SEMF: Supervised Expectation-Maximization Framework for Predicting Intervals
Keywords: Uncertainty Quantification, Latent Representation Learning, Expectation-Maximization (EM)
TL;DR: SEMF extends the EM algorithm to generate prediction intervals with any ML model.
Abstract: This work introduces the Supervised Expectation-Maximization Framework (SEMF), a versatile and model-agnostic approach for generating prediction intervals in datasets with complete or missing data. SEMF extends the Expectation-Maximization algorithm, traditionally used in unsupervised learning, to a supervised context, leveraging latent variable modeling for uncertainty estimation. Extensive empirical evaluations across 11 tabular datasets show that SEMF often achieves narrower normalized prediction intervals and higher coverage rates than traditional quantile regression methods. Furthermore, SEMF can be integrated with machine learning models like gradient-boosted trees and neural networks, highlighting its practical applicability. The results indicate that SEMF enhances uncertainty quantification, particularly in scenarios with complete data.
Supplementary Material: zip
Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
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Submission Number: 6511
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