Force_plot for multiclass probability explainer

Question

I am facing an error regarding the Python SHAP library. While it is no problem to create force plots based on the log odds, I am not able to create force plots based on probabilities. The goal is to have base_values and shap_values which sum up to the predicted probability.

This works:

import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import xgboost as xgb
import sklearn
import shap

X, y = shap.datasets.iris()
X_display, y_display = shap.datasets.iris(display=True)

X_train, X_test, y_train, y_test = sklearn.model_selection.train_test_split(X, y, test_size = 0.2, random_state = 42)

#fit xgboost model
params = {
    'objective': "multi:softprob",
    'eval_metric': "mlogloss",
    'num_class': 3
}

xgb_fit = xgb.train(
   params = params
   , dtrain = xgb.DMatrix(data = X_train, label = y_train) 
)

#create shap values and perform tests
explainer = shap.TreeExplainer(xgb_fit)
shap_values = explainer.shap_values(X_train)

And this does not work:

explainer = shap.TreeExplainer(
    model = xgb_fit
    , data = X_train
    , feature_perturbation='interventional'
    , model_output = 'probability'
)

Used packages:

matplotlib 3.4.1

numpy 1.20.2

pandas 1.2.4

scikit-learn 0.24.1

shap 0.39.0

xgboost 1.4.1

Answer 1

To see how your raw scores for multiclass classification add up in probability space try KernelExplainer:

from xgboost import XGBClassifier
from sklearn.model_selection import train_test_split
from shap import datasets, KernelExplainer, force_plot, initjs
from scipy.special import softmax, expit

initjs()

X, y = datasets.iris()
X_train, X_test, y_train, y_test = train_test_split(
    X, y, test_size=0.2, random_state=42
)
clf = XGBClassifier(random_state=42, 
                    eval_metric="mlogloss", 
                    use_label_encoder=False)
clf.fit(X_train, y_train)
ke = KernelExplainer(clf.predict_proba, data=X_train)
shap_values = ke.shap_values(X_test)

force_plot(ke.expected_value[1], shap_values[1][0], feature_names=X.columns)

Sanity check:

1. Expected result (up to a rounding error):

clf.predict_proba(X_test[:1])
#array([[0.0031177 , 0.9867134 , 0.01016894]], dtype=float32)

2. Base values:

clf.predict_proba(X_train).mean(0)
#array([0.3339472 , 0.34133017, 0.32472247], dtype=float32)

(or if you wish np.unique(y_train, return_counts=True)[1]/len(y_train))