Conformal Bayesian Computation

We develop scalable methods for producing conformal Bayesian predictive intervals with finite sample calibration guarantees. Bayesian posterior predictive distributions, p(y | x), characterize subjective beliefs on outcomes of interest, y, conditional on predictors, x. Bayesian prediction is well-calibrated when the model is true, but the predictive intervals may exhibit poor empirical coverage when the model is misspecified, under the so called M-open perspective. In contrast, conformal inference provides finite sample frequentist guarantees on predictive confidence intervals without the requirement of model fidelity. Using 'add-one-in' importance sampling, we show that conformal Bayesian predictive intervals are efficiently obtained from re-weighted posterior samples of model parameters. Our approach contrasts with existing conformal methods that require expensive refitting of models or data-splitting to achieve computational efficiency. We demonstrate the utility on a range of examples including extensions to partially exchangeable settings such as hierarchical models. Preprint. Under review.