How to export feature importance from PROC LIGHTGRADBOOST (LightGBM) in SAS Viya? [Stable 2025.06]

[Zaid_Sanchez]

Hi everyone,
With PROC GRADBOOST I can obtain variable importance via an ODS table, but I can’t find the equivalent for LightGBM using PROC LIGHTGRADBOOST.

Questions:

1. Does PROC LIGHTGRADBOOST expose any ODS table (e.g., VariableImportance / FeatureImportance) to extract feature importance?
2. Is there an option to save or export it to a CAS/SAS table (e.g., OUTIMPORTANCE, STORE/OUTMODEL, TRAININFO, or similar)?
3. If not, is there a recommended approach via PROC CAS actions or reading the astore/model to retrieve feature importance?

Environment: SAS Viya — Version: Stable 2025.06 (running in CAS).

Thanks in advance! Any pointers to documentation, exact ODS table names, or example workflows would be greatly appreciated.

[sbxkoenk]

SAS® Viya® Platform Programming Documentation LTS 2025.09

Machine Learning Procedures

LIGHTGRADBOOST Procedure

ODS Table Names

https://go.documentation.sas.com/doc/en/pgmsascdc/v_067/casml/casml_lightgradboost_details02.htm

I do not see an ODS Table with Variable Importance (VI) figures. ☹️ 
... unless VI is in the ModelInfo table with Model information (?).

[EDIT] If you use Model Studio for LightGBM ... you get "Surrogate Model Variable Importance":

LightGBM in SAS Model Studio - SAS Support Communities

See also: Solved: How is calculated the Variable Importance in the Gradient Boosting alg... - SAS Support Comm...

Ciao,
Koen