Exact Shapley Attributions in Quadratic-time for FANOVA Gaussian Processes

Abstract

Shapley values are widely recognized as a principled method for attributing importance to input features in machine learning. However, the exact computation of Shapley values scales exponentially with the number of features, severely limiting the practical application of this powerful approach. The challenge is further compounded when the predictive model is probabilistic---as in Gaussian processes (GPs)---where the outputs are random variables rather than point estimates, necessitating additional computational effort in modeling higher-order moments. In this work, we demonstrate that for an important class of GPs known as FANOVA GP, which explicitly models all main effects and interactions, exact Shapley attributions for both local and global explanations can be computed in *quadratic* time. For *local, instance-wise explanations*, we define a stochastic cooperative game over function components and compute the *exact stochastic Shapley value* in quadratic time only, capturing both the expected contribution and uncertainty. For *global explanations*, we introduce a deterministic, variance-based value function and compute exact Shapley values that quantify each feature’s contribution to the model’s overall sensitivity. Our methods leverage a closed-form (stochastic) Möbiusrepresentation of the FANOVA decomposition and introduce recursive algorithms, inspired by Newton