Locally Adaptive Conformal Prediction for Polynomial Chaos Expansions

원문 초록

This work develops a locally adaptive jackknife+ conformal prediction framework for polynomial chaos expansions. Therein, the non-conformity scores are normalized with an auxiliary polynomial chaos expansion trained on the log-transformed leave-one-out residuals of the base model. We show that the coverage guarantee of jackknife+ conformal prediction carries over to the adaptive intervals if the leave-one-out auxiliary models are trained on nested leave-one-out residuals. For fixed-basis polynomial chaos expansions fitted by ordinary least squares, all required quantities are derived in closed form and the guarantee-preserving adaptive intervals are obtained from a single model fit, without any model retraining. For sparse polynomial chaos expansions, where multiple model fits are necessary, we propose a heuristic simplification that limits the computational overhead of adaptivity at the cost of the formal coverage guarantee. Numerical experiments on an academic benchmark with known heteroscedastic noise and on an engineering simulation dataset show that the suggested method attains the target coverage while providing intervals that adapt to local prediction uncertainty, therefore being considerably more statistically efficient. These advantages are particularly prominent in high-uncertainty regions of the input space, where the performance of non-adaptive methods degrades substantially.