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Fast Nonlinear Vector Quantile Regression

ICLR 2023 · Learning theory and algorithms › Kernels and regression theory · approach: High-dimensional linear regression theory · 0 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
nonlinear embedding of covariates (NL-VQR) instead of linear specificationVQR · Conditional bananaQFD: 70% lower error than linear VQRHelped
nonlinear embedding of covariates (NL-VQR) instead of linear specificationVQR · Rotating starsKDE-L1 and qualitative fit: outperforms CVAE and linear VQR by a large marginHelped
NL-VQR instead of CVAEconditional generative modeling · Conditional bananaKDE-L1: outperforms CVAE by 23%Helped
NL-VQR instead of separable QR baselines for distribution-free confidence setsuncertainty estimation · Four real datasetsalpha-confidence set size: 34-60% smaller than second-best methodHelped
stochastic mini-batch sampling of both data points and quantile levels in the relaxed dual solverVQR solver · Scale experiment (MVN)memory footprint and runtime: constant memory; runtime linear in N, quadratic in THelped
vector monotone rearrangement (VMR) post-processingNL-VQR estimated CVQF · Synthetic experimentsco-monotonicity violations and strong representation: violations completely eliminated; strong representation strictly improvesHelped
SGD with mini-batches vs full-batch relaxed dual (ablation)VQR solver · Optimization experimentsoptimization error: negligible optimization error addedNo clear effect
NL-VQR vs linear VQR on rotating stars with CVAE training timetraining cost · Rotating starstraining time: under 4 minutes vs 35 minutes for CVAEHelped

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