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Efficient Conformal Prediction under Data Heterogeneity

25 December 2023
Vincent Plassier
Nikita Kotelevskii
Aleksandr Rubashevskii
Fedor Noskov
Maksim Velikanov
Alexander Fishkov
Samuel Horváth
Martin Takáč
Eric Moulines
Maxim Panov
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Abstract

Conformal Prediction (CP) stands out as a robust framework for uncertainty quantification, which is crucial for ensuring the reliability of predictions. However, common CP methods heavily rely on data exchangeability, a condition often violated in practice. Existing approaches for tackling non-exchangeability lead to methods that are not computable beyond the simplest examples. This work introduces a new efficient approach to CP that produces provably valid confidence sets for fairly general non-exchangeable data distributions. We illustrate the general theory with applications to the challenging setting of federated learning under data heterogeneity between agents. Our method allows constructing provably valid personalized prediction sets for agents in a fully federated way. The effectiveness of the proposed method is demonstrated in a series of experiments on real-world datasets.

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