Example_tuning_free_CQR
This example illustrates the use of EFCP and VFCP in quantile regression and compares the choice of some tuning parameters by these two algorithms. It also includes the comparison of these two methods with the vanilla CQR method.
We first illustrate the scenario through one run.
df=3
d = 1
x_test <- seq(0,5,by=0.2)
alpha=0.1
n <- 500 #number of training samples
nrep <- 1 #number of independent trials
nrep2 <- 100
rho <- 0.5
evaluations <- expand.grid(1:nrep, n, x_test,"CQR")
no_eval <- nrow(evaluations)
up_mat <- lo_mat <- width_mat <- cov_mat <- data.frame(number = rep(0, no_eval),
rep = evaluations[,1],
nset = evaluations[,2],
X_test = evaluations[,3],
method = evaluations[,4])
colnames(width_mat) <- colnames(cov_mat) <- c("number", "rep", "sample size", "test_value","method")
set.seed(1)
X=as.matrix(runif(n,0,5))
eps1=rnorm(n)
eps2=rnorm(n)
Y=rpois(n,sin(X[,1])^2 +0.1 )+0.03*X[,1]*eps1+25*(runif(n,0,1)<0.01)*eps2
#X0=as.matrix(x_test)
X0 = runif(nrep2,0,5)
X0 = as.matrix(X0[order(X0)])
eps01=rnorm(nrep2)
eps02=rnorm(nrep2)
Y0=rpois(nrep2,sin(X0)^2 +0.1 )+0.03*X0*eps01+25*(runif(nrep2,0,1)<0.01)*eps02
beta_fixed = 0.05
mtry_fixed = 1
ntree_fixed = 100
tmp = try(conf_CQR_conditional(X, Y, beta_fixed, mtry_fixed, ntree_fixed, alpha = alpha))
while (class(tmp)=="try-error"){
tmp = try(conf_CQR_conditional(X, Y, beta_fixed, mtry_fixed, ntree_fixed, alpha = alpha),silent=TRUE)
}
width_vec_cqr = tmp$pred_set(X0, Y0)[[2]]
cov_vec_cqr = tmp$pred_set(X0, Y0)[[1]]
y_lo_cqr <- tmp$pred_set(X0, Y0)[[3]]
y_up_cqr <- tmp$pred_set(X0, Y0)[[4]]
quant_lo_cqr <- tmp$pred_set(X0, Y0)[[5]]
quant_hi_cqr <- tmp$pred_set(X0, Y0)[[6]]
#source('cqr_function_conditional.r')
method = "efficient"
split <- 1/2
beta_grid <- seq(0.01, 0.4, by=0.01)
mtry_grid <- 1
ntree_grid <- seq(50, 400, by = 50)
tmp = try(conf_CQR_reg_conditional(X, Y, split = split, beta_grid, mtry_grid, ntree_grid, method = method, alpha = alpha))
while (class(tmp)=="try-error"){
tmp = try(conf_CQR_reg_conditional(X, Y, split = split, beta_grid, mtry_grid, ntree_grid, method = method, alpha = alpha),silent=TRUE)
}
width_vec_efcp = tmp$pred_set(X0, Y0)[[2]]
cov_vec_efcp = tmp$pred_set(X0, Y0)[[1]]
y_lo_efcp <- tmp$pred_set(X0, Y0)[[3]]
y_up_efcp <- tmp$pred_set(X0, Y0)[[4]]
quant_lo_efcp <- tmp$pred_set(X0, Y0)[[5]]
quant_hi_efcp <- tmp$pred_set(X0, Y0)[[6]]
method = "valid"
split <- c(1/2,1/2)
tmp = try(conf_CQR_reg_conditional(X, Y, split = split, beta_grid, mtry_grid, ntree_grid, method = method, alpha = alpha))
while (class(tmp)=="try-error"){
tmp = try(conf_CQR_reg_conditional(X, Y, split = split, beta_grid, mtry_grid, ntree_grid, method = method, alpha = alpha),silent=TRUE)
}
width_vec_vfcp = tmp$pred_set(X0, Y0)[[2]]
cov_vec_vfcp = tmp$pred_set(X0, Y0)[[1]]
y_lo_vfcp <- tmp$pred_set(X0, Y0)[[3]]
y_up_vfcp <- tmp$pred_set(X0, Y0)[[4]]
quant_lo_vfcp <- tmp$pred_set(X0, Y0)[[5]]
quant_hi_vfcp <- tmp$pred_set(X0, Y0)[[6]]options(repr.plot.width=18, repr.plot.height=6)
par(mfrow=c(1,3))
plot(X0,Y0,pch=1,col="black",main="CQR: predicted intervals",ylim=c(-2.5,7.5), cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
a = data.frame(x = X0, y = y_lo_cqr)
b = data.frame(x = c(1:100), y = y_up_cqr)
c1 <- rgb(173,216,230,max = 255, alpha = 200, names = "lt.blue")
polygon(c(a$x, rev(a$x)), c(b$y ,rev(a$y)), col = c1,border=NA )
points(X0, quant_lo_cqr,col="blue",pch=20)
points(X0, quant_hi_cqr,col="red",pch=20)
plot(X0,Y0,pch=1,col="black",main="EFCP: predicted intervals",ylim=c(-2.5,7.5), cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
a = data.frame(x = X0, y = y_lo_efcp)
b = data.frame(x = c(1:100), y = y_up_efcp)
c1 <- rgb(173,216,230,max = 255, alpha = 200, names = "lt.blue")
polygon(c(a$x, rev(a$x)), c(b$y ,rev(a$y)), col = c1,border=NA )
points(X0, quant_lo_efcp,col="blue",pch=20)
points(X0, quant_hi_efcp,col="red",pch=20)
plot(X0,Y0,pch=1,col="black",main="VFCP: predicted intervals",ylim=c(-2.5,7.5), cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
a = data.frame(x = X0, y = y_lo_vfcp)
b = data.frame(x = c(1:100), y = y_up_vfcp)
c1 <- rgb(173,216,230,max = 255, alpha = 200, names = "lt.blue")
polygon(c(a$x, rev(a$x)), c(b$y ,rev(a$y)), col = c1,border=NA )
points(X0, quant_lo_vfcp,col="blue",pch=20)
points(X0, quant_hi_vfcp,col="red",pch=20)
print(paste0("CQR average coverage: ",mean(cov_vec_cqr), " average width: ",mean(width_vec_cqr) ))
#> [1] "CQR average coverage: 0.93 average width: 2.11166804747558"
print(paste0("EFCP average coverage: ",mean(cov_vec_efcp), " average width: ",mean(width_vec_efcp) ))
#> [1] "EFCP average coverage: 0.91 average width: 2.38413449734255"
print(paste0("VFCP average coverage: ",mean(cov_vec_vfcp), " average width: ",mean(width_vec_vfcp) ))
#> [1] "VFCP average coverage: 0.88 average width: 3.35775120043232"The black circled points in the figure above are the test data points, and the red and blue points representing the lower and upper quantile regression estimates based on quantile random forests. The shaded region visualizes the constructed prediction intervals obtained by CQR. As can be seen, our method obtained valid prediction interval. Notice how the length of constructed interval varies with X, reflecting the uncertainty in the prediction of $Y $.
Multiple runs
Now we illustrate the choice of parameters chosen by EFCP and VFCP, where there the parameters include CQR method (CQR, CQR-m or CQR-r), the number of trees and the tuning parameter β for CQR. We do 100 individual runs and compare the results. For illustration the data is generated in advance.
n <- 400
x_test = seq(0,5,by=0.2)
alpha <- 0.1 #miscoverage level
nrep <- 10 #number of independent trials
nrep2 <- 100 #number of y's for each test point x
evaluations <- expand.grid(1:nrep, n, x_test, c("efficient", "valid","CQR"))
no_eval <- nrow(evaluations)
ntree_mat <- beta_mat <- cqr_method_mat <- width_mat <- cov_mat <- data.frame(number = rep(0, no_eval),
rep = evaluations[,1],
nset = evaluations[,2],
X_test = evaluations[,3],
method = evaluations[,4])
colnames(width_mat) <- colnames(cov_mat) <- c("number", "rep", "sample size", "test_value","method")
for(idx in 1:nrow(evaluations)){
set.seed(evaluations[idx, 1])
x0 = evaluations[idx, 3]
X <- as.matrix(runif(n,0,5))
eps1 <- rnorm(n)
eps2 <- rnorm(n)
Y <- rpois(n,sin(X[,1])^2 +0.1 )+0.03*X[,1]*eps1+25*(runif(n,0,1)<0.01*eps2)
X0 <- as.matrix(rep(x0,nrep2))
eps01 <- rnorm(nrep2)
eps02 <- rnorm(nrep2)
Y0 <- rpois(nrep2,sin(X0)^2 +0.1 )+0.03*X0*eps01+25*(runif(nrep2,0,1)<0.01*eps02)
width_mat[idx,3] <- cov_mat[idx, 3] <- n
method <- evaluations[idx, 4]
if (method =="CQR"){
beta_fixed <- 0.05
mtry_fixed <- 1
ntree_fixed <- 100
tmp <- try(conf_CQR_conditional(X, Y, beta_fixed, mtry_fixed, ntree_fixed, alpha = alpha))
while (class(tmp)=="try-error"){
tmp <- try(conf_CQR_conditional(X, Y, beta_fixed, mtry_fixed, ntree_fixed, alpha = alpha),silent=TRUE)
}
width_mat[idx, 1] <- mean(tmp$pred_set(X0, Y0)[[2]])
cov_mat[idx, 1] <- mean(tmp$pred_set(X0, Y0)[[1]])
}else{ if(method == "valid"){
split <- c(1/2, 1/2)
} else {
split <- 1/2
}
beta_grid <- seq(1e-03, 4, length = 20)*alpha
mtry_grid <- unique(ceiling(seq(1/10, 1, length = 20)*d))
ntree_grid <- seq(50, 400, by = 50)
tmp <- try(conf_CQR_reg_conditional(X, Y, split = split, beta_grid, mtry_grid, ntree_grid, method = method, alpha = alpha))
while (class(tmp)=="try-error"){
tmp <- try(conf_CQR_reg_conditional(X, Y, split = split, beta_grid, mtry_grid, ntree_grid, method = method, alpha = alpha),silent=TRUE)
}
beta_mat[idx,1] = tmp$beta
ntree_mat[idx,1] = tmp$ntree
cqr_method_mat[idx, 1]= tmp$cqr_method
width_mat[idx, 1] <- mean(tmp$pred_set(X0, Y0)[[2]])
cov_mat[idx, 1] <- mean(tmp$pred_set(X0, Y0)[[1]])
}
}
pois_n400_reps100=list(x_test, n,nrep,width_mat, cov_mat,beta_mat, ntree_mat, cqr_method_mat, evaluations, alpha)
save(pois_n400_reps100, file = "pois_n400_reps100.rda" )data(pois_n400_reps100,package = "ConformalSmallest")
x_test=pois_n400_reps100[[1]]
width_mat=pois_n400_reps100[[4]]
cov_mat=pois_n400_reps100[[5]]
beta_mat=pois_n400_reps100[[6]]
ntree_mat=pois_n400_reps100[[7]]
cqr_method_mat=pois_n400_reps100[[8]]
evaluations=pois_n400_reps100[[9]]
alpha=pois_n400_reps100[[10]]
width_cqr <- sd_width_cqr <- width_efcp <- width_vfcp <- sd_width_efcp <- sd_width_vfcp <- NULL
for(x in x_test){
TMP <- width_mat[evaluations[,4] == "efficient", ]
TMP_prime <- TMP[TMP[,4] == x,]
TMP <- width_mat[evaluations[,4] == "valid", ]
TMP_prime_vfcp <- TMP[TMP[,4] == x,]
TMP <- width_mat[evaluations[,4] == "CQR", ]
TMP_prime_cqr <- TMP[TMP[,4] == x,]
width_efcp <- c(width_efcp, mean(TMP_prime[,1] ))
width_vfcp <- c(width_vfcp, mean(TMP_prime_vfcp[,1]))
width_cqr <- c(width_cqr, mean(TMP_prime_cqr[,1]))
#width_efcp <- c(width_efcp, mean(TMP_prime[,1] / TMP_prime_vfcp[,1]))
#sd_width_efcp <- c(sd_width_efcp, sd(TMP_prime[,1]/ TMP_prime_vfcp[,1])/sqrt(nrep))
#width_vfcp <- c(width_vfcp, mean(TMP_prime_vfcp[,1] / TMP_prime_vfcp[,1]))
#sd_width_vfcp <- c(sd_width_vfcp, sd(TMP_prime_vfcp[,1]/ TMP_prime_vfcp[,1])/sqrt(nrep))
#width_cqr <- c(width_cqr, mean(TMP_prime_cqr[,1] / TMP_prime_vfcp[,1]))
#sd_width_cqr <- c(sd_width_cqr, sd(TMP_prime_cqr[,1]/ TMP_prime_vfcp[,1])/sqrt(nrep))
}
cov_cqr <-sd_cov_cqr <-cov_efcp <- cov_vfcp <-sd_cov_efcp <- sd_cov_vfcp <- NULL
for(x in x_test){
TMP <- cov_mat[evaluations[,4] == "efficient", ]
TMP_prime <- TMP[TMP[,4] == x,]
cov_efcp <- c( cov_efcp, mean(TMP_prime[,1] ) )
sd_cov_efcp <- c(sd_cov_efcp, sd(TMP_prime[,1])/sqrt(nrep))
TMP <- cov_mat[evaluations[,4] == "valid", ]
TMP_prime <- TMP[TMP[,4] == x,]
cov_vfcp <- c(cov_vfcp, mean(TMP_prime[,1]))
sd_cov_vfcp <- c(sd_cov_vfcp, sd(TMP_prime[,1])/sqrt(nrep))
TMP <- cov_mat[evaluations[,4] == "CQR", ]
TMP_prime <- TMP[TMP[,4] == x,]
cov_cqr <- c(cov_cqr, mean(TMP_prime[,1]))
sd_cov_cqr <- c(sd_cov_cqr, sd(TMP_prime[,1])/sqrt(nrep))
}c1 <- rgb(173,216,230,max = 255, alpha = 80, names = "lt.blue")
c2 <- rgb(255,192,203, max = 255, alpha = 80, names = "lt.pink")
oldpar=par(mfrow=c(1,2))
plot(factor(cqr_method_mat[evaluations[,4] == "valid",1]),col=c1, main="EFCP",cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5,xlab="Method",ylab="Frequency")
#legend("right", legend=c("EFCP", "VFCP"),fill=c(c1, c2))
plot(factor(cqr_method_mat[evaluations[,4] == "efficient",1]),col=c2, main="VFCP",cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5,xlab="Method",ylab="Frequency")
The above plot shows that among the three conformal quantile regression
methods: CQR, CQR-m, CQR-r, both EFCP and VFCP uses CQR the most.
oldpar=par(mfrow=c(1,2))
hist(ntree_mat[evaluations[,4] == "efficient",1],col=c1,breaks=ntree_grid,main="EFCP",xlab="ntree",cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
hist(ntree_mat[evaluations[,4] == "valid",1],col=c2,breaks=ntree_grid,main="VFCP",xlab="ntree",cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
The histograms of ntree shows that for both EFCP and VFCP, it doesn’t happen necessarily that a larger number of ntree would lead to a better performance, and that the two algorithms behave similarly when in the choice of this parameter.
oldpar=par(mfrow=c(1,2))
hist(beta_mat[evaluations[,4] == "efficient",1],col=c1,breaks=seq(range(beta_mat[,1])[1],range(beta_mat[,1])[2],0.1),main="EFCP",xlab=expression(beta),cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
hist(beta_mat[evaluations[,4] == "valid",1],col=c2,breaks=seq(range(beta_mat[,1])[1],range(beta_mat[,1])[2],0.1),main="VFCP",xlab=expression(beta),cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
The above histograms shows that both EFCP and VFCP tend to choose β close to zero.
Conditional coverage and width
oldpar=par(mfrow=c(1,2))
plot(x_test, width_efcp, type = 'l', ylim = c(0,10), lwd = 2,ylab="Width", cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
#lines(x_test, width_efcp - sd_width_efcp, type = 'l', lty = 2, lwd = 2)
#lines(x_test, width_efcp + sd_width_efcp, type = 'l', lty = 2, lwd = 2)
lines(x_test, width_vfcp, type = 'l', ylim = range(c(width_efcp, width_vfcp)), lwd = 2, col = "red")
#lines(x_test, width_vfcp - sd_width_vfcp, type = 'l', lty = 2, lwd = 2, col = "red")
#lines(x_test, width_vfcp + sd_width_vfcp, type = 'l', lty = 2, lwd = 2, col = "red")
lines(x_test, width_cqr, type = 'l', ylim = range(c(width_efcp, width_vfcp)), lwd = 2, col = "blue")
legend("topright", legend=c("EFCP", "VFCP","CQR"),
col=c("black","red", "blue"), lty=1, lwd=2)
plot(x_test, cov_efcp, type = 'l', ylim = c(0, 1), lwd = 2,ylab="Conditional Coverage", cex.lab=1.5, cex.axis=1.5, cex.main=1.5, cex.sub=1.5)
lines(x_test, cov_vfcp, type = 'l', col = "red", lwd = 2)
lines(x_test, cov_cqr, type = 'l', col = "blue", lwd = 2)
legend(0,0.2, legend=c("EFCP", "VFCP","CQR"),
col=c("black","red", "blue"), lty=1)
abline(h = 1-alpha,lty=2)
print(paste0("CQR average coverage: ",mean(cov_cqr), " average width: ",mean(width_cqr) ) )
#> [1] "CQR average coverage: 0.914846153846154 average width: 2.34780819664582"
print(paste0("EFCP average coverage: ",mean(cov_efcp), " average width: ",mean(width_efcp) ) )
#> [1] "EFCP average coverage: 0.885384615384615 average width: 2.00701327764938"
print(paste0("VFCP average coverage: ",mean(cov_vfcp), " average width: ",mean(width_vfcp) ) )
#> [1] "VFCP average coverage: 0.905807692307692 average width: 2.60488638005523"
par(oldpar)