Conformal Prediction at Performative Equilibrium: The Price of Performativity
Organizations: King Abdullah University of Science and Technology (KAUST), Thuwal 23955, Saudi Arabia
Abstract
Conformal prediction gives finite-sample coverage when calibration and test points are exchangeable, but exchangeability can fail when deployment changes the data distribution. We study conformal prediction in performative settings, where the deployed predictor affects the data distribution, and seek prediction sets valid at performative equilibrium: coverage must hold under for a performatively stable predictor . Under total-variation -sensitivity of the distribution map, we prove a phase transition at . If , no finite-sample procedure can uniformly guarantee both equilibrium-valid coverage and nontrivial prediction sets. If , the minimax excess miscoverage over informative procedures is , implying a sample-complexity inflation of order for fixed excess miscoverage. Our main technical tool is a transfer theorem: any procedure returning a predictor within of equilibrium yields equilibrium-valid coverage up to an additive term after split-conformal calibration. We instantiate the theorem with two retraining algorithms: a model-free method for discretizable classes and a parametric tail-averaged method that matches the - and -dependence of this rate up to logarithmic factors. Experiments, including semi-synthetic credit scoring, demonstrate the predicted threshold behavior and scaling laws.
Figures & tables
| Model-free (Alg. 1 ) | Parametric (Alg. 2 ) | |
|---|---|---|
| Contraction | ||
| Output | Last iterate | Average after stabilization |
| Rate | ||
| Loss assumptions | Bounded | Smooth, strongly convex |
| Relation to lower bound | Suboptimal by a factor , up to logs | Matches lower bound up to logs when |
Appendix figures & tables4 assets
Supplementary material from the paper’s appendix.
Appendix
| Simulation | Figures | Purpose / key parameters | Reps |
|---|---|---|---|
| 1 | Fig. 1 (a,b) | , , Gaussian location model, ; tests rate and price of performativity | 2000 |
| 2 | Fig. 1 (c) | , , , Gaussian location model, ; tests collapse | 2000 |
| 3 | Fig. 2 | , bounded Bernoulli sweep at with and ; tests the phase boundary with explicit equilibria for all | 2000 |
| 4 | Fig. S1 | , , ; Le Cam two-hypothesis construction; worst-case excess miscoverage and scaled rate check | 2000 |
| 5 | Fig. S2 | Finite-class Gaussian location model for MF-PCP; , , | 2000 |
| 6 | Fig. S3 | Impossibility construction at using and , , | 2000 |
Conformal Prediction
Conformal prediction wraps predictive models with calibrated sets or intervals that provide statistical coverage guarantees.
See all 368 papers