Updated way of calculating feature contribution for categorical splits

src/Microsoft.ML.FastTree/TreeEnsemble/InternalRegressionTree.cs

@@ -1519,28 +1519,52 @@ public void AppendFeatureContributions(in VBuffer<float> src, BufferBuilder<floa
                 if (CategoricalSplit[node])
                 {
                     Contracts.Assert(CategoricalSplitFeatures != null);
-
-                    int newNode = LteChild[node];
-                    otherWay = GtChild[node];
+                    bool match = false;
+                    int selectedIndex = -1;
+                    int newNode = 0;
                     foreach (var index in CategoricalSplitFeatures[node])
                     {
                         float fv = GetFeatureValue(src.GetItemOrDefault(index), node);
                         if (fv > 0.0f)
                         {
-                            newNode = GtChild[node];
-                            otherWay = LteChild[node];
+                            match = true;
+                            selectedIndex = index; // We only expect at most one match
                             break;
                         }
                     }
 
-                    // What if we went the other way?
-                    var ghostLeaf = GetLeafFrom(in src, otherWay);
-                    var ghostOutput = GetOutput(ghostLeaf);
-
                     // If the ghost got a smaller output, the contribution of the categorical features is positive, so
                     // the contribution is true minus ghost.
-                    foreach(var ifeat in CategoricalSplitFeatures[node])
-                        contributions.AddFeature(ifeat, (float)(trueOutput - ghostOutput));
+                    if (match)
+                    {
+                        newNode = GtChild[node];
+                        otherWay = LteChild[node];
+
+                        var ghostLeaf = GetLeafFrom(in src, otherWay);
+                        var ghostOutput = GetOutput(ghostLeaf);
+                        var diff = (float)(trueOutput - ghostOutput);
+                        foreach (var index in CategoricalSplitFeatures[node])
+                        {
+                            if (index == selectedIndex) // this index caused the input to go to the GtChild
+                                contributions.AddFeature(index, diff);
+                            else // All of the others wouldn't cause it
+                                contributions.AddFeature(index, -diff);
+                        }
+                    }
+                    else
+                    {
+                        newNode = LteChild[node];
+                        otherWay = GtChild[node];
+
+                        var ghostLeaf = GetLeafFrom(in src, otherWay);
+                        var ghostOutput = GetOutput(ghostLeaf);
+                        var diff = (float)(trueOutput - ghostOutput);
+
+                        // None of the indices caused the input to go to the GtChild,
+                        // So all of them caused it to go to the Lte.
+                        foreach (var index in CategoricalSplitFeatures[node])
+                            contributions.AddFeature(index, diff);
+                    }
 
                     node = newNode;
                 }