Feature Importance

[Qiwei97]

Hi,

Is it possible to obtain feature importance plots from the agents? Or perhaps getting it to work with the SHap library?

Thank you!

[Yonv1943]

Yes. It is possible.

For example, see https://github.com/AI4Finance-Foundation/ElegantRL/blob/fb35e25f01c50af61fa4697824025be50b2e53f1/elegantrl/agents/AgentPPO.py#L276

The fucntion agent.update_net( ) return the training logging. The training process will print these information on the terminal.

https://github.com/AI4Finance-Foundation/ElegantRL/blob/fb35e25f01c50af61fa4697824025be50b2e53f1/elegantrl/train/evaluator.py#L79-L81

################################################################################
ID     Step    maxR |    avgR   stdR   avgS  stdS |    expR   objC   etc.
6  4.09e+03  244.72 |
6  4.09e+03  244.72 |  244.72    3.5    124     2 |    0.11   0.74   0.26   0.05
6  1.21e+05  244.72 |  239.92    0.0    105     0 |    0.29   0.18  16.41   0.09
6  1.79e+05  244.72 |  193.45    0.0     92     0 |    0.31   0.29  31.29   0.16
6  2.25e+05  325.86 |
6  2.25e+05  325.86 |  325.86    2.4    144     0 |    0.30   0.34  37.28   0.18
6  2.64e+05  325.86 |  226.47    0.0    109     0 |    0.31   0.40  38.07   0.22
6  2.99e+05  558.23 |
6  2.99e+05  558.23 |  558.23    5.6    354     0 |    0.18   0.35  44.14   0.21
6  3.31e+05  558.23 |  324.83    0.0    147     0 |    0.29   0.32  47.91   0.18
6  3.64e+05 1451.47 |
6  3.64e+05 1451.47 | 1451.47  632.2    626   272 |    0.33   0.29  45.99   0.17
6  3.94e+05 2104.08 | 2104.08   10.2   1000     0 |    0.28   0.26  45.76   0.17

[Qiwei97]

Hi,

Thank you for the reply. I was thinking of something along the lines of this: https://towardsdatascience.com/dear-reinforcement-learning-agent-please-explain-your-actions-da6635390d4d

Will it be possible to integrate the SHap library with the agents? Or perhaps an official tutorial or demo will be good.