Finite-sample Efficient Conformal Prediction.

Conformal prediction is a generic methodology for finite-sample valid distribution-free prediction. This technique has garnered a lot of attention in the literature partly because it can be applied with any machine learning algorithm that provides point predictions to yield valid prediction regions. Of course, the efficiency (width/volume) of the resulting prediction region depends on the performance of the machine learning algorithm. In this paper, we consider the problem of obtaining the smallest conformal prediction region given a family of machine learning algorithms. We provide two general-purpose selection algorithms and consider coverage as well as width properties of the final prediction region. The first selection method yields the smallest width prediction region among the family of conformal prediction regions for all sample sizes, but only has an approximate coverage guarantee. The second selection method has a finite sample coverage guarantee but only attains close to the smallest width. The approximate optimal width property of the second method is quantified via an oracle inequality. Asymptotic oracle inequalities are also considered when the family of algorithms is given by ridge regression with different penalty parameters.