Conformal Risk Control for Non-Monotonic Losses

Understand

Conformal risk control is an extension of conformal prediction for controlling risk functions beyond miscoverage.

• The original algorithm controls the expected value of a loss that is monotonic in a one-dimensional parameter.
• Here, we present risk control guarantees for generic algorithms applied to possibly non-monotonic losses with multidimensional parameters.
• The guarantees depend on the stability of the algorithm -- unstable algorithms have looser guarantees.