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1122 · May 202619922001200920172026
5 results for U-calibration

New algorithm reduces prediction errors across various loss functions.

problem Online forecasting algorithms' inability to adapt to different loss functions.
method Design of a novel Follow-the-Perturbed-Leader (FTPL) algorithm with self-concordant noise.
result Simultaneously achieves ildeO(T) ilde O(\sqrt{T}) regret for bounded proper losses and O(logT)O(\log T) regret for bounded smooth proper losses.

Bayesian approach improves online prediction accuracy without distributional assumptions.

problem Online construction of confidence sets for black-box models.
method Combines empirical distribution with Bayesian regularization to predict quantiles.
result Adaptive algorithm with low regret and correct coverage probability for iid data.

This work generalizes calibeating for a broader range of proper losses using Bregman divergence.

problem Calibration for a wide range of proper losses beyond Brier and log loss.
method Regret minimization based on Bregman divergence for a family of proper losses.
result U-calibration results for a family of Tsallis losses with logarithmic regret and dimension independence.