Combining Prediction Intervals on MultiSource NonDisclosed Regression Datasets
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Proceedings of the Eighth Symposium on Conformal and Probabilistic Prediction and Applications, PMLR 105:5365, 2019.
Abstract
Conformal Prediction is a framework that produces prediction intervals
based on the output from a machine learning algorithm.
In this paper we explore the case when training data is made up of multiple parts
available in different sources that cannot be pooled.
We here consider the regression case and propose a method
where a conformal predictor is trained on each data source independently,
and where the prediction intervals are then combined into a single interval.
We call the approach NonDisclosed Conformal Prediction (NDCP),
and we evaluate it on a regression dataset from the UCI machine learning repository
using support vector regression as the underlying machine learning algorithm,
with varying number of data sources and sizes.
The results show that the proposed method produces conservatively valid prediction intervals,
and while we cannot retain the same efficiency as when all data is used,
efficiency is improved through the proposed approach
as compared to predicting using a single arbitrarily chosen source.
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