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I am confused about the derivation of importance scores for an xgboost model. My understanding is that xgboost (and in fact, any gradient boosting model) examines all possible features in the data before deciding on an optimal split (I am aware that one can modify this behavior by introducing some randomness to avoid overfitting, such as the by using the colsample_bytree option, but I’m ignoring this for now).

Thus, for two correlated features where one is more strongly associated with an outcome of interest, my expectation was that the one that is more strongly associated with an outcome be selected first. Or in other words, that once this feature is selected, no additional useful information should be found in the other, correlated feature. This however does not seem to be always the case.

To put this concretely, I simulated the data below, where x1 and x2 are correlated (r=0.8), and where Y (the outcome) depends only on x1. A conventional GLM with all the features included correctly identifies x1 as the culprit factor and correctly yields an OR of ~1 for x2. However, examination of the importance scores using gain and SHAP values from a (naively) trained xgboost model on the same data indicates that both x1 and x2 are important. Why is that? Presumably, x1 will be used as the primary split (i.e. the stomp) since it has the strongest association with the outcome. Once this split happens (even if over multiple trees due to a low learning rate), x2 should have no additional information to contribute to the classification process. What am I getting wrong?

pacman::p_load(dplyr, xgboost,data.table,Matrix,MASS, broom, SHAPforxgboost)

expit<-function(x){
  exp(x)/(1+exp(x))
}

r=0.8
d=mvrnorm(n=2000, mu=c(0,0),Sigma=matrix(c(1,r,r,1),nrow=2),empirical=T)
data=data.table(d,
                replicate(10,rbinom(n=2000,size=1,prob=runif(1,min=0.01,max=0.6))))

colnames(data)[1:2]<-c("x1","x2")
cor(data$x1,data$x2)
data[,Y:=rbinom(n=2000,size=1,prob=expit(-4+2*x1+V2+V4+V6+V8+V3))]

model<-glm(Y~., data=data, family="binomial")
mod<-tidy(model)
mod$or<-round(exp(mod$estimate),2)

sparse_matrix<-sparse.model.matrix(Y~.-1,data=data)
dtrain_xgb<-xgb.DMatrix(data=sparse_matrix,label=data$Y)

xgb<-xgboost(tree_method="hist", 
             booster="gbtree",
             data=dtrain_xgb,
             nrounds=2000,
             fold=5,
             print_every_n=10,
             objective="binary:logistic",
             eval_metric="logloss",
             maximize = F)
shap<-shap.values(xgb,dtrain_xgb)
mean_shap<-data.frame(shap$mean_shap_score)
gain<-xgb.importance(model=xgb)

head(mod,14) #regression
head(mean_shap) #shap values
head(gain) #gain
```
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1 Answer 1

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I think this can be chalked up to overfitting. While x2 doesn't actually contribute in the data-generating process, its noise compared to x1 is sometimes more useful to fit to the training data, so xgboost uses x2 to split reasonably often, and so it is correctly identified by gain and shap as important to the model's predictions.

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