Interpretability-by-Design with Accurate Locally Additive Models and Conditional Feature Effects

Identifying meaningful feature interactions is a central challenge in building accurate and interpretable models for tabular data. Generalized additive models (GAMs) have shown great success at modeling tabular data, but often rely on heuristic procedures to select interactions, potentially missing higher-order or context-dependent effects. To meet this challenge, we propose TabDistill, a method that leverages tabular foundation models and post-hoc distillation methods. Our key intuition is that tabular foundation models implicitly learn rich, adaptive feature dependencies through large-scale representation learning. Given a dataset, TabDistill first fits a tabular foundation model to the dataset, and then applies a post-hoc interaction attribution method to extract salient feature interactions from it. We evaluate these interactions by then using them as terms in a GAM. Across tasks, we find that interactions identified by TabDistill lead to consistent improvements in downstream GAMs' predictive performance. Our results suggest that tabular foundation models can serve as effective, data-driven guides for interaction discovery, bridging high-capacity models and interpretable additive frameworks.

Modern AI models such as tabular foundation models and gradient-boosted ensembles can outpredict classical methods, but provide little basis for reasoning about their predictions. High-stakes decisions call for models that are both accurate and interpretable as built. Local linear modeling offers a path forward: a smooth regression function is locally well approximated by a linear one, allowing a linear fit near each query point to achieve high accuracy without sacrificing transparency. The challenges lie in learning what is "local" and developing statistical tools for interpretation. Here, we propose local distillation, in which a black-box "teacher" guides a regularized linear "student" model at each query point. The teacher (1) defines locality by upweighting training observations with similar predicted outcomes, and (2) anchors the fit with its prediction at the query point, included as a pseudo-observation whose weight is estimated from the data. For interpretation, we add a small amount of Gaussian randomization to the local objective and use refits to assess stability: selection frequencies identify reliable features at a query point, and clustering the randomized fits identifies stable subgroups across the data. Under the lasso penalty, we prove that this randomization yields feature-selection probabilities that are stable under small perturbations of the training responses. Across 17 benchmark datasets, local distillation nearly matches its AI teacher's accuracy while producing a sparse linear model at each test point. In a high-dimensional cancer gene expression example, the framework identifies patient subgroups whose local models use different genes; this heterogeneity is invisible to a global linear model, and difficult to surface in a black-box model.

Generalized Additive Models (GAMs) can be used to create non-linear glass-box (i.e. explicitly interpretable) models, where the predictive function is fully observable over the complete input space. However, glass-box interpretability itself does not allow for the incorporation of expert knowledge from the modeller. In this paper, we present ParamBoost, a novel GAM whose shape functions (i.e. mappings from individual input features to the output) are learnt using a Gradient Boosting algorithm that fits cubic polynomial functions at leaf nodes. ParamBoost incorporates several constraints commonly used in parametric analysis to ensure well-refined shape functions. These constraints include: (i) continuity of the shape functions and their derivatives (up to C2); (ii) monotonicity; (iii) convexity; (iv) feature interaction constraints; and (v) model specification constraints. Empirical results show that the unconstrained ParamBoost model consistently outperforms state-of-the-art GAMs across several real-world datasets. We further demonstrate that modellers can selectively impose required constraints at a modest trade-off in predictive performance, allowing the model to be fully tailored to application-specific interpretability and parametric-analysis requirements.