AutoNCP: Automated pipelines for accurate confidence intervals

Successful application of machine learning models to real-world prediction problems - e.g. financial predictions, self-driving cars, personalized medicine - has proved to be extremely challenging, because such settings require limiting and quantifying the uncertainty in the predictions of the model; i.e., providing valid and useful confidence intervals. Conformal Prediction is a distribution-free approach that achieves valid coverage and provides valid confidence intervals in finite samples. However, the confidence intervals constructed by Conformal Prediction are often (because of over-fitting, inappropriate measures of nonconformity, or other issues) overly conservative and hence not sufficiently adequate for the application(s) at hand. This paper proposes a framework called Automatic Machine Learning for Nested Conformal Prediction (AutoNCP). AutoNCP is an AutoML framework, but unlike familiar AutoML frameworks that attempt to select the best model (from among a given set of models) for a particular dataset or application, AutoNCP uses frequentist and Bayesian methodologies to construct a prediction pipeline that achieves the desired frequentist coverage while simultaneously optimizing the length of confidence intervals. Using a wide variety of real-world datasets, we demonstrate that AutoNCP substantially out-performs benchmark algorithms.