A comparative study of conformal prediction methods for valid uncertainty quantification in machine learning

TL;DR

This paper compares various conformal prediction methods for providing valid, distribution-free uncertainty quantification in machine learning, emphasizing their theoretical foundations and practical implications.

Contribution

It offers a comprehensive analysis of conformal prediction techniques, highlighting their advantages over traditional uncertainty quantification methods.

Findings

Conformal prediction is the only distribution-free framework for uncertainty quantification.

It provides valid, nonparametric uncertainty estimates without strong data assumptions.

The study clarifies the theoretical properties and practical applications of conformal methods.

Abstract

In the past decades, most work in the area of data analysis and machine learning was focused on optimizing predictive models and getting better results than what was possible with existing models. To what extent the metrics with which such improvements were measured were accurately capturing the intended goal, whether the numerical differences in the resulting values were significant, or whether uncertainty played a role in this study and if it should have been taken into account, was of secondary importance. Whereas probability theory, be it frequentist or Bayesian, used to be the gold standard in science before the advent of the supercomputer, it was quickly replaced in favor of black box models and sheer computing power because of their ability to handle large data sets. This evolution sadly happened at the expense of interpretability and trustworthiness. However, while people are still trying to improve the predictive power of their models, the community is starting to realize that for many applications it is not so much the exact prediction that is of importance, but rather the variability or uncertainty. The work in this dissertation tries to further the quest for a world where everyone is aware of uncertainty, of how important it is and how to embrace it instead of fearing it. A specific, though general, framework that allows anyone to obtain accurate uncertainty estimates is singled out and analysed. Certain aspects and applications of the framework -- dubbed `conformal prediction' -- are studied in detail. Whereas many approaches to uncertainty quantification make strong assumptions about the data, conformal prediction is, at the time of writing, the only framework that deserves the title `distribution-free'. No parametric assumptions have to be made and the nonparametric results also hold without having to resort to the law of large numbers in the asymptotic regime.