Model-Agnostic Methods - Feature Interaction&Feature Importance

一、Feature Interaction

The interaction between two features is the change in the prediction that occurs by varying the features after considering the individual feature effects.

二、Feature Importance

The importance of a feature is the increase in the prediction error of the model after we permuted the feature’s values, which breaks the relationship between the feature and the true outcome.针对单个feature，打乱feature的value，观察error的变化。

至于用train还是test data来计算feature importance没有明确的答案