permutationImportance

Predictor importance by permutation

Since R2024a

Syntax

Importance = permutationImportance(Mdl)

Importance = permutationImportance(Mdl,Tbl,ResponseVarName)

Importance = permutationImportance(Mdl,Tbl,Y)

Importance = permutationImportance(Mdl,X,Y)

Importance = permutationImportance(___,Name=Value)

[Importance,ImportancePerPermutation] = permutationImportance(___)

[Importance,ImportancePerPermutation,ImportancePerClass] = permutationImportance(___)

Description

Importance = permutationImportance(Mdl) computes the importance of each predictor in the model Mdl by permuting the values in the predictor and comparing the model resubstitution loss with the original predictor to the loss with the permuted predictor. A large increase in the model loss with the permuted predictor indicates that the predictor is important. By default, the function repeats the process over 10 permutations, and then averages the values. For more information, see Permutation Predictor Importance.

Mdl must be a full classification or regression model that contains the training data. That is, Mdl.X and Mdl.Y must be nonempty. The returned Importance table contains the importance mean and standard deviation for each predictor computed over 10 permutations.

Importance = permutationImportance(Mdl,Tbl,ResponseVarName) computes predictor importance values by using the predictors in the table Tbl and the response values in the ResponseVarName table variable.

Importance = permutationImportance(Mdl,Tbl,Y) computes predictor importance values by using the predictors in the table Tbl and the response values in variable Y.

Importance = permutationImportance(Mdl,X,Y) computes predictor importance values by using the predictors in the matrix X and the response values in variable Y.

Importance = permutationImportance(___,Name=Value) specifies options using one or more name-value arguments in addition to any of the input argument combinations in previous syntaxes. For example, use the NumPermutations name-value argument to change the number of permutations used to compute the mean and standard deviation of the predictor importance values for each predictor.

[Importance,ImportancePerPermutation] = permutationImportance(___) also returns the importance values computed for each predictor and permutation.

[Importance,ImportancePerPermutation,ImportancePerClass] = permutationImportance(___) also returns the mean and standard deviation of the importance values for each predictor and class in Mdl.ClassNames. You can use this syntax when Mdl is a classification model and the LossFun value is a built-in loss function. For more information, see Permutation Predictor Importance per Class.

Examples

Compute Regression Model Predictor Importance by Permutation

Compute the mean permutation predictor importance for the predictors in a regression support vector machine (SVM) model.

Load the carbig data set, which contains measurements of cars made in the 1970s and early 1980s. Create a table containing the predictor variables Acceleration, Displacement, and so on, as well as the response variable MPG.

load carbig
cars = table(Acceleration,Cylinders,Displacement, ...
    Horsepower,Model_Year,Weight,Origin,MPG);

Categorize the cars based on whether they were made in the USA.

cars.Origin = categorical(cellstr(cars.Origin));
cars.Origin = mergecats(cars.Origin,["France","Japan",...
    "Germany","Sweden","Italy","England"],"NotUSA");

Partition the data into two sets. Use approximately half of the observations for model training, and half of the observations for computing predictor importance.

rng("default") % For reproducibility
c = cvpartition(size(cars,1),"Holdout",0.5);
carsTrain = cars(training(c),:);
carsImportance = cars(test(c),:);

Train a regression SVM model using the carsTrain training data. Specify to standardize the numeric predictors. By default, fitrsvm uses a linear kernel function to fit the model.

Mdl = fitrsvm(carsTrain,"MPG",Standardize=true);

Check the model for convergence.

Mdl.ConvergenceInfo.Converged

ans = logical
   1

The value 1 indicates that the model did converge.

To better understand the trained SVM model, visualize the linear kernel coefficients of the model. Note that the categorical predictor Origin is expanded into two separate predictors: Origin==USA and Origin==NotUSA.

[sortedCoefs,expandedIndex] = sort(Mdl.Beta,ComparisonMethod="abs");
sortedExpandedPreds = Mdl.ExpandedPredictorNames(expandedIndex);
bar(sortedCoefs,Horizontal="on")
yticklabels(strrep(sortedExpandedPreds,"_","\_"))
xlabel("Linear Kernel Coefficient")
title("Linear Kernel Coefficient per Predictor")

The Weight and Model_Year predictors have the greatest coefficient values, in terms of absolute value.

Compute the importance values of the predictors in Mdl by using the permutationImportance function. By default, the function uses 10 permutations to compute the mean and standard deviation of the importance values for each predictor in Mdl. For a fixed predictor and a fixed permutation of its values, the importance value is the difference in the loss due to the permutation of the values in the predictor. Because Mdl is a regression SVM model, permutationImportance uses the mean squared error (MSE) as the default loss function for computing importance values.

Importance = permutationImportance(Mdl,carsImportance)

Importance=7×3 table
      Predictor       ImportanceMean    ImportanceStandardDeviation
    ______________    ______________    ___________________________

    "Acceleration"       0.039371                0.099773          
    "Cylinders"           0.98319                 0.31102          
    "Displacement"         1.5919                 0.61862          
    "Horsepower"          0.98183                 0.55401          
    "Model_Year"           13.464                  1.8792          
    "Weight"               42.976                  3.9717          
    "Origin"               3.9977                 0.61443          

Visualize the mean importance values.

[sortedImportance,index] = sort(Importance.ImportanceMean);
sortedPreds = Importance.Predictor(index);
bar(sortedImportance,Horizontal="on")
yticklabels(strrep(sortedPreds,"_","\_"))
xlabel("Mean Importance")
title("Mean Importance per Predictor")

The Weight and Model_Year predictors have the greatest mean importance values. In general, the order of the predictors with respect to the mean importance matches the order of the predictors with respect to the absolute value of the linear kernel coefficients.

Compute Classification Model Predictor Importance by Permutation

Compute the mean permutation predictor importance for the predictors in a classification neural network model. Calculate the per-class contributions to the predictor importance values.

Read the sample file CreditRating_Historical.dat into a table. The predictor data consists of financial ratios and industry sector information for a list of corporate customers. The response variable consists of credit ratings assigned by a rating agency. Preview the first few rows of the data set.

creditrating = readtable("CreditRating_Historical.dat");
head(creditrating)

     ID      WC_TA     RE_TA     EBIT_TA    MVE_BVTD    S_TA     Industry    Rating 
    _____    ______    ______    _______    ________    _____    ________    _______

    62394     0.013     0.104     0.036      0.447      0.142        3       {'BB' }
    48608     0.232     0.335     0.062      1.969      0.281        8       {'A'  }
    42444     0.311     0.367     0.074      1.935      0.366        1       {'A'  }
    48631     0.194     0.263     0.062      1.017      0.228        4       {'BBB'}
    43768     0.121     0.413     0.057      3.647      0.466       12       {'AAA'}
    39255    -0.117    -0.799      0.01      0.179      0.082        4       {'CCC'}
    62236     0.087     0.158     0.049      0.816      0.324        2       {'BBB'}
    39354     0.005     0.181     0.034      2.597      0.388        7       {'AA' }

Because each value in the ID variable is a unique customer ID, that is, length(unique(creditrating.ID)) is equal to the number of observations in creditrating, the ID variable is a poor predictor. Remove the ID variable from the table, and convert the Industry variable to a categorical variable.

creditrating = removevars(creditrating,"ID");
creditrating.Industry = categorical(creditrating.Industry);

Convert the Rating response variable to a categorical variable.

creditrating.Rating = categorical(creditrating.Rating, ...
    ["AAA","AA","A","BBB","BB","B","CCC"]);

Partition the data into two sets. Use approximately 80% of the observations to train a neural network classifier, and 20% of the observations to compute predictor importance.

rng("default") % For reproducibility
c = cvpartition(creditrating.Rating,"Holdout",0.20);
creditTrain = creditrating(training(c),:);
creditImportance= creditrating(test(c),:);

Train a neural network classifier by passing the training data creditTrain to the fitcnet function. Specify to standardize the numeric predictors. Change the relative gradient tolerance from 0.000001 (default) to 0.0005, so that the training process can stop earlier.

Mdl = fitcnet(creditTrain,"Rating",Standardize=true, ...
    GradientTolerance=5e-4);

Check the model for convergence.

Mdl.ConvergenceInfo.ConvergenceCriterion

ans = 
'Relative gradient tolerance reached.'

The model stops training after reaching the relative gradient tolerance.

Compute the importance values of the predictors in Mdl by using the permutationImportance function. By default, the function uses 10 permutations to compute the mean and standard deviation of the importance values for each predictor in Mdl. For a fixed predictor and a fixed permutation of its values, the importance value is the difference in the loss due to the permutation of the values in the predictor. Because Mdl is a classification neural network model, permutationImportance uses the minimal expected misclassification cost as the default loss function for computing importance values.

Because Mdl is a multiclass classifier, additionally return the mean and standard deviation of the importance values per class for each predictor.

[Importance,~,ImportancePerClass] = ...
    permutationImportance(Mdl,creditImportance,"Rating")

Importance=6×3 table
    Predictor     ImportanceMean    ImportanceStandardDeviation
    __________    ______________    ___________________________

    "WC_TA"          0.014269                0.0062836         
    "RE_TA"           0.18372                 0.013911         
    "EBIT_TA"        0.030178                0.0068664         
    "MVE_BVTD"        0.55744                 0.010545         
    "S_TA"           0.048892                 0.010217         
    "Industry"       0.074682                 0.011861         

ImportancePerClass=6×3 table
    Predictor                                            ImportanceMean                                                                          ImportanceStandardDeviation                               
    __________    ____________________________________________________________________________________________    _________________________________________________________________________________________

                     AAA            AA            A           BBB           BB           B             CCC           AAA           AA            A           BBB          BB            B           CCC    
                  __________    __________    _________    __________    ________    __________    ___________    __________    _________    _________    _________    _________    _________    __________
                                                                                                                                                                                                           
    "WC_TA"        0.0019072    1.0408e-18    0.0013986     0.0010172    0.010709    -0.0020343      0.0012715    0.00089906    0.0023214    0.0029637     0.002862    0.0029565     0.001818    0.00059937
    "RE_TA"         0.020979      0.015003     0.026446      0.014876    0.045514      0.039034       0.021869     0.0034561    0.0059274    0.0041003    0.0057817     0.007721    0.0024749    0.00053609
    "EBIT_TA"     0.00038144    -0.0021615    0.0055944    -0.0043229    0.016574       0.01424    -0.00012715     0.0010468    0.0019001     0.002824    0.0046116    0.0036557    0.0023824    0.00040207
    "MVE_BVTD"       0.11812      0.066497      0.08684       0.12982     0.10837      0.040559      0.0072473     0.0037646     0.003978    0.0052269    0.0083364    0.0050996    0.0035179     0.0020806
    "S_TA"        -0.0016529     0.0036872     0.006103      0.018563     0.02537    -0.0091545      0.0059758     0.0019001    0.0020281    0.0037335    0.0041612    0.0037266    0.0041003     0.0012062
    "Industry"     0.0012715     0.0054673     0.010935      0.027082    0.017594      0.011952     0.00038144     0.0021611     0.002616    0.0041612    0.0077002    0.0064951    0.0032938     0.0017006

Visualize the mean importance values.

bar(Importance.ImportanceMean,Horizontal="on")
yticklabels(strrep(Importance.Predictor,"_","\_"))
xlabel("Mean Importance")
title("Mean Importance per Predictor")

The MVE_BVTD predictor has the greatest mean importance value. This value indicates that permuting the values of MVE_BVTD leads to an increase in the minimal expected misclassification cost of about 0.55 (on average).

Visualize the mean importance values by class.

bar(ImportancePerClass.ImportanceMean{:,:}, ...
    "stacked",Horizontal="on")
legend(Mdl.ClassNames)
yticklabels(strrep(ImportancePerClass.Predictor,"_","\_"))
xlabel("Mean Importance")
title("Mean Importance per Predictor and Class")

Each segment indicates the mean importance value for the specified predictor and class. For example, the dark blue segment in the MVE_BVTD stacked bar indicates that the mean importance value for the MVE_BVTD predictor and the AAA class is slightly greater than 0.1. For each predictor, the sum of the segment values (including negative values) equals the mean predictor importance value.

Perform Feature Selection Using Permutation Predictor Importance

Find the most important predictors in an SVM classifier by using the permutationImportance function. Use this subset of predictors to retrain the model. Ensure that the retrained model performs similarly to the original model on a test set.

This example uses the 1994 census data stored in census1994.mat. The data set consists of demographic information from the US Census Bureau that you can use to predict whether an individual makes over $50,000 per year.

Load the sample data census1994, which contains the training data adultdata and the test data adulttest. Preview the first few rows of the training data set.

load census1994
head(adultdata)

    age       workClass          fnlwgt      education    education_num       marital_status           occupation        relationship     race      sex      capital_gain    capital_loss    hours_per_week    native_country    salary
    ___    ________________    __________    _________    _____________    _____________________    _________________    _____________    _____    ______    ____________    ____________    ______________    ______________    ______

    39     State-gov                77516    Bachelors         13          Never-married            Adm-clerical         Not-in-family    White    Male          2174             0                40          United-States     <=50K 
    50     Self-emp-not-inc         83311    Bachelors         13          Married-civ-spouse       Exec-managerial      Husband          White    Male             0             0                13          United-States     <=50K 
    38     Private             2.1565e+05    HS-grad            9          Divorced                 Handlers-cleaners    Not-in-family    White    Male             0             0                40          United-States     <=50K 
    53     Private             2.3472e+05    11th               7          Married-civ-spouse       Handlers-cleaners    Husband          Black    Male             0             0                40          United-States     <=50K 
    28     Private             3.3841e+05    Bachelors         13          Married-civ-spouse       Prof-specialty       Wife             Black    Female           0             0                40          Cuba              <=50K 
    37     Private             2.8458e+05    Masters           14          Married-civ-spouse       Exec-managerial      Wife             White    Female           0             0                40          United-States     <=50K 
    49     Private             1.6019e+05    9th                5          Married-spouse-absent    Other-service        Not-in-family    Black    Female           0             0                16          Jamaica           <=50K 
    52     Self-emp-not-inc    2.0964e+05    HS-grad            9          Married-civ-spouse       Exec-managerial      Husband          White    Male             0             0                45          United-States     >50K  

Each row contains the demographic information for one adult. The last column, salary, shows whether a person has a salary less than or equal to $50,000 per year or greater than $50,000 per year.

Combine the education_num and education variables in both the training and test data to create a single ordered categorical variable that shows each person's highest level of education.

edOrder = unique(adultdata.education_num,"stable");
edCats = unique(adultdata.education,"stable");
[~,edIdx] = sort(edOrder);

adultdata.education = categorical(adultdata.education, ...
    edCats(edIdx),Ordinal=true);
adultdata.education_num = [];

adulttest.education = categorical(adulttest.education, ...
    edCats(edIdx),Ordinal=true);
adulttest.education_num = [];

Split the training data further using a stratified holdout partition. Create a separate data set to compute predictor importance by permutation. Reserve approximately 30% of the observations to compute permutation predictor importance values, and use the rest of the observations to train a support vector machine (SVM) classifier.

rng("default") % For reproducibility
c = cvpartition(adultdata.salary,"Holdout",0.30);
tblTrain = adultdata(training(c),:);
tblImportance = adultdata(test(c),:);

Train an SVM classifier by using the training set. Specify the salary column of tblTrain as the response and the fnlwgt column as the observation weights. Standardize the numeric predictors. Use a Gaussian kernel function to fit the model, and let fitcsvm select an appropriate kernel scale parameter.

Mdl = fitcsvm(tblTrain,"salary",Weights="fnlwgt", ...
    Standardize=true, ...
    KernelFunction="gaussian",KernelScale="auto");

Check the model for convergence.

Mdl.ConvergenceInfo.Converged

ans = logical
   1

The value 1 indicates that the model did converge.

Compute the weighted classification error using the test set adulttest.

L = loss(Mdl,adulttest,"salary", ...
    Weights="fnlwgt")

L = 0.1428

Compute the importance values of the predictors in Mdl by using the permutationImportance function and the tblImportance data. By default, the function uses 10 permutations to compute the mean and standard deviation of the importance values for each predictor in Mdl. For a fixed predictor and a fixed permutation of its values, the importance value is the difference in the loss due to the permutation of the values in the predictor. Because Mdl is a classification SVM model and observation weights are specified, permutationImportance uses the weighted classification error as the default loss function for computing importance values.

Importance = ...
    permutationImportance(Mdl,tblImportance,"salary", ...
    Weights="fnlwgt")

Importance=12×3 table
       Predictor        ImportanceMean    ImportanceStandardDeviation
    ________________    ______________    ___________________________

    "age"                   0.010591               0.0013485         
    "workClass"            0.0091527               0.0016168         
    "education"             0.032974               0.0040815         
    "marital_status"        0.014259               0.0017183         
    "occupation"            0.018904                0.001532         
    "relationship"          0.013777               0.0012823         
    "race"                -0.0012146              0.00055194         
    "sex"                -6.7399e-05              0.00073437         
    "capital_gain"          0.027692                0.001089         
    "capital_loss"         0.0047561                0.000929         
    "hours_per_week"       0.0062951               0.0018332         
    "native_country"      0.00063405              0.00085922         

Sort the predictors based on their mean importance values.

[sortedImportance,index] = sort(Importance.ImportanceMean, ...
    "descend");
sortedPreds = Importance.Predictor(index);

bar(sortedImportance)
xticklabels(strrep(sortedPreds,"_","\_"))
ylabel("Mean Importance")
title("Mean Importance per Predictor")

For model Mdl, the native_country, sex, and race predictors seem to have little effect on the prediction of a person's salary.

Retrain the SVM classifier using the nine most important predictors (and excluding the three least important predictors).

predSubset = sortedPreds(1:9)

predSubset = 9x1 string
    "education"
    "capital_gain"
    "occupation"
    "marital_status"
    "relationship"
    "age"
    "workClass"
    "hours_per_week"
    "capital_loss"

newMdl = fitcsvm(tblTrain,"salary",Weights="fnlwgt", ...
    PredictorNames=predSubset,Standardize=true, ...
    KernelFunction="gaussian",KernelScale="auto");

Compute the weighted test set classification error using the retrained model.

newL = loss(newMdl,adulttest,"salary", ...
    Weights="fnlwgt")

newL = 0.1437

newMdl has almost the same test set loss as Mdl and uses fewer predictors.

Compute Median Permutation Predictor Importance

Train a multiclass support vector machine (SVM). Find the predictors in the model with the greatest median permutation predictor importance.

Load the humanactivity data set. The data set contains 24,075 observations of five physical human activities: sitting, standing, walking, running, and dancing. Each observation has 60 features extracted from acceleration data measured by smartphone accelerometer sensors. Create the response variable activity using the actid and actnames variables.

load humanactivity
activity = categorical(actid,1:5,actnames);

Partition the data into two sets. Use approximately 75% of the observations to train a multiclass SVM classifier, and 25% of the observations to compute predictor importance values.

rng("default") % For reproducibility
c = cvpartition(activity,"Holdout",0.25);
trainX = feat(training(c),:);
trainY = activity(training(c));
importanceX = feat(test(c),:);
importanceY = activity(test(c));

Train a multiclass SVM classifier by passing the training data trainX and trainY to the fitcecoc function.

Mdl = fitcecoc(trainX,trainY);

Compute the importance values of the predictors in Mdl by using the permutationImportance function. Return the importance value for each predictor and permutation.

[~,ImportancePerPermutation] = ...
    permutationImportance(Mdl,importanceX,importanceY)

ImportancePerPermutation=10×60 table
       x1           x2          x3           x4           x5           x6            x7            x8             x9           x10         x11          x12         x13          x14           x15            x16            x17            x18            x19           x20            x21           x22            x23            x24           x25           x26           x27           x28           x29          x30           x31            x32           x33          x34          x35          x36          x37          x38          x39            x40            x41            x42            x43           x44            x45            x46            x47            x48           x49           x50            x51          x52         x53          x54          x55        x56         x57         x58        x59          x60    
    _________    ________    _________    _________    ________    __________    __________    ___________    ___________    _______    _________    _________    ________    __________    __________    ___________    ___________    ___________    ___________    __________    ___________    __________    ___________    ___________    __________    __________    __________    __________    __________    ________    ___________    ___________    _________    _________    _________    _________    _________    _________    __________    ___________    ___________    ___________    ___________    __________    ___________    ___________    ___________    ___________    __________    __________    ___________    ________    _______    ___________    _______    _______    _________    _______    _______    ___________

    0.0063142    0.052168    0.0021599     0.011296      0.0753    0.00099643     0.0019935    -0.00049834     0.00016622    0.19445     0.015949    0.0089727    0.073934     0.0021595    0.00033228      0.0003327      0.0003322      0.0003322    -0.00033228    0.00033236    -0.00033253    0.00066498    -0.00049851              0     0.0003322    0.00083054     0.0014953    0.00016639     0.0024922    0.022096    -0.00033236     0.00016614    0.0041571    0.0023273    0.0038232     0.004818    0.0096358    0.0058146    -8.353e-08     0.00016631     0.00016564      0.0018288              0             0    -0.00033236    -0.00016589    -0.00083079     0.00033228    0.00083062    0.00066456     0.00016631    0.074265    0.15983     0.00033228    0.22649    0.52062    0.0021596    0.14256    0.23366     0.00016614
    0.0071445    0.051504    0.0023256    0.0099673    0.076298     0.0021597    0.00083029     0.00016639      0.0003322    0.19428     0.011296    0.0096378    0.075929     0.0011626    0.00049842     0.00083112    -0.00016622              0    -0.00033236    0.00099668     0.00016597    0.00033262    -0.00016614    -0.00033236    0.00033228    0.00066423     0.0014953    0.00033253     0.0016612    0.023093    -0.00049859    -0.00066465    0.0028273    0.0021611    0.0034911     0.004818    0.0089713    0.0049838    0.00049834     0.00016622      0.0014949      0.0023276              0    0.00033236     0.00049834     -0.0008307    -0.00049851     0.00049834    0.00099693    0.00033228    -0.00016606    0.073932    0.15401     -8.353e-08    0.22816    0.51995    0.0036553     0.1384    0.23515              0
    0.0061474      0.0525    0.0033229     0.009801    0.076298     0.0018274     0.0014948     0.00016631    -0.00049851    0.19893    0.0089703    0.0096376    0.071275     0.0018273    0.00049842    -0.00016581     0.00016606              0     0.00016614     0.0011627      0.0003322    0.00066506    -0.00016614    -0.00049842    0.00066448    0.00049817     0.0013291    0.00016622     0.0016612      0.0206    -0.00049851    -0.00016622    0.0058183    0.0016627    0.0041559    0.0051504     0.010633    0.0053162    0.00033228    -0.00033228      0.0014952       0.001829     -0.0003322     0.0013295     0.00033228    -0.00016597    -0.00049842     0.00033228      0.001163    0.00033228     0.00033245    0.069281    0.15551    -0.00016614    0.22616    0.51862    0.0038213    0.13475     0.2305              0
    0.0041537    0.053496    0.0036549     0.012294    0.073804     0.0019934    0.00066389     0.00066481      0.0003322    0.19877     0.011961    0.0081421    0.066954    0.00066406    0.00066456      0.0008312     0.00049842     0.00033228    -0.00016622    0.00049817     -8.353e-08     0.0008312    -0.00016622    -0.00033228    0.00066456     0.0011627      0.001163    0.00016639     0.0019936    0.023591    -0.00016614    -0.00066465    0.0046548    0.0026597    0.0043221    0.0053167    0.0089712    0.0051499    0.00016614    -0.00016614     0.00033211    -0.00033136    -0.00016614    0.00033228     0.00033211     0.00066481    -0.00066456      0.0003322    0.00066448    0.00033228    -0.00016597    0.072769     0.1575     0.00033228    0.23015    0.51646    0.0029904    0.13142    0.23266     0.00016614
    0.0059816     0.05167    0.0021599     0.011961    0.075964     0.0011627     0.0013287     0.00016622    -0.00016614    0.19112     0.010964    0.0084747    0.071109      0.001495    0.00049834     0.00049884     0.00049834              0    -0.00016622    0.00049825     0.00066448     0.0011635     0.00033228    -0.00016614    0.00083079    0.00083037    0.00066456    0.00049867     0.0019938      0.0211    -0.00049851    -0.00033245    0.0046552    0.0024935    0.0041558    0.0046519     0.010301    0.0063132    0.00033228    -0.00033236    -0.00016647     0.00099785    -0.00049842    0.00049859     -8.353e-08    -0.00016606    -0.00033236     0.00016606    0.00099668    0.00049842    -0.00016597    0.069447    0.14986              0    0.22683    0.52062    0.0021593    0.13491    0.23233              0
    0.0054831    0.052167    0.0034887     0.011795    0.072475     0.0028242    0.00099626    -0.00016606     0.00083079    0.18763     0.012792     0.007644    0.073104     0.0011625    0.00099676     0.00049876     0.00016606     0.00016614    -0.00049842     0.0016613     0.00049834    0.00066498    -0.00016614    -0.00049842     0.0003322    0.00033195     0.0018276    0.00016622     0.0011628    0.019437     -8.353e-08    -0.00016622    0.0053198    0.0023273    0.0028259    0.0043196    0.0099683    0.0061471    0.00049834      8.353e-08     0.00099684      0.0013302    -0.00033228    0.00083095       0.001163    -0.00049842    -0.00033228     -8.353e-08    0.00049834    0.00066456     2.5059e-07    0.071108    0.15684              0    0.22816    0.52477    0.0033229    0.14306     0.2325     0.00016614
     0.006646     0.05034    0.0003317     0.011297    0.079622      0.002326      0.001661      8.353e-08     0.00016606    0.20093     0.010631    0.0086407    0.069614      0.001329    0.00016614     0.00033262     0.00066456              0    -0.00049842     0.0014953     -8.353e-08    0.00049884              0    -0.00016614    0.00016614    0.00066423     0.0011632    0.00016631    0.00066448    0.022096     0.00016597     0.00016606    0.0054861    0.0016625    0.0028262    0.0044857    0.0079739    0.0056487    0.00049834    -0.00066456     0.00066414     0.00083179    -0.00033228    0.00033245      0.0003322     2.5059e-07    -0.00049851     0.00033228    0.00049834    0.00033228    -0.00016614    0.073932     0.1472    -0.00016614    0.23248    0.53025    0.0024918    0.13741    0.23565    -0.00016614
    0.0061479    0.051338    0.0033232     0.011629     0.07181     0.0019935     0.0011626     0.00033245     0.00049842    0.19677     0.012958    0.0081425    0.072272     0.0008302     0.0013291     3.3412e-07     0.00049842     0.00033228    -0.00033236      0.001329    -0.00016631    0.00049892    -0.00033228     0.00016614    0.00049842    0.00083045     0.0023263    0.00049859      0.001329    0.020601    -0.00033253     0.00016606     0.004489    0.0019949    0.0038233    0.0039873    0.0094695    0.0036545    0.00033228      8.353e-08      0.0014953     0.00049934    -0.00033228    1.6706e-07     0.00099684     0.00016639    -0.00033236     0.00016614     0.0008307    0.00049842     0.00033245    0.069945    0.15119    -0.00033236    0.22949    0.52078    0.0021596    0.14023     0.2325    -0.00016614
    0.0064796    0.055324    0.0024915     0.011463    0.075632     0.0028241     0.0024919     2.5059e-07     0.00033228    0.19179      0.01246     0.010468    0.071442    0.00066414    0.00083062     0.00016639      0.0008307    -0.00016614              0    0.00099659      0.0003322    0.00049876    -0.00033236    -0.00049842    0.00049842    0.00049809     0.0013292    0.00049867     0.0011628    0.022429    -0.00016614    -0.00049851    0.0034913    0.0021612    0.0044881    0.0043197     0.009802    0.0071443    0.00016606              0     0.00033211     0.00083179    -0.00033228    0.00099709     0.00066448    -0.00033211    -0.00083079     0.00016606    0.00066448    0.00049842    -0.00016597     0.07576    0.15817     0.00016614      0.224    0.51846    0.0029903    0.13641    0.24164              0
    0.0061472    0.053663     0.003323    0.0099666    0.075466     0.0023258      0.001661     -0.0003322     0.00016606     0.1991      0.01329    0.0098037    0.072273     0.0018274    0.00066448     4.1765e-07    -0.00016622     0.00016614              0     0.0006644     0.00016597    0.00033262              0              0    0.00083079    0.00099651     0.0011629    0.00049867     0.0024919    0.022594    -0.00033236    -0.00033228    0.0039905    0.0023272    0.0039895    0.0044858     0.010633    0.0053165    0.00049834    -0.00033228     0.00083029       0.001829    -0.00033228     8.353e-08     0.00083062     0.00049859    -0.00033228    -0.00016622     0.0011629    0.00033228     0.00049867    0.074265    0.15866     0.00016614    0.22035    0.52644    0.0024918    0.13425    0.23482              0

ImportancePerPermutation is a table of 10-by-60 predictor importance values, where each entry $$(i,p)$$ corresponds to permutation i of predictor p.

Compute the median permutation predictor importance for each predictor.

medianImportance = median(ImportancePerPermutation)

medianImportance=1×60 table
       x1           x2          x3          x4          x5          x6           x7            x8            x9          x10        x11         x12         x13          x14          x15           x16           x17           x18           x19           x20           x21           x22            x23            x24           x25           x26          x27          x28           x29         x30           x31            x32           x33          x34          x35          x36          x37          x38          x39           x40           x41          x42           x43           x44           x45            x46            x47           x48           x49           x50            x51          x52         x53      x54      x55        x56        x57         x58        x59      x60
    _________    ________    _________    _______    ________    _________    _________    __________    __________    _______    _______    _________    ________    _________    __________    __________    __________    _________    ___________    __________    __________    __________    ___________    ___________    __________    _________    _________    __________    _________    ________    ___________    ___________    _________    _________    _________    _________    _________    _________    __________    __________    __________    ________    ___________    __________    __________    ___________    ___________    __________    __________    __________    ___________    ________    _______    ___    _______    _______    ________    _______    _______    ___

    0.0061476    0.052168    0.0029072    0.01138    0.075549    0.0020766    0.0014118    8.3237e-05    0.00024921    0.19561    0.01221    0.0088067    0.071857    0.0012458    0.00058145    0.00033266    0.00041527    8.307e-05    -0.00024925    0.00099663    0.00016597    0.00058195    -0.00016614    -0.00024921    0.00049842    0.0007473    0.0013292    0.00024946    0.0016612    0.022096    -0.00033236    -0.00024925    0.0045719    0.0022442    0.0039064    0.0045689    0.0097189    0.0054826    0.00033228    -8.307e-05    0.00074721    0.001164    -0.00033228    0.00033241    0.00041531    -0.00016593    -0.00049846    0.00024917    0.00083066    0.00041535    -8.2861e-05    0.073351    0.15617     0     0.22749    0.52062    0.002741    0.13691    0.23316     0 

Plot the median predictor importance values. For reference, plot the $$y=0.05$$ line.

bar(medianImportance{1,:})
hold on
yline(0.05,"--")
hold off
xlabel("Predictor")
ylabel("Median Importance")
title("Median Importance per Predictor")

Only ten predictors have median predictor importance values that are greater than 0.05.

Input Arguments

Mdl — Machine learning model

classification model object | regression model object

Machine learning model, specified as a classification or regression model object, as given in the following tables of supported models. If Mdl is a compact model object, you must provide data for computing importance values.

Classification Model Objects

Model	Full or Compact Classification Model Object
Discriminant analysis classifier	ClassificationDiscriminant, CompactClassificationDiscriminant
Multiclass model for support vector machines or other classifiers	ClassificationECOC, CompactClassificationECOC
Ensemble of learners for classification	ClassificationEnsemble, CompactClassificationEnsemble, ClassificationBaggedEnsemble
Generalized additive model (GAM)	ClassificationGAM, CompactClassificationGAM
Gaussian kernel classification model using random feature expansion	ClassificationKernel
k-nearest neighbor classifier	ClassificationKNN
Linear classification model	ClassificationLinear
Multiclass naive Bayes model	ClassificationNaiveBayes, CompactClassificationNaiveBayes
Neural network classifier	ClassificationNeuralNetwork, CompactClassificationNeuralNetwork
Support vector machine (SVM) classifier for one-class and binary classification	ClassificationSVM, CompactClassificationSVM
Binary decision tree for multiclass classification	ClassificationTree, CompactClassificationTree

Regression Model Objects

Model	Full or Compact Regression Model Object
Ensemble of regression models	RegressionEnsemble, RegressionBaggedEnsemble, CompactRegressionEnsemble
Generalized additive model (GAM)	RegressionGAM, CompactRegressionGAM
Gaussian process regression	RegressionGP, CompactRegressionGP
Gaussian kernel regression model using random feature expansion	RegressionKernel
Linear regression for high-dimensional data	RegressionLinear
Neural network regression model	RegressionNeuralNetwork, CompactRegressionNeuralNetwork
Support vector machine (SVM) regression	RegressionSVM, CompactRegressionSVM
Regression tree	RegressionTree, CompactRegressionTree

Tbl — Sample data

table

Sample data, specified as a table. Each row of Tbl corresponds to one observation, and each column corresponds to one predictor variable. Optionally, Tbl can contain a column for the response variable and a column for the observation weights. Tbl must contain all of the predictors used to train Mdl. Multicolumn variables and cell arrays other than cell arrays of character vectors are not allowed.

• If Tbl contains the response variable used to train Mdl, then you do not need to specify ResponseVarName or Y.

• If you train Mdl using sample data contained in a table, then the input data for permutationImportance must also be in a table.

Data Types: table

ResponseVarName — Response variable name

name of variable in Tbl

Response variable name, specified as the name of a variable in Tbl. If Tbl contains the response variable used to train Mdl, then you do not need to specify ResponseVarName.

If you specify ResponseVarName, then you must specify it as a character vector or string scalar. For example, if the response variable is stored as Tbl.Y, then specify ResponseVarName as "Y".

The response variable must be a numeric vector, logical vector, categorical vector, character array, string array, or cell array of character vectors. If the response variable is a character array, then each row of the character array must be a class label.

Data Types: char | string

Y — Response variable

numeric vector | logical vector | categorical vector | character array | string array | cell array of character vectors

Response variable, specified as a numeric vector, logical vector, categorical vector, character array, string array, or cell array of character vectors.

• Y must have the same number of observations as X or Tbl.

• If Mdl is a classification model, then the following must be true:

  • The data type of Y must be the same as the data type of Mdl.ClassNames. (The software treats string arrays as cell arrays of character vectors.)

  • The distinct classes in Y must be a subset of Mdl.ClassNames.

  • If Y is a character array, then each row of the character array must be a class label.

Data Types: single | double | logical | char | string | cell | categorical

X — Predictor data

numeric matrix

Predictor data, specified as a numeric matrix. permutationImportance assumes that each row of X corresponds to one observation, and each column corresponds to one predictor variable.

X and Y must have the same number of observations.

Data Types: single | double

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: permutationImportance(Tbl,"Y",PredictorsToPermute=["Pred1","Pred2","Pred3"],NumPermutations=15) specifies to use 15 permutations to compute predictor importance values for the predictors Pred1, Pred2, and Pred3 in table Tbl.

LossFun — Loss function

"binodeviance" | "classifcost" | "classiferror" | "epsiloninsensitive" | "exponential" | "hinge" | "logit" | "mincost" | "mse" | "quadratic" | function handle

Loss function, specified as a built-in loss function name or a function handle.

Classification Loss Functions

The following table lists the available loss functions for classification.

Value	Description
"binodeviance"	Binomial deviance
"classifcost"	Observed misclassification cost
"classiferror"	Misclassified rate in decimal
"exponential"	Exponential loss
"hinge"	Hinge loss
"logit"	Logistic loss
"mincost"	Minimal expected misclassification cost (for classification scores that are posterior probabilities)
"quadratic"	Quadratic loss

To specify a custom classification loss function, use function handle notation. Your function must have the form:

lossvalue = lossfun(C,S,W,Cost)

• The output argument lossvalue is a scalar value.

• You specify the function name (lossfun).

• C is an n-by-K logical matrix with rows indicating the class to which the corresponding observation belongs. n is the number of observations in the data, and K is the number of distinct classes. The column order corresponds to the class order in Mdl.ClassNames. Create C by setting C(p,q) = 1, if observation p is in class q, for each row. Set all other elements of row p to 0.

• S is an n-by-K numeric matrix of classification scores. The column order corresponds to the class order in Mdl.ClassNames. S is a matrix of classification scores, similar to the output of predict.

• W is an n-by-1 numeric vector of observation weights.

• Cost is a K-by-K numeric matrix of misclassification costs. For example, Cost = ones(K) – eye(K) specifies a cost of 0 for correct classification and 1 for misclassification.

Regression Loss Functions

The following table lists the available loss functions for regression.

Value	Description
"mse"	Mean squared error
"epsiloninsensitive"	Epsilon-insensitive loss

To specify a custom regression loss function, use function handle notation. Your function must have the form:

lossvalue = lossfun(Y,Yfit,W)

• The output argument lossvalue is a scalar value.

• You specify the function name (lossfun).

• Y is an n-by-1 numeric vector of observed response values, where n is the number of observations in the data.

• Yfit is an n-by-1 numeric vector of predicted response values calculated using the corresponding predictor values.

• W is an n-by-1 numeric vector of observation weights.

The default loss function depends on the model Mdl. For more information, see Loss Functions.

Example: LossFun="classifcost"

Example: LossFun="epsiloninsensitive"

Data Types: char | string | function_handle

NumPermutations — Number of permutations

10 (default) | positive integer scalar

Number of permutations used to compute the mean and standard deviation of the predictor importance values for each predictor, specified as a positive integer scalar.

Example: NumPermutations=20

Data Types: single | double

Options — Options for computing in parallel and setting random streams

structure

Options for computing in parallel and setting random streams, specified as a structure. Create the Options structure using statset. This table lists the option fields and their values.

Field Name	Value	Default
UseParallel	Set this value to true to run computations in parallel.	false
UseSubstreams	Set this value to true to run computations in a reproducible manner. To compute reproducibly, set Streams to a type that allows substreams: "mlfg6331_64" or "mrg32k3a".	false
Streams	Specify this value as a RandStream object or cell array of such objects. Use a single object except when the UseParallel value is true and the UseSubstreams value is false. In that case, use a cell array that has the same size as the parallel pool.	If you do not specify Streams, then permutationImportance uses the default stream or streams.

Note

You need Parallel Computing Toolbox™ to run computations in parallel.

Example: Options=statset(UseParallel=true,UseSubstreams=true,Streams=RandStream("mlfg6331_64"))

Data Types: struct

PredictionForMissingValue — Predicted response value to use for observations with missing predictor values

"median" (default) | "mean" | "omitted" | numeric scalar

Predicted response value to use for observations with missing predictor values, specified as "median", "mean", "omitted", or a numeric scalar.

Value	Description
"median"	permutationImportance uses the median of the observed response values in the training data as the predicted response value for observations with missing predictor values.
"mean"	permutationImportance uses the mean of the observed response values in the training data as the predicted response value for observations with missing predictor values.
"omitted"	permutationImportance excludes observations with missing predictor values from loss computations.
Numeric scalar	permutationImportance uses this value as the predicted response value for observations with missing predictor values.

If an observation is missing an observed response value or an observation weight, then permutationImportance does not use the observation in loss computations.

Note

This name-value argument is valid only for these types of regression models: Gaussian process regression, kernel, linear, neural network, and support vector machine. That is, you can specify this argument only when Mdl is a RegressionGP, CompactRegressionGP, RegressionKernel, RegressionLinear, RegressionNeuralNetwork, CompactRegressionNeuralNetwork, RegressionSVM, or CompactRegressionSVM object.

Example: PredictionForMissingValue="omitted"

Data Types: single | double | char | string

PredictorsToPermute — List of predictors for which to compute importance values

"all" (default) | positive integer vector | logical vector | string array | cell array of character vectors

List of predictors for which to compute importance values, specified as one of the values in this table.

Value	Description
Positive integer vector	Each entry in the vector is an index value indicating to compute importance values for the corresponding predictor. The index values are between 1 and p, where p is the number of predictors listed in Mdl.PredictorNames.
Logical vector	A true entry means to compute importance values for the corresponding predictor. The length of the vector is p.
String array or cell array of character vectors	Each element in the array is the name of a predictor variable for which to compute importance values. The names must match the entries in Mdl.PredictorNames.
"all"	Compute importance values for all predictors.

Example: PredictorsToPermute=[true true false true]

Data Types: single | double | logical | char | string | cell

Weights — Observation weights

nonnegative numeric vector | name of variable in Tbl

Observation weights, specified as a nonnegative numeric vector or the name of a variable in Tbl. The software weights each observation in X or Tbl with the corresponding value in Weights. The length of Weights must equal the number of observations in X or Tbl.

If you specify the input data as a table Tbl, then Weights can be the name of a variable in Tbl that contains a numeric vector. In this case, you must specify Weights as a character vector or string scalar. For example, if the weights vector W is stored as Tbl.W, then specify it as "W".

By default, Weights is ones(n,1), where n is the number of observations in X or Tbl.

• If you supply weights and Mdl is a classification model, then permutationImportance uses the weighted classification loss to compute importance values, and normalizes the weights to sum to the value of the prior probability in the respective class.

• If you supply weights and Mdl is a regression model, then permutationImportance uses the weighted regression loss to compute importance values, and normalizes the weights to sum to 1.

Note

This name-value argument is valid only when you specify a data argument (X or Tbl) and Mdl supports observation weights. If you compute importance values using the data in Mdl (Mdl.X and Mdl.Y), then permutationImportance uses the weights in Mdl.W.

Data Types: single | double | char | string

Output Arguments

Importance — Importance values for permuted predictors

table

Importance values for the permuted predictors, averaged over all permutations, returned as a table with these columns.

Column Name	Description
Predictor	Name of each permuted predictor. You can specify the predictors to include by using the PredictorsToPermute name-value argument.
ImportanceMean	Mean of the importance values for each predictor across all permutations. You can specify the number of permutations by using the NumPermutations name-value argument.
ImportanceStandardDeviation	Standard deviation of the importance values for each predictor across all permutations. You can specify the number of permutations by using the NumPermutations name-value argument.

For more information on how permutationImportance computes these values, see Permutation Predictor Importance.

ImportancePerPermutation — Importance values per permutation

table

Importance values per permutation, returned as a table. Each entry (i,p) corresponds to permutation i of predictor p.

You can specify the number of permutations by using the NumPermutations name-value argument, and you can specify the predictors to include by using the PredictorsToPermute name-value argument.

ImportancePerClass — Importance values per class

table | []

Importance values per class, returned as a table with these columns.

Column Name	Description
Predictor	Name of each permuted predictor
ImportanceMean	Subdivided into separate columns for each class in Mdl.ClassNames. Each value is the mean of the importance values in a specified class for a specified predictor, across all permutations.
ImportanceStandardDeviation	Subdivided into separate columns for each class in Mdl.ClassNames. Each value is the standard deviation of the importance values in a specified class for a specified predictor, across all permutations.

For more information on how permutationImportance computes these values, see Permutation Predictor Importance per Class.

Note

The output ImportancePerClass is empty when Mdl is a regression model or the LossFun value is a function handle.

Algorithms

Permutation Predictor Importance

Permutation predictor importance values measure how influential a model's predictor variables are in predicting the response. The influence of a predictor increases with the value of this measure. If a predictor is influential in prediction, then permuting its values should affect the model loss. If a predictor is not influential, then permuting its values should have little to no effect on the model loss.

For a predictor p in the predictor data X (specified by Mdl.X, X, or Tbl) and a permutation π of the values in p, the permutation predictor importance value Imp_p(π) is: $${\mathrm{Imp}}_{p(\pi )}=L(Mdl,X_{p(\pi )},Y,W)-L(Mdl,X,Y,W)$$.

• L is the loss function specified by the LossFun name-value argument.

• Mdl is the classification or regression model specified by Mdl.

• X_p(π) is the predictor data X with the predictor p replaced by the permuted predictor p(π).

• Y is the response variable (specified by Mdl.Y, Y, or Tbl.Y), and W is the vector of observation weights (specified by Mdl.W or the Weights name-value argument).

By default, permutationImportance computes the mean of the predictor importance values for each predictor. That is, for a predictor p, the function computes $${\mathrm{Imp}}_p=\frac{1}{Q}\left({\displaystyle \sum _{q=1}^{Q}L(Mdl,X_{p({\pi }_q)},Y,W)-L(Mdl,X,Y,W)}\right)$$, where Imp_p is the mean permutation predictor importance of p, and Q is the number of permutations specified by the NumPermutations name-value argument.

Permutation Predictor Importance per Class

For classification models, you can compute the mean permutation predictor importance values per class. For class k and predictor p, the mean permutation predictor importance value Imp_k,p is $${\mathrm{Imp}}_{k,p}=\frac{1}{Q}\left({\displaystyle \sum _{q=1}^{Q}L(Mdl,X_{k,p({\pi }_q)},Y_k,W_k)-L(Mdl,X_k,Y_k,W_k)}\right)$$, where the sets X_k, Y_k, and W_k are reduced to the observations with true class label k. The weights W_k are normalized to sum up to the value of the prior probability in class k. For more information on the other variables, see Permutation Predictor Importance.

Note that $${\mathrm{Imp}}_p={\displaystyle \sum _{k=1}^K{\mathrm{Imp}}_{k,p}}$$, where K is the number of classes in Mdl.ClassNames.

Loss Functions

Built-in loss functions are available for the classification and regression models you can specify using Mdl. For more information on which loss functions are supported (and which function is selected by default), see the loss object function for the model you are using.

Classification Loss Functions

Model	Full or Compact Classification Model Object	loss Object Function
Discriminant analysis classifier	ClassificationDiscriminant, CompactClassificationDiscriminant	loss
Multiclass model for support vector machines or other classifiers	ClassificationECOC, CompactClassificationECOC	loss
Ensemble of learners for classification	ClassificationEnsemble, CompactClassificationEnsemble, ClassificationBaggedEnsemble	loss
Generalized additive model (GAM)	ClassificationGAM, CompactClassificationGAM	loss
Gaussian kernel classification model using random feature expansion	ClassificationKernel	loss
k-nearest neighbor classifier	ClassificationKNN	loss
Linear classification model	ClassificationLinear	loss
Multiclass naive Bayes model	ClassificationNaiveBayes, CompactClassificationNaiveBayes	loss
Neural network classifier	ClassificationNeuralNetwork, CompactClassificationNeuralNetwork	loss
Support vector machine (SVM) classifier for one-class and binary classification	ClassificationSVM, CompactClassificationSVM	loss
Binary decision tree for multiclass classification	ClassificationTree, CompactClassificationTree	loss

Regression Loss Functions

Model	Full or Compact Regression Model Object	loss Object Function
Ensemble of regression models	RegressionEnsemble, RegressionBaggedEnsemble, CompactRegressionEnsemble	loss
Generalized additive model (GAM)	RegressionGAM, CompactRegressionGAM	loss
Gaussian process regression	RegressionGP, CompactRegressionGP	loss
Gaussian kernel regression model using random feature expansion	RegressionKernel	loss
Linear regression for high-dimensional data	RegressionLinear	loss
Neural network regression model	RegressionNeuralNetwork, CompactRegressionNeuralNetwork	loss
Support vector machine (SVM) regression	RegressionSVM, CompactRegressionSVM	loss
Regression tree	RegressionTree, CompactRegressionTree	loss

Extended Capabilities

Automatic Parallel Support

Accelerate code by automatically running computation in parallel using Parallel Computing Toolbox™.

To run in parallel, specify the Options name-value argument in the call to this function and set the UseParallel field of the options structure to true using statset:

Options=statset(UseParallel=true)

For more information about parallel computing, see Run MATLAB Functions with Automatic Parallel Support (Parallel Computing Toolbox).

Version History

Introduced in R2024a