Supporting EBMs (Explainable Boosting Machines)

[seb-mueller]

Hi, I was wondering if there are plans to support EBMs since they appear quite promising in terms of performance (matching XGB etc) whilst remaining very interpretable.

There is even an R package interpret, but I haven't found a way to make it play nicely with parsnip.

[simonpcouch]

Thanks for the issue, @seb-mueller. This sounds like it may be a good fit for the bonsai parsnip extension package, so I will go ahead and move this issue there. :)