Answer: Rashi (Shabbos 42a; 134a) writes that the melacha mideoraisa of kibui, extinguishing, is specifically when one puts the fire out in order to create something constructive such as charcoal. Otherwise, extinguishing a flame is assur miderabanan.
The Gemara (Shabbos 120b) teaches that it is assur to do a permitted action which will inevitably cause a melacha to be transgressed. This prohibition is known as pesik reisha. Thus, Rambam (Shabbos 5:17) writes that one mustn’t open a door near a candle as the breeze will inevitably extinguish or fan the flame (See Mishna Berura 277:9).
The Gemara (ibid.) writes that one hasn’t transgressed a melacha mideoraisa unless one does so in a direct action. While one cannot usually perform such an action, a gerama, on Shabbos, it is often permitted in actions which are assur miderabanan. Thus, the Rema (OC 334:22) allows one to place containers of water near a flame knowing that it will later extinguish it to stop it destroying something.
Following this, R’ Ben Zion Abba Shaul (Ohr Letzion 2:41:4) writes that one is allowed to close a radiator valve even though by doing so one is causing the flame to go down. While it is a pesik reisha that the flame will lower itself, the issur is miderabanan. In addition, one isn’t causing this to happen directly, but as a gerama.
The Shearim Metzuyanim Behalacha (80:4) adds that this must only be done to prevent discomfort, but not because one wants to conserve energy.
R’ Yehoshua Neuwirth (Shemiras Shabbos Kehilchasa 23:19) writes that one should only close the valve if the radiator is hot. If the water is still heating up then one should ideally wait until it is yad soledes bo (approx. 43 °C) so as not to speed up the heating in the water tank. Likewise, if the boiler was off, one would be allowed to turn the radiator off to prevent it from coming on (See Orchos Shabbos 26).
In conclusion, one can turn a radiator off if one is uncomfortable, though one must ensure that it is either off or hot, rather than in the process of heating up.