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1. The limits of distribution-free conditional predictive inference

   https://doi.org/10.1093/imaiai/iaaa017  

   Foygel Barber, Rina; Candès, Emmanuel J; Ramdas, Aaditya; Tibshirani, Ryan J (August 2020, Information and Inference: A Journal of the IMA)

   null (Ed.)

   Abstract We consider the problem of distribution-free predictive inference, with the goal of producing predictive coverage guarantees that hold conditionally rather than marginally. Existing methods such as conformal prediction offer marginal coverage guarantees, where predictive coverage holds on average over all possible test points, but this is not sufficient for many practical applications where we would like to know that our predictions are valid for a given individual, not merely on average over a population. On the other hand, exact conditional inference guarantees are known to be impossible without imposing assumptions on the underlying distribution. In this work, we aim to explore the space in between these two and examine what types of relaxations of the conditional coverage property would alleviate some of the practical concerns with marginal coverage guarantees while still being possible to achieve in a distribution-free setting. 

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2. Sensitivity analysis of individual treatment effects: A robust conformal inference approach

   https://doi.org/10.1073/pnas.2214889120  

   Jin, Ying; Ren, Zhimei; Candès, Emmanuel J. (February 2023, Proceedings of the National Academy of Sciences)

   We propose a model-free framework for sensitivity analysis of individual treatment effects (ITEs), building upon ideas from conformal inference. For any unit, our procedure reports the Γ-value, a number which quantifies the minimum strength of confounding needed to explain away the evidence for ITE. Our approach rests on the reliable predictive inference of counterfactuals and ITEs in situations where the training data are confounded. Under the marginal sensitivity model of [Z. Tan, J. Am. Stat. Assoc. 101, 1619-1637 (2006)], we characterize the shift between the distribution of the observations and that of the counterfactuals. We first develop a general method for predictive inference of test samples from a shifted distribution; we then leverage this to construct covariate-dependent prediction sets for counterfactuals. No matter the value of the shift, these prediction sets (resp. approximately) achieve marginal coverage if the propensity score is known exactly (resp. estimated). We describe a distinct procedure also attaining coverage, however, conditional on the training data. In the latter case, we prove a sharpness result showing that for certain classes of prediction problems, the prediction intervals cannot possibly be tightened. We verify the validity and performance of the methods via simulation studies and apply them to analyze real datasets. 

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3. Online Multivalid Learning: Means, Moments, and Prediction Intervals

   Varun Gupta; Christopher Jung; Georgy Noarov; Mallesh M. Pai; Aaron Roth (January 2022, Innovations in Theoretical Computer Science (ITCS))

   We present a general, efficient technique for providing contextual predictions that are "multivalid" in various senses, against an online sequence of adversarially chosen examples (x,y). This means that the resulting estimates correctly predict various statistics of the labels y not just marginally --- as averaged over the sequence of examples --- but also conditionally on x in G for any G belonging to an arbitrary intersecting collection of groups. We provide three instantiations of this framework. The first is mean prediction, which corresponds to an online algorithm satisfying the notion of multicalibration from Hebert-Johnson et al. The second is variance and higher moment prediction, which corresponds to an online algorithm satisfying the notion of mean-conditioned moment multicalibration from Jung et al. Finally, we define a new notion of prediction interval multivalidity, and give an algorithm for finding prediction intervals which satisfy it. Because our algorithms handle adversarially chosen examples, they can equally well be used to predict statistics of the residuals of arbitrary point prediction methods, giving rise to very general techniques for quantifying the uncertainty of predictions of black box algorithms, even in an online adversarial setting. When instantiated for prediction intervals, this solves a similar problem as conformal prediction, but in an adversarial environment and with multivalidity guarantees stronger than simple marginal coverage guarantees. 

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4. Assessing Classification Models of Pharmaceuticals With Conformal Prediction

   https://doi.org/10.1002/cem.70017  

   Booksh, Karl S.; Celani, Caelin P.; Ralbovsky, Nicole M.; Smith, Joseph P. (March 2025, Journal of Chemometrics)

   ABSTRACT Conformal predictions transform a measurable, heuristic notion of uncertainty into statistically valid confidence intervals such that, for a future sample, the true class prediction will be included in the conformal prediction set at a predetermined confidence. In a Bayesian perspective, common estimates of uncertainty in multivariate classification, namelyp‐values, only provide the probability that the data fits the presumed class model,P(D|M). Conformal predictions, on the other hand, address the more meaningful probability that a model fits the data,P(M|D). Herein, two methods to perform inductive conformal predictions are investigated—the traditional Split Conformal Prediction that uses an external calibration set and a novel Bagged Conformal Prediction, closely related to Cross Conformal Predictions, that utilizes bagging to calibrate the heuristic notions of uncertainty. Methods for preprocessing the conformal prediction scores to improve performance are discussed and investigated. These conformal prediction strategies are applied to identifying four non‐steroidal anti‐inflammatory drugs (NSAIDs) from hyperspectral Raman imaging data. In addition to assigning meaningful confidence intervals on the model results, we herein demonstrate how conformal predictions can add additional diagnostics for model quality and method stability. 

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5. Uncertainty Quantification over Graph with Conformalized Graph Neural Networks

   Huang, Kexin; Jin, Ying; Candes, Emmanuel; Leskovec, Jure (December 2023, Advances in neural information processing systems)

   Graph Neural Networks (GNNs) are powerful machine learning prediction models on graph-structured data. However, GNNs lack rigorous uncertainty estimates, limiting their reliable deployment in settings where the cost of errors is significant. We propose conformalized GNN (CF-GNN), extending conformal prediction (CP) to graph-based models for guaranteed uncertainty estimates. Given an entity in the graph, CF-GNN produces a prediction set/interval that provably contains the true label with pre-defined coverage probability (e.g. 90%). We establish a permutation invariance condition that enables the validity of CP on graph data and provide an exact characterization of the test-time coverage. Besides valid coverage, it is crucial to reduce the prediction set size/interval length for practical use. We observe a key connection between non-conformity scores and network structures, which motivates us to develop a topology-aware output correction model that learns to update the prediction and produces more efficient prediction sets/intervals. Extensive experiments show that CF-GNN achieves any pre-defined target marginal coverage while significantly reducing the prediction set/interval size by up to 74% over the baselines. It also empirically achieves satisfactory conditional coverage over various raw and network features. 

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