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scikit-learn-contrib / MAPIE

A scikit-learn-compatible module to estimate prediction intervals and control risks based on conformal predictions.
https://mapie.readthedocs.io/en/latest/
BSD 3-Clause "New" or "Revised" License
1.2k stars 99 forks source link

Allow `MapieRegressor` to use the optimal estimation strategy for the bounds of the prediction intervals #384

Closed thibaultcordier closed 6 months ago

thibaultcordier commented 6 months ago

Is your feature request related to a problem? Please describe. In the MAPIE code, only the predict method of MapieTimeSeriesRegressor class can use optimize_beta to optimize the bounds of the prediction interval.

Describe the solution you'd like Propose the integration of the same feature into the MapieRegressor class.

Describe alternatives you've considered Merge the two predict methods to create a single methods for easier maintenance.