Learning Polyhedral Conformal Sets for Robust Optimization

Classical uncertainty sets for robust optimisation impose fixed geometric shapes that cannot represent the complex dependencies present in real-world data. We propose Generative Robust Optimisation (GRO), a framework in which a deep generative model defines the uncertainty set as the image of a neural network decoder over a calibrated latent set, naturally accommodating nonlinear correlations, asymmetry, and multimodality. A five-point evaluation framework (reconstruction fidelity, distribution matching, latent regularity, robust relevance, and computational tractability) provides systematic, model-agnostic criteria for assessing any neural network-based uncertainty set. We instantiate this framework with a Wasserstein Adversarial Autoencoder employing Gaussian mixture model-guided training for latent regularity and constraint-consistency regularisation for robust relevance. Restricting the decoder to ReLU activations enables exact worst-case verification through mixed-integer programming embedding. Extensive experiments on a production planning problem across six uncertainty distributions and six generative architectures, together with a multi-period facility location study, validate the framework and demonstrate that systematic attention to all five criteria yields uncertainty sets that are simultaneously expressive, well-calibrated, and optimisation-tractable.

Conformal prediction provides finite-sample, distribution-free coverage under exchangeability, but standard constructions may lack robustness in the presence of outliers or heavy tails. We propose a robust conformal method based on a non-conformity score defined as the half-mass radius around a point, equivalently the distance to its $(\lfloor n/2\rfloor+1)$-nearest neighbour. We show that the resulting conformal regions are marginally valid for any sample size and converge in probability to a robust population central set defined through a distance-to-a-measure functional. Under mild regularity conditions, we establish exponential concentration and tail bounds that quantify the deviation between the empirical conformal region and its population counterpart. These results provide a probabilistic justification for using robust geometric scores in conformal prediction, even for heavy-tailed or multi-modal distributions.

Predict-then-optimize systems usually compress uncertainty into a point forecast and then solve a downstream optimization problem as if the forecast were reliable. Distributionally robust optimization (DRO) offers protection against misspecification, but the ambiguity set is often centered at historical samples and uses a fixed radius. We propose \emph{learned predictive ambiguity sets} (LPAS): a deep contextual model outputs a finite nominal scenario distribution, a state-dependent Wasserstein radius, and optionally an anisotropic ground metric. These outputs define a contextual ambiguity set that feeds a DRO decision layer. The radius is trained by a combination of conditional quantile calibration, size regularization, and downstream decision loss, so that robustness is adaptive rather than globally fixed. We derive the finite dual form used by the decision layer, present a staged training algorithm, and evaluate the method on distributionally robust portfolio optimization with 20 S&P 500 constituents from 2018--2026. The proposed method substantially improves over equal-weight, predict-then-optimize, and historical Wasserstein DRO baselines, achieving 26.28% annualized return, Sharpe ratio 1.30, final wealth 1.61, and lower tail loss than a deep fixed-radius DRO baseline while using a smaller average radius. The results show that learned ambiguity radii can recover most of the performance of strong fixed-radius DRO while reducing unnecessary conservatism and improving regime adaptivity.