Occupancy-based Quantile Risk Control

Conformal risk control is an emerging framework for the safe deployment of machine learning models with finite-sample guarantees. To accommodate a broader class of risk notions, quantile risk control extends this framework to quantile-based risk measures. However, existing methods either suffer from excessive conservatism or lack rigorous finite-sample guarantees. To address these limitations, we introduce Occupancy-based Quantile Risk Control (OQRC), a novel method that provides tight risk control bounds with finite-sample validity. Our key idea is to formulate risk control as a finite-occupancy problem by partitioning the loss space with the ordered calibration losses. Specifically, we estimate the distribution of test losses across the resulting bins and upper-bound the risk by the maximum loss attained within each bin. We then select the parameter $\lambda$ such that this upper bound does not exceed a predefined threshold $\alpha$ with high probability $1-\delta$. Theoretically, we establish a finite-sample guarantee showing that OQRC yields tight risk control bounds that converge to the optimal bounds at a provable rate of $\mathcal{O}_p(n^{-1/2})$. Extensive experiments demonstrate the effectiveness of our method, reducing the risk gap by up to 78.64\% on common benchmarks.