Shapley Values for Feature Selection: The Good, the Bad, and the Axioms

The Shapley value has become popular in the Explainable AI (XAI) literature, thanks, to a large extent, to a solid theoretical foundation, including four "favourable and fair" axioms for attribution in transferable utility games. The Shapley value is provably the only solution concept satisfying these axioms. In this paper, we introduce the Shapley value and draw attention to its recent uses as a feature selection tool. We call into question...