Bridging Conformal Prediction and Scenario Optimization: Discarded Constraints and Modular Risk Allocation
Scenario optimization and conformal prediction share a common goal, that is, turning finite samples into safety margins. Yet, different terminology often obscures the connection between their respective guarantees. This paper revisits that connection directly from a systems-and-control viewpoint. Building on the recent conformal/scenario bridge of \citet{OSullivanRomaoMargellos2026}, we extend the forward direction to feasible sample-and-discard scenario algorithms. Specifically, if the final decision is determined by a stable subset of the retained sampled constraints, the classical mean violation law admits a direct exchangeability-based derivation. In this view, discarded samples natur...
| Authors | Giuseppe C. Calafiore |
|---|---|
| Primary category | eess.SY |
| Published | 19 March 2026 |
| Last updated at source | 19 March 2026 |
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