Conformal predictive decision making
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Proceedings of the Seventh Workshop on Conformal and Probabilistic Prediction and Applications, PMLR 91:5262, 2018.
Abstract
This note explains how conformal predictive distributions can be used for the purpose of decisionmaking. 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 decisionmaking system which can be obtained by using our methodology (and therefore, satisfying the standard property of validity).
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