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arXiv 2602.12693cs.LG
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基于杠杆权重的符合预测

Leverage-Weighted Conformal Prediction

Shreyas Fadnavis

AI总结:

LWCP通过统计杠杆加权非符合分数,实现无分布预测区间,提高条件覆盖精度,减少覆盖差距。

摘要:

分割符合预测提供了一种无分布预测区间,具有有限样本边缘覆盖,但会产生宽度恒定的区间,在低方差区域过度覆盖,在高方差区域不足覆盖。现有的自适应方法需要训练辅助模型。我们提出了基于杠杆权重的符合预测(LWCP),通过统计杠杆——帽子矩阵的对角线——的函数对非符合分数进行加权,从设计矩阵的几何特性中获得自适应性,而不是从辅助模型拟合中获得。我们证明了LWCP在任何权重函数下都保持有限样本边缘有效性;在异方差性通过杠杆的情况下,实现渐近最优的条件覆盖,几乎不增加宽度成本;在高斯假设下恢复经典预测区间的形式和宽度,同时保留无分布保证。我们进一步证明了随机化杠杆近似可以精确保持覆盖,同时受控宽度扰动;而普通的CP方法存在持续的、与样本大小无关的条件覆盖差距,而LWCP则消除了这一差距。该方法除了权重函数的选择外不需要其他超参数,并且对普通的CP方法来说计算开销 negligible。在合成和真实数据上的实验验证了理论预测,证明了在不同设置中条件覆盖差距的显著减少。

英文摘要:

Split conformal prediction provides distribution-free prediction intervals with finite-sample marginal coverage, but produces constant-width intervals that overcover in low-variance regions and undercover in high-variance regions. Existing adaptive methods require training auxiliary models. We propose Leverage-Weighted Conformal Prediction (LWCP), which weights nonconformity scores by a function of the statistical leverage -- the diagonal of the hat matrix -- deriving adaptivity from the geometry of the design matrix rather than from auxiliary model fitting. We prove that LWCP preserves finite-sample marginal validity for any weight function; achieves asymptotically optimal conditional coverage at essentially no width cost when heteroscedasticity factors through leverage; and recovers the form and width of classical prediction intervals under Gaussian assumptions while retaining distribution-free guarantees. We further establish that randomized leverage approximations preserve coverage exactly with controlled width perturbation, and that vanilla CP suffers a persistent, sample-size-independent conditional coverage gap that LWCP eliminates. The method requires no hyperparameters beyond the choice of weight function and adds negligible computational overhead to vanilla CP. Experiments on synthetic and real data confirm the theoretical predictions, demonstrating substantial reductions in conditional coverage disparity across settings.

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