We introduce a new rule-based optimization method for classification with
constraints. The proposed method leverages column generation for linear
programming, and hence, is scalable to large datasets. The resulting pricing
subproblem is shown to be NP-Hard. We recourse to a decision tree-based
heuristic and solve a proxy pricing subproblem for acceleration. The method
returns a set of rules along with their optimal weights indicating the
importance of each rule for learning. We address interpretability and fairness
by assigning cost coefficients to the rules and introducing additional
constraints. In particular, we focus on local interpretability and generalize
separation criterion in fairness to multiple sensitive attributes and classes.
We test the performance of the proposed methodology on a collection of datasets
and present a case study to elaborate on its different aspects. The proposed
rule-based learning method exhibits a good compromise between local
interpretability and fairness on the one side, and accuracy on the other side