101. Calibrating probabilistic predictions of quantile regression forests with conformal predictive systems.
- Author
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Wang, Di, Wang, Ping, Wang, Cong, and Wang, Pingping
- Subjects
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REGRESSION analysis , *APPROXIMATION algorithms , *FORECASTING , *QUANTILE regression , *LEARNING communities , *RANDOM forest algorithms , *MACHINE learning - Abstract
• This is the first research of calibrateing quantile regression forests with conformal predictive systems for better performance. • Out-of-bag predictions of quantile regression forests are employed to make full use of data and improve computational efficiency. • With analysis of quantile regression forests, our proposed weighed approach performs best in the comparison experiments. Quantile regression forests (QRF) is a generalization of random forests for quantile regression, which can also output probabilistic prediction for regression problems. QRF delivers a nonlinear and nonparametric way of probabilistic prediction and is widely used in many applications. To improve the prediction quality of QRF, this paper builds conformal predictive systems (CPSs) on top of QRF to calibrate the probabilistic prediction, which is the first attempt of combining CPSs with QRF to our best knowledge. Conformal predictive systems aim to produce valid probabilistic predictions in machine learning community, whose predictive distributions are compatible with realizations. Three algorithms are proposed in this paper. One is a fast approximation algorithm to split conformal predictive system. Building on that, the other two algorithms are proposed based on the out-of-bag samples and the weighted approach of QRF. Experiments with 20 public data sets were conducted and the results demonstrated that our algorithms are empirically valid and compared favourably with the original QRF. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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