How to find Feature importances for BlackBox Models?

Data Science is the study of algorithms.

I grapple through with many algorithms on a day to day basis, so I thought of listing some of the most common and most used algorithms one will end up using in this new DS Algorithm series .

How many times it has happened when you create a lot of features and then you need to come up with ways to reduce the number of features?

Last time I wrote a post titled “ The 5 Feature Selection Algorithms every Data Scientist should know ” in which I talked about using correlation or tree-based methods and adding some structure to the process of feature selection.

Recently I got introduced to another novel way of feature selection called Permutation Importance and really liked it.

So, this post is explaining how permutation importance works and how we can code it using ELI5.