Explainable multi-hop question answering (QA) not only predicts answers but also identifies rationales, i. e. subsets of input sentences used to derive the answers. This problem has been extensively studied under the supervised setting, where both answer and rationale annotations are given. Because rationale annotations are expensive to collect and not always available, recent efforts have been devoted to developing methods that do not rely on supervision for rationales. However, such methods have limited capacities in modeling interactions between sentences, let alone reasoning across multiple documents. This work proposes a principled, probabilistic approach for training explainable multi-hop QA systems without rationale supervision. Our approach performs multi-hop reasoning by explicitly modeling rationales as sets, enabling the model to capture interactions between documents and sentences within a document. Experimental results show that our approach is more accurate at selecting rationales than the previous methods, while maintaining similar accuracy in predicting answers.