Data-driven approaches to predict-then-optimize decision-making problems seek to mitigate the risk of uncertainty region misspecification in safety-critical settings. Current approaches, however, suffer from considering overly conservative uncertainty regions, often resulting in suboptimal decisionmaking. To this end, we propose Conformal-Predict-Then-Optimize (CPO), a framework for leveraging highly informative, nonconvex conformal prediction regions over high-dimensional spaces based on conditional generative models, which have the desired distribution-free coverage guarantees. Despite guaranteeing robustness, such black-box optimization procedures alone inspire little confidence owing to the lack of explanation of why a particular decision was found to be optimal. We, therefore, augment CPO to additionally provide semantically meaningful visual summaries of the uncertainty regions to give qualitative intuition for the optimal decision. We highlight the CPO framework by demonstrating results on a suite of simulation-based inference benchmark tasks and a vehicle routing task based on probabilistic weather prediction.

基于数据驱动的方法预测后优化决策问题，使用非凸生成模型的情景预测区域构建了 Conformal-Predict-Then-Optimize（CPO）框架，保证了鲁棒性，并通过提供可视化的不确定性区域的语义化摘要，为最优决策提供了定性的直觉。

共形上下文鲁棒优化