Root-finding approaches for computing conformal prediction set

DOI10.1007/S10994-022-06233-5MaRDI QIDQ6097145zbMATH OpenOpenAlexFDO

Authors Eugene Ndiaye, Ichiro Takeuchi

Publication date 12 June 2023

Published in Machine Learning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.06648

zbMATH Keywords

conformal predictiondistribution-freeinferenceprediction setreliabilityuncertainty quantification

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05)

Abstract: Conformal prediction constructs a confidence set for an unobserved response of a feature vector based on previous identically distributed and exchangeable observations of responses and features. It has a coverage guarantee at any nominal level without additional assumptions on their distribution. Its computation deplorably requires a refitting procedure for all replacement candidates of the target response. In regression settings, this corresponds to an infinite number of model fits. Apart from relatively simple estimators that can be written as pieces of linear function of the response, efficiently computing such sets is difficult, and is still considered as an open problem. We exploit the fact that, emph{often}, conformal prediction sets are intervals whose boundaries can be efficiently approximated by classical root-finding algorithms. We investigate how this approach can overcome many limitations of formerly used strategies; we discuss its complexity and drawbacks.

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Cited in

(2)

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