SAFE ML: Surrogate Assisted Feature Extraction for Model Learning

Abstract: Complex black-box predictive models may have high accuracy, but opacity causes problems like lack of trust, lack of stability, sensitivity to concept drift. On the other hand, interpretable models require more work related to feature engineering, which is very time consuming. Can we train interpretable and accurate models, without timeless feature engineering? In this article, we show a method that uses elastic black-boxes as surrogate models to create a simpler, less opaque, yet still accurate and interpretable glass-box models. New models are created on newly engineered features extracted/learned with the help of a surrogate model. We show applications of this method for model level explanations and possible extensions for instance level explanations. We also present an example implementation in Python and benchmark this method on a number of tabular data sets.