Majority Vote Ensembles of Conformal Predictors

Abstract

We study majority vote ensembles of ε\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\varepsilon $\end{document}-valid conformal predictors (CP). We show that the prediction set Γη\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\varGamma ^\eta $\end{document} produced as the majority vote among the prediction sets Γiε\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\varGamma ^\varepsilon _i$\end{document} of k independent ε\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\varepsilon $\end{document}-valid CPs is also valid, for some significance level η\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\eta $\end{document}; we provide a method to compute ε\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\varepsilon $\end{document} to achieve a desired η\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\eta $\end{document}. We further indicate an error upper bound for an ensemble of correlated CPs, and derive a value ε\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\varepsilon $\end{document} for which such an ensemble guarantees η\documentclass[12pt]minimal \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}-69pt \begin{document}$\eta $\end{document} conservative validity. We evaluate empirically our findings, and compare them with alternative strategies for combining CPs’ predictions.