Conformal Inverse Optimization

Abstract: Inverse optimization has been increasingly used to estimate unknown parameters in an optimization model based on decision data. We show that such a point estimation is insufficient in a prescriptive setting where the estimated parameters are used to prescribe new decisions. The prescribed decisions may be low-quality and misaligned with human intuition and thus are unlikely to be adopted. To tackle this challenge, we propose conformal inverse optimization, which seeks to learn an uncertainty set for the unknown parameters and then solve a robust optimization model to prescribe new decisions. Under mild assumptions, we show that our method enjoys provable guarantees on solution quality, as evaluated using both the ground-truth parameters and the decision maker's perception of the unknown parameters. Our method demonstrates strong empirical performance compared to classic inverse optimization.