Weighted Conformal Clustering
Abstract
Clustering is a central tool for discovering latent structure in unlabeled data, yet modern clustering pipelines often end with a hard assignment of each observation to a cluster without rigorous measures of assignment uncertainty. We propose a novel weighted conformal approach for constructing confidence sets for cluster labels. The key difficulty is that the labels available for calibration are not observed ground-truth labels, but synthetic labels produced by a data-dependent clustering algorithm. Our method develops a conformal inference algorithm that corrects the resulting mismatch with the latent target labels through weights by formulating conformal clustering as a conditional label-distribution shift problem. We first derive an oracle procedure that attains finite-sample marginal coverage and then develop a computationally tractable and implementable version using estimated conditional label probabilities and augmented calibration. We show that the coverage of the estimated-weight procedure depends on the estimator, giving an explicit bound on the loss relative to the nominal level. Empirical studies beyond the mixture-model settings, explored by the recently developed stochastic split conformal clustering procedure, demonstrate that the proposed weighted approach offers improvements in non-linear and high-dimensional clustering applications in terms of set size.