SurvNAM: The machine learning survival model explanation

An extension of the Neural Additive Model (NAM) called SurvNAM and its modifications are proposed to explain predictions of a black-box machine learning survival model. The method is based on applying the original NAM to solving the explanation problem in the framework of survival analysis. The basic idea behind SurvNAM is to train the network by means of a specific expected loss function which takes into account peculiarities of the survival model predictions. Moreover, the loss function approximates the black-box model by the extension of the Cox proportional hazards model, which uses the well-known Generalized Additive Model (GAM) in place of the simple linear relationship of covariates. The proposed method SurvNAM allows performing local and global explanations. The global explanation uses the whole training dataset. In contrast to the global explanation, a set of synthetic examples around the explained example are randomly generated for the local explanation. The proposed modifications of SurvNAM are based on using the Lasso-based regularization for functions from GAM and for a special representation of the GAM functions using their weighted linear and non-linear parts, which is implemented as a shortcut connection. Many numerical experiments illustrate efficiency of SurvNAM.