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 \emph{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.

Robotic applications often involve working in environments that are uncertain, dynamic, and partially observable. Recently, diffusion models have been proposed for learning trajectory prediction models trained from expert demonstrations, which can be used for planning in robot tasks. Such models have demonstrated a strong ability to overcome challenges such as multi-modal action distributions, high-dimensional output spaces, and training instability. It is crucial to quantify the uncertainty of these dynamics models when using them for planning. In this paper, we quantify the uncertainty of diffusion dynamics models using Conformal Prediction (CP).

Abstract--Dynamical downscaling is crucial for deriving high-resolution meteorological fields from coarse-scale simulations, enabling detailed analysis for critical applications such as weather forecasting and renewable energy modeling. Generative Diffusion models (DMs) have recently emerged as powerful data-driven tools for this task, offering reconstruction fidelity and more scalable sampling supporting uncertainty quantification. In this work, we tackle this issue by augmenting the downscaling pipeline with a conformal prediction framework. Specifically, the DM's samples are post-processed to derive conditional quantile estimates, incorporated into a conformalized quantile regression procedure targeting locally adaptive prediction intervals with finite-sample marginal validity. The proposed approach is evaluated on ERA5 reanalysis data over Italy, downscaled to a 2-km grid. Results demonstrate grid-point-level uncertainty estimates with markedly improved coverage and stable probabilistic scores relative to the DM baseline, highlighting the potential of con-formalized generative models for more trustworthy probabilistic downscaling to high-resolution meteorological fields.

Cross-validation is a standard tool for obtaining a honest assessment of the performance of a prediction model. The commonly used version repeatedly splits data, trains the prediction model on the training set, evaluates the model performance on the test set, and averages the model performance across different data splits. A well-known criticism is that such cross-validation procedure does not directly estimate the performance of the particular model recommended for future use. In this paper, we propose a new method to estimate the performance of a model trained on a specific (random) training set. A naive estimator can be obtained by applying the model to a disjoint testing set. Surprisingly, cross-validation estimators computed from other random splits can be used to improve this naive estimator within a random-effects model framework. We develop two estimators -- a hierarchical Bayesian estimator and an empirical Bayes estimator -- that perform similarly to or better than both the conventional cross-validation estimator and the naive single-split estimator. Simulations and a real-data example demonstrate the superior performance of the proposed method.

Abstract--In machine learning, uncertainty quantification helps assess the reliability of model predictions, which is important in high-stakes scenarios. Traditional approaches often emphasize predictive accuracy, but there is a growing focus on incorporating uncertainty measures. While current methods often rely on quantile regression or Monte Carlo techniques, we propose a new approach using naturally occurring test sets and similarity measures (proximities) typically viewed as byproducts of random forests. Specifically, we form localized distributions of OOB errors around nearby points, defined using the proximities, to create prediction intervals for regression and trust scores for classification. By varying the number of nearby points, our intervals can be adjusted to achieve the desired coverage while retaining the flexibility that reflects the certainty of individual predictions. For classification, excluding points identified as unclassifiable by our method generally enhances the accuracy of the model and provides higher accuracy-rejection AUC scores than competing methods. Although traditional machine learning models usually provide point estimates, there is growing recognition of the need to incorporate uncertainty to support more informed decisions [1]. By quantifying uncertainty, users can assess the reliability of model outputs and better interpret results, especially for out-of-distribution samples through calibrated confidence estimates.

Conformal Prediction (CP) is a widely used technique for quantifying uncertainty in machine learning models. In its standard form, CP offers probabilistic guarantees on the coverage of the true label, but it is agnostic to sensitive attributes in the dataset. Several recent works have sought to incorporate fairness into CP by ensuring conditional coverage guarantees across different subgroups. One such method is Conformal Fairness (CF). In this work, we extend the CF framework to the Federated Learning setting and discuss how we can audit a federated model for fairness by analyzing the fairness-related gaps for different demographic groups. Ensuring model fairness is a critical thrust of trustworthy machine learning (ML). ML models, when not calibrated for fairness, are prone to developing biases at each stage of an ML pipeline, as reflected by their predictions Mehrabi et al. (2021). We define bias as disparate performance (i.e., accuracy for classification) between different sub-populations. In the data collection phase, measurement bias may occur due to disproportionate data collection on sub-populations, while representation bias manifests from a lack of training data on specific strata. During training, these biases are inductively learned by the model-leading to incorrect predictions in safety-critical tasks. These models are also susceptible to algorithmic bias, resulting from regularization and optimization techniques during model training, which incorrectly generalize for marginal-ized groups. To mitigate these risks, many ML models must adhere to regulations placed by local governing bodies (Hirsch et al., 2023). Towards model compliance, Komala et al. (2024); Agrawal et al. (2024); Jones et al. (2025) have proposed approaches to enhance model fairness in varying tasks, including federated graph learning and representation learning.

Uncertainty quantification (UQ) is essential for safe deployment of generative AI models such as large language models (LLMs), especially in high stakes applications. Conformal prediction (CP) offers a principled uncertainty quantification framework, but classical methods focus on regression and classification, relying on geometric distances or softmax scores: tools that presuppose structured outputs. We depart from this paradigm by studying CP in a query only setting, where prediction sets must be constructed solely from finite queries to a black box generative model, introducing a new trade off between coverage, test time query budget, and informativeness. We introduce Conformal Prediction with Query Oracle (CPQ), a framework characterizing the optimal interplay between these objectives. Our finite sample algorithm is built on two core principles: one governs the optimal query policy, and the other defines the optimal mapping from queried samples to prediction sets. Remarkably, both are rooted in the classical missing mass problem in statistics. Specifically, the optimal query policy depends on the rate of decay, or the derivative, of the missing mass, for which we develop a novel estimator. Meanwhile, the optimal mapping hinges on the missing mass itself, which we estimate using Good Turing estimators. We then turn our focus to implementing our method for language models, where outputs are vast, variable, and often under specified. Fine grained experiments on three real world open ended tasks and two LLMs, show CPQ applicability to any black box LLM and highlight: (1) individual contribution of each principle to CPQ performance, and (2) CPQ ability to yield significantly more informative prediction sets than existing conformal methods for language uncertainty quantification.

Uncertainty Quantification (UQ) is crucial for deploying reliable Deep Learning (DL) models in high-stakes applications. Recently, General Type-2 Fuzzy Logic Systems (GT2-FLSs) have been proven to be effective for UQ, offering Prediction Intervals (PIs) to capture uncertainty. However, existing methods often struggle with computational efficiency and adaptability, as generating PIs for new coverage levels $(ϕ_d)$ typically requires retraining the model. Moreover, methods that directly estimate the entire conditional distribution for UQ are computationally expensive, limiting their scalability in real-world scenarios. This study addresses these challenges by proposing a blueprint calibration strategy for GT2-FLSs, enabling efficient adaptation to any desired $ϕ_d$ without retraining. By exploring the relationship between $α$-plane type reduced sets and uncertainty coverage, we develop two calibration methods: a lookup table-based approach and a derivative-free optimization algorithm. These methods allow GT2-FLSs to produce accurate and reliable PIs while significantly reducing computational overhead. Experimental results on high-dimensional datasets demonstrate that the calibrated GT2-FLS achieves superior performance in UQ, highlighting its potential for scalable and practical applications.

Conformal prediction provides a principled framework for constructing predictive sets with finite-sample validity. While much of the focus has been on univariate response variables, existing multivariate methods either impose rigid geometric assumptions or rely on flexible but computationally expensive approaches that do not explicitly optimize prediction set volume. We propose an optimization-driven framework based on a novel loss function that directly learns minimum-volume covering sets while ensuring valid coverage. This formulation naturally induces a new nonconformity score for conformal prediction, which adapts to the residual distribution and covariates. Our approach optimizes over prediction sets defined by arbitrary norm balls, including single and multi-norm formulations. Additionally, by jointly optimizing both the predictive model and predictive uncertainty, we obtain prediction sets that are tight, informative, and computationally efficient, as demonstrated in our experiments on real-world datasets.

Traditional neural network regression models provide only point estimates, failing to capture predictive uncertainty. Probabilistic neural networks (PNNs) address this limitation by producing output distributions, enabling the construction of prediction intervals. However, the common assumption of Gaussian output distributions often results in overly wide intervals, particularly in the presence of outliers or deviations from normality. To enhance the adaptability of PNNs, we propose t-Distributed Neural Networks (TDistNNs), which generate t-distributed outputs, parameterized by location, scale, and degrees of freedom. The degrees of freedom parameter allows TDistNNs to model heavy-tailed predictive distributions, improving robustness to non-Gaussian data and enabling more adaptive uncertainty quantification. We develop a novel loss function tailored for the t-distribution and derive efficient gradient computations for seamless integration into deep learning frameworks. Empirical evaluations on synthetic and real-world data demonstrate that TDistNNs improve the balance between coverage and interval width. Notably, for identical architectures, TDistNNs consistently produce narrower prediction intervals than Gaussian-based PNNs while maintaining proper coverage. This work contributes a flexible framework for uncertainty estimation in neural networks tasked with regression, particularly suited to settings involving complex output distributions.