The ninety first UQSay seminar on UQ, DACE and related topics will take place online on Thursday afternoon, December 4, 2025.
2–3 PM — Iain Henderson (ISAE-SUPAERO)
Multidimensional conformal prediction with random ellipsoids
Conformal prediction (CP) is a popular framework for performing uncertainty quantification on a given a statistical predictor. Its main perks are as follow : (i) little to no assumption on the distribution of the data is required, and (ii) CP provides finite sample coverage garanties. The CP confidence regions are built using a so-called ''conformity score'', which dictates the properties of the said regions. In this talk, I will describe two new conformity scores in a general multivariate regression framework. They are based on a covariance analysis of the residuals and the input points. I will provide theoretical guarantees on the prediction sets, which consist in explicit ellipsoids. We study the asymptotic properties of the ellipsoids, and show that their volume is reduced compared to that of classic balls, under ellipticity assumptions. I will provide numerical illustrations of our results, including heavy-tailed as well as non-elliptical distributions.
References:
Joint work with Adrien Mazoyer & Fabrice Gamboa (Institut de Mathématiques de Toulouse).
Organizing committee: Pierre Barbillon (MIA-Paris), Julien Bect (L2S), Nicolas Bousquet (EDF R&D), Vincent Chabridon (EDF R&D), Amélie Fau (LMPS), Filippo Gatti (LMPS), Clément Gauchy (CEA), Bertrand Iooss (EDF R&D), Alexandre Janon (LMO), Sidonie Lefebvre (ONERA), Didier Lucor (LISN), Sébastien Petit (LNE), Emmanuel Vazquez (L2S), Xujia Zhu (L2S).
Coordinators: Sidonie Lefebvre (ONERA) & Xujia Zhu (L2S)
Practical details: the seminar will be held online using Microsoft Teams.
If you want to attend this seminar (or any of the forthcoming online UQSay seminars), and if you do not already have access to the UQSay group on Teams, simply send an email and you will be invited. Please specify which email address the invitation must be sent to (this has to be the address associated with your Teams account).
You will find the link to the seminar on the "General" UQSay channel on Teams, approximately 15 minutes before the beginning.
The technical side of things: you can use Teams either directly from your web browser or using the "fat client", which is available for most platforms (Windows, Linux, Mac, Android & iOS). We strongly recommend the latter option whenever possible. Please give it a try before the seminar to anticipate potential problems.
