arXiv Machine Learning By Amirmohammad Farzaneh, Osvaldo Simeone

Risk-Averse Decision Making with Multi-Level Reliability Guarantees

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The paper investigates how to maximize the weighted average of performance certificates at multiple target outage levels under uncertainty about the system state. It shows that this problem is equivalent to optimizing over nested prediction sets, linking it to conformal prediction and extending prior work on single-level risk-averse decision making. A dual formulation is derived that decouples the optimization across input values, and numerical experiments on a diversity-based wireless transmission system illustrate the trade-offs involved in enforcing multi-level certificates with a single shared policy.

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arXiv Machine Learning
Aug 31

Conformal Risk-Averse Decision Making with Optimized Certainty Equivalent Risk Control

The paper investigates risk‑averse decision making where an agent chooses actions under uncertainty about the system state, using optimized certainty equivalent (OCE) metrics that encompass mean‑variance risk and CVaR. For known distributions, the optimal policy simplifies to a prediction‑set‑based solution for CVaR, linking it to conformal prediction sets. When distributions are unknown, the authors propose a data‑driven calibration method that employs a synthetic likelihood model and held‑out data to achieve high‑probability OCE risk control, and they demonstrate the method on two wireless beamforming scenarios.

By Amirmohammad Farzaneh, Osvaldo Simeone
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