  Feature construction can contribute to comprehensibility and performance of
machine learning models. Unfortunately, it usually requires exhaustive search
in the attribute space or time-consuming human involvement to generate
meaningful features. We propose a novel heuristic approach for reducing the
search space based on aggregation of instance-based explanations of predictive
models. The proposed Explainable Feature Construction (EFC) methodology
identifies groups of co-occurring attributes exposed by popular explanation
methods, such as IME and SHAP. We empirically show that reducing the search to
these groups significantly reduces the time of feature construction using
logical, relational, Cartesian, numerical, and threshold num-of-N and X-of-N
constructive operators. An analysis on 10 transparent synthetic datasets shows
that EFC effectively identifies informative groups of attributes and constructs
relevant features. Using 30 real-world classification datasets, we show
significant improvements in classification accuracy for several classifiers and
demonstrate the feasibility of the proposed feature construction even for large
datasets. Finally, EFC generated interpretable features on a real-world problem
from the financial industry, which were confirmed by a domain expert.
