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通过枢轴分数实现条件覆盖的后处理共形预测方法

A Post-Processing Conformal Prediction Approach for Conditional Coverage via Pivotal Scores

Université Paris-Saclay(巴黎萨克雷大学);CNRS(法国国家科学研究中心);Univ Évry(埃夫里大学)

Félix Laplante

AI总结:

本文提出PIT-CP后处理校正方法,通过将非共形分数映射为近似特征不变的分数,在保持几何结构、可解释性和边际覆盖的同时实现条件覆盖,并利用一维条件密度估计替代原始结果空间的全条件密度估计。

摘要:

虽然共形预测(CP)已被证明是用于不确定性量化的强大框架,但保证条件覆盖仍然是一个核心挑战。尽管已知在没有结构假设的情况下,有限样本、分布自由的条件有效性是不可能的,但我们表明它在本质上等价于构造一个其分布与特征无关的非共形分数。这一理论特征激发了PIT-CP,一种新的后处理校正方法,它将任何基础非共形分数映射为近似不变的分数,同时保持其几何结构、可解释性和边际覆盖。这一视角在实践中特别有吸引力,因为当强大的预测驱动模型已经提供高度准确的点估计时,重新训练完整的生成模型可能既不经济也不省时。我们的程序将问题简化为对诱导分数的一维条件密度估计,而不是对原始结果空间的完整条件密度估计。我们展示了如何在实践中估计这种变换,并推导了条件覆盖差距的界限,以及体积和对称差界限。我们介绍了已知的极小极大最优条件估计技术,同时激励使用现代条件密度估计器,包括混合密度网络和条件归一化流。最后,我们在各种数据集上实证表明,我们的PIT-CP程序以最小的努力和计算成本匹配或超越了多种最先进的共形预测策略。

英文摘要:

While Conformal Prediction (CP) has proven to be a powerful framework for uncertainty quantification, guaranteeing conditional coverage remains a central challenge. Although finite-sample, distribution-free conditional validity is known to be impossible without structural assumptions, we show that for i.i.d. data, it is fundamentally equivalent to constructing a nonconformity score whose distribution is independent of the features. This theoretical characterization motivates PIT-CP, a new post-processing correction that maps any base nonconformity score to an approximately invariant one while preserving its geometry, interpretability, and marginal coverage. This perspective is particularly appealing in practice, since it may be neither economical nor time-effective to retrain a full generative model when a strong prediction-driven model already provides highly accurate point estimates. Our procedure reduces the problem to one-dimensional conditional density estimation on the induced score, rather than full conditional density estimation on the original outcome space. We show how to estimate this transform in practice and derive bounds on the conditional coverage gap, alongside volumetric and symmetric-difference bounds. We present known minimax-optimal conditional estimation techniques while also motivating the use of modern conditional density estimators, including Mixture Density Networks and Conditional Normalizing Flows. Finally, we empirically demonstrate on various datasets that our PIT-CP procedure matches or outperforms many state-of-the-art conformal prediction strategies with minimal effort and computational cost.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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