the interaction between the target response and an input feature of interest feature (e.g. linear, non-linear). The left plot in the above figure shows the effect of the average occupancy on the median house price; we can clearly see a linear relationship among them when the average occupancy is inferior to 3 persons. Similarly, we could analyze the effect of the house age on the median house price (middle plot). Thus, these interpretations are marginal, considering a feature at a time.

PDPs with two input features of interest show the interactions among the two features. For example, the two-variable PDP in the above figure shows the dependence of median house price on joint values of house age and average occupants per household. We can clearly see an interaction between the two features: for an average occupancy greater than two, the house price is nearly independent of the house age, whereas for values less than 2 there is a strong dependence on age.

The sklearn.inspection module provides a convenience function plot_partial_dependence to create one-way and two-way partial dependence plots. In the below example we show how to create a grid of partial dependence plots: two one-way PDPs for the features 0 and 1 and a two-way PDP between the two features:

>>> from sklearn.datasets import make_hastie_10_2
>>> from sklearn.ensemble import GradientBoostingClassifier
>>> from sklearn.inspection import plot_partial_dependence

>>> X, y = make_hastie_10_2(random_state=0)
>>> clf = GradientBoostingClassifier(n_estimators=100, learning_rate=1.0,
...     max_depth=1, random_state=0).fit(X, y)
>>> features = [0, 1, (0, 1)]
>>> plot_partial_dependence(clf, X, features) 

You can access the newly created figure and Axes objects using plt.gcf() and plt.gca().

For multi-class classification, you need to set the class label for which the PDPs should be created via the target argument:

>>> from sklearn.datasets import load_iris
>>> iris = load_iris()
>>> mc_clf = GradientBoostingClassifier(n_estimators=10,
...     max_depth=1).fit(iris.data, iris.target)
>>> features = [3, 2, (3, 2)]
>>> plot_partial_dependence(mc_clf, X, features, target=0) 

The same parameter target is used to specify the target in multi-output regression settings.

If you need the raw values of the partial dependence function rather than the plots, you can use the sklearn.inspection.partial_dependence function:

>>> from sklearn.inspection import partial_dependence

>>> pdp, axes = partial_dependence(clf, X, [0])
>>> pdp
array([[ 2.466...,  2.466..., ...
>>> axes
[array([-1.624..., -1.592..., ...

The values at which the partial dependence should be evaluated are directly generated from X. For 2-way partial dependence, a 2D-grid of values is generated. The values field returned by sklearn.inspection.partial_dependence gives the actual values used in the grid for each input feature of interest. They also correspond to the axis of the plots.

4.1.2. Individual conditional expectation (ICE) plot¶

Similar to a PDP, an individual conditional expectation (ICE) plot shows the dependence between the target function and an input feature of interest. However, unlike a PDP, which shows the average effect of the input feature, an ICE plot visualizes the dependence of the prediction on a feature for each sample separately with one line per sample. Due to the limits of human perception, only one input feature of interest is supported for ICE plots.

The figures below show four ICE plots for the California housing dataset, with a HistGradientBoostingRegressor. The second figure plots the corresponding PD line overlaid on ICE lines.

While the PDPs are good at showing the average effect of the target features, they can obscure a heterogeneous relationship created by interactions. When interactions are present the ICE plot will provide many more insights. For example, we could observe a linear relationship between the median income and the house price in the PD line. However, the ICE lines show that there are some exceptions, where the house price remains constant in some ranges of the median income.

The sklearn.inspection module’s plot_partial_dependence convenience function can be used to create ICE plots by setting kind='individual'. In the example below, we show how to create a grid of ICE plots:

>>> from sklearn.datasets import make_hastie_10_2
>>> from sklearn.ensemble import GradientBoostingClassifier
>>> from sklearn.inspection import plot_partial_dependence

>>> X, y = make_hastie_10_2(random_state=0)
>>> clf = GradientBoostingClassifier(n_estimators=100, learning_rate=1.0,
...     max_depth=1, random_state=0).fit(X, y)
>>> features = [0, 1]
>>> plot_partial_dependence(clf, X, features,
...     kind='individual')  

In ICE plots it might not be easy to see the average effect of the input feature of interest. Hence, it is recommended to use ICE plots alongside PDPs. They can be plotted together with kind='both'.

>>> plot_partial_dependence(clf, X, features,
...     kind='both')  

4.1.3. Mathematical Definition¶

Let \(X_S\) be the set of input features of interest (i.e. the features parameter) and let \(X_C\) be its complement.

The partial dependence of the response \(f\) at a point \(x_S\) is defined as:

where \(f(x_S, x_C)\) is the response function (predict, predict_proba or decision_function) for a given sample whose values are defined by \(x_S\) for the features in \(X_S\), and by \(x_C\) for the features in \(X_C\). Note that \(x_S\) and \(x_C\) may be tuples.

Computing this integral for various values of \(x_S\) produces a PDP plot as above. An ICE line is defined as a single \(f(x_{S}, x_{C}^{(i)})\) evaluated at \(x_{S}\).

4.1.4. Computation methods¶

There are two main methods to approximate the integral above, namely the ‘brute’ and ‘recursion’ methods. The method parameter controls which method to use.

The ‘brute’ method is a generic method that works with any estimator. Note that computing ICE plots is only supported with the ‘brute’ method. It approximates the above integral by computing an average over the data X:

where \(x_C^{(i)}\) is the value of the i-th sample for the features in \(X_C\). For each value of \(x_S\), this method requires a full pass over the dataset X which is computationally intensive.

Each of the \(f(x_{S}, x_{C}^{(i)})\) corresponds to one ICE line evaluated at \(x_{S}\). Computing this for multiple values of \(x_{S}\), one obtains a full ICE line. As one can see, the average of the ICE lines correspond to the partial dependence line.

The ‘recursion’ method is faster than the ‘brute’ method, but it is only supported for PDP plots by some tree-based estimators. It is computed as follows. For a given point \(x_S\), a weighted tree traversal is performed: if a split node involves an input feature of interest, the corresponding left or right branch is followed; otherwise both branches are followed, each branch being weighted by the fraction of training samples that entered that branch. Finally, the partial dependence is given by a weighted average of all the visited leaves values.

With the ‘brute’ method, the parameter X is used both for generating the grid of values \(x_S\) and the complement feature values \(x_C\). However with the ‘recursion’ method, X is only used for the grid values: implicitly, the \(x_C\) values are those of the training data.

By default, the ‘recursion’ method is used for plotting PDPs on tree-based estimators that support it, and ‘brute’ is used for the rest.

Footnotes

1

For classification, the target response may be the probability of a class (the positive class for binary classification), or the decision function.