用神经最优传输提升多变量分位数回归,实现更紧致的预测区间。
Neural Optimal Transport Meets Multivariate Conformal Prediction
- 用输入凸神经网络建模条件分位数函数,保证单调性和一致秩。
- 通过近似优化降低高维变分问题求解成本,训练更快、推理更高效。
- 适配联合分布几何结构,比单变量方法生成更紧凑的预测区域。
我们提出一种结合神经最优传输与近似优化的条件向量分位数回归框架,并应用于多变量置信预测。传统分位数回归难以自然扩展至多变量响应,现有方法常忽略联合分布的几何结构。本方法将条件向量分位数函数参数化为由输入凸神经网络实现的凸势函数的梯度,确保单调性与一致秩。为降低高维变分问题求解成本,引入近似优化双势函数,实现高效训练与快速推理。随后利用诱导的多变量秩构造分布自由的预测区域,具备有限样本有效性。相比坐标独立方法,本方法能适应条件分布的几何结构,生成更紧致且信息量更高的预测区域。在基准数据集上的实验显示,其覆盖-效率权衡优于基线方法,验证了神经最优传输与置信预测融合的优势。
原文摘要 · Abstract (English)
We propose a framework for conditional vector quantile regression (CVQR) that combines neural optimal transport with amortized optimization, and apply it to multivariate conformal prediction. Classical quantile regression does not extend naturally to multivariate responses, while existing approaches often ignore the geometry of joint distributions. Our method parametrizes the conditional vector quantile function as the gradient of a convex potential implemented by an input-convex neural network, ensuring monotonicity and uniform ranks. To reduce the cost of solving high-dimensional variational problems, we introduced amortized optimization of the dual potentials, yielding efficient training and faster inference. We then exploit the induced multivariate ranks for conformal prediction, constructing distribution-free predictive regions with finite-sample validity. Unlike coordinatewise methods, our approach adapts to the geometry of the conditional distribution, producing tighter and more informative regions. Experiments on benchmark datasets show improved coverage-efficiency trade-offs compared to baselines, highlighting the benefits of integrating neural optimal transport with conformal prediction.
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