Title: Learning Credible Models,
Abstract: In many settings, it is important that a model be capable of providing
reasons for its predictions (i.e., the model must be interpretable). However,
the model's reasoning may not conform with well-established knowledge. In such
cases, while interpretable, the model lacks \textit{credibility}. In this work,
we formally define credibility in the linear setting and focus on techniques
for learning models that are both accurate and credible. In particular, we
propose a regularization penalty, expert yielded estimates (EYE), that
incorporates expert knowledge about well-known relationships among covariates
and the outcome of interest. We give both theoretical and empirical results
comparing our proposed method to several other regularization techniques.
Across a range of settings, experiments on both synthetic and real data show
that models learned using the EYE penalty are significantly more credible than
those learned using other penalties. Applied to a large-scale patient risk
stratification task, our proposed technique results in a model whose top
features overlap significantly with known clinical risk factors, while still
achieving good predictive performance.