Pro-Active Inference
Skyler Wu, Yash Nair, Antoine Maechler, Emmanuel J. Candès
Estimating a population mean is fundamental across scientific applications, but observing every outcome can be prohibitively expensive. Often, covariates and machine learning (ML) predictions are available for the full population, even when only a small subset of outcomes can be observed. How can we leverage this information to proactively select observations to label, update ML predictions as labels arrive, and construct statistically valid confidence intervals? We develop a general, without-replacement formulation of Pro-Active Inference (PAI), extending our earlier with-replacement approach and building on Active Statistical Inference. Rather than making fixed-order label-skip decisions, PAI proactively selects which observation to label next from the remaining covariate pool while accommodating online ML updates. We establish PAI's finite-sample unbiasedness and asymptotic validity, develop an improved finite-sample variance estimator, and extend PAI to superpopulation inference without Bonferroni corrections or $α$-splitting. We characterize PAI's potential efficiency gains over Batch Active Inference in a quasi-oracle setting, highlighting the role of prediction-residual imbalance. Across eight diverse datasets, PAI achieves greater sampling efficiency than Sequential Active Inference in the vast majority of tested settings with near-nominal statistical coverage, using the same ML predictor and uncertainty score. However, comparisons with simpler baselines such as Prediction-Powered Inference and uniform sampling, as well as the closely related Prediction-Powered Active Testing, reveal when additional adaptivity helps or hurts statistical efficiency. Through interpretable, theory-motivated diagnostics and frozen-ML ablations, we investigate when and why PAI gains or loses efficiency, highlighting the initial residual-estimation problem and subsequent online learning dynamics.
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