Local MDI+: Local Feature Importances for Tree-Based Models
arXiv:2506.08928v2 Announce Type: replace Abstract: Tree-based ensembles such as random forests remain the go-to for tabular data over deep learning models due to their prediction performance and computational efficiency. These advantages have led to their widespread deployment in high-stakes domains, where interpretability is essential for ensuring trustworthy predictions. This has motivated the development of popular local feature importance methods such as LIME and TreeSHAP. However, these approaches rely on approximations that ignore the model's internal structure and instead depend on potentially unstable perturbations. These issues are addressed in the global setting by MDI+, a global feature importance method which combines tree-based and linear feature importances by exploiting an equivalence between decision trees and least squares on a transformed node basis. However, the global MDI+ scores are not able to explain predictions when faced with heterogeneous individual character

