Related papers: Distributional Conformal Prediction for Markov Pro…

Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to…

Conformal prediction is a popular technique for constructing prediction intervals with distribution-free coverage guarantees. The coverage is marginal, meaning it only holds on average over the entire population but not necessarily for any…

Conformal prediction (CP) offers a principled framework for uncertainty quantification, but it fails to guarantee coverage when faced with missing covariates. In addressing the heterogeneity induced by various missing patterns,…

Stochastic models for performance analysis, optimization and control of queues hinge on a multitude of alternatives for input point processes. In case of bursty traffic, one very popular model is the \textit{Markov Modulated Poisson…

The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…

This paper shows that the optimal policy and value functions of a Markov Decision Process (MDP), either discounted or not, can be captured by a finite-horizon undiscounted Optimal Control Problem (OCP), even if based on an inexact model.…

Conformal prediction, and split conformal prediction as a specific implementation, offer a distribution-free approach to estimating prediction intervals with statistical guarantees. Recent work has shown that split conformal prediction can…

Monte Carlo methods -- such as Markov chain Monte Carlo (MCMC) and piecewise deterministic Markov process (PDMP) samplers -- provide asymptotically exact estimators of expectations under a target distribution. There is growing interest in…

Conformal prediction is a general distribution-free approach for constructing prediction sets combined with any machine learning algorithm that achieve valid marginal or conditional coverage in finite samples. Ordinal classification is…

Conformal prediction provides distribution-free prediction sets with finite-sample conditional guarantees. We build upon the RKHS-based framework of Gibbs et al. (2023), which leverages families of covariate shifts to provide approximate…

Reliable uncertainty quantification at unobserved spatial locations, especially in the presence of complex and heterogeneous datasets, remains a core challenge in spatial statistics. Traditional approaches like Kriging rely heavily on…

Conformal prediction (CP) is a method for constructing a prediction interval around the output of a fitted model, whose validity does not rely on the model being correct--the CP interval offers a coverage guarantee that is…

We consider Markov decision processes (MDPs) with unknown disturbance distribution and address this problem using the robust Markov decision process (RMDP) approach. We construct the empirical distribution of the unknown disturbance…

The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…

This paper develops a conformal method to compute prediction intervals for non-parametric regression that can automatically adapt to skewed data. Leveraging black-box machine learning algorithms to estimate the conditional distribution of…

Conformal prediction (CP) has been a popular method for uncertainty quantification because it is distribution-free, model-agnostic, and theoretically sound. For forecasting problems in supervised learning, most CP methods focus on building…

We propose \textbf{Temporal Conformal Prediction (TCP)}, a distribution-free framework for constructing well-calibrated prediction intervals in nonstationary time series. TCP couples a modern quantile forecaster with a rolling…

Split conformal prediction provides distribution-free prediction intervals with finite-sample marginal coverage, but produces constant-width intervals that overcover in low-variance regions and undercover in high-variance regions. Existing…

We present a learning model predictive control (MPC) scheme for chance-constrained Markov jump systems with unknown switching probabilities. Using samples of the underlying Markov chain, ambiguity sets of transition probabilities are…

In this paper, we focus on the problem of conformal prediction with conditional guarantees. Prior work has shown that it is impossible to construct nontrivial prediction sets with full conditional coverage guarantees. A wealth of research…