Guaranteed Coverage Prediction Intervals with Gaussian Process Regression

• Published in: IEEE transactions on pattern analysis and machine intelligence Vol. PP; pp. 1 - 12
• Main Author: Papadopoulos, Harris
• Format: Journal Article
• Language: English
• Published: United States IEEE 24.06.2024
• Subjects: Computational efficiency; Machine learning; Prediction algorithms; Predictive models; Training; Uncertainty
• ISSN: 0162-8828; 1939-3539; 1939-3539; 2160-9292
• DOI: 10.1109/TPAMI.2024.3418214

Gaussian Process Regression (GPR) is a popular regression method, which unlike most Machine Learning techniques, provides estimates of uncertainty for its predictions. These uncertainty estimates however, are based on the assumption that the model is well-specified, an assumption that is violated in most practical applications, since the required knowledge is rarely available. As a result, the produced uncertainty estimates can become very misleading; for example the prediction intervals (PIs) produced for the 95% confidence level may cover much less than 95% of the true labels. To address this issue, this paper introduces an extension of GPR based on a Machine Learning framework called, Conformal Prediction (CP). This extension guarantees the production of PIs with the required coverage even when the model is completely misspecified. The proposed approach combines the advantages of GPR with the valid coverage guarantee of CP, while the performed experimental results demonstrate its superiority over existing methods