Learning Polyhedral Conformal Sets for Robust Optimization

Robust optimization is a widely used framework for decision-making under uncertainty, particularly in high-stakes applications where reliability is critical. A key challenge in this paradigm lies in constructing uncertainty sets that balance robustness and performance: overly conservative sets lead to pessimistic decisions, while insufficient coverage risks failure in practice. Recent approaches based on conformal prediction provide finite-sample, distribution-free guarantees for uncertainty sets, but remain largely task-agnostic and disconnected from downstream decision objectives. In this paper, we propose a decision-aware conformal prediction framework that directly learns the geometry of uncertainty sets to improve robust decision-making. Our approach introduces a polyhedral nonconformity score that induces feature-dependent uncertainty sets, and a three-step procedure that integrates conformal calibration, robust-decision-aware learning, and re-calibration to correct for post-selection bias. We establish finite-sample coverage guarantees for the final, data-dependent uncertainty set, while achieving improved decision performance by reducing unnecessary conservativeness. This work bridges the gap between statistical validity and decision optimality, providing a principled framework for data-driven robust optimization.