Conformal predictive decision making


Vladimir Vovk, Claus Bendtsen ;
Proceedings of the Seventh Workshop on Conformal and Probabilistic Prediction and Applications, PMLR 91:52-62, 2018.


This note explains how conformal predictive distributions can be used for the purpose of decision-making. Namely, a major limitation of conformal predictive distributions is that, at this time, they are only applicable to regression problems, where the label is a real number; however, this does not prevent them from being used in a general problem of decision making. The resulting methodology of conformal predictive decision making is illustrated on a small benchmark data set. Our main theoretical observation is that there exists an asymptotically efficient predictive decision-making system which can be obtained by using our methodology (and therefore, satisfying the standard property of validity).

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