Predictive Inference With Fast Feature Conformal Prediction

Conformal prediction is widely adopted in uncertainty quantification, due to its post-hoc, distribution-free, and model-agnostic properties. In the realm of modern deep learning, researchers have proposed Feature Conformal Prediction (FCP), which deploys conformal prediction in a feature space, yielding reduced band lengths. However, the practical utility of FCP is limited due to the time-consuming non-linear operations required to transform confidence bands from feature space to output space. In this paper, we introduce Fast Feature Conformal Prediction (FFCP), which features a novel non-conformity score and is convenient for practical applications. FFCP serves as a fast version of FCP, in that it equivalently employs a Taylor expansion to approximate the aforementioned non-linear operations in FCP. Empirical validations showcase that FFCP performs comparably with FCP (both outperforming the vanilla version) while achieving a significant reduction in computational time by approximately 50x. The code is available at https://github.com/ElvisWang1111/FastFeatureCP