Speaker: Aaditya Ramdas, Carnegie Mellon University
Conformal prediction is a modern technique for quantifying predictive uncertainty for arbitrary ML models. Its validity relies on the assumptions of exchangeability of the data, and symmetry of the given model fitting algorithm as a function of the data. However, exchangeability is often violated when predictive models are deployed in practice, and in such settings, we might want to use an algorithm that treats observations asymmetrically (eg: upweighting more recent observations).This paper proposes a new methodology to deal with both aspects: we use weighted quantiles to introduce robustness against distribution drift, and design a new technique to allow for asymmetric algorithms. Our algorithms are provably robust, with substantially less loss of coverage under distribution drift or shift, while also reducing to the same algorithm and coverage guarantees as existing conformal prediction methods if the data points are in fact exchangeable.This is joint work with Rina Barber, Emmanuel Candes and Ryan Tibshirani. A preprint is at https://arxiv.org/abs/2202.13415.
Aaditya Ramdas (PhD, 2015) is an assistant professor at Carnegie Mellon University, in the Departments of Statistics and Machine Learning. He was a postdoc at UC Berkeley (2015–2018) and obtained his PhD at CMU (2010–2015), receiving the Umesh K. Gavaskar Memorial Thesis Award. Aaditya was an inaugural winner of the COPSS Leadership Award, and a recipient of the 2021 Bernoulli New Researcher Award. His work is supported by an NSF CAREER Award, an Adobe Faculty Research Award (2020), a Google Research Scholar award (2022), amongst others. He was a CUSO lecturer in 2022, and will be a Lunteren lecturer in 2023. Aaditya’s main theoretical and methodological research interests include post-selection inference (interactive, structured, online, post-hoc control of false decision rates, etc), game-theoretic statistics (sequential uncertainty quantification, confidence sequences, always-valid p-values, safe anytime-valid inference, e-processes, supermartingales, e-values, etc), and distribution-free black-box predictive inference (conformal prediction, calibration, etc). His areas of applied interest include privacy, neuroscience, genetics and auditing, and his group’s work has received multiple best paper awards.