Conformalization of Sparse Generalized Linear Models

Given a sequence of observable variables $\{(x_1, y_1), \ldots, (x_n, y_n)\}$, the conformal prediction method estimates a confidence set for $y_{n+1}$ given $x_{n+1}$ that is valid for any finite sample size by merely assuming that the joint distribution of the data is permutation invariant. Although attractive, computing such a set is computationally infeasible in most regression problems. Indeed, in these cases, the unknown variable $y_{n+1}$ can take an infinite number of possible candidate values, and generating conformal sets requires retraining a predictive model for each candidate. In this paper, we focus on a sparse linear model with only a subset of variables for prediction and use numerical continuation techniques to approximate the solution path efficiently. The critical property we exploit is that the set of selected variables is invariant under a small perturbation of the input data. Therefore, it is sufficient to enumerate and refit the model only at the change points of the set of active features and smoothly interpolate the rest of the solution via a Predictor-Corrector mechanism. We show how our path-following algorithm accurately approximates conformal prediction sets and illustrate its performance using synthetic and real data examples.Comment: ICML 202

Predicting Skin Permeability by means of Computational Approaches : Reliability and Caveats in Pharmaceutical Studies

© 2019 American Chemical Society.The skin is the main barrier between the internal body environment and the external one. The characteristics of this barrier and its properties are able to modify and affect drug delivery and chemical toxicity parameters. Therefore, it is not surprising that permeability of many different compounds has been measured through several in vitro and in vivo techniques. Moreover, many different in silico approaches have been used to identify the correlation between the structure of the permeants and their permeability, to reproduce the skin behavior, and to predict the ability of specific chemicals to permeate this barrier. A significant number of issues, like interlaboratory variability, experimental conditions, data set building rationales, and skin site of origin and hydration, still prevent us from obtaining a definitive predictive skin permeability model. This review wants to show the main advances and the principal approaches in computational methods used to predict this property, to enlighten the main issues that have arisen, and to address the challenges to develop in future research.Peer reviewedFinal Accepted Versio

Root-finding Approaches for Computing Conformal Prediction Set

Conformal prediction constructs a confidence set for an unobserved response of a feature vector based on previous identically distributed and exchangeable observations of responses and features. It has a coverage guarantee at any nominal level without additional assumptions on their distribution. Its computation deplorably requires a refitting procedure for all replacement candidates of the target response. In regression settings, this corresponds to an infinite number of model fit. Apart from relatively simple estimators that can be written as pieces of linear function of the response, efficiently computing such sets is difficult and is still considered as an open problem. We exploit the fact that, \emph{often}, conformal prediction sets are intervals whose boundaries can be efficiently approximated by classical root-finding algorithm. We investigate how this approach can overcome many limitations of formerly used strategies and we discuss its complexity and drawbacks

Bayesian Optimization with Conformal Prediction Sets

Bayesian optimization is a coherent, ubiquitous approach to decision-making under uncertainty, with applications including multi-arm bandits, active learning, and black-box optimization. Bayesian optimization selects decisions (i.e. objective function queries) with maximal expected utility with respect to the posterior distribution of a Bayesian model, which quantifies reducible, epistemic uncertainty about query outcomes. In practice, subjectively implausible outcomes can occur regularly for two reasons: 1) model misspecification and 2) covariate shift. Conformal prediction is an uncertainty quantification method with coverage guarantees even for misspecified models and a simple mechanism to correct for covariate shift. We propose conformal Bayesian optimization, which directs queries towards regions of search space where the model predictions have guaranteed validity, and investigate its behavior on a suite of black-box optimization tasks and tabular ranking tasks. In many cases we find that query coverage can be significantly improved without harming sample-efficiency.Comment: For code, see https://www.github.com/samuelstanton/conformal-bayesopt.gi