Interpret Gaussian Process Models by Using Integrated Gradients.

Gaussian process regression (GPR) is a nonparametric probabilistic model capable of computing not only the predicted mean but also the predicted standard deviation, which represents the confidence level of predictions. It offers great flexibility as it can be non-linearized by designing the kernel function, made robust against outliers by altering the likelihood function, and extended to classification models. Recently, models combining deep learning with GPR, such as Deep Kernel Learning GPR, have been proposed and reported to achieve higher accuracy than GPR. However, due to its nonparametric nature, GPR is challenging to interpret. While Explainable AI (XAI) methods like LIME or kernel SHAP can interpret the predicted mean, interpreting the predicted standard deviation remains difficult. In this study, we propose a novel method to interpret the prediction of GPR by evaluating the importance of explanatory variables. We have incorporated the GPR model with the Integrated Gradients (IG) method to assess the contribution of each feature to the prediction. By evaluating the standard deviation of the posterior distribution, we show that the IG approach provides a detailed decomposition of the predictive uncertainty, attributing it to the uncertainty in individual feature contributions. This methodology not only highlights the variables that are most influential in the prediction but also provides insights into the reliability of the model by quantifying the uncertainty associated with each feature. Through this, we can obtain a deeper understanding of the model's behavior and foster trust in its predictions, especially in domains where interpretability is as crucial as accuracy.