# DNN2LR: Automatic Feature Crossing for Credit Scoring

arXiv: https://arxiv.org/abs/2102.12036 · HTML: https://mlsanity.com/paper/2102.12036/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 35 of its 58 references that are in the map.
- First posted on arXiv 24 Feb 2021.

## Builds on (most cited first, 30 of 35)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Deep Residual Learning for Image Recognition](https://mlsanity.com/paper/1512.03385/) (2015)
- [Grad-CAM: Visual Explanations from Deep Networks via Gradient-based Localization](https://mlsanity.com/paper/1610.02391/) (2016)
- [A Unified Approach to Interpreting Model Predictions](https://mlsanity.com/paper/1705.07874/) (2017)
- [XGBoost: A Scalable Tree Boosting System](https://mlsanity.com/paper/1603.02754/) (2016)
- ["Why Should I Trust You?": Explaining the Predictions of Any Classifier](https://mlsanity.com/paper/1602.04938/) (2016)
- [Learning Deep Features for Discriminative Localization](https://mlsanity.com/paper/1512.04150/) (2015)
- [SmoothGrad: removing noise by adding noise](https://mlsanity.com/paper/1706.03825/) (2017)
- [A Survey Of Methods For Explaining Black Box Models](https://mlsanity.com/paper/1802.01933/) (2018)
- [Wide & Deep Learning for Recommender Systems](https://mlsanity.com/paper/1606.07792/) (2016)
- [DeepFM: A Factorization-Machine based Neural Network for CTR Prediction](https://mlsanity.com/paper/1703.04247/) (2017)
- [Interpretable Explanations of Black Boxes by Meaningful Perturbation](https://mlsanity.com/paper/1704.03296/) (2017)
- [Towards Robust Interpretability with Self-Explaining Neural Networks](https://mlsanity.com/paper/1806.07538/) (2018)
- [Deep & Cross Network for Ad Click Predictions](https://mlsanity.com/paper/1708.05123/) (2017)
- [On the Number of Linear Regions of Deep Neural Networks](https://mlsanity.com/paper/1402.1869/) (2014)
- [AutoInt: Automatic Feature Interaction Learning via Self-Attentive Neural Networks](https://mlsanity.com/paper/1810.11921/) (2018)
- [Consistent Individualized Feature Attribution for Tree Ensembles](https://mlsanity.com/paper/1802.03888/) (2018)
- [xDeepFM: Combining Explicit and Implicit Feature Interactions for Recommender Systems](https://mlsanity.com/paper/1803.05170/) (2018)
- [Explaining individual predictions when features are dependent: More accurate approximations to Shapley values](https://mlsanity.com/paper/1903.10464/) (2019)
- [Visualizing and Understanding Neural Models in NLP](https://mlsanity.com/paper/1506.01066/) (2015)
- [Product-based Neural Networks for User Response Prediction](https://mlsanity.com/paper/1611.00144/) (2016)
- [Feature Engineering for Predictive Modeling using Reinforcement Learning](https://mlsanity.com/paper/1709.07150/) (2017)
- [Deep Learning over Multi-field Categorical Data: A Case Study on User Response Prediction](https://mlsanity.com/paper/1601.02376/) (2016)
- [Automated Machine Learning: From Principles to Practices](https://mlsanity.com/paper/1810.13306/) (2018)
- [AutoFIS: Automatic Feature Interaction Selection in Factorization Models for Click-Through Rate Prediction](https://mlsanity.com/paper/2003.11235/) (2020)
- [Higher-Order Factorization Machines](https://mlsanity.com/paper/1607.07195/) (2016)
- [AutoCross: Automatic Feature Crossing for Tabular Data in Real-World Applications](https://mlsanity.com/paper/1904.12857/) (2019)
- [Towards Automated Neural Interaction Discovery for Click-Through Rate Prediction](https://mlsanity.com/paper/2007.06434/) (2020)
- [Exact and Consistent Interpretation for Piecewise Linear Neural Networks: A Closed Form Solution](https://mlsanity.com/paper/1802.06259/) (2018)
- [Feature Generation by Convolutional Neural Network for Click-Through Rate Prediction](https://mlsanity.com/paper/1904.04447/) (2019)

## Abstract (arXiv)

Credit scoring is a major application of machine learning for financial institutions to decide whether to approve or reject a credit loan. For sake of reliability, it is necessary for credit scoring models to be both accurate and globally interpretable. Simple classifiers, e.g., Logistic Regression (LR), are white-box models, but not powerful enough to model complex nonlinear interactions among features. Fortunately, automatic feature crossing is a promising way to find cross features to make simple classifiers to be more accurate without heavy handcrafted feature engineering. However, credit scoring is usually based on different aspects of users, and the data usually contains hundreds of feature fields. This makes existing automatic feature crossing methods not efficient for credit scoring. In this work, we find local piece-wise interpretations in Deep Neural Networks (DNNs) of a specific feature are usually inconsistent in different samples, which is caused by feature interactions in the hidden layers. Accordingly, we can design an automatic feature crossing method to find feature interactions in DNN, and use them as cross features in LR. We give definition of the interpretation inconsistency in DNN, based on which a novel feature crossing method for credit scoring prediction called DNN2LR is proposed. Apparently, the final model, i.e., a LR model empowered with cross features, generated by DNN2LR is a white-box model. Extensive experiments have been conducted on both public and business datasets from real-world credit scoring applications. Experimental shows that, DNN2LR can outperform the DNN model, as well as several feature crossing methods. Moreover, comparing with the state-of-the-art feature crossing methods, i.e., AutoCross, DNN2LR can accelerate the speed for feature crossing by about 10 to 40 times on datasets with large numbers of feature fields.