Conformal Prediction Sets with Improved Conditional Coverage using Trust Scores

Standard conformal prediction offers a marginal guarantee on coverage, but for prediction sets to be truly useful, they should ideally ensure coverage conditional on each test point. Unfortunately, it is impossible to achieve exact, distribution-free conditional coverage in finite samples. In this work, we propose an alternative conformal prediction algorithm that targets coverage where it matters most--in instances where a classifier is overconfident in its incorrect predictions. We start by dissecting miscoverage events in marginally-valid conformal prediction, and show that miscoverage rates vary based on the classifier's confidence and its deviation from the Bayes optimal classifier. Motivated by this insight, we develop a variant of conformal prediction that targets coverage conditional on a reduced set of two variables: the classifier's confidence in a prediction and a nonparametric trust score that measures its deviation from the Bayes classifier. Empirical evaluation on multiple image datasets shows that our method generally improves conditional coverage properties compared to standard conformal prediction, including class-conditional coverage, coverage over arbitrary subgroups, and coverage over demographic groups.