Copula Transformations for Data-Consistent Inversion

Data-consistent inversion (DCI) constructs probability measures whose push-forward distributions agree with observed data, while iterative data-consistent inversion (iDCI) extends this framework to generalized stochastic inverse problems by enforcing multiple push-forward constraints sequentially. Although iDCI avoids the direct approximation of high-dimensional joint densities, its relationship to the original joint DCI solution has remained unclear. In this work, we establish this relationship through copula theory. Using Sklar's theorem, we derive a factorization of the DCI update into separate marginal and dependence transformations and show that the discrepancy remaining after convergence of the iDCI algorithm is entirely characterized by the copulas associated with the observed and predicted joint distributions. This characterization motivates a copula-transformed iDCI solution, and we prove that an exact copula transformation recovers the original DCI solution. We further establish convergence results for approximate copula transformations under converging sequences of reference measures and progressively enriched feasible sets. Numerical examples demonstrate how the geometry induced by the quantity-of-interest map governs the importance of the copula transformation, illustrate an adaptive reference-measure refinement strategy for improving computational accuracy under a fixed sampling budget, and demonstrate the progressive refinement of generalized stochastic inverse problems through heterogeneous, asynchronously acquired experiments.

A Unified Perspective on Conformal Prediction and Wasserstein Distributionally Robust Optimization for Uncertainty Quantification

Uncertainty quantification from finite data is central to machine learning, optimization, and automation systems, where decisions must remain reliable under limited samples and test-time distribution shift. Conformal prediction (CP) and distributionally robust optimization (DRO) offer two complementary approaches: CP constructs data-dependent prediction sets with distribution-free finite-sample validity under exchangeability, while DRO optimizes worst-case performance over an ambiguity set around an empirical distribution. We develop a unified probabilistic perspective on CP and DRO by viewing both as ways to turn finite calibration data into a data-dependent quantile estimator that a test score falls below with high probability. From this perspective, CP and DRO correct the empirical quantile along two coordinates of the same family of estimators: CP inflates the quantile level, whereas DRO shifts the quantile value through an ambiguity radius. Both methods provide the same calibration-conditional guarantee for the true distribution, requiring the target coverage to hold with high probability over the calibration sample. Their constructions differ, however: CP uses a closed-form, distribution-free level correction, while DRO uses a value-space correction whose certified radius depends on properties of the unknown distribution and additionally guarantees coverage uniformly over the ambiguity set. This distinction emerges in the tails of the score distribution. Because CP relies on sparse upper-tail order statistics of the calibration samples, its level inflation barely moves the estimator when those samples are dense near the target quantile but overshoots when they are sparse, whereas a well-chosen DRO radius corrects in value space and may avoid this overshoot.

Information-Based Calibration of Uncertainty Quantification in Product-of-Experts Gaussian Process Models

Gaussian process (GP) regression with a single global GP (GP-glo) incurs cubic computational cost, limiting scalability to large datasets. Product-of-experts GP models (GP-pro), which combine local GP models to capture global correlations, alleviate this computational burden. However, training local experts on disjoint data subsets can lead to overestimated posterior variances. We propose GP-pro-c, a product-of-experts GP model that calibrates these variances using an information-based method. The method exploits the monotonicity and submodularity of information gain in GPs to define a calibration ratio that reduces the posterior variance of individual local GP models. We evaluate GP-pro-c using negative log-likelihood (NLL), root mean squared error (RMSE), and expected normalised calibration error (ENCE). Experiments on four synthetic functions and six regression datasets show that GP-pro-c achieves average reductions of 2.3% in NLL and 12.0% in ENCE compared with the uncalibrated GP-pro model. The proposed method mitigates posterior variance overestimation while maintaining predictive accuracy and reducing computational complexity. GP-pro-c provides a promising approach for uncertainty estimation in scalable GP models and may serve as a useful surrogate model for Bayesian optimisation with high-dimensional and large-scale data.

Why not to use the Gaussian kernel

Kernels measure similarity or correlation in tasks such as regression and classification. The Gaussian kernel, other names of which include squared exponential and radial basis function kernel, is one of the most popular in Gaussian process regression. We argue that the Gaussian kernel is best avoided and should never be used as a default. The argument rests on two results demonstrating that the Gaussian kernel is extremely brittle. First, the Gaussian kernel gives rise to a conditional variance that is unrealistically small. If the variance is used to quantify predictive uncertainty, catastrophic overconfidence is almost inevitable. Second, a small variance goes hand in hand with numerical ill-conditioning, so that to use the Gaussian kernel in practice requires tricks such as nugget terms that effectively modify the underlying regression or classification model. These problems are caused by the unnatural smoothness of the Gaussian kernel, a fact we are far from the first to take notice of. The problem is not the Gaussian form itself but the analyticity of the kernel: Our argument is more broadly that analytic kernels are best avoided. For stationary kernels analyticity is essentially equivalent to an exponential decay of the spectral density.

Bayesian methods and Markov chain Monte Carlo algorithms for curve reconstruction and point cloud data analysis

Point-cloud data routinely captured by modern imaging and sensor technologies provide detailed geometric descriptions of objects and environments, but their analysis is hindered by large data volumes, localization noise, and missing information. In addition, existing point-cloud reconstruction pipelines typically return a single best-fit structure without uncertainty quantification. We introduce a fully Bayesian framework for representing point-cloud data and reconstructing closed curves, in which observed points are modeled as noisy perturbations of latent locations constrained to lie on the underlying curve that is regularized by a non-parametric prior. Posterior inference in our framework is carried out using a series of Markov chain Monte Carlo samplers tailored to point-cloud characteristics. Numerical experiments, including synthetic examples and real-world LiDAR datasets, show accurate reconstructions and quantified uncertainty over the recovered curves.

Forecasting Multiple Observables with SCROLL: Score-Trained Uncertainty for Stochastic Dynamics

Forecasting a stochastic dynamical system rarely means a single number: one wants several observables---future state, threshold event, regime label---each with its own likelihood. Standard multi-task recipes balance per-task losses, tuned or learned. We instead compose the observables' likelihoods in per-task free-routed last-layer beliefs on a shared backbone; this absorbs unit-dependent loss scaling into likelihood parameters learned in the same gradient pass. Stochastic dynamics supply what static benchmarks cannot: computable ground truth for the predictive variance. Results land where theory puts them: on the well-specified, homoscedastic Ornstein--Uhlenbeck process the learned predictive law recovers the analytic kernel and correctly specified baselines tie. On heteroscedastic systems (stochastic Lorenz-63, real air-quality data) the belief's input-dependent variance separates: best single-run NLL on the state and regime tasks, calibration matched only by arms whose NLL it beats, at a fraction of the tuned grids' cost. On the real series the state margin holds across five rolling origins.

Replicable Conformal Prediction

Two analysts who calibrate the same predictive model on independent samples will deploy different prediction sets every time, because the calibration threshold inherits the randomness of the data. Wherever deployments must be audited, cached, or approved across sites, this instability is costly: no one can verify that two calibrations produced the same object. We ask two questions: when can independent calibrations yield the identical classifier, and what must that agreement cost? Perfect agreement is impossible, since a procedure that almost always returns one fixed answer cannot remain valid for every distribution, and exact agreement through shared randomness forces the procedure to ignore its data. Sharing a single random seed and rounding the calibrated threshold up to a coarse shared grid resolves the tension: the deployed classifier becomes identical across analysts with any desired probability, coverage guarantees survive, and the price is a quantified increase in set size and calibration data. Matching lower bounds show that no threshold method can pay less, and the method's one tuning constant vanishes asymptotically. Without any shared seed, a fixed grid still confines all analysts to two adjacent classifiers, and no method does better. Replicability also blocks gaming: selecting the most favorable of many recalibrations barely moves a replicable classifier, while the same selection silently undercovers standard conformal prediction. Experiments on real ImageNet outputs, a four-hospital site split, and four language-model families match the theory, including the measured sample-cost frontier.

Reaching the Tail: Calibration Diversity Drives Conformal Coverage under Data Scarcity

Multi-horizon rare-event forecasting is hard under long macroeconomic series' data constraints: labeled events are scarce, and standard uncertainty quantification assumes an exchangeability that autocorrelation violates. A controlled ablation shows an apparent rare-event threshold for Adaptive Conformal Inference instead reflects calibration-set size. Across 200 random calibration sets, support width of the nonconformity-score distribution explains up to 85% of coverage variance versus 2% for rare-event count; the same, not the same magnitude, replicates across synthetic conditions and five countries (five-country Spearman $ρ$ 0.45-0.66 vs. 0.02-0.23). A diversity-maximizing selector built on this is the only strategy tested that improves long-horizon coverage (67.8% to 81.4% at six months); Mondrian, shift-robust, and extreme-value alternatives fail to close it. Mondrian even worsens coverage under oracle labels. A compact proposition explains why: coverage deficit reflects how closely the calibration set's upper quantile reaches the test distribution's. Diversity is necessary, not sufficient. Demonstrated on a two-stage U.S. recession-forecasting framework with RegressorChain, whether six-month coverage reaches 90% under honest scoring remains open, a question this paper quantifies rather than resolves.

Across-Design Uncertainty in Short Pricing Panels: Inference and Identification

Short observational pricing panels often contain many observations but few distinct price movements. We evaluate the inferential consequences of this sparsity in a synthetic data-generating process by separating estimation error into uncertainty conditional on a realized price trajectory and variation across alternative trajectories. In baseline simulations, this across-design component accounts for 97.6% of estimation error variance for a gradient-boosted specification, causing coverage shortfalls driven by design-specific centering error that standard within-panel resampling and cluster-robust procedures fail to capture. Three main results organize the analysis. First, across-design dispersion follows the empirical relation sigma_b approx 0.182 V^(-0.271), where V = n_moves * magnitude^2, with -0.271 treated as a simulation regularity. Second, adding regions sharing a common price path improves nuisance estimation but creates no independent price trajectories; only averaging across units with independent design errors reduces across-design standard deviation at the sqrt(k) rate. Third, a Paule-Mandel variance component estimated across independently priced units increases empirical coverage under homogeneity from 0.469 to 0.931. Broadly, improving inference in passive panels requires generating independent identifying variation, such as through controlled regional randomization. Finally, an application to scanner data (Dominick's Finer Foods, Soft Drinks) confirms these findings: nominal price zones and products behave as a small fraction of their count in independent design draws, yielding between-unit dispersion intervals far wider than conventional within-panel bootstraps.

Let Time Tell: Identification and Gaussian Process Estimation for Interrupted Time Series

We study causal inference in interrupted time series designs where a treatment affects every unit simultaneously, so that the contemporaneous controls used by difference-in-differences and synthetic control are unavailable and the counterfactual must be extrapolated from a unit's own pre-treatment history. We establish identification within the potential outcomes framework and estimate the counterfactual by Gaussian process regression. Rather than committing to a single best-fitting trend, the estimator retains the functions consistent with the pre-treatment series and widens its intervals where extrapolation magnifies their divergence. Connecting it to reproducing kernel Hilbert space theory, we derive a bias decomposition that isolates the component extrapolation inflates and a worst-case bound on that component, justifying the Gaussian process estimator's posterior variance as extrapolation-aware uncertainty quantification. In closed form, the band equals the worst-case divergence the model class permits among functions consistent with the pre-treatment data. The method is illustrated with calibrated simulations and an analysis of handgun purchases after the Supreme Court's Heller decision, a universal treatment whose practical effect concentrates in a single jurisdiction. An R package, gpss, implements the approach.

Physical-Support Confidence Sets for Highly Coherent Dictionaries

Sparse pursuit after dictionary learning can yield a precise atom support even when its physical interpretation is not justified by the calibration data, especially for highly coherent dictionaries where alternative calibration-compatible dictionaries may assign different physical meanings to the same selected support. We develop resolution-aware physical-support inference that jointly accounts for uncertainty in the learned dictionary and in the representation of a deployment signal. Our cross-dictionary confidence correspondence retains calibration-compatible dictionaries and deployment-compatible sparse representations, then projects the surviving explanations onto physical-support space. For local coherent-atom classes with separation scale s, once the deployment data resolve the coherent-block explanation and its atom support, the minimax physical resolution from N calibration signals satisfies $δ_{\mathrm{opt}}(N,s)\asymp\min\{s,\frac{1}{\sqrt{N}s^2}\}$, with relative resolution governed by the orientation-information scale $Ns^6$. Deployment replication improves physical localization only when orientation changes cannot be absorbed by adjusting the active coefficients. For computation, we introduce active endpoint bracketing (AEB), an adaptive finite-bank procedure that evaluates only candidates that can still affect the physical report and otherwise safely coarsens or abstains. Finite-bank experiments, including a four-region synthetic application, show that a point-valued plug-in selector can be physically overprecise, whereas AEB avoids unsupported refinement with fewer candidate evaluations.

Inference and Uncertainty Quantification for Streaming $r$-PCA

We address two open questions in streaming PCA via Oja's algorithm: sharp operator-norm convergence for general rank under sub-Gaussian data, and distributional inference for the resulting subspace estimator. Existing convergence analyses, even in the rank-one case, either assume bounded data or leave non-vanishing remainder terms that prevent adaptation to a polynomially vanishing tail spectrum, while existing distributional results are confined to the rank-one case. Our convergence theory removes these remainder terms and yields a sharp rate. In the dense-tail spiked covariance regime, this rate matches the minimax rate up to logarithmic factors. More generally, we prove a matching lower bound, up to logarithmic factors, across both dense-tail and sparse-tail regimes under a mild nondegeneracy condition. The analysis yields a linearization of Oja's iterates, which in turn enables a high-dimensional Gaussian approximation for the general-rank subspace estimation error with an explicit limiting covariance. We also establish a row-wise Gaussian approximation over convex sets for the aligned difference, recovering prior rank-one results as special cases. For practical inference, we develop an online multiplier bootstrap algorithm and prove its consistency. Beyond streaming PCA, our techniques contribute to Gaussian approximation and bootstrap inference for nonconvex stochastic approximation.

H$^2$EDL: Hyper Evidential Deep Learning for Hierarchical Classification

Fine-grained recognition often involves hierarchical label spaces, where a model may be confident about a coarse semantic concept while remaining uncertain among its descendant classes. Such structured ambiguity requires uncertainty representations that capture both fine-grained classes and intermediate concepts. However, existing tools each capture only half of it: flat evidential classifiers quantify total ignorance with a single vacuity on the leaf frame, and hierarchical classifiers propagate point probabilities with no notion of evidence. Hyper-opinions would unify the two, but their general form is exponential in the label count, and existing hyper-evidential networks either require composite labels to be supplied in the training data or read them off an unstructured weight pattern, with no principled notion of which composites deserve mass. We observe that the taxonomy itself is the missing hyperdomain. Its subtrees and leaf singletons form a linear-size focal family, and one local Dirichlet opinion per branching node induces every composite mass in closed form. The resulting model, H$^2$EDL, can be interpreted in two complementary ways using the same set of parameters. From a prediction perspective, it functions as a hierarchical classifier that preserves consistency across different levels of the label tree. From a probabilistic perspective, it defines a valid tree-structured hyper-opinion, where the mass assigned to each node represents the belief that reaches that node but does not provide sufficient confidence to further specialize into its descendants. On FGVC-Aircraft and DERM12345, H$^2$EDL reduces calibration error by approximately half compared with cross-entropy baselines, with the improvement becoming more pronounced at deeper hierarchy levels and under larger training budgets.

SPACE: Sample-cloud Predictive Adaptive Conformal Ellipsoids for Multivariate Time-Series Forecasting

Modern probabilistic time-series forecasters often express uncertainty through forecast samples. While typically converted into nominal prediction regions using empirical quantiles, these model-implied sets lack formal coverage guarantees and frequently deviate from nominal targets under distribution shift. Existing multivariate conformal methods can calibrate these regions online, but they typically estimate geometry from historical residuals using fixed or accumulating look-back windows. This reliance on the past limits their ability to exploit the instantaneous dependence structure of current predictions and leaves them vulnerable to stale-regime contamination. To address this, we propose SPACE, a conformal wrapper for sample-generating multivariate forecasters. SPACE constructs ellipsoidal joint prediction regions by estimating time-local covariance geometry directly from the current forecast sample cloud, calibrating the region's radius via a dynamic backward window-selection scheme. Across diverse multivariate datasets, probabilistic forecasters, and conformal baselines, SPACE consistently brings realized joint and rolling coverage closer to the nominal target, achieving superior coverage-efficiency tradeoffs relative to competing wrappers.

Dynamic Regime-Aware Conformal Calibration for Reliable Economic Forecast Intervals under Multiple Distribution Shifts

Conformal prediction provides distribution-free prediction intervals but relies on exchangeability, an assumption often violated in economic forecasting because of covariate shift, concept drift, local heterogeneity and latent regimes. We propose Dynamic Regime-Aware Conformal Prediction (DRACP), which combines density-ratio, localized kernel and probabilistic regime-aware weighting with a self-tuning online significance controller in a unified weighted conformal calibration framework. We distinguish three theoretical results: finite-sample validity under oracle importance weights, a coverage-gap bound for estimated weights with rates in effective sample size, and deterministic or regret guarantees for the online controller. We evaluate DRACP against six baselines on 48 real forecasting series covering euro-area and EU-27 HICP inflation, US macroeconomic and energy indicators, and daily financial series. Recent online methods (FACI, strongly-adaptive online conformal prediction and conformal PID) were verified against the authors' implementations. DRACP is not the most efficient method: strongly-adaptive online conformal prediction achieves the best interval score and intervals about 20% narrower. Instead, DRACP provides the most reliable calibration, achieving coverage closest to the nominal 0.90 (0.890), never falling below 0.80 on any series, maintaining the best coverage at all forecast horizons, and performing best during the 2021-2023 inflation surge. The strongly-adaptive method undercovers on 20 of 48 series versus 10 for DRACP. DRACP therefore offers a principled trade-off between calibration and efficiency, favoring reliable coverage when prediction intervals must satisfy coverage standards. An ablation study shows that the online controller and conditional-scale normalization provide most of the performance gain, whereas the weighting components make a smaller contribution.

Coded Hankel Polynomial Chaos: Spectral Identification of Dominant Polynomial-Chaos Modes

Identification of dominant polynomial-chaos modes is usually formulated as a sparse-regression problem on a sampled multivariate polynomial dictionary. We develop coded Hankel polynomial chaos (CH-PC), a complementary spectral formulation for dominant-mode identification. A finite generating transform converts PCE coefficients into a coefficient-generating polynomial, and evaluation along a geometric phase orbit produces a finite exponential sum. Its model order and spectral nodes are encoded by low-rank Hankel matrices, while coordinate phase shifts attach root-of-unity labels from which the full polynomial multi-indices are recovered. Coordinate-shifted probes are combined as common-node snapshots, and independent phase encodings provide redundant representations when a single spectral encoding is poorly conditioned. For finite observations, population, finite-data, and observed probes are kept distinct: sampling or quadrature error and observation error enter as separate Hankel perturbations, which are then connected to spectral stability, discrete decoding, and phase voting. For tensor-product candidate sets, the generating kernel factorizes into one-dimensional sums and can be evaluated without assembling the full multivariate PCE design matrix. Numerical experiments on sparse Legendre benchmarks and a stochastic Darcy problem illustrate exact recovery, noise stabilization, unknown-order identification by phase persistence, and dominant-mode recovery for a PDE-generated quantity of interest.

Prediction Inference of Time Series with Standard ReLU Deep Neural Networks

We propose a methodology based on the standard ReLU Deep Neural Networks (DNN) to make predictions and quantify their uncertainty. Classically, people rely on linear, non-linear, or non-parametric kernel methods to fit and then predict the time series. As the universal approximation ability was revealed for DNN, its application has become more and more popular for prediction tasks in various scientific areas. However, the corresponding uncertainty quantification has not been studied thoroughly. Particularly, the uncertainty in prediction will consist of two parts: (1) the future variability; (2) the estimation variability within training data. To capture both variabilities, we build the so-called pertinent prediction interval (PPI) with the DNN model estimator. We first explore the consistency property of the DNN estimator with beta-mixing dependent data. Subsequently, we show that the implied forward bootstrap series is still beta-mixing and possesses the same stationary distribution as the original time series in probability, which is a key condition to enable the PPI. Lastly, the desired PPI is built after imposing minimal conditions on the limiting distribution of predictive roots. Simulations and real-data analysis are deployed to challenge our approach with standard non-parametric methods.

On the Brittleness of Maximum Likelihood Estimation for Gaussian Process Hyperparameter Optimization

Machine learning (ML) has become an indispensable part of modern engineering design workflows. A crucial step in training an ML model is the selection of the loss function which can be systematically formulated via various techniques such as maximum likelihood estimation (MLE) and cross-validation . While MLE is one of the most popular, effective, and intuitive mechanisms for training ML models, it is brittle: if the assumptions underpinning it are not met, the trained ML model may generalize poorly. This brittleness affects even Gaussian processes (GPs) which are widely used in engineering design and are often (incorrectly) presumed to be very robust to overfitting. In this paper, we fundamentally evaluate the brittleness of MLE in the context of training GPs for probabilistic regression or classification tasks. We compare theoretically grounded metrics against MLE and propose practical solutions. Our extensive studies demonstrate the effectiveness of our solutions in downstream design tasks such as Bayesian optimization and provide a blueprint for practitioners to build accurate and robust GPs that can even outperform tabular foundation models in terms of prediction accuracy, uncertainty quantification, and inference cost. Our contributions are publicly available via GitHub at https://github.com/Bostanabad-Research-Group/GP-vs-TabPFN-vs-GPyTorch.

Robust Ambiguity Detection (RAD) From Model- and Feature-Space Consistency

Machine learning models should be robust, in the sense of remaining predictively consistent under permissible variations. A model's predictions should ideally remain unchanged when it is replaced by a functionally equivalent one, or when its inputs are subject to minor, admissible perturbations. If such changes alter a prediction significantly, then the prediction is "ambiguous" with respect to the model. Models should abstain from making such ambiguous predictions and/or should flag them for human inspection, especially in high-stakes decision-making scenarios. However, in practice, such ambiguity is not easy to identify once a model is deployed. Here, the Robust Ambiguity Detection (RAD) framework is advanced for quantifying predictive ambiguity using two complementary metrics: Model-Space Consistency and Feature-Space Consistency. These two scores, the RAD Score-Pair, visualised through the RAD Plot, provide an interpretable characterisation of the sources of ambiguity and the actions a user may consider in response. RAD is evaluated on synthetic datasets with systematically controlled overlap, as well as several real-world datasets where the level of ambiguity cannot be directly inspected. Finally, we demonstrate a downstream application of RAD where samples are ranked by their RAD Pareto-Rank and the most ambiguous are abstained from prediction, achieving performance comparable to existing rejection-based approaches.

Retrieval-Corrected Conformal Prediction for Time Series

Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, where forecast errors are temporally dependent and change across time and operating conditions. Recent time series CP methods improve local calibration using recent, weighted, or localized residuals. Yet local calibration can remain indirect, since broad residual weighting or additional adaptation procedures may dilute the evidence most relevant to the current prediction. This motivates a simple retrieval and correction strategy that selects similar past residuals as local evidence and then corrects the coverage error left by retrieval. In this paper, we propose Retrieval--Corrected Conformal Prediction (RCCP), a retrieval-augmented calibration method for time series prediction intervals. RCCP builds an asymmetric interval from retrieved one-sided residuals and calibrates its normalized retrieval error with a scalar conformal correction. Thus, retrieval provides local residual evidence, while conformal correction determines the final scale needed for coverage. We provide a coverage-gap bound based on the stability of the normalized retrieval error distribution. Across standard benchmarks and backbone forecasters, RCCP attains the target coverage in every setting and achieves the lowest Winkler scores, with fewer severe misses. RCCP also achieves low calibration and inference overhead, showing that retrieval-corrected calibration is an effective and scalable approach to uncertainty quantification in time series forecasting. Code is available at https://github.com/jinsaaang/rccp.

ELVAE: Evidential Learning-Based Variational Autoencoder for Uncertainty-Aware Generation

Variational autoencoders generate samples from probabilistic latent representations but do not distinguish uncertainty about the latent location from variability around it. We formulate ELVAE, an evidential learning-based VAE in which each latent coordinate is governed by an input-dependent normal-inverse-gamma posterior. This hierarchy yields an explicit latent-location uncertainty that can be used during generation, not merely reported after inference: low-uncertainty anchors support more reliable synthetic samples, while high-uncertainty anchors can be deliberately exploited for stress testing. The objective is an exact evidence lower bound, and we show that direct regularization of the full hierarchy is required, since the marginalized latent law alone cannot identify the uncertainty decomposition. In an MNIST generation pilot with a frozen external classifier, this uncertainty clearly stratified the semantic reliability of generated digits. A zero-displacement control revealed that most of the effect reflects how reliably an anchor can be re-generated, while a smaller but distinct component is attributable to uncertainty-scaled perturbation itself. The effect holds only under within-class uncertainty ranking, and its magnitude varies across seeds. These findings support the learned latent-location uncertainty as a practical control variable for uncertainty-aware generation, separating anchor reliability from perturbation-induced failure.

Bayesian Symbolic Regression with Entropic Reinforcement Learning

Symbolic regression is the problem of finding an algebraic expression describing a stochastic dependence of a target variable on a set of inputs. Unlike forms of regression that fit parameters assuming a fixed model structure, symbolic regression is a search problem over the space of expressions, represented, for example, as abstract syntax trees using a library of operators. Symbolic regression is typically used in settings with limited, noisy data in the natural sciences. However, searching for a single best-fitting expression fails to capture the epistemic uncertainty about the expression, which motivates a Bayesian perspective that enables uncertainty quantification and specification of natural priors to constrain the search space. In this work, we propose ERRLESS (Entropy-Regularized Reinforcement Learning for Expression Structure Sampling), a scalable approach for sampling from the posterior distribution over expressions given data using maximum-entropy reinforcement learning. ERRLESS learns a neural policy that constructs expressions sequentially by building up their abstract syntax trees. At convergence, the policy samples expressions from the posterior. At test time, expressions can be sampled by rollouts of this policy. We demonstrate that ERRLESS achieves competitive results on the Feynman benchmark while producing short and interpretable expressions. Additionally, we demonstrate that the mean of the posterior predictive approximated by ERRLESS achieves a high coefficient of determination ($R^2$) compared to an SMC baseline, highlighting the benefits of the Bayesian perspective in symbolic regression.

Conformal Calibration for Multi-Modal Regression with Missing Modalities

Prediction intervals for multi-modal regression with tabular variables, text, images, or other input sources are difficult to calibrate when those sources disagree or one is missing. A single global quantile averages these regimes together instead of calibrating to the modality pattern observed at test time. We address this through a modality-aware conformal calibration layer. The layer trains or reuses one predictor per modality, computes a disagreement score from their predictions, and uses that score in split conformal calibration under a strict split protocol. We use the score in two complementary ways. First, a continuous disagreement-scaled method reallocates interval width across examples while preserving the usual marginal split-conformal guarantee. Second, a Mondrian (stratified) method calibrates within groups defined by disagreement or modality availability fixed before calibration, giving group guarantees under joint exchangeability of the calibration and test examples. Across four multi-modal datasets, the disagreement-scaled layer matches or improves the marginal conformal baseline in 59 of 60 paired runs for interval continuous ranked probability score (CRPS) and in 52 of 60 for interval width, while keeping empirical coverage near the 95% target. In stress tests with missing modalities, mask-matched recalibration recovers up to 19.5 percentage points of coverage in the hardest fixed-mask regime. The result is a simple, model-agnostic reliability layer for multi-modal regression systems. A project page is available at https://unco3892.github.io/modality-aware-conformal.

Online Conformal Prediction Beyond Feedback

Uncertainty quantification is essential when deploying machine learning models in safety-critical applications. Online conformal prediction (OCP) provides theoretically principled uncertainty quantification for arbitrary black-box classifiers and non-i.i.d. data streams by constructing prediction sets that are guaranteed to contain the true label at a user-specified frequency. OCP usually updates prediction sets using feedback from previously deployed predictions. We instead study an OCP setting beyond feedback: on each round, the learner can either output a prediction set or query the correct label, but not both. Thus, no deployed prediction is ever evaluated directly. We reduce this problem to a partial monitoring game in which prediction actions return no observation and a separate query action reveals the label. The reward function is constructed in a way that encourages the learner to output small prediction sets while ensuring that the correct label is covered with a sufficiently high probability. To solve this game, we develop OCP with queries (OCPQ) by adapting the label efficient forecaster of Cesa-Bianchi, Lugosi, and Stoltz (2004) to our setting. For any black box classifier and any (non-i.i.d.) oblivious data stream of length $T$, OCPQ has $O(T^{2/3})$ expected regret and expected coverage at least $β-O(T^{-1/3})$ for a user-defined $β$, while querying only an expected $T^{-1/3}$ fraction of rounds. This provides coverage comparable to bandit-based OCP methods while requiring no feedback from deployed prediction sets. Experiments on real-world datasets further demonstrate the effectiveness of our approach.

Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications

We consider the optimization of the Optimized Certainty Equivalent (OCE) risk, with applications including portfolio optimization in finance, and uncertainty quantification, classification, and regression in machine learning. Our contributions cover popular special cases of OCE, such as entropic risk, mean-variance risk, and smooth variants of Conditional Value-at-Risk. Our treatment sets out the conditions that facilitate the extension of OCE to unbounded r.v.s.. We provide a useful characterization of OCE that links OCE to utility-based shortfall risk (UBSR). Our characterization enables us to form an OCE estimator from the classic sample-average approximation (SAA) of UBSR. We derive mean-squared error (MSE) bounds for our proposed OCE estimator. For OCE optimization, we first derive an expression for the OCE gradient using the characterization linking OCE to UBSR. This expression serves as the basis for a gradient estimator for the OCE. We derive non-asymptotic bounds on the MSE for the proposed OCE gradient estimator. We incorporate the aforementioned gradient estimator into a stochastic gradient (SG) algorithm to optimize OCE and quantify its convergence rate using non-asymptotic bounds that we derive. Finally, we present three experiments that use our OCE optimization algorithm to solve portfolio optimization and uncertainty quantification problems.

Hybrid Probabilistic Zonotopes for Identifiable and Refinable Predictive Uncertainty

Probabilistic prediction heads in neural networks typically output either a Gaussian mixture or a single conformal region. Neither separates the distinct sources of uncertainty often present in real prediction tasks: a discrete choice among modes, bounded systematic drift within the chosen mode, and irreducible stochastic noise. We introduce the Hybrid Probabilistic Zonotope (HProbZ), an output head that represents these three sources as binary, bounded, and stochastic generators of a zonotope, and admits a closed-form likelihood by convolution. Sharing the bounded generator across prediction steps couples future predictions algebraically, so observing one step refines the predictive distribution at every remaining step in a single forward pass. We establish that the three generators are identifiable from the likelihood up to permutation, and that an HProbZ density is representationally distinct from any finite Gaussian mixture. The same shared structure provides analytic per-mode risk and distribution-free multi-modal conformal sets at inference time. Empirical analysis on representative prediction benchmarks supports the effectiveness of the design relative to same-encoder mixture baselines, while offering structural properties that mixture or convex-conformal predictors do not jointly provide.

Private Generative Bootstrap via Blocking

With AI systems gaining more access to individuals' information, it is important to protect privacy when reporting statistical answers. Equally important is to privatize the reporting of uncertainty in such answers. To this end, we adopt a Bayesian likelihood-free framework and make simulation from the posterior private. In particular, we propose a new private instantiation of the Bayesian bootstrap using a blocking strategy. Rather than assigning idiosyncratic random weights to each individual, we randomly group individuals and assign a single weight to each group. By concealing individuals' contributions within a group, we fortify differential privacy gates. We harness amortized inference that decouples private learning from posterior sampling. A push-forward map from observation weights to posterior samples is learned privately by adding calibrated noise during training. Subsequent posterior draws require no additional privacy and computation budget. We call the resulting method the Private Generative Bayesian Bootstrap (PGBB). We establish a differential privacy guarantee, analyze convergence to the non-private blocked-bootstrap target, and quantify the discrepancy between the ordinary and blocked Bayesian-bootstrap posteriors. In addition, we derive data-free tuning of the block Dirichlet concentration parameter that restores posterior dispersion asymptotically. We also show a single fit of PGBB can support a family of loss-based decision rules simultaneously without additional privacy cost. In simulations and in applications to U.S. Census returns to schooling and U.S. natality birthweight quantiles, PGBB gives competitive private uncertainty quantification and improves over private Bayesian alternatives that require a specified data-generating model in common settings.

Conformalized Large Language Models under Configuration Shift

Conformal prediction (CP) is a distribution-free framework for uncertainty quantification that has recently been adapted to large language models (LLMs), providing prediction sets with finite-sample coverage guarantees under exchangeability. Yet for LLMs, nonconformity scores are often induced by an inference pipeline, not just a fixed model, making them depend not only on the data distribution but also on configurable factors such as the prompt template, decoding parameters, and deployment setting. Since such configurations are routinely modified in practice but rarely treated as a source of shift, their impact on CP validity remains poorly understood. We call this \emph{configuration shift} and study it systematically along three axes: prompt template, decoding temperature, and weight quantization. In a broad empirical study spanning $9$ LLMs, $4$ datasets, and $4$ nonconformity scores, we find that configuration shift consistently erodes CP validity, often driving empirical coverage below the target. By contrast, efficiency is largely preserved: valid prediction sets remain close in size to the i.i.d. baseline. We derive coverage lower bounds that attribute this loss to a discrepancy between calibration and test score distributions, and use their finite-sample plug-in versions as empirical diagnostics of shift severity. We further show that these findings lead to practical mitigations: bound-inspired recalibration is effective with limited test examples, while fragility-aware calibration ensembling recovers much of the lost coverage without test data.

Bridging extrinsic and intrinsic variable importance

Variable importance may describe either intrinsic predictive information in a population or extrinsic importance for a fitted prediction rule. Quantifying the uncertainty in variable importance estimates is critical for interpretation. Methods for estimating intrinsic variable importance (we will refer to these as VIMP) and the minipatch leave-one-covariate-out procedure (MPLOCO) target intrinsic and extrinsic importance, respectively, and provide methods for computing standard errors. These two approaches have a shared structure, comparing prediction performance with and without features, but the relationship between them has not been formally characterized. We establish conditions under which the two perspectives align. Under squared-error loss, if the fitted full and reduced learners converge to their oracle counterparts sufficiently fast, then MPLOCO is asymptotically equivalent to VIMP. We provide further conditions extending this result to general loss functions and formalize grouped MPLOCO for potentially overlapping feature groups. Through simulations, we show that VIMP and MPLOCO agree most closely when the fitted learner is well aligned with the data-generating mechanism. In a high-dimensional grouped simulation, both procedures identified the signal-containing groups. In an analysis of HIV-1 VRC01 neutralization sensitivity, both methods placed the same three biologically relevant feature groups among their highest-ranked groups. These results clarify when intrinsic and extrinsic importance can be interpreted similarly and when they provide complementary information.

Who Wins Where? Conformal Model Comparison for Local Superiority

Standard model comparison is global, aggregating losses across the covariate space to declare a single winner. This can obscure heterogeneous performance, where different models are preferable in different regions. We introduce conformalized local model comparison, a split-sample framework for constructing calibrated local best-model maps. Given a model comparison score, such as the difference between two squared losses, the method uses three disjoint splits to fit competing models, estimate local centers and scales from out-of-sample scores, and conformally calibrate residual uncertainty. At a target point, the procedure declares a local winner only when a one-sided conformal bound excludes a tie, with the score's sign determining the favored model. We prove finite-sample marginal control for one-sided erroneous declarations on the realized future comparison score, establish pointwise consistency of the localized mean-score estimator away from tie boundaries, show that aggregate comparison can disagree sharply with the prevalence of local superiority, and derive a squared-loss bias--variance decomposition that clarifies how model structure affects local wins. Synthetic and real-data experiments show that the method recovers heterogeneous winner regions, abstains under uncertainty, and yields higher conditional gain than global selection.