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With the spread of COVID-19, significantly more patients have required medical diagnosis to determine whether they are a carrier of the virus. COVID-19 can lead to the development of pneumonia in the lungs, which can be captured in X-Ray and CT scans of the patient's chest. The abundance of X-Ray and CT image data available can be used to develop a high-performing computer vision model able to identify and classify instances of pneumonia present in medical scans. Predictions made by these deep learning models can increase the confidence of diagnoses made by analyzing minute features present in scans exhibiting COVID-19 pneumonia, often unnoticeable to the human eye. Furthermore, rather than teaching clinicians about the mathematics behind deep learning and heat maps, we introduce novel methods of explainable artificial intelligence (XAI) with the goal to annotate instances of pneumonia in medical scans exactly as radiologists do to inform other radiologists, clinicians, and interns about patterns and findings. This project explores methods to train and optimize state-of-the-art deep learning models on COVID-19 pneumonia medical scans and apply explainability algorithms to generate annotated explanations of model predictions that are useful to clinicians and radiologists in analyzing these images.