Scalable and adaptive prediction bands with kernel sum-of-squares

• URL: http://arxiv.org/abs/2505.21039v1
• Date: Tue, 27 May 2025 11:21:17 GMT
• Title: Scalable and adaptive prediction bands with kernel sum-of-squares
• Authors: Louis Allain, Sébastien da Veiga, Brian Staber,
• Abstract summary: Conformal Prediction (CP) is a popular framework for constructing prediction bands with valid coverage in finite samples.<n>We build upon recent ideas that rely on recasting the CP problem as a statistical learning problem, directly targeting coverage and adaptivity.
• Score: 0.5530212768657544
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Conformal Prediction (CP) is a popular framework for constructing prediction bands with valid coverage in finite samples, while being free of any distributional assumption. A well-known limitation of conformal prediction is the lack of adaptivity, although several works introduced practically efficient alternate procedures. In this work, we build upon recent ideas that rely on recasting the CP problem as a statistical learning problem, directly targeting coverage and adaptivity. This statistical learning problem is based on reproducible kernel Hilbert spaces (RKHS) and kernel sum-of-squares (SoS) methods. First, we extend previous results with a general representer theorem and exhibit the dual formulation of the learning problem. Crucially, such dual formulation can be solved efficiently by accelerated gradient methods with several hundreds or thousands of samples, unlike previous strategies based on off-the-shelf semidefinite programming algorithms. Second, we introduce a new hyperparameter tuning strategy tailored specifically to target adaptivity through bounds on test-conditional coverage. This strategy, based on the Hilbert-Schmidt Independence Criterion (HSIC), is introduced here to tune kernel lengthscales in our framework, but has broader applicability since it could be used in any CP algorithm where the score function is learned. Finally, extensive experiments are conducted to show how our method compares to related work. All figures can be reproduced with the accompanying code.

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