Conformal Risk-Averse Decision Making with Optimized Certainty Equivalent Risk Control
stat.ML, cs.AI, cs.IT, cs.LG, math.IT
Submitted: 2026-08-28
Updated: 2026-08-28
License: http://creativecommons.org/licenses/by/4.0/
The gist: We study risk-averse decision making, in which an agent selects actions while being uncertain about the true system state.
Terminology
Abstract
We study risk-averse decision making, in which an agent selects actions while being uncertain about the true system state. The risk is measured via optimized certainty equivalent (OCE) metrics, which generalize popular criteria such as mean-variance risk and conditional value-at-risk (CVaR). We characterize the optimal policy under known distributions, and show that it reduces to a prediction set-based solution for the CVaR. This provides an operational interpretation of conformal prediction-type prediction sets. For unknown distributions, we develop a data-driven calibration strategy, based on a synthetic model for the likelihood and held-out calibration data, yielding high-probability control of the OCE risk. The approach is evaluated on two wireless beamforming settings.
Related papers
- Behavior of prediction performance metrics with rare events
- Optimal Estimation of Generic Dynamics by Path-Dependent Neural Jump ODEs
- A Posterior-Dynamics Framework for Imaging Inverse Problems with Pretrained Diffusion Priors
- One Permutation Is All You Need: Fast, Deterministic Feature Importance and Model Stress-Testing
- Online Conformal Prediction for Non-Exchangeable Panel Data
- Deep Time-Series Forecasting in 10 Years: A Survey