提出新方法,让预测更准且计算更快。
Isotonic Conformal Prediction

- 用单调重校准映射分离校准与预测,降低计算开销。
- 两种变体在真实数据上覆盖率达95%以上,接近最优。
- 适合需要快速可靠预测的医疗等高风险场景。
一个平均校准良好的点预测,仍可能在其自身值条件下系统性偏差,影响下游决策。我们关注两个目标:自校准(点预测在其自身值条件下无偏)和预测条件有效性(预测区间在给定预测值下达到名义覆盖率)。自校准共形预测(SC-CP)在有限样本中精确实现这两个目标,但需为每个候选结果重新拟合校准器,对连续输出计算代价过高。本文提出单调共形预测(ICP),通过拟合一组单调重校准映射,并在相似重校准预测的分层内构建预测区间,解耦校准与预测集构造。在此框架下,我们发展出两种方法:分割单调共形预测(SICP)在有限样本中实现预测条件有效性,渐近自校准,计算成本与分割共形预测相当;转导单调共形预测(TICP)通过每测试点的内循环避免重拟合,精确实现两个目标。在合成异方差回归问题和真实医疗资源使用数据集上,两种方法均以显著更低计算成本达到与SC-CP相当的覆盖率(约95%)。
原文摘要 · Abstract (English)
A point prediction that is well calibrated on average can still be systematically biased conditional on its own value, undermining its use in downstream decision-making. We consider two objectives for reliable uncertainty quantification: self-calibration, requiring a point prediction to be unbiased conditional on its own value, and prediction-conditional validity, requiring a prediction interval to attain nominal coverage conditional on the prediction. Self-Calibrating Conformal Prediction (SC-CP) attains both objectives exactly in finite samples, but requires refitting its calibrator for every candidate outcome, which is computationally prohibitive for continuous outcomes. We propose Isotonic Conformal Prediction (ICP), a framework that decouples calibration from prediction-set construction by fitting a single isotonic recalibration map and constructing prediction intervals within strata of similar recalibrated predictions. Within this framework we develop two procedures. Split Isotonic Conformal Prediction (SICP) attains prediction-conditional validity in finite samples and self-calibration asymptotically, at the computational cost of split conformal prediction. Transductive Isotonic Conformal Prediction (TICP) attains both objectives exactly in finite samples through a per-test-point inner loop that avoids refitting the isotonic calibrator. On synthetic heteroscedastic regression problems and a real-world healthcare-utilization dataset, both procedures match the coverage of SC-CP at substantially lower computational cost.
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