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Author

Shi-Xiang Zhu

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Preprint Sep 2026

Conformal-DRO: Distributionally Robust Optimization with Conformalized Ambiguity Set

Conformal-DRO is proposed, which uses nested conformal regions to construct an ambiguity set for the future latent law, which covers this law with probability at least $1-\alpha$ in finite samples, without estimating underlying latent laws or their mixing mechanism.

Lu-Hao Zhang, Shi-Xiang Zhu · 1 citation

Learning Polyhedral Conformal Sets for Robust Optimization

A decision-aware conformal framework that learns uncertainty sets tailored to robust optimization objectives by directly minimizing the induced robust loss, while preserving statistical validity through conformal calibration is proposed.

Shuyi Chen, Wenbin Zhou, Shi-Xiang Zhu · 1 citation

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