๐ Theory overview๏
Uncertainty Quantification๏
In machine learning, we build predictive models from experience, by choosing the right approach for the right problem, and from the accessible data, via algorithms. Despite our best efforts, we can encounter some underlying uncertainty that could stem from various sources or causes.
- Typically, uncertainty in the machine learning process can be categorized into two types:
Aleatoric uncertainty, also known as statistical uncertainty, which is irreducible as due to the intrinsic randomness of the phenomenon being modeled
Epistemic uncertainty, also known as systematic uncertainty, which is reducible through additional information, e.g. via more data or better models
Depending on the application fields of machine learning models, uncertainty can have major impacts on performance and/or safety.
Conformal Prediction๏
Conformal Prediction (CP) is a set of methods to estimate uncertainty by constructing by constructing valid prediction sets, i.e. prediction sets with a probabilistic guarantee of marginal coverage. The following three features make CP methods particularly attractive:
Distribution-free. CP methods can be applied regardless of the underlying data-generating distribution.
Model-agnostic. CP works with any ML model, even with black-box models where we only have access to the outputs of the model.
Non-asymptotic. CP methods provide finite-sample probabilistic guarantees, that is, the guarantees hold without the need to assume that the number of available data grows to infinity.
Given an error rate (or significance level) \(\alpha \in (0,1)\), set by the user, a set of exchangeable (or more simply i.i.d.) train data \(\{ (X_i, Y_i) \}_{i=1}^{n}\) and a test point \((X_{new}, Y_{new})\), all of which are generated from the same joint distribution \(\mathbb{P}_{XY}\), a conformal prediction procedure uses the training data to build prediction sets \(\widehat{C}_{\alpha}(\cdot)\) so that:
Over many calibration and test sets, \(\widehat{C}_{\alpha}(X_{new})\) will contain the observed values of \(Y_{new}\) with frequency of at least \((1-\alpha)\).
Usually, the conformal prediction method uses a point-predictor model \(\widehat{f}\) and turns it into the set predictor \(C_\alpha\) via a calibration procedure. Within the conformal prediction framework, the inequality above holds for any model, any data distribution \(\mathbb{P}_{XY}\) and any training set sample size, under the following minimal assumptions:
Exchangeability. The data \((X_1,Y_i),\dots, (X_n, Y_n), (X_{new}, Y_{new})\) form an exchangeable sequence (this is a milder assumption than the data being i.i.d.).
Independence of train and calibration data. The data for the model training is independent from the data for the model calibration.
It is noteworthy that the coverage probability is marginalized over \(X\). Therefore, the CP algorithm is likely to achieve the coverage rate of \(1-\alpha\) by under-covering conditionally to some specific regions in the space of \(X\) and over-covering in other regions.
Conformal prediction can act as a post-processing procedure to attain rigorous probability coverages, as it can โconformalizeโ any existing predictor during or after training (black box predictors), yielding marginally valid prediction sets.
In this page, we present the most common conformal prediction methods of the literature used on regression and classification models. We also refer to Angelopoulos and Bates [Angelopoulos2022] for a hands-on introduction to conformal prediction and awesome conformal prediction github for additional ressources.
In the following, let \(D = {(X_i, Y_i)}_{i=1}^n \sim P_{XY}\) be the training data and \(\alpha \in (0, 1)\) the significance level (target maximum error rate).
Conformal Regression๏
Split (inductive) Conformal๏
The split (also called inductive) conformal prediction [Papadopoulos2002] [Lei2018] requires a hold-out calibration dataset: the dataset \(D\) is split into a proper training set \(D_{train}=\big\lbrace(X_i,Y_i), i=1,\dots,n_{train}\big\rbrace\) and an independent calibration dataset \(D_{calib}=\big\lbrace(X_i,Y_i),i=1,\dots,n_{calib}\big\rbrace\). The purpose of the calibration dataset is to estimate prediction errors and use them to build the prediction interval for a new sample \(X_{new}\).
Given a prediction model \(\widehat{f}\) trained on \(D_{train}\), the algorithm is summarized in the following:
Choose a nonconformity score \(s\), and define the error \(R\) over a sample \((X,Y)\) as \(R = s(\widehat{f}(X),Y)\). For example, one can pick the absolute deviation \(R = |\widehat{f}(X)-Y|\).
Compute the nonconformity scores on the calibration dataset: \(\mathcal{R} = \{R_i\}_{}\), where \(R_i=s(\widehat{f}(X_i), Y_i)\) for \(i=1,\dots,n_{calib}\).
Compute the error margin \(\delta_{\alpha}\) as the \((1-\alpha)(1 + 1/n_{calib})\)-th empirical quantile of \(\mathcal{R}\).
Build the prediction interval as
Note that this procedure yields a constant-width prediction interval centered on the point estimate \(\widehat{f}(X_{new})\).
In the literature, the split conformal procedure has been combined with different nonconformity scores, which produced several methods. Some of them are presented hereafter.
Locally Adaptive Conformal Regression๏
The locally adaptive conformal regression [Papadopoulos2008] relies on scaled nonconformity scores:
where \(\widehat{\sigma}(X_i)\) is a measure of dispersion of the nonconformity scores at \(X_i\). Usually, \(\widehat{\sigma}\) is trained to estimate the absolute prediction error \(|\widehat{f}(X)-Y|\) given \(X=x\). The prediction interval is again centered on \(\widehat{f}(X_{new})\) but the margins are scaled w.r.t the estimated local variability at \(Y | X = X_{new}\):
The prediction intervals are therefore of variable width, which is more adaptive to heteroskedascity and usually improve the conditional coverage. The price is the higher computational cost due to fitting two functions \(\widehat{f}\) and \(\widehat{\sigma}\), on the proper training set.
Conformalized Quantile Regression (CQR)๏
Split conformal prediction can be extended to quantile predictors \(q(\cdot)\). Given a nominal error rate \(\alpha,\) and positive error rates \(\alpha_{lo}\) and \(\alpha_{hi}\) such that \(\alpha_{lo}+\alpha_{hi}=1,\) we denote by \(\widehat{q}_{\alpha_{lo}}\) and \(\widehat{q}_{1-\alpha_{hi}}\) the predictors of the \(\alpha_{lo}\) -th and \((1-\alpha_{hi})\) -th quantiles of \(Y | X.\) The quantile predictors are trained on \(D_{train}\) and calibrated on \(D_{calib}\) by using the following nonconformity score:
For example, if we set \(\alpha = 0.1\), we would fit two predictors \(\widehat{q}_{0.05}(\cdot)\) and \(\widehat{q}_{0.95}(\cdot)\) on training data \(D_{train}\) and compute the scores on \(D_{calibration}\).
Note
It is common to split evenly \(\alpha\) as: \(\alpha_{lo} = \alpha_{hi}= \frac{\alpha}{2}\), but users are free to do otherwise.
The procedure, named Conformalized Quantile Regression [Romano2019], yields the following prediction interval:
When data are exchangeable, the correction margin \(\delta_{\alpha}\) guarantees finite-sample marginal coverage for the quantile predictions, and this holds also for misspecified (i.e. โbadโ) predictors.
If the fitted \(\widehat{q}_{\alpha_{lo}}\) and \(\widehat{q}_{1-\alpha_{hi}}\) approximate (empirically) well the conditional distribution \(Y | X\) of the data, we will get a small margin \(\delta_{\alpha}\): this means that on average, the prediction errors on the \(D_{calib}\) were small.
Also, if the base predictors have strong theoretical properties, our CP procedure inherits these properties of \(\widehat{q}_{}(\cdot)\). We could have an asymptotically, conditionally accurate predictor and also have a theoretically valid, distribution-free guarantee on the marginal coverage!
Cross-validation+ (CV+), Jackknife+๏
The leave-one-out (LOO) and the k-fold cross-validation are well known schemes used to estimate regression residuals on out-of-sample data. As shown below, one first splits the data into K partitions and then holds out a partition at a time to compute errors (nonconformity scores, in our case). Following this principle, [Barber2021] introduced the LOO jackknife+ (JP) and the k-fold Cross-validation+ (CV+). With these methods, one does not need a dedicated calibration set.
The CV+ algorithm goes as follows. Let \(n = |D_{train}|\), and let \(D_{train}\) be partitioned disjointly into the sets \(S_1, S_2, \dots, S_K\). Each training point \((X_i,Y_i) \in D_{train}\) belongs to one partition, noted as \(S_{k(i)}\).
At training, we fit and store in memory \(K\) models, referred to as \(\widehat{f}_{-S_{K}}\) to indicate that it was fitted using all data points except those in partition \(S_{K}\). Then, the conformalization step boils down to computing, for each \((X_i,Y_i) \in D_{train}\), the score:
If \(K = n\), we obtain the Jackknife+, leave-one-out version of the algorithm.
Inference
The lower and upper bounds of the prediction interval are given by:
Compute \(\bar{R}_{L} = \{ \widehat{f}_{-S_{k(i)}}(X_{new}) - R_i^{CV} \}_{i=1}^{n}\)
\(\widehat{L}_{\alpha}(X_{new}) = \lfloor \alpha (n+1) \rfloor\)-th smallest value in \(\bar{R}_{L}\) (lower bound)
Compute \(\bar{R}_{U} = \{ \widehat{f}_{-S_{k(i)}}(X_{new}) + R_i^{CV} \}_{i=1}^{n}\)
\(\widehat{U}_{\alpha}(X_{new}) = \lceil (1-\alpha) (n+1) \rceil\)-th smallest value in \(\bar{R}_{U}\) (upper bound)
Ensemble Batch Prediction Intervals (EnbPI)๏
Introduced in [Xu2021], the EnbPI algorithm builds prediction intervals for time series data of the form \(Y_t = f(X_t) + \epsilon_t\), where \(\epsilon_t\) are identically distributed, but not necessarily independent. Given a training data set \(D=\lbrace (X_i, Y_i) \rbrace_{i=1}^n\) and a test set \(D_{test} = \lbrace (X_t,Y_t) \rbrace_{t=n+1}^{n_{test}}\), the EnbPI algorithm aims at constructing prediction sets for each test point \(X_t\). As with the CV+ or Jackknife+ methods, the EnbPI algorithm does not require a held-out calibration set, as it uses a bootstrap algorithm instead. Let \(\mathcal{A}\) be a training algorithm (i.e. an algorithm that maps a dataset to a predictor), and \(\phi\) an aggregation function that aggregates different individual models together, e.g. via a simple average, a bagging or an ensembling method. The algorithm EnbPI is performed in three stages:
- Training
Sample \(B\) bootstrap data sets \(S_b\), for \(b=1,\dots, B\) with replacement from \(D\).
Train \(B\) bootstrap models \(\widehat{f}^b = \mathcal{A}(S_b)\).
- Calibration
Compute the predictions on each training sample \(X_i\in D\). Only the models \(\widehat{f}^b\) where \(X_i\not\in S_b\) are used in the aggregation: \(\widehat{f}_{-i}(X_i):=\phi\big( \lbrace \widehat{f}^b(X_i) | X_i\not\in S_b\rbrace\big)\).
Compute the errors \(R_i=|Y_i-\widehat{f}_{-i}(X_i)|\), and stock them as \(\mathcal{R}_1:=\lbrace R_i,i=1,\dots, n\rbrace\).
- Inference
Compute the predictions on each test sample \(X_t\in D_{test}\) by setting \(\widehat{f}_{-t}(X_t):= \frac{1}{T}\sum_{i=1}^T \widehat{f}_{-i}(X_t)\).
Update the error set: \(\mathcal R_t\) (see below).
Compute the width of the prediction intervals \(\delta_{\alpha, t}\) as the \((1-\alpha)\)-th empirical quantile of \(\mathcal{R}_t\).
The prediction interval for \(X_t\) is then given by
In order to update the error set \(\mathcal{R}_t\), a memory parameter \(s\) is employed. Every \(s\) test examples, the first \(s\) errors in the set \(\mathcal{R}\) are dropped and the errors over the last \(s\) test examples are added to the error set \(\mathcal{R}\). I.e. if \(t-n = 0\ mod\ s\) then \(\mathcal{R}_t = \lbrace R_i, i=t-n,\dots,t-1\rbrace\) and if \(t-n \neq 0\ mod\ s\) then \(\mathcal{R}_t=\mathcal{R}_{t-1}\).
Note
The EnbPI algorithm does not provide an exact probabilistic guarantee as the previous CP methods do. The guarantee provided by the EnbPI algorithm is only approximate, and holds under additional assumptions on the error process \(\epsilon_t\). However, it does not require the data to be exchangeable.
Conformal Classification๏
Adaptive Prediction Sets (APS)๏
As for the Split Conformal Regression algorithm, the APS algorithm introduced in [Romano2020] requires us to split the data set \(D\) into a proper training set \(D_{train}\) and an independent calibration set \(D_{calib}\). A classifier \(\widehat{\pi}\) is trained using the proper training set \(D_{train}\) only. We assume that the output of the classifier is given by the softmax scores for the different classes. I.e. for each input \(x\), the output \(\widehat{\pi}(x)=(\widehat{\pi}_1(x),\dots,\widehat{\pi}_K(x))\) is a probability vector and \(k=1,\dots, K\) represent the possible different classes in the classification task.
We represent by \(\widehat{\pi}_{(1)}(x)\geq \cdots\geq \widehat{\pi}_{(K)}(x)\) the softmax vector \(\widehat{\pi}\) arranged in decreasing order, i.e. \((k)\) is the index of the class having the \(k\)-th largest probability mass.
In order to construct the prediction sets \(\widehat{C}_\alpha\), the APS algorithm works in two stages:
- Calibration
For each example \(X_i\) in the calibration data set, we compute the error \(R_i\) as the probability mass needed for reaching the true label \(Y_i\), i.e. \(R_i=\widehat{\pi}_{(1)}+\cdots+\widehat{\pi}_{(k)}\), wehere \((k)=Y_i\).
Stock all errors in a vector \(\mathcal{R}\).
- Inference
Compute the error margin \(\delta_{\alpha}\) as the \((1-\alpha)(1 + 1/n_{calib})\)-th empirical quantile of \(\mathcal{R}\).
The prediction set for a test point \(X_{new}\) is defined as
\[\widehat{C}_{\alpha}(X_{new})=\big\lbrace (1),\dots,(k) \big\rbrace\quad \text{where}\quad k = \min\big\lbrace i : \widehat{\pi}_{(1)}+\cdots+\widehat{\pi}_{(i)}\geq \delta_\alpha\big\rbrace.\]
Regularized Adaptive Prediction Sets (RAPS)๏
Source: [Angelopoulos2021]
TBC
Conformal Anomaly Detection๏
TBC
Conformal Object Detection๏
Source: [deGrancey2022]
TBC
References๏
Angelopoulos, A. N., Bates, S., Jordan, M., & Malik, J (2021). Uncertainty Sets for Image Classifiers using Conformal Prediction. In Proceedings of ICLR 2021. https://openreview.net/forum?id=eNdiU_DbM9
Angelopoulos, A.N. and Bates, S., (2021). A gentle introduction to conformal prediction and distribution-free uncertainty quantification. arXiv preprint arXiv:2107.07511. https://arxiv.org/abs/2107.07511
Barber, R. F., Candes, E. J., Ramdas, A., & Tibshirani, R. J. (2021). Predictive inference with the jackknife+. Ann. Statist. 49 (1) 486 - 507, February 2021. https://arxiv.org/abs/1905.02928
Lei, J., GโSell, M., Rinaldo, A., Tibshirani, R.J. and Wasserman, L., (2018). Distribution-free predictive inference for regression. Journal of the American Statistical Association, 113(523), pp.1094-1111. https://arxiv.org/abs/1604.04173
Papadopoulos, H., Proedrou, K., Vovk, V. and Gammerman, A., (2002). Inductive confidence machines for regression. In Proceedings of ECML 2002, Springer. https://link.springer.com/chapter/10.1007/3-540-36755-1_29
Papadopoulos, H., Gammerman, A. and Vovk, V., (2008). Normalized nonconformity measures for regression conformal prediction. In Proceedings of the IASTED International Conference on Artificial Intelligence and Applications (AIA 2008) (pp. 64-69).
de Grancey, F., Adam, J.L., Alecu, L., Gerchinovitz, S., Mamalet, F. and Vigouroux, D., 2022, June. Object detection with probabilistic guarantees: A conformal prediction approach. In International Conference on Computer Safety, Reliability, and Security.
Romano, Y., Patterson, E. and Candes, E., (2019). Conformalized quantile regression. In Proceedings of NeurIPS, 32. https://arxiv.org/abs/1905.03222
Romano, Y., Sesia, M., & Candes, E. (2020). Classification with valid and adaptive coverage. In Proceedings of NeurIPS, 33. https://arxiv.org/abs/2006.02544
Xu, C. & Xie, Y.. (2021). Conformal prediction interval for dynamic time-series. Proceedings of ICML 2021. https://proceedings.mlr.press/v139/xu21h.html.