Conformal Risk Control

Understand

We extend conformal prediction to control the expected value of any monotone loss function.

• The algorithm generalizes split conformal prediction together with its coverage guarantee.
• Like conformal prediction, the conformal risk control procedure is tight up to an $\mathcal{O}(1/n)$ factor.
• We also introduce extensions of the idea to distribution shift, quantile risk control, multiple and adversarial risk control, and expectations of U-statistics.