  Before delegating a task to an autonomous system, a human operator may want a
guarantee about the behavior of the system. This paper extends previous work on
conformal prediction for functional data and conformalized quantile regression
to provide conformal prediction intervals over the future behavior of an
autonomous system executing a fixed control policy on a Markov Decision Process
(MDP). The prediction intervals are constructed by applying conformal
corrections to prediction intervals computed by quantile regression. The
resulting intervals guarantee that with probability $1-\delta$ the observed
trajectory will lie inside the prediction interval, where the probability is
computed with respect to the starting state distribution and the stochasticity
of the MDP. The method is illustrated on MDPs for invasive species management
and StarCraft2 battles.
