ICML2026

Adversarially Robust Control of Conditional Value-at-Risk via Rockafellar-Uryasev Conformal Inference

Catherine Chen, Jingyan Shen, Xinyu Yang, Lihua Lei

摘要

We present an online, distribution-free framework for controlling the Conditional Value-at-Risk (CVaR\operatorname{CVaR}), extending conformal tail risk control to non-stationary and adversarial environments. Unlike classical risk control methods, which rely on stationarity or linearity of expectation, our approach provides provable safety guarantees for a nonlinear tail risk functional under arbitrary data-generating processes that may drift or shift strategically over time. By leveraging deep connections between conformal tail risk control, online learning, and the variational representation of CVaR\operatorname{CVaR} introduced by Rockafellar and Uryasev, we develop a novel procedure for online CVaR\operatorname{CVaR} control with adversarial regret guarantees. The proposed method operates without assumptions on the underlying data-generating process, making it broadly applicable in modern high-stakes deployment settings. We prove that the realized empirical CVaR\operatorname{CVaR} is asymptotically controlled at the target level, and that the resulting control is asymptotically tight up to a finite-sample O(1/T){O}(1/\sqrt{T}) conservatism gap. We demonstrate the effectiveness of our approach on portfolio risk management and toxicity mitigation for Large Language Models (LLMs), where rare but catastrophic failures dominate system risk.