Fast exact conformalization of the lasso using piecewise linear homotopy

DOI10.1093/BIOMET/ASZ046zbMATH Open1437.62278arXiv1708.00427OpenAlexW2977751175WikidataQ127399578 ScholiaQ127399578MaRDI QIDQ5212903FDOQ5212903

Jing Lei

Publication date: 30 January 2020

Published in: Biometrika (Search for Journal in Brave)

Abstract: Conformal prediction is a general method that converts almost any point predictor to a prediction set. The resulting set keeps good statistical properties of the original estimator under standard assumptions, and guarantees valid average coverage even when the model is misspecified. A main challenge in applying conformal prediction in modern applications is efficient computation, as it generally requires an exhaustive search over the entire output space. In this paper we develop an exact and computationally efficient conformalization of the Lasso and elastic net. The method makes use of a novel piecewise linear homotopy of the Lasso solution under perturbation of a single input sample point. As a by-product, we provide a simpler and better justified online Lasso algorithm, which may be of independent interest. Our derivation also reveals an interesting accuracy-stability trade-off in conformal inference, which is analogous to the bias-variance trade-off in traditional parameter estimation. The practical performance of the new algorithm is demonstrated using both synthetic and real data examples.

Full work available at URL: https://arxiv.org/abs/1708.00427

zbMATH Keywords

Lassoelastic netonline algorithmconformal predictionmodel-free inference

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Statistics on metric spaces (62R20)

Cited In (14)

• Conformal prediction beyond exchangeability
• An homotopy method for l _p regression provably beyond self-concordance and in input-sparsity time
• Conformal prediction: a unified review of theory and new challenges
• Root-finding approaches for computing conformal prediction set
• Comparing six shrinkage estimators with large sample theory and asymptotically optimal prediction intervals
• Local Linear Convergence of ISTA and FISTA on the LASSO Problem
• Training-conditional coverage for distribution-free predictive inference
• Predictive inference with the jackknife+
• Accelerate the warm-up stage in the Lasso computation via a homotopic approach
• Discretized conformal prediction for efficient distribution-free inference
• A confidence machine for sparse high-order interaction model
• Methods to compute prediction intervals: a review and new results
• Conformal Prediction: A Gentle Introduction
• Conditional predictive inference for stable algorithms

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