Probabilistic Conformal Prediction Using Conditional Random Samples

• URL: http://arxiv.org/abs/2206.06584v1
• Date: Tue, 14 Jun 2022 03:58:03 GMT
• Title: Probabilistic Conformal Prediction Using Conditional Random Samples
• Authors: Zhendong Wang, Ruijiang Gao, Mingzhang Yin, Mingyuan Zhou, David M. Blei
• Abstract summary: PCP is a predictive inference algorithm that estimates a target variable by a discontinuous predictive set. It is efficient and compatible with either explicit or implicit conditional generative models.
• Score: 73.26753677005331
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This paper proposes probabilistic conformal prediction (PCP), a predictive inference algorithm that estimates a target variable by a discontinuous predictive set. Given inputs, PCP construct the predictive set based on random samples from an estimated generative model. It is efficient and compatible with either explicit or implicit conditional generative models. Theoretically, we show that PCP guarantees correct marginal coverage with finite samples. Empirically, we study PCP on a variety of simulated and real datasets. Compared to existing methods for conformal inference, PCP provides sharper predictive sets.

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