Adaptive Explainable Neural Networks (Axnns)

22 Pages Posted: 6 May 2020

See all articles by Jie Chen

Jie Chen

Wells Fargo

Joel Vaughan

Wells Fargo

Vijay Nair

Corporate Model Risk, Wells Fargo

Agus Sudjianto

Corporate Model Risk, Wells Fargo Bank

Date Written: April 5, 2020

Abstract

While machine learning techniques have been successfully applied in several fields, the black-box nature of the models presents challenges for interpreting and explaining the results. We develop a new framework called Adaptive Explainable Neural Networks (AxNN) for achieving the dual goals of good predictive performance and model interpret-ability. For predictive performance, we build a structured neural network made up of ensembles of generalized additive model networks and additive index models (through explainable neural networks) using a two-stage process. This can be done using either a boosting or a stacking ensemble. For interpret-ability, we show how to decompose the results of AxNN into main effects and higher-order interaction effects. The computations are inherited from Google's open source tool AdaNet and can be efficiently accelerated by training with distributed computing. The results are illustrated on simulated and real data-sets.

Keywords: Additive Index Models, Boosting, Generalized Additive Models, Interpret-able Machine Learning, Main Effects and Interactions, Stacking

Suggested Citation

Chen, Jie and Vaughan, Joel and Nair, Vijayan N. and Sudjianto, Agus, Adaptive Explainable Neural Networks (Axnns) (April 5, 2020). Available at SSRN: https://ssrn.com/abstract=3569318 or http://dx.doi.org/10.2139/ssrn.3569318

Jie Chen (Contact Author)

Wells Fargo ( email )

United States

Joel Vaughan

Wells Fargo ( email )

United States

Vijayan N. Nair

Corporate Model Risk, Wells Fargo ( email )

301 South Tryon Street
Wells Faro Three 10th Floor
Charlotte, NC 28288
United States

Agus Sudjianto

Corporate Model Risk, Wells Fargo Bank ( email )

301 South Tryon Street
Wells Faro Three 10th Floor
Charlotte, NC 28288
United States
704-715-9052 (Phone)

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