提出新方法将置信预测中的p值转为e值,保持预测集不变并提升效率
Set-Preserving Calibration from Conformal P-Values to E-Values

- 设计不改变预测集的p-to-e转换器,解决传统方法保守问题
- 在跨模型预测和聚合中实现精确1-α覆盖率且效率更高
- 适合需要高效、严格覆盖保障的分布无关不确定性量化场景
标准共形预测(CP)通常基于p值,但仅依赖p值限制了灵活性,例如在合并相关模型或数据分割证据时。近期研究探索了e值形式的共形推断,但缺乏p值与e值之间的直接联系,尤其在统计效率方面。本文首先指出经典p-to-e校准器在CP设定下的局限性:非集合保持,导致预测集过于保守。为此,提出一种新型P2E校准器,将共形p值转化为e值,同时不改变原始共形p值所诱导的预测集。理论与实证均表明,该方法相比现有方法显著提升效率。此e值形式支持近期关于e值合并与随机化的进展,在两种应用中验证其效果:跨共形预测(CCP),其变体通常仅提供约1-2α覆盖率;以及共形聚合(CA)。在此两者中,基于e值的方法均满足期望的1-α覆盖率,且效率优于标准基线。本方法拓展了共形预测的灵活性,为高效、分布无关的不确定性量化开辟新方向。
原文摘要 · Abstract (English)
Standard conformal prediction (CP) procedures are typically formulated in terms of p-values, but reliance on p-values alone limits flexibility, for example, when combining dependent evidence across models or data splits. Recent work has explored e-value formulations for conformal inference, yet a direct connection between p- and e-value formulations in CP has been missing, especially regarding their statistical efficiency. We first identify limitations of classical p-to-e calibrators in the CP setting, showing that they are not set-preserving and can lead to overly conservative prediction sets. To address this, we propose a novel P2E calibrator that converts conformal p-values into e-values without altering the prediction set induced by the original conformal p-value. We establish both theoretically and empirically that our calibrator can yield significant efficiency gains over existing p-to-e calibrators. This e-value formulation enables principled use of recent advances in e-value merging and randomization, where we demonstrate its impact in two applications: cross-conformal prediction (CCP), whose variants typically provide only approximate $1-2α$ coverage, and conformal aggregation (CA). In both cases, our e-value-based methods satisfy the desired $1-α$ coverage guarantee while improving efficiency over standard baselines. More broadly, our approach expands the flexibility of CP and opens new directions for efficient, distribution-free uncertainty quantification.
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