arXiv:2501.14570stat.MLcs.LG2025-01被引 4

用随机森林加速置信预测,让结果更准更快。

coverforest: Conformal Predictions with Random Forest in Python

  • 基于随机森林优化交叉置信预测,避免重复计算。
  • 训练和预测速度比现有实现快2到9倍。
  • 适合需要快速不确定性评估的机器学习应用。

置信预测提供了一种无需分布假设的不确定性量化框架,可生成具有保证覆盖率的预测区间或集合。尽管最近的交叉置信方法(如CV+和Jackknife+-after-bootstrap)相比传统分割置信法更具数据效率,但其因需对训练与测试样本的袋外得分进行成对比较而带来巨大计算开销。我们观察到这些方法天然适用于集成模型,尤其是随机森林,因此利用已有的优化随机森林实现,实现了高效的交叉置信预测。本文提出coverforest,一个专为随机森林优化的Python工具包,支持回归与分类任务,涵盖分割置信、CV+、Jackknife+-after-bootstrap及自适应预测集等方法。该工具包通过并行计算和Cython优化加速袋外值计算。实验表明,coverforest能实现预期覆盖水平,且训练与预测时间较现有实现快2至9倍。源码托管于GitHub:https://github.com/donlap/coverforest。

原文摘要 · Abstract (English)

Conformal prediction provides a framework for uncertainty quantification, specifically in the forms of prediction intervals and sets with distribution-free guaranteed coverage. While recent cross-conformal techniques such as CV+ and Jackknife+-after-bootstrap achieve better data efficiency than traditional split conformal methods, they incur substantial computational costs due to required pairwise comparisons between training and test samples' out-of-bag scores. Observing that these methods naturally extend from ensemble models, particularly random forests, we leverage existing optimized random forest implementations to enable efficient cross-conformal predictions. We present coverforest, a Python package that implements efficient conformal prediction methods specifically optimized for random forests. coverforest supports both regression and classification tasks through various conformal prediction methods, including split conformal, CV+, Jackknife+-after-bootstrap, and adaptive prediction sets. Our package leverages parallel computing and Cython optimizations to speed up out-of-bag calculations. Our experiments demonstrate that coverforest's predictions achieve the desired level of coverage. In addition, its training and prediction times can be faster than an existing implementation by 2--9 times. The source code for the coverforest is hosted on GitHub at https://github.com/donlap/coverforest.

置信预测随机森林不确定性Python工具

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