Conformal Contextual Robust Optimization

Yash P Patel, Sahana Rayan, Ambuj Tewari
Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, PMLR 238:2485-2493, 2024.

Abstract

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 decision-making. 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.

Cite this Paper

BibTeX
@InProceedings{pmlr-v238-p-patel24a, title = { Conformal Contextual Robust Optimization }, author = {P Patel, Yash and Rayan, Sahana and Tewari, Ambuj}, booktitle = {Proceedings of The 27th International Conference on Artificial Intelligence and Statistics}, pages = {2485--2493}, year = {2024}, editor = {Dasgupta, Sanjoy and Mandt, Stephan and Li, Yingzhen}, volume = {238}, series = {Proceedings of Machine Learning Research}, month = {02--04 May}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v238/p-patel24a/p-patel24a.pdf}, url = {https://proceedings.mlr.press/v238/p-patel24a.html}, abstract = { 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 decision-making. 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. } }
Endnote
%0 Conference Paper %T Conformal Contextual Robust Optimization %A Yash P Patel %A Sahana Rayan %A Ambuj Tewari %B Proceedings of The 27th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2024 %E Sanjoy Dasgupta %E Stephan Mandt %E Yingzhen Li %F pmlr-v238-p-patel24a %I PMLR %P 2485--2493 %U https://proceedings.mlr.press/v238/p-patel24a.html %V 238 %X 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 decision-making. 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.
APA
P Patel, Y., Rayan, S. & Tewari, A.. (2024). Conformal Contextual Robust Optimization . Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 238:2485-2493 Available from https://proceedings.mlr.press/v238/p-patel24a.html.

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