A Black-Box Reduction from Regret to Multi-Level Coverage

Online Conformal Prediction (OCP) sequentially constructs prediction sets whose average empirical coverage converges to a target level over time, for arbitrary, potentially adversarial datasets. In the multi-level setting, prediction sets are produced at d coverage levels at once. Prior work argued for the use of online gradient descent with isotonic projections, which produces sets nested across levels, but with a \sqrt{d} dependence in the per-level coverage convergence rate. Here, we both generalize and improve prior work. First, we show that isotonic projections can be used for the construction of multi-level online conformal prediction sets from any online learning algorithm (not just gradient descent). Then, through a black-box reduction, we show that the linearized regret of the online algorithm itself automatically gives control over both per-level coverage and distributional consistency of multi-level predictions via Fenchel duality. Finally, by using the Weighted Interval Score, a standard scoring rule for assessing multi-level interval forecasts, we prove that these projections reduce both the size of the sets and their under-coverage. We study two instantiations of our theory, p-norm Online Mirror Descent and coordinate-wise Universal Portfolio methods, both improving the dependence on the number of levels to \sqrt{\log d} for the multi-level OCP problem. Experiments on several datasets show favorable performance compared to baselines.