Conformalized Safe Feasible Sets in Uncertain Decision Systems

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Safety-critical decision systems often require a downstream optimizer to choose from an unknown feasible set determined by an unobserved label $Y$. Given a context $X$, the goal is to construct a safe subset $D(X)$ contained in the oracle feasible set $A(X,Y)$ with probability at least $1-α$. Existing conformal approaches typically construct a prediction set of the unobserved label $Y$ and retain decisions that are safe for every value in this set. Although valid, this requires a stronger intermediate event than set inclusion. We propose Directed Inclusion Safety Calibration (DISC), a conformal framework that directly controls the probability of this inclusion event by reducing its verification to a scalar critical-inclusion score. Given a pretrained nested family of candidate feasible sets, DISC assigns each labeled observation the smallest nestedness level at which the corresponding subset is contained in $A(X,Y)$, and constructs the safe feasible set using an empirical quantile at test-time. With data exchangeability, this yields a finite-sample, distribution-free inclusion guarantee. Under two practical set families, we show that DISC produces a safe feasible set containing that obtained by the corresponding calibration baseline. We further develop optimization-based score computation and decision-aware procedures for learning subset families. Experiments across continuous and structured decision problems show that DISC achieves the target inclusion guarantee while producing larger feasible regions.