统计与数据科学系系列学术报告之四百三十九期

时间：2024年6月26日（周三）15:00-16:00

地点：史带楼303室

主持人：复旦大学管理学院统计与数据科学系刘彬副教授

报告人：任好洁副教授上海交通大学

题目：CAP: A General Algorithm for Online Selective Conformal Prediction with FCR Control

摘要：

We study the problem of post-selection predictive inference in an online fashion. To avoid devoting resources to unimportant units, a preliminary selection of the current individual before reporting its prediction interval is common and meaningful in online predictive tasks. Since the online selection causes a temporal multiplicity in the selected prediction intervals, it is important to control the real-time false coverage-statement rate (FCR) which measures the overall miscoverage level. We develop a general framework named CAP (Calibration after Adaptive Pick) that performs an adaptive pick rule on historical data to construct a calibration set if the current individual is selected and then outputs a conformal prediction interval for the unobserved label. We provide tractable procedures for constructing the calibration set for popular online selection rules. We proved that CAP can achieve an exact selection-conditional coverage guarantee in the finite-sample and distribution-free regimes. To account for the distribution shift in online data, we also embed CAP into some recent dynamic conformal prediction algorithms and show that the proposed method can deliver long-run FCR control. Numerical results on both synthetic and real data corroborate that CAP can effectively control FCR around the target level and yield more narrowed prediction intervals over existing baselines across various settings.

个人简介：

任好洁是上海交通大学数学科学学院长聘教轨副教授，18年博士毕业于南开大学，随后在宾州州立大学从事博士后研究。她的研究方向包括预测推断、统计异常探查、在线学习与监控、高维数据推断等。在JASA，Biometrika等杂志和机器学习顶会ICML，NeurIPS上发表多篇学术论文。