用Wasserstein距离改进预测集覆盖率,在分布偏移下更准确且集合更小。
Wasserstein-regularized Conformal Prediction under General Distribution Shift
- 基于Wasserstein距离构建覆盖率误差上界,分离协变量与概念偏移影响。
- 新算法WR-CP将覆盖率误差降至3.2%,预测集平均缩小37%。
- 适合需高可靠性且高效预测的场景,如医疗、金融决策系统。
传统置信预测在独立同分布假设下可保证1−α的覆盖率,但分布偏移时实际覆盖率会下降。现有研究用总变差距离界定误差,无法捕捉特定α下的变化,且多局限于协变量偏移。本文首次提出基于Wasserstein距离的覆盖率误差上界,通过概率测度前推分析联合数据与校准分数分布间的关系,实现对协变量与概念偏移效应的分离。据此设计重要性加权与正则化表示学习结合的算法WR-CP,可最小化Wasserstein上界,并提供有限样本误差界。实验在六个数据集上验证,WR-CP在不同置信水平下将覆盖率误差降低至3.2%,预测集平均比最坏情况方法小37%。
原文摘要 · Abstract (English)
Conformal prediction yields a prediction set with guaranteed $1-α$ coverage of the true target under the i.i.d. assumption, which may not hold and lead to a gap between $1-α$ and the actual coverage. Prior studies bound the gap using total variation distance, which cannot identify the gap changes under distribution shift at a given $α$. Besides, existing methods are mostly limited to covariate shift,while general joint distribution shifts are more common in practice but less researched.In response, we first propose a Wasserstein distance-based upper bound of the coverage gap and analyze the bound using probability measure pushforwards between the shifted joint data and conformal score distributions, enabling a separation of the effect of covariate and concept shifts over the coverage gap. We exploit the separation to design an algorithm based on importance weighting and regularized representation learning (WR-CP) to reduce the Wasserstein bound with a finite-sample error bound.WR-CP achieves a controllable balance between conformal prediction accuracy and efficiency. Experiments on six datasets prove that WR-CP can reduce coverage gaps to $3.2\%$ across different confidence levels and outputs prediction sets 37$\%$ smaller than the worst-case approach on average.
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