Mental Models 4 Life

All my life I have been searching for simple and effective methods for constructing prediction intervals for different AI/ML models. I don’t know why I never encountered Conformal Prediction until recently, but I suppose it is better late than never. Conformal prediction is (arguably) the most elegant and practical technique for improving the robustness in which we use predictions from (black-box) machine learning models, including LLMs. I hope the following short note motivates more people to learn about these wonderful estimators.