Budgeted Regime Calibration: Allocating Calibration Resolution Across Predictive Regimes

Conformal prediction provides marginal coverage guarantees, yet reliability can vary substantially across heterogeneous regions of the input space. Local refinement can reduce this variation, but calibration resolution is finite: assigning more calibration cells to one region leaves fewer cells available elsewhere, while uniform refinement implicitly assumes that all regions benefit equally. We introduce Budgeted Regime Calibration (BRC), which formulates calibration resolution as a fixed-budget allocation problem over preformed regimes. BRC estimates regime-specific responses to candidate refinement levels using out-of-fold calibration on a dedicated STRUCTURE split and allocates the shared resolution budget according to those responses before independent final calibration. BRC selects the allocation that minimizes the largest absolute empirical coverage deviation from the target over fixed STRUCTURE audit groups, thereby controlling an upper bound on worst-group coverage shortfall.