Scenario Approach with Post-Design Certification of User-Specified Properties
Authors: Algo Carè, Marco C. Campi, Simone Garatti
Organizations: Department of Information Engineering - University of Brescia, via Branze 38, 25123 Brescia, Italia · Dipartimento di Elettronica, Informazione e Bioingegneria - Politecnico di Milano, piazza Leonardo da Vinci 32, 20133 Milano, Italia
The scenario approach is an established data-driven design framework that comes equipped with a powerful theory linking design complexity to generalization properties. In this approach, data are simultaneously used both for design and for certifying the design's reliability, without resorting to a separate test dataset. This paper takes a step further by guaranteeing additional properties, useful in post-design usage but not considered during the design phase. To this end, we introduce a two-level framework of appropriateness: baseline appropriateness, which guides the design process, and post-design appropriateness, which serves as a criterion for a posteriori evaluation. We provide distribution-free upper bounds on the risk of failing to meet the post-design appropriateness; these bounds are computable without using any additional test data. Under additional assumptions, lower bounds are also derived. As part of an effort to demonstrate the usefulness of the proposed methodology, the paper presents two practical examples in H2 and pole-placement problems. Moreover, a method is provided to infer comprehensive distributional knowledge of relevant performance indexes from the available dataset.
Figures & tables
Fig. 1: Feedback configuration for the pole placement problem.
Fig. 2: A classic pendulum
Fig. 3: Locations in the complex plane of the closed-loop system poles corresponding to the N=2000 scenarios in problem ( 17 ). The dotted line is the border of the desired conic sector S−0.7,0.5 . The black dots in −1±j and −3±3j are the poles of the reference polynomial.
Fig. 4: Fϵ(ℓ−hN∗) and Fϵ(ℓ−hN∗) (solid lines) vs. actual cumulative distribution function of ∥η(T)∥∞ (dashed lines) for ρ=1 (top) and ρ=0.05 (bottom).
The scenario approach provides a powerful data-driven framework for designing solutions under uncertainty with rigorous probabilistic robustness guarantees. Existing theory, however, primarily addresses assessing robustness with respect to a single appropriateness criterion for the solution based on a dataset, whereas many practical applications - including multi-agent decision problems - require the simultaneous consideration of multiple criteria and the assessment of their robustness based on multiple datasets, one per criterion. This paper develops a general scenario theory for multi-criteria data-driven decision making. A central innovation lies in the collective treatment of the risks associated with violations of individual criteria, which yields substantially more accurate robustness certificates than those derived from a naive application of standard results. In turn, this approach enables a sharper quantification of the robustness level with which all criteria are simultaneously satisfied. The proposed framework applies broadly to multi-criteria data-driven decision problems, providing a principled, scalable, and theoretically grounded methodology for design under uncertainty.
Dipartimento di Elettronica Informazione e Ingegneria, Politecnico di Milano, Milano, Italy · Dipartimento di Ingegneria dell’Informazione, Universit`a degli studi di Brescia, Brescia, Italy
Scenario optimization, conformal prediction, and related distribution-free certification methods use finite samples to construct decisions or prediction sets with violation-risk guarantees for fresh observations. In several classical settings, the conditional violation risk follows an exact beta law, whose tail has a beta-binomial representation and whose parameter is a support, calibration, or compression dimension. This paper identifies the deterministic boundary mechanism behind these formulas and derives the corresponding law when the observed boundary size is random. A decision rule is represented by an acceptance set for future observations, together with a boundary map selecting the sample points responsible for that set. The resulting pair is called a {\em proper projective boundary scheme} when held-out samples are accepted precisely if the full-sample boundary is retained, and accepted non-boundary samples can be deleted without changing that boundary. For every such scheme, the conditional law of the violation risk given the observed boundary size is determined by the boundary's cross-sample complexity profile. A stable profile yields the usual beta law, whereas a varying profile produces an exact profile correction. The framework covers scalar order-statistic calibration, support-reconstructive scenario programs, cascaded support-removal certificates, coordinatewise envelopes, and Pareto-frontier calibration with vector scores. It also yields conditional probabilistic certificates and a no-go result explaining why observed complexity alone is insufficient.
Giuseppe C. Calafiore
Department of Electronics and Telecommunications, Politecnico di Torino, Italy
Complex engineered systems require coordinated design choices across heterogeneous components under conflicting objectives and uncertain specifications. Monotone co-design provides a compositional framework for such problems. Performance of each subsystem is modeled with a design problem: a relation specifying what resources suffice to provide each functionality. Existing uncertain co-design models rely on interval bounds, which support worst-case reasoning but cannot represent probabilistic risk or multi-stage adaptive decisions. We develop a distributional extension of co-design that models uncertain design outcomes as distributions over design problems and supports adaptive decision processes through Markov-kernel re-parameterizations. Using quasi-measurable and quasi-universal spaces, we show that the standard co-design compositions remain compositional under this richer uncertainty, and introduce queries and observations extracting probabilistic trade-offs, including feasibility probabilities, confidence bounds, and distributions of minimal required resources. A task-driven unmanned aerial vehicle case study shows how the framework captures risk-sensitive and information-dependent design choices that interval models cannot express.
Yujun Huang, Gioele Zardini
Laboratory for Information & Decision Systems, Massachusetts Institute of Technology, Cambridge, MA 02139