Conformal Loss-Controlling Prediction

Conformal prediction (CP) is a learning framework controlling prediction coverage of prediction sets, which can be built on any learning algorithm for point prediction. This work proposes a learning framework named conformal loss-controlling prediction, which extends CP to the situation where the value of a loss function needs to be controlled. Different from existing works about risk-controlling prediction sets and conformal risk control with the purpose of controlling the expected values of loss functions, the proposed approach in this article focuses on the loss for any test object, which is an extension of CP from miscoverage loss to some general loss. The controlling guarantee is proved under the assumption of exchangeability of data in finite-sample cases and the framework is tested empirically for classification with a class-varying loss and statistical postprocessing of numerical weather forecasting applications, which are introduced as point-wise classification and point-wise regression problems. All theoretical analysis and experimental results confirm the effectiveness of our loss-controlling approach.