Conformal Prediction (CP) is a powerful statistical machine learning tool to construct uncertainty sets with coverage guarantees, which has fueled its extensive adoption in generating prediction regions for decision-making tasks, e.g., Trajectory Optimization (TO) in uncertain environments. However, existing methods predominantly employ a sequential scheme, where decisions rely unidirectionally on the prediction regions, and consequently the information from decision-making fails to be fed back to instruct CP. In this paper, we propose a novel Feedback-Based CP (Fb-CP) framework for shrinking-horizon TO with a joint risk constraint over the entire mission time. Specifically, a CP-based posterior risk calculation method is developed by fully leveraging the realized trajectories to adjust the posterior allowable risk, which is then allocated to future times to update prediction regions. In this way, the information in the realized trajectories is continuously fed back to the CP, enabling attractive feedback-based adjustments of the prediction regions and a provable online improvement in trajectory performance. Furthermore, we theoretically prove that such adjustments consistently maintain the coverage guarantees of the prediction regions, thereby ensuring provable safety. Additionally, we develop a decision-focused iterative risk allocation algorithm with theoretical convergence analysis for allocating the posterior allowable risk which closely aligns with Fb-CP. Furthermore, we extend the proposed method to handle distribution shift. The effectiveness and superiority of the proposed method are demonstrated through benchmark experiments.

We use ReLU as the activation function.

We construct SEIDNet based on PyTorch1. There are 26 convolutional layers for extracting the visual feature map from the rainy image. The feature masking contains two convolutional layers. It computes the rain (or object) feature map. There is a pair of batch normalization and ReLU layers between the adjacent convolutional layers. The size of kernels in each convolutional layer is 3 3. Vid generates 3 3kernel for deraining each pixel.

In the supplementary material, we first introduce the pseudo algorithm of DA W . Then we clarify the Then, we provide a more detailed explanation of Figures 1, 2, 4, and 5, which are slightly abbreviated due to the limited space of the main paper. In the naive pseudo-labeling method, all pseudo labels are enrolled into training, i.e., E 1 + E 2, which is guaranteed by theoretical functional analysis in the next section. Inequality 45 holds true at all times. In this section, we provide more qualitative results between ours and other competitors.