Generalized SHAP: Generating multiple types of explanations in machine learning

Many important questions about a model cannot be answered just explaining how much each feature contributes its output. To answer a broader set of questions, we generalize a popular, mathematically well-grounded explanation technique, Shapley Additive Explanations (SHAP). Our new method - Generalized Shapley Additive Explanations (G-SHAP) - produces many additional types of explanations including: 1) General classification explanations; Why is this sample more likely to belong to one class rather than another? 2) Intergroup differences; Why do our model's predictions differ between groups of observations? 3) Model failure; Why does our model perform poorly on a given sample? We formally define these types of explanations and illustrate their practical use on real data.