from copy import deepcopy
from typing import Any
import numpy as np
from numpy.typing import NDArray
from tqdm import tqdm
from caliber.regression.conformal_regression.base import AbstractRegressionModel
[docs]
class CVPlusRegressionModel(AbstractRegressionModel):
"""
A conformalised bootstrap model based on cross-validation (CV).
Given inputs and targets, it trains an arbitrary model multiple times with CV and stores the prediction error on the left-out inputs.
At prediction time, it provides a confidence interval around the mean predicted, with quantiles corrected via the errors stored at training time.
Given a coverage level `alpha`, a target variable `Y` and the predicted confidence interval `[Q1, Q2]`,
if the training and test sets are IID the algorithm ensures that `P(Y in [Q1, Q2]) >= alpha`.
"""
def __init__(
self, model: Any, coverage: float, num_folds: int = 5, seed: int = 0, cv_prediction: bool = False, max_validation_fold_size: int = 1000
) -> None:
"""
Args:
model (Any): An instantiated model class with `fit` and `predict` methods.
coverage (float): A coverage value between 0 and 1.
For example, `coverage=0.95` means that the target variable will be expected to lay within the confidence interval 95% of the times.
num_folds (int, optional): The number of CV folds. Defaults to 5.
seed (int, optional): The random seed. Defaults to 0.
cv_prediction (bool, optional): Whether to predict the mean prediction using the cv models or rather a single model. Defaults to False.
"""
self._model = model
self._coverage = coverage
self._num_folds = num_folds
self._cv_prediction = cv_prediction
self._rng = np.random.default_rng(seed)
self._max_validation_fold_size = max_validation_fold_size
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def fit(self, inputs: NDArray[np.float64], targets: NDArray[np.float64]) -> NDArray[np.float64]:
num_inputs = len(inputs)
fold_size = num_inputs // self._num_folds
perm = self._rng.choice(num_inputs, size=num_inputs, replace=False)
fold_indices = [[perm[j * fold_size + i] for i in range(fold_size)] for j in range(self._num_folds)]
fold_indices[-1].extend(perm[self._num_folds * fold_size:].tolist())
self._models = []
self._cv_errors = []
for i in tqdm(range(self._num_folds), desc="Cross-Validation"):
train_indices = sum(fold_indices[:i] + fold_indices[i+1:], [])
val_indices = fold_indices[i][:self._max_validation_fold_size]
train_inputs, train_targets = inputs[train_indices, :], targets[train_indices]
val_inputs, val_targets = inputs[val_indices], targets[val_indices]
model = deepcopy(self._model)
model.fit(train_inputs, train_targets)
val_preds = model.predict(val_inputs)
if val_preds.ndim == 2:
if val_preds.shape[1] != 1:
raise ValueError("This method is supported only for scalar targets.")
val_preds = val_preds.squeeze(1)
self._cv_errors.append(np.abs(val_targets - val_preds))
self._models.append(model)
if not self._cv_prediction:
self._model.fit(inputs, targets)
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def predict(self, inputs: NDArray[np.float64]) -> NDArray[np.float64]:
if self._cv_prediction:
preds = np.zeros(len(inputs))
for model in self._models:
preds_i = model.predict(inputs)
if preds_i.ndim == 2:
if preds_i.shape[1] != 1:
raise ValueError("This method is supported only for scalar targets.")
preds_i = preds_i.squeeze(1)
preds += preds_i
preds /= self._loo_size
return preds
return self._model.predict(inputs)
[docs]
def predict_quantiles(self, inputs: NDArray[np.float64]) -> NDArray[np.float64]:
preds = []
for i, model in enumerate(self._models):
preds_i = model.predict(inputs)
if preds_i.ndim == 2:
if preds_i.shape[1] != 1:
raise ValueError("This method is supported only for scalar targets.")
preds_i = preds_i.squeeze(1)
preds.append(preds_i)
lefts_list = []
rights_list = []
for preds_i in preds:
lefts_list.append(preds_i - self._cv_errors[i][:, None])
rights_list.append(preds_i + self._cv_errors[i][:, None])
lefts = np.concatenate(lefts_list)
rights = np.concatenate(rights_list)
qleft = np.quantile(lefts, q=1 - self._coverage, axis=0)
qright = np.quantile(rights, q=self._coverage, axis=0)
return np.array(list(zip(qleft, qright)))