Bridging Conformal Prediction and Scenario Optimization: Discarded Constraints and Modular Risk Allocation

Abstract: Scenario optimization and conformal prediction share a common goal, that is, turning finite samples into safety margins. Yet, different terminology often obscures the connection between their respective guarantees. This paper revisits that connection directly from a systems-and-control viewpoint. Building on the recent conformal/scenario bridge of \citet{OSullivanRomaoMargellos2026}, we extend the forward direction to feasible sample-and-discard scenario algorithms. Specifically, if the final decision is determined by a stable subset of the retained sampled constraints, the classical mean violation law admits a direct exchangeability-based derivation. In this view, discarded samples naturally appear as admissible exceptions. We also introduce a simple modular composition rule that combines several blockwise calibration certificates into a single joint guarantee. This rule proves particularly useful in multi-output prediction and finite-horizon control, where engineers must distribute risk across coordinates, constraints, or prediction steps. Finally, we provide numerical illustrations using a calibrated multi-step tube around an identified predictor. These examples compare alternative stage-wise risk allocations and highlight the resulting performance and safety trade-offs in a standard constraint-tightening problem.