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Conformal quantile #228

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merged 15 commits into from
Apr 9, 2024

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JudyJin
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@JudyJin JudyJin commented Mar 1, 2022

Enhance the library with conformal quantile prediction
torchts:

  • Add quantile_err in loss.py
  • Add calibration, calibration_pred, conformal_predict in model.py
  • Modify fit, _step, validation_step in model.py

example:

  • Add quantile-regression/conformal-quantile-regression_example.ipynb and uantile-regression/conformal-quantile-timeseries_example.ipynb by using the conformal quantile prediction

Potential problem:

  1. Current model use validation_step to do the calibration adjustment, which may not be compatible if the user chooses to have the real validation set.
  2. Problem in time-series prediction, if the training/test uses a different data window, the result may have lower accuracy.

@torchts-bot torchts-bot bot added examples Improvements or additions to examples source Updates to source code labels Mar 1, 2022
@yuqirose yuqirose merged commit fb461f7 into Rose-STL-Lab:multiple-quantiles Apr 9, 2024
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