arXiv:2402.07407v3 Announce Type: replace-cross Abstract: We propose conformal predictive programming (CPP), a framework to solve chance constrained optimization problems, i.e., optimization problems with constraints that are functions of random variables. CPP utilizes samples from these random variables along with the quantile lemma - central to conformal prediction - to transform the chance constrained optimization problem into a deterministic problem with a quantile reformulation. CPP's main strength is an independent calibration step that provides a posteriori guarantees for the solution o
Source: arXiv cs.LG — read the full report at the original publisher.