XGBoost Feature Interactions & Importance

Xgbfi is a XGBoost model dump parser, which ranks features as well as feature interactions by different metrics.

• Gain: Total gain of each feature or feature interaction
• FScore: Amount of possible splits taken on a feature or feature interaction
• wFScore: Amount of possible splits taken on a feature or feature interaction weighted by the probability of the splits to take place
• Average wFScore: wFScore divided by FScore
• Average Gain: Gain divided by FScore
• Expected Gain: Total gain of each feature or feature interaction weighted by the probability to gather the gain

Example: