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This research advances uncertainty quantification by introducing action-conditional conformal prediction, which provides explicit safety guarantees for every specific decision rather than just marginal probabilities. By framing prediction sets as proxies for the feasible decision space, the proposed algorithm optimizes action-conditional value-at-risk using a principled finite-sample approach grounded in pinball-loss minimization. Experimental results on real-world datasets demonstrate that this method significantly outperforms standard conformal baselines in maintaining safety while improving decision performance.
Conformal Risk-Averse Decision Making with Action Conditional Guarantee
arXiv:2606.05551v1 Announce Type: cross Abstract: Reliable decision making pipelines powered by machine learning models require uncertainty quantification (UQ) methods that come with explicit safety guarantees. Conformal prediction provides such UQ by wrapping ML predictions into prediction sets, and recent work by Kiyani et al. (2025b) established that these sets can be translated into optimal risk-averse decision policies -- yet only inheriting marginal safety guarantees. We generalize and strengthen their results by (i) introducing action-conditional conformal prediction, which yields safety guarantees conditioned explicitly on each action taken by the decision maker, (ii) showing that action-conditional prediction sets serve as a proxy for the feasible decision space for risk-averse decision makers aiming to optimize action-conditional value-at-risk, and (iii) proposing a principled finite-sample algorithm based on pinball-loss minimization, connecting the framework of Gibbs et al. (2025) to action-conditional guarantees. Experiments on two real-world datasets confirm that our approach significantly improves action-conditional performance over conformal baselines.
Abstract:Reliable decision making pipelines powered by machine learning models require uncertainty quantification (UQ) methods that come with explicit safety guarantees. Conformal prediction provides such UQ by wrapping ML predictions into prediction sets, and recent work by Kiyani et al. (2025b) established that these sets can be translated into optimal risk-averse decision policies -- yet only inheriting marginal safety guarantees. We generalize and strengthen their results by (i) introducing action-conditional conformal prediction, which yields safety guarantees conditioned explicitly on each action taken by the decision maker, (ii) showing that action-conditional prediction sets serve as a proxy for the feasible decision space for risk-averse decision makers aiming to optimize action-conditional value-at-risk, and (iii) proposing a principled finite-sample algorithm based on pinball-loss minimization, connecting the framework of Gibbs et al. (2025) to action-conditional guarantees. Experiments on two real-world datasets confirm that our approach significantly improves action-conditional performance over conformal baselines.
Machine Learning (stat.ML); Artificial Intelligence (cs.AI); Machine Learning (cs.LG)
arXiv:2606.05551 [stat.ML]
(or arXiv:2606.05551v1 [stat.ML] for this version)
https://doi.org/10.48550/arXiv.2606.05551 Focus to learn more arXiv-issued DOI via DataCite (pending registration)
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