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LICENCE
README.md camera ready version Nov 7, 2019
approx_conformal_prediction.py
bench_homotopy_time.py
benchmark.py
ridge_conformal_prediction.py
slides_neurips.pdf
split_conformal_prediction.py
tools.py camera ready version Nov 7, 2019
varying_coverage.py camera ready version Nov 7, 2019
visualization_ridge_conf.py

README.md

Computing Full Conformal Prediction Set with Approximate Homotopy.

This package implements a computation of conformal prediction set based on approximate solution of empirical risk minimization when the input observations changes sequentially. We develop a new homotopy continuation technique so that only a finite number of computation are needed to approximate infinitely many solution on a given interval [ymin, ymax].

Installation & Requirements

This package has the following requirements:

We recommend to install or update anaconda to the latest version and use Python 3.

Reproducibility

  • Figure 1 is generated by visualization_ridge_conf.py
  • Table 1: the left figure is generated by bench_homotopy_time.py and the right figure by benchmark.py with (method = "lasso", dataset = "climate", alpha = 0.1)
  • Figure 2 is generated by benchmark.py with the range of coverage level alphas = np.arange(1, 10) / 10. The figure (a) corresponds to (method = "lasso", dataset = "diabetes") and the figure (b) corresponds to (method = "logcosh", dataset = "boston").
  • Table 2 is generated with alpha = 0.1 by benchmark.py with (method = "logcosh", dataset = "boston") and (method = "linex", dataset = "diabetes").
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