Majority vote ensembles of conformal predictors

Abstract

We study majority vote ensembles of ε-valid conformal predictors (CP). We show that the prediction set Γ η produced as the majority vote among the prediction sets Γiε of k independent ε-valid CPs is also valid, for some significance level η; we provide a method to compute ε to achieve a desired η. We further indicate an error upper bound for an ensemble of correlated CPs, and derive a value ε for which such an ensemble guarantees η conservative validity. We evaluate empirically our findings, and compare them with alternative strategies for combining CPs’ predictions.