# Cost-Sensitive Conformal Training with Provably Controllable Learning Bounds

arXiv: https://arxiv.org/abs/2511.17861 · HTML: https://mlsanity.com/paper/2511.17861/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 26 of its 42 references that are in the map.
- First posted on arXiv 22 Nov 2025.

## Builds on (most cited first, 26 of 26)

- [Deep Residual Learning for Image Recognition](https://mlsanity.com/paper/1512.03385/) (2015)
- [BERT: Pre-training of Deep Bidirectional Transformers for Language Understanding](https://mlsanity.com/paper/1810.04805/) (2018)
- [Densely Connected Convolutional Networks](https://mlsanity.com/paper/1608.06993/) (2016)
- [A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantification](https://mlsanity.com/paper/2107.07511/) (2021)
- [Classification with Valid and Adaptive Coverage](https://mlsanity.com/paper/2006.02544/) (2020)
- [Adaptive Conformal Inference Under Distribution Shift](https://mlsanity.com/paper/2106.00170/) (2021)
- [Uncertainty Sets for Image Classifiers using Conformal Prediction](https://mlsanity.com/paper/2009.14193/) (2020)
- [Distribution-Free, Risk-Controlling Prediction Sets](https://mlsanity.com/paper/2101.02703/) (2021)
- [Localized Conformal Prediction: A Generalized Inference Framework for Conformal Prediction](https://mlsanity.com/paper/2106.08460/) (2021)
- [Learning Optimal Conformal Classifiers](https://mlsanity.com/paper/2110.09192/) (2021)
- [Class-Conditional Conformal Prediction with Many Classes](https://mlsanity.com/paper/2306.09335/) (2023)
- [Uncertainty Quantification over Graph with Conformalized Graph Neural Networks](https://mlsanity.com/paper/2305.14535/) (2023)
- [Training Uncertainty-Aware Classifiers with Conformalized Deep Learning](https://mlsanity.com/paper/2205.05878/) (2022)
- [Improving Expert Predictions with Conformal Prediction](https://mlsanity.com/paper/2201.12006/) (2022)
- [Few-shot Conformal Prediction with Auxiliary Tasks](https://mlsanity.com/paper/2102.08898/) (2021)
- [Conformal Prediction for Deep Classifier via Label Ranking](https://mlsanity.com/paper/2310.06430/) (2023)
- [Federated Conformal Predictors for Distributed Uncertainty Quantification](https://mlsanity.com/paper/2305.17564/) (2023)
- [Improving Trustworthiness of AI Disease Severity Rating in Medical Imaging with Ordinal Conformal Prediction Sets](https://mlsanity.com/paper/2207.02238/) (2022)
- [On the Utility of Prediction Sets in Human-AI Teams](https://mlsanity.com/paper/2205.01411/) (2022)
- [Conformal Prediction for Federated Uncertainty Quantification Under Label Shift](https://mlsanity.com/paper/2306.05131/) (2023)
- [Optimized conformal classification using gradient descent approximation](https://mlsanity.com/paper/2105.11255/) (2021)
- [Provably Robust Conformal Prediction with Improved Efficiency](https://mlsanity.com/paper/2404.19651/) (2024)
- [Conformal Prediction for Class-wise Coverage via Augmented Label Rank Calibration](https://mlsanity.com/paper/2406.06818/) (2024)
- [Efficient Conformal Prediction under Data Heterogeneity](https://mlsanity.com/paper/2312.15799/) (2023)
- [Direct Prediction Set Minimization via Bilevel Conformal Classifier Training](https://mlsanity.com/paper/2506.06599/) (2025)
- [Enhancing Adversarial Robustness with Conformal Prediction: A Framework for Guaranteed Model Reliability](https://mlsanity.com/paper/2506.07804/) (2025)

## Abstract (arXiv)

Conformal prediction (CP) is a general framework to quantify the predictive uncertainty of machine learning models that uses a set prediction to include the true label with a valid probability. To align the uncertainty measured by CP, conformal training methods minimize the size of the prediction sets. A typical way is to use a surrogate indicator function, usually Sigmoid or Gaussian error function. However, these surrogate functions do not have a uniform error bound to the indicator function, leading to uncontrollable learning bounds. In this paper, we propose a simple cost-sensitive conformal training algorithm that does not rely on the indicator approximation mechanism. Specifically, we theoretically show that minimizing the expected size of prediction sets is upper bounded by the expected rank of true labels. To this end, we develop a rank weighting strategy that assigns the weight using the rank of true label on each data sample. Our analysis provably demonstrates the tightness between the proposed weighted objective and the expected size of conformal prediction sets. Extensive experiments verify the validity of our theoretical insights, and superior empirical performance over other conformal training in terms of predictive efficiency with 21.38% reduction for average prediction set size.