Conformal Adversarial Generative Ensemble

arXiv:2609.38196v1 Announce Type: cross Abstract: Accurate time series forecasting is critical across various domains, yet traditional ensemble methods often suffer from the disproportionate influence of extreme forecasts. We introduce the Conformal Adversarial Generative Ensemble (CAGE), a novel framework that combines generative modeling, adversarial discrimination, and conformal prediction to enhance forecast reliability and accuracy. CAGE employs multiple generative models to produce initial forecasts, which are then evaluated by a discriminative component using conformal prediction techniques. P-values derived from nonconformity scores help dynamically adjust model weights, minimizing the impact of unreliable forecasts. This approach ensures that only the most credible predictions contribute to the final ensemble output. Our empirical and statistical analyses of time series data from New Zealand's milk collection and the global health data from the public owid-monkeypox dataset show that the CAGE outperforms traditional ensemble methods, especially in handling outliers and noisy data. By incorporating conformal prediction, CAGE delivers accurate and statistically rigorous forecasts, enhancing decision-making. We have demonstrated performance on two different datasets deliberately to showcase that the proposed method offers a versatile solution potentially applicable across finance, weather, and supply chain management.

Abstract:Accurate time series forecasting is critical across various domains, yet traditional ensemble methods often suffer from the disproportionate influence of extreme forecasts. We introduce the Conformal Adversarial Generative Ensemble (CAGE), a novel framework that combines generative modeling, adversarial discrimination, and conformal prediction to enhance forecast reliability and accuracy. CAGE employs multiple generative models to produce initial forecasts, which are then evaluated by a discriminative component using conformal prediction techniques. P-values derived from nonconformity scores help dynamically adjust model weights, minimizing the impact of unreliable forecasts. This approach ensures that only the most credible predictions contribute to the final ensemble output. Our empirical and statistical analyses of time series data from New Zealand's milk collection and the global health data from the public owid-monkeypox dataset show that the CAGE outperforms traditional ensemble methods, especially in handling outliers and noisy data. By incorporating conformal prediction, CAGE delivers accurate and statistically rigorous forecasts, enhancing decision-making. We have demonstrated performance on two different datasets deliberately to showcase that the proposed method offers a versatile solution potentially applicable across finance, weather, and supply chain management.

Machine Learning (cs.LG); Artificial Intelligence (cs.AI)

arXiv:2609.38196 [cs.LG]

(or arXiv:2609.38196v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2609.38196 Focus to learn more arXiv-issued DOI via DataCite

Neural Information Processing (ICONIP 2024), Lecture Notes in Computer Science (LNCS), vol. 15287, pp. 135-150, Springer, 2025

https://doi.org/10.1007/978-981-96-6579-2_10 Focus to learn more DOI(s) linking to related resources

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Conformal Adversarial Generative Ensemble

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