arXiv Machine Learning By Guillaume Principato, Gilles Stoltz

Adaptive Conformal Inference through the Lens of Blackwell Approachability

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arXiv:2510. 15824v2 Announce Type: replace-cross Abstract: This article considers an online version of conformal inference, called adaptive conformal inference [ACI] and introduced by Gibbs and Cand\`es (2021): prediction sets are issued sequentially, after observing features and before the outcomes are revealed.

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arXiv Machine Learning
5d ago

Counterfactual Online Conformal Prediction Under Adaptive Logging

The paper addresses the failure of online conformal prediction when predictions influence actions that determine which outcomes are used for calibration. It introduces Propensity-Weighted Online Conformal Prediction (PW‑OCP), an inverse‑propensity‑weighted recursion that debiases calibration, and a doubly robust variant (DR‑OCP) that further reduces bias. Experiments on synthetic decision tasks, open bandit data, and financial rebalancing demonstrate that PW‑OCP and DR‑OCP improve counterfactual coverage and downstream regret while preserving prediction‑set sharpness.

By Xinyu Qiao, Yichen Lin, Kaihong Ji, Xue Wang, Tao Yao