Simple algorithm achieves distance to calibration error of at most 2√T+1.
problem Achieving distance to calibration error of O(√T) in adversarial setting.
method An extremely simple, efficient, deterministic algorithm.
result Obtains distance to calibration error at most 2√T+1.
Proximal algorithms applied to current deformation into cycles.
problem Deformation of de Rham currents into cycles.
method Proximal algorithms, total variation denoising for differential forms.
result Calibrated cycles constructed in calibrated manifolds.
The paper proposes calibration to improve algorithm performance using machine learning predictions.
problem Improving real-world performance of online algorithms with machine learning predictions.
method Calibration as a tool to bridge the gap between prediction uncertainty and algorithm design.
result Calibrated advice leads to more effective guidance in high-variance settings and significant performance improvements in real-world data.
New algorithm tests model calibration in nearly-linear time.
problem Testing model calibration from samples efficiently.
method Reformulated as minimum-cost flow, solved with dynamic programming.
result Optimal testing problem solved in nearly-linear time.
New method turns any regression model into a calibrated probabilistic model.
problem Calibration and sharpness of uncertainty estimates in regression models.
method Modular Conformal Calibration (MCC) framework.
result MCC algorithms achieve near-perfect calibration and improved sharpness.
New decision-theoretic calibration error metric improves prediction reliability.
problem Improving the reliability of predictions for decision-making.
method Proposed Calibration Decision Loss (CDL) and an efficient algorithm to achieve near-optimal CDL.
result Near-optimal CDL guarantees vanishing payoff loss from miscalibration.
New methods calibrate causal estimates using standard predictive models.
problem Calibrating causal treatment effect estimates.
method Developed algorithms to transform causal estimation into standard calibration.
result General algorithms for causal calibration using standard predictive models.
In order to cope with the increased data volumes generated by modern radio interferometers such as LOFAR (Low Frequency Array) or SKA (Square Kilometre Array), fast and efficient calibration algorithms are essential. Traditional radio interferometric calibration is performed using nonlinear optimization techniques such…
Proposes FIPO-BC for efficient online calibration of complex models.
problem Efficiently calibrating computationally expensive models with large datasets.
method Fixed inducing points online Bayesian calibration (FIPO-BC) algorithm.
result FIPO-BC is at least ten times faster than standard methods and enables online updates.
New algorithms achieve decision calibration without sample complexity dependent on feature dimension.
problem Achieving decision calibration for nonlinear loss functions with polynomial sample complexity.
method Developed smooth relaxation of decision calibration, enabling dimension-free algorithms.
result Efficient algorithms post-process predictors to satisfy decision calibration without worsening accuracy.
New algorithm achieves online calibration in polynomial time for high-dimensional problems.
problem Online calibration of high-dimensional probability distributions over many days.
method Randomly selects among sub-forecasters, each predicting empirical outcome frequency over recent time windows.
result Achieves asymptotically calibrated strategies after polynomial number of rounds, resolving open questions.
We show that the existence of a computationally efficient calibration algorithm, with a low weak calibration rate, would imply the existence of an efficient algorithm for computing approximate Nash equilibria - thus implying the unlikely conclusion that every problem in PPAD is solvable in polynomial time.
Proposes a transductive matrix completion method with calibration for multi-task learning.
problem Improving multi-task learning with multiple related data sources.
method Transductive matrix completion with calibration constraint.
result The proposed algorithm recovers incomplete feature and target matrices with improved results.
The paper reconciles two conflicting fairness criteria in algorithmic risk scores.
problem How to reconcile calibration and equal error rates in algorithmic risk scores.
method Derive necessary and sufficient conditions for existence of calibrated scores achieving equal error rates, then present an algorithm to find the most accurate score subject to both criteria.
result The method can eliminate error disparities while maintaining calibration and improve profit in credit lending.
Post-processing predictors reduces calibration errors for decision-making.
problem Predictors with low calibration error for machine learning may have high error for decision-making.
method Post-processing with ε distance to calibration adds noise to make predictions differentially private.
result Post-processing achieves O(√ε) ECE and CDL, asymptotically optimal.
Survey of Optimal Transport for model calibration.
problem Model calibration using Optimal Transport.
method General framework and numerical algorithms for various models.
result Calibration of volatility models and path-dependent options.
Proposes new method for calibrating treatment effect predictors.
problem Calibrating predictors of heterogeneous treatment effects.
method Causal isotonic calibration and cross-calibration.
result Achieves fast calibration rates under weak conditions.
Algorithm optimizes quantized isotonic regression with log-linear time updates.
problem Optimizing quantized isotonic regression estimations.
method Modified PAVA algorithm for sequential optimization.
result Log-linear time updates for optimal quantized mapping.
Improved upper bound for online calibrated forecasting of binary sequences.
problem Online calibrated forecasting of binary sequences.
method Introducing a variant of Qiao & Valiant's sign preservation game called sign preservation with reuse (SPR) and proving its equivalence to calibrated forecasting.
result Improved upper bound of O(T2/3−ε) for calibrated forecasting, improving the O(T2/3) bound of Foster & Vohra. New algorithms adaptively calibrate predictions in non-stationary environments, matching optimal rates.
problem Designing online prediction algorithms that adapt to varying levels of non-stationarity.
method Epoch-based scheduling and non-uniform partitioning of the prediction space.
result Achieves adaptive calibration guarantees under multiple measures with optimal rates.
Optimal multiclass U-calibration error found to be Θ(√KT).
problem Online multiclass U-calibration with low regret for all bounded proper losses.
method Follow-the-Perturbed-Leader algorithm and lower bound construction.
result Optimal U-calibration error is Θ(√KT).
The paper provides a uniform convergence bound for smooth calibration error and its relationship with functional gradient.
problem Limited theoretical understanding of learning algorithms achieving high accuracy and good calibration.
method Focuses on smooth calibration error, providing a uniform convergence bound and proving the relationship with functional gradient.
result Derives conditions for simultaneous classification and calibration guarantees in gradient boosting trees, kernel boosting, and neural networks.
New framework ensures valid uncertainty estimates for any data stream changes.
problem Challenges of distribution shifts and adversarial actors in real-world data streams.
method Leveraging Blackwell approachability from game theory, the framework guarantees calibrated uncertainties for any compact space.
result Improves calibration and decision-making for energy systems.
New approach calibrates predictions for better decision-making.
problem Achieving reliable predictions for multi-class problems is hard.
method Introduces decision calibration, a new approach to calibrate predictions.
result Designs a recalibration algorithm that makes predictions reliable for decision-making.
There has been much recent interest in application of the pool-adjacent-violators (PAV) algorithm for the purpose of calibrating the probabilistic outputs of automatic pattern recognition and machine learning algorithms. Special cost functions, known as proper scoring rules form natural objective functions to judge the…
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an established technique from Engineering, to calibrate regime switching models instead. …
Genetic Algorithm improves Nelson-Siegel-Svensson model calibration for interest rates.
problem Calibrating the Nelson-Siegel-Svensson model is difficult due to nonlinearity and parameter co-dependence.
method Applied Genetic Algorithm to optimize model parameters.
result Constructs stable interest rate curves and model parameters over time.
Algorithm calibrates predictions for covariate shift using domain adaptation.
problem Uncertainty estimates overestimate certainty when real-world data differs from training data.
method Uses importance weighting and learns a feature map to equalize distributions.
result Outperforms existing approaches in calibrated prediction when covariate shift occurs.
The paper tackles confidence calibration for exploratory machine learning problems.
problem Difficulty in curating datasets and confusion about category validity.
method Introduces four new algorithms for category-specific confidence estimation, including kernel density ratios.
result Kernel density ratios provide a novel approach to confidence calibration, especially for exploratory problems.
New algorithm calibrates forecasts in high dimensions with minimal regret.
problem Online calibration of multi-dimensional forecasts over convex sets.
method Connects to external regret minimization for online linear optimization, using swap regret minimization.
result Obtains ε-calibrated forecasts with minimal rounds and without expert knowledge.
New method calibrates machine learning models with theoretical guarantees.
problem Lack of theoretical guarantees for recalibration in multiclass classification.
method PAC-Bayes analysis for generalization error in calibration.
result First optimizable upper bound for generalization error in calibration.
Probability estimates generated by boosting ensembles are poorly calibrated because of the margin maximization nature of the algorithm. The outputs of the ensemble need to be properly calibrated before they can be used as probability estimates. In this work, we demonstrate that online boosting is also prone to producin…
In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be …
We present a universal algorithm for online trading in Stock Market which performs asymptotically at least as good as any stationary trading strategy that computes the investment at each step using a fixed function of the side information that belongs to a given RKHS (Reproducing Kernel Hilbert Space). Using a universa…
The paper improves Bayesian optimization by calibrating uncertainty estimates.
problem Improper uncertainty estimates in Bayesian optimization when data is non-stationary.
method Proposes online learning algorithms to maintain calibration on non-i.i.d. data and integrates them into Bayesian optimization.
result Calibrated Bayesian optimization converges to better optima in fewer steps.
Framework calibrates ML models for risk control in various tasks.
problem Achieving statistical guarantees for model predictions.
method Reframing risk control as multiple hypothesis testing, applying statistical techniques.
result New calibration methods for multi-label classification, instance segmentation, outlier detection, and confidence set coverage.
Calibrated PRMs improve inference efficiency for LLMs by dynamically adjusting compute budgets.
problem Poor calibration of PRMs leads to overestimation of success probabilities in partial reasoning steps.
method Quantile regression for calibration, instance-adaptive scaling (IAS) framework.
result Calibrated PRMs reduce inference costs while maintaining accuracy, especially on confident problems.
Benchmark assesses fairness in algorithmic uncertainty, revealing consistent and calibrated estimates improve fairness.
problem Challenges in managing uncertainty in fairness evaluations for predictive algorithms.
method Introduces FairlyUncertain, an axiomatic benchmark for evaluating uncertainty in fairness.
result Consistent and calibrated uncertainty estimates improve fairness without explicit fairness interventions.
A new perfectly truthful calibration measure improves prediction reliability.
problem Improving the reliability of predictions by ensuring they are conditionally unbiased.
method Designing a simple, perfectly truthful calibration measure called ATB.
result ATB is the first perfectly truthful calibration measure in the batch setting.
Techniques from deep learning play a more and more important role for the important task of calibration of financial models. The pioneering paper by Hernandez [Risk, 2017] was a catalyst for resurfacing interest in research in this area. In this paper we advocate an alternative (two-step) approach using deep learning t…
A co-evolutionary approach for Heston model calibration reduces overfitting with diverse datasets.
problem Overfitting and lack of generalization in Heston model calibration.
method Coupling a genetic algorithm with an evolving neural inverse map, using both GA-history sampling and Latin hypercube sampling.
result Diverse datasets improve out-of-sample stability and calibration accuracy.
Proposes new Monte Carlo methods for calibrating local volatility models with stochastic components.
problem Calibrating local volatility models with stochastic drift and diffusion.
method Developed Monte Carlo algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and stochastic local volatility with stochastic interest rates.
result Conditions for the existence of local volatility given European option prices, stochastic interest rate model parameters, and correlations.
A post-hoc framework improves model performance by calibrating different feature spaces.
problem Improving AUC performance on binary classification tasks for overconfident models.
method Identifies heterogeneous partitions of the feature space and applies post-hoc calibration techniques to each partition.
result Theoretical optimality of the framework for any model, demonstrated on deep neural networks.
New method calibrates classifier probabilities with guaranteed coverage.
problem Inaccurate probability estimates by classifiers in high-risk applications.
method Adaptive temperature scaling algorithm for conformal prediction.
result Improves calibration error measures and standard metrics across various tasks.
New method calibrates multi-class predictions efficiently without sacrificing accuracy.
problem Efficiently calibrating multi-class predictions without sacrificing accuracy.
method Formulated robust projected smooth calibration and new recalibration algorithms.
result Achieves strong guarantees for binary classification tasks with polynomial complexity.
Adaptive calibration improves model accuracy with fewer simulations.
problem Inefficient calibration of complex models using fixed designs.
method Bayesian adaptive experimental design to optimize simulation runs.
result The method achieves better parameter estimation with fewer simulations.
Paper develops a new algorithm to improve screening processes.
problem Improving the efficiency and accuracy of screening processes.
method Developed a distribution-free screening algorithm called Calibrated Subset Selection (CSS).
result CSS provides near-optimal shortlists with provable diversity guarantees.
In many classification problems it is desirable to output well-calibrated probabilities on the different classes. We propose a robust, non-parametric method of calibrating probabilities called SplineCalib that utilizes smoothing splines to determine a calibration function. We demonstrate how applying certain transforma…