Comparing Permutation SHAP and Kernel SHAP

Michael Mayer lays some groundwork:

SHAP is the predominant way to interpret black-box ML models, especially for tree-based models with the blazingly fast TreeSHAP algorithm.

For general models, two slower SHAP algorithms exist:

1. Permutation SHAP (Štrumbelj and Kononenko, 2010)
2. Kernel SHAP (Lundberg and Lee, 2017)

Read on to understand more about these two forms of SHAP, as well as how they compare in two datasets of differing levels of difficulty.