Federated Conditional Conformal Prediction via Generative Models

Abstract: Conformal Prediction (CP) provides distribution-free uncertainty quantification by constructing prediction sets that guarantee coverage of the true labels. This reliability makes CP valuable for high-stakes federated learning scenarios such as multi-center healthcare. However, standard CP assumes i.i.d. data, which is violated in federated settings where client distributions differ substantially. Existing federated CP methods address this by maintaining marginal coverage on each client, but such guarantees often fail to reflect input-conditional uncertainty. In this work, we propose Federated Conditional Conformal Prediction (Fed-CCP) via generative models, which aims for conditional coverage that adapts to local data heterogeneity. Fed-CCP leverages generative models, such as normalizing flows or diffusion models, to approximate conditional data distributions without requiring the sharing of raw data. This enables each client to locally calibrate conformal scores that reflect its unique uncertainty, while preserving global consistency through federated aggregation. Experiments on real datasets demonstrate that Fed-CCP achieves more adaptive prediction sets.