Largest Rashomon sets of decision trees for robust contextual optimization

Abstract

Many decision trees fit the same data almost equally well, yet they can route a query point to different leaves and induce different local empirical distributions. We study decisions that meet prescribed cost, shortage or risk targets despite this predictive multiplicity. We propose the joint Rashomon and robustness optimization framework for optimal decision trees. It jointly selects an operational decision and the largest Rashomon set of trees, so that the targets hold under the local empirical distribution that every tree in this set induces at the query point. We specialize the framework to the regression setting, and we show that a tree affects the decision only through the training observations sharing the query leaf, which we call its query neighborhood. As a result, the robust problem involves only finitely many distinct constraints, which can be examined in order of increasing estimation loss. We develop a constraint generation algorithm that combines query-path pricing with dynamic programming to identify violating neighborhoods without enumerating trees. On synthetic newsvendor instances, the algorithm typically needs few neighborhoods and runs substantially faster than full neighborhood enumeration. On restaurant demand data, the robust orders increase the mean tolerated excess estimation loss by 17.6% and reduce the empirical conditional value-at-risk of the worst 10% of realized costs by 8.3% relative to the sample average approximation orders of the optimal tree, while the mean cost difference is not statistically significant. An interpretability analysis further shows how the retained neighborhoods explain the decision and its robustness limit.