Retrain or not retrain : Conformal test martingales for change-point detection. / Vovk, Vladimir; Petej, Ivan; Nouretdinov, Ilia; Ahlberg, Ernst; Carlsson, Lars; Gammerman, Alex.

Proceedings of Machine Learning Research. ed. / Lars Carlsson; Zhiyuan Luo; Giovanni Cherubin; Khuong Nguyen. Vol. 152 2021.

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Abstract

We argue for supplementing the process of training a prediction algorithm by setting up a scheme for detecting the moment when the distribution of the data changes and the algorithm needs to be retrained. Our proposed schemes are based on exchangeability martingales, i.e., processes that are martingales under any exchangeable distribution for the data. Our method, based on conformal prediction, is general and can be applied on top of any modern prediction algorithm. Its validity is guaranteed, and in this paper we make first steps in exploring its efficiency.
Original languageEnglish
Title of host publicationProceedings of Machine Learning Research
EditorsLars Carlsson, Zhiyuan Luo, Giovanni Cherubin, Khuong Nguyen
Number of pages19
Volume152
Publication statusPublished - 2021
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

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