Generative Conformal Prediction with Optimized Coverage Allocation

Conformal prediction provides a principled framework for uncertainty quantification with finite-sample coverage guarantees. While recent work has extended conformal prediction to online and sequential settings, existing methods typically focus on a single coverage level and do not ensure consistency across multiple confidence levels. In many real-world applications, such as weather forecasting, macroeconomic prediction, and risk management, different users operate under heterogeneous risk tolerances and require calibrated uncertainty estimates across a range of coverage levels. In such settings, it is desirable to produce prediction sets corresponding to different coverage levels that are nested and valid simultaneously. In this paper, we propose two novel online conformal prediction methods that output nested prediction sets across a range of coverage levels, enabling simultaneous uncertainty quantification across the entire risk spectrum. Beyond interpretability, jointly estimating multiple coverage levels is known to improve statistical efficiency in classical quantile regression by enforcing non-crossing constraints and sharing information across quantiles. Our approaches leverage an online optimization perspective with small regret that translates to quantile estimation error control while enforcing nestedness of prediction sets. Empirical results on synthetic and real-world datasets, including applications in forecasting tasks with heterogeneous risk requirements, demonstrate that our method achieves stable coverage across all levels, strictly nested prediction sets, and improved efficiency compared to existing online conformal baselines.

Generative conformal prediction builds uncertainty sets from samples of a conditional generator, which are efficient only when the samples represent the response distribution well. This can require many samples, each of which can be costly, as in large diffusion models and scientific simulators, so the sampling budget must be used efficiently. Existing methods draw the same number of samples at every input, wasting samples where the response distribution is simple and undersampling where it is complex, which inflates sets and leaves those inputs under-covered. We propose CASA (Conformal Adaptive Sample Allocation), which characterizes the marginal value of an additional sample and allocates samples across inputs to minimize the expected set size subject to marginal coverage and an average sampling budget. Theoretical analysis shows that adaptive allocation yields smaller sets than a fixed count at the same budget: a missed mode forces a radius that spans the gap between modes, and even oracle radius cannot compensate for it. On synthetic and real tasks, CASA produces substantially smaller sets at the same budget, often improves conditional coverage, and complements existing radius-adaptive methods.

Conformal prediction (CP) is a widely used frequentist framework to quantify uncertainty by constructing prediction sets with user-specified marginal coverage guarantees. In practice, CP is typically applied on top of probabilistic classifiers, which are able to express aleatoric but not epistemic uncertainty. In this paper, we consider the question of how to optimally employ CP on top of a more expressive formalism, namely credal sets, which can express both aleatoric and epistemic uncertainty. More specifically, we propose probabilistic Bernoulli prediction sets (BPS) and derive a variant that achieves conditional coverage for valid credal sets while remaining minimal in expected size. We then address the more realistic scenario in which the validity of the credal sets is not guaranteed. Assuming access to calibration data with ground-truth distributions over labels, we apply conformal risk control to BPS and derive a PAC-style guarantee: with high probability over the data, the achieved conditional coverage is at least the desired level. We validate our theoretical findings empirically over various datasets.