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Conformal Prediction via Regression-as-Classification

Etash Guha · Shlok Natarajan · Thomas Möllenhoff · Mohammad Emtiyaz Khan · Eugene Ndiaye

Halle B #297
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Tue 7 May 7:30 a.m. PDT — 9:30 a.m. PDT


Conformal prediction (CP) for regression can be challenging, especially when the output distribution is heteroscedastic, multimodal, or skewed. Some of the issues can be addressed by estimating a distribution over the output, but in reality, such approaches can be sensitive to estimation error and yield unstable intervals. Here, we circumvent the challenges by converting regression to a classification problem and then use CP for classification to obtain CP sets for regression. To preserve the ordering of the continuous-output space, we design a new loss function and present necessary modifications to the CP classification techniques. Empirical results on many benchmarks show that this simple approach gives surprisingly good results on many practical problems.

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