CASHomon Sets: Efficient Rashomon Sets Across Multiple Model Classes and their Hyperparameters
Authors: Fiona Katharina Ewald, Martin Binder, Matthias Feurer, Bernd Bischl, Giuseppe Casalicchio
Organizations: Department of Statistics, LMU Munich, Munich, Germany · Munich Center for Machine Learning (MCML), Munich, Germany · TU Dortmund University, Dortmund, Germany · Lamarr Institute for Machine Learning and Artificial Intelligence, Dortmund, Germany
Rashomon sets are model sets within one model class that perform nearly as well as a reference model from the same model class. They reveal the existence of alternative well-performing models, which may support different interpretations. This enables selecting models that match domain knowledge, hidden constraints, or user preferences. However, efficient construction methods currently exist for only a few model classes. Applied machine learning usually searches many model classes, and the best class is unknown beforehand. We therefore study Rashomon sets in the combined algorithm selection and hyperparameter optimization (CASH) setting and call them CASHomon sets. We propose TruVaRImp, a model-based active learning algorithm for level set estimation with an implicit threshold, and provide convergence guarantees. On synthetic and real-world datasets, TruVaRImp reliably identifies CASHomon sets members and matches or outperforms naive sampling, Bayesian optimization, classical and implicit level set estimation methods, and other baselines. Our analyses of predictive multiplicity and feature-importance variability across model classes question the common practice of interpreting data through a single model class.
Algorithm 1 Truncated Variance Reduction for Implicitly Defined LSE ( TruVaRImp )
Figure 1: Illustration of the TruVaRImp algorithm. The true (unknown) function is shown in green, with known function values c(λ) as black dots, through which a GP model is fit (purple line with transparent confidence region). Mt is the set of potential minimizers (purple strip at the bottom), for which the confidence interval crosses the “pessimistic” (i.e., highest possible within confidence region) minimum cmin,tpes (upper red dashed line). Configuration points λ are classified as belonging to the lower or upper set ( Lt and Ht , not shown), or remain unclassified ( Ut , blue strip at the bottom), depending on whether their confidence interval crosses the region of plausible threshold values [htopt,htpes] (blue dashed lines). In this illustration, these are relative to the minimum with εrel=2,εabs=0 . TruVaRImp selects points based on how much evaluating them will reduce the variance for candidates in both Mt and Ut that goes beyond their target confidence values η(i) the most (green and purple ribbons around the GP mean).
Figure 2: Mean CASHomon set algorithm progress in terms of F1 score of the surrogate model predicting CASHomon set membership. The iteration count does not include the initial sample of 30 points per model class. The left facet shows the mean values over all datasets. The middle and right show individual performance on two example datasets.
Figure 3: Test performance and RC for tasks BC, CR, and CS (binarized) across the TreeFARMS Rashomon set and our CASHomon set. Top row: Brier score distributions. Bottom row: RC (y-axis) versus Brier score (x-axis); horizontal boxplots summarize test score distributions; triangles indicate the reference model.
Figure 4: VICs for our CASHomon set (left) and for the TreeFARMS Rashomon set (right) on task CS . For each feature, PFI values across models are shown as a boxplot together with a point cloud colored by model class, where identical values are vertically jittered. PFI values are scaled: the maximal PFI value for a model equals 1. In our CASHomon set, most models are xgb models (178), followed by nnet (66) and cart (33) models, but all model classes are present.
Appendix figures & tables12 assets
Supplementary material from the paper’s appendix.
Appendix
Figure 5: Visualization of Rashomon sets on a simple regression problem. Every coordinate on the plot corresponds to a linear model with given coefficients. The “true” model f⋆ lies at (1,1) and has RMSE 0.5 . The black ellipse indicates the Rashomon set when taking fref=f⋆ , ε=0.15 , and the true risk R . The red cross indicates f⋆^ , a model that minimizes the empirical risk Remp , and the red ellipse represents the Rashomon set when using this model as reference. The shaded blue area represents HHPOD as defined in Eq. ( 1 ), the models resulting from fitting an elastic net model (using the glmnet R-package [ 29 ] ) and parameterized with the lambda and alpha HPs, on the specific available dataset. The shade of blue indicates the value of alpha ; lambda is not shown (though models with larger lambda values lie closer to the origin, corresponding to the regularizing effect of lambda ). The shaded area within the red ellipse is the intersection of the Rashomon set and the models achievable through HP variation.
Name
Description
N
#Num
#Cat
Type
Reference
BC
Breast Cancer dataset
683
9
0
classification
[ 27 ]
CR
Car dataset
1728
15
0
classification
[ 6 ]
CS
COMPAS dataset
6172
5
6
classification
[ 1 ]
CS (binarized)
binarized CS
6907
12
0
classification
[ 1 ]
FC
FICO dataset
10459
17
0
classification
footnote 6
GC
German Credit dataset
1000
3
18
classification
[ 15 ]
Appendix
Table 1: Overview of the datasets used in the experiments. We abbreviate the columns as #Num for number of numeric features, #Cat for number of categorical features, and N for total number of samples.
HP
Type
Range
alpha
continuous
[ 10−3,103 ] (log)
colsample_bylevel
continuous
[0.1, 1]
colsample_bytree
continuous
[0.1, 1]
eta
continuous
[ 10−4,1 ] (log)
lambda
continuous
[ 10−3,103 ] (log)
max_depth
integer
[1, 20] (log)
Appendix
Table 2: HP search space for xgb .
HP
Type
Range
cp
continuous
[ 10−4,0.2 ] (log)
minbucket
integer
[1, 64] (log)
minsplit
integer
[2, 128] (log)
Appendix
Table 3: HP search space for cart .
HP
Type
Range
decay
continuous
[ 10−6,1 ] (log)
size
integer
[8, 512] (log)
skip
categorical
{TRUE, FALSE}
Appendix
Table 4: HP search space for nnet .
HP
Type
Range
alpha
continuous
[0, 1]
lambda
continuous
[ 10−4,103 ] (log)
Appendix
Table 5: HP search space for glmnet .
HP
Type
Range
cost
continuous
[ 10−4,104 ] (log)
gamma
continuous
[ 10−4,104 ] (log)
kernel
categorical
{linear, radial}
Appendix
Table 6: HP search space for svm .
HP
Type
Range
regularization
continuous
[ 10−4,0.49 ] (log)
balance
categorical
{TRUE, FALSE}
depth_budget
integer
[1, 100] (log)
Appendix
Table 7: HP search space for gosdt .
glmnet
gosdt
nnet
svm.linear
svm.radial
cart
xgb
BC
234*
0
130
0
0
0
0
BS
0
0
0
0
0
0
346*
CR
0
0
20*
0
0
0
0
CS
40
0
9
0
0
2
297*
CS (binarized)
22
19
66
5
15
33
178*
FC
33
0
2
5
1
10
288*
Appendix
Table 8: Number of models of each model class within a CASHomon set found by TruVaRImp per task. “*” marks the reference model class.
Figure 6: Mean F1 score of the surrogate model predicting CASHomon set membership.
Figure 7: (a) VICs for CASHomon set (left) and TreeFARMS Rashomon set (right) for task MK . For each feature, a point cloud colored by model class and a boxplot are displayed. If several models yield the same importance value, the points in the cloud scatter vertically. PFI values are scaled: the maximal PFI value for a model equals 1. (b) RC (y-axis) versus Brier score (x-axis); horizontal boxplots summarize test score distributions; triangles indicate the reference model.
Figure 8: VICs for CASHomon sets (left) and TreeFARMS Rashomon sets (right) for tasks CR , BC , and FC . For each feature, a point cloud colored by model class and a boxplot are displayed. If several models yield the same importance value, the points in the cloud scatter vertically. PFI values are scaled: the maximal PFI value for a model equals 1.
Hyperparameter optimization selects model and training settings to improve predictive performance, efficiency, or reliability under limited evaluation budgets.
In many machine learning problems, there may exist multiple models that achieve nearly identical predictive performance while relying on fundamentally different internal logic. However, standard training procedures produce a single model, offering no practical way to explore alternatives that may better suit downstream needs. The set of these equally accurate models is known as the Rashomon set. Exploring the Rashomon set is particularly challenging in large and complex hypothesis spaces, such as Concept Bottleneck Models (CBMs), which are widely used in computer vision to make predictions through intermediate, human-understandable concepts. In this paper, we provide a method for efficiently exploring the Rashomon set of CBMs. Our framework introduces a specialized parallel parameter-efficient adaptation module, combined with a checkpointing scheme and a concept diversity objective, to generate multiple equally accurate CBMs from a single training process. Empirical results show that our method finds models with better diversity than baselines while using much less memory. We further demonstrate that access to these diverse yet accurate CBMs enables trustworthy model selection, resolution of inter-class confusion, and reliable abstention in decision-making.
Shihan Feng, Cheng Zhang, Michael Xi +3
UNC Chapel Hill · Rutgers University · Duke University
Standard machine learning pipelines often admit many near-optimal models. These "Rashomon sets" pose a range of challenges and opportunities for uncertainty-aware, robust decision making. They allow users to incorporate domain knowledge and preferences that would otherwise be difficult to specify directly in an objective, and they quantify diversity among valid models for a given training dataset and objective function. However, computation of Rashomon sets, even for simple, interpretable model classes such as sparse decision trees, continues to require immense memory and runtime resources. We present PRAXIS, an algorithm to approximate this Rashomon set with orders of magnitude improvement in runtime and memory usage. We validate that PRAXIS regularly recovers almost all of the full Rashomon set. PRAXIS allows researchers and practitioners to scalably model the Rashomon set for real-world datasets. Code for PRAXIS is available at https://github.com/zakk-h/PRAXIS
Zakk Heile, Hayden McTavish, Varun Babbar +2
Department of Computer Science, Duke University, Durham, USA · Department of Computer Science, University of British Columbia, Vancouver, Canada.
The Rashomon effect describes the phenomenon that many models can achieve nearly equivalent performance on the same learning task, with significant ramifications for robustness, feature importance, and customizability. These use cases motivate the computation of Rashomon sets: the set of all models whose regularized loss is near-optimal. Decision trees are one of the few model classes for which Rashomon sets can be fully enumerated, but this computation has always been conditional on a binarization of the original data, either restricting which splits each tree is allowed to make or substantially increasing the complexity of an already difficult combinatorial problem. We introduce the first algorithm that exactly enumerates decision-tree Rashomon sets while exploiting the ordered structure of continuous features. We further develop a relaxation for approximate enumeration and an anytime algorithm that progressively refines the set of candidate thresholds, producing increasingly detailed approximations that converge to the continuous-feature Rashomon set. Experiments show that coarse binarization can miss many trees, important features, and predictive multiplicity; our algorithms achieve orders-of-magnitude speedups over existing enumeration methods, with approximations providing further speedups while maintaining near-perfect recall.
Zakk Heile, Hayden McTavish, Margo Seltzer +1
Department of Computer Science, Duke University, Durham, USA · Department of Computer Science, University of British Columbia, Vancouver, Canada