Incremental fitting of interactions

[sadsquirrel369]

Is it possible to first fit a model without interactions and after that add interactions as a separate step?

[paulbkoch]

This is not yet available. There are discussions of this in #304 and #403

Today if you want to pick your own interactions, you need to train the model a second time specifying the interactions explicitly on the second run. It works in most scenarios, with the downside of taking more time.

[paulbkoch]

To be more exact, it is possible to train an initial EBM and then boost another EBM model on top of it using the init_score parameter of the fit function. You can even merge the two models afterwards using the merge_ebms function, but we would like to make this process simpler by implementing warm_start, which is how other scikit-learn models handle this scenario. You also currently lose a bit of information in the merge, like the histograms.

[sadsquirrel369]

So in theory this can be done, if we remove all the features of the 'incremental' model post fit (or rather keep 1 bin per variable and overwrite the histgrams to be near zero) and then perform a merge of the ebms. But I suppose then you have the problem of not having interactions in the base model and the merge procedure will fail.

Is there an easy way of just fitting interactions?

[paulbkoch]

I made an example notebook to illustrate how you'd build custom pairs yourself and boost the pairs on top of the mains model. Just for fun I added some triples as well since I thought it would be interesting to many of our users.

The notebook is here:
https://interpret.ml/docs/python/examples/custom-interactions.html

[DerWeh]

@paulbkoch I'm interested in warm-starting the EBM. If this is possible using the init_score parameter or the merge_ebms function, this would be good-enough for me. Sadly, the link to your example notebook seems not to be working anymore.
Could you please update the link (maybe also giving the link to a specific commit to have a permanent link)?

[paulbkoch]

Thanks @DerWeh -- I've updated the link above to point to our documentation, which now has this example. At the top of the documentation link you can find a link to the example notebooks folder in our repo if you'd prefer to start from there.