Blackwell's Approachability for Sequential Conformal Inference

Abstract: We study conformal inference in non-exchangeable environments through the lens of Blackwell's theory of approachability. We first recast adaptive conformal inference (ACI, Gibbs and Cand`es, 2021) as a repeated two-player vector-valued finite game and characterize attainable coverage--efficiency tradeoffs. We then construct coverage and efficiency objectives under potential restrictions on the adversary's play, and design a calibration-based approachability strategy to achieve these goals. The resulting algorithm enjoys strong theoretical guarantees and provides practical insights, though its computational burden may limit deployment in practice.