Calibration has emerged as a foundational goal in ``trustworthy machine learning'', in part because of its strong decision theoretic semantics. Independent of the underlying distribution, and independent of the decision maker's utility function, calibration promises that amongst all policies mapping predictions to actions, the uniformly best policy is the one that ``trusts the predictions'' and acts as if they were correct. But this is true only of \emph{fully calibrated} forecasts, which are tractable to guarantee only for very low dimensional prediction problems. For higher dimensional prediction problems (e.g. when outcomes are multiclass), weaker forms of calibration have been studied that lack these decision theoretic properties. In this paper we study how a conservative decision maker should map predictions endowed with these weaker (``partial'') calibration guarantees to actions, in a way that is robust in a minimax sense: i.e. to maximize their expected utility in the worst case over distributions consistent with the calibration guarantees. We characterize their minimax optimal decision rule via a duality argument, and show that surprisingly, ``trusting the predictions and acting accordingly'' is recovered in this minimax sense by \emph{decision calibration} (and any strictly stronger notion of calibration), a substantially weaker and more tractable condition than full calibration. For calibration guarantees that fall short of decision calibration, the minimax optimal decision rule is still efficiently computable, and we provide an empirical evaluation of a natural one that applies to any regression model solved to optimize squared error.
翻译:校准已成为“可信机器学习”中的一个基础目标,部分原因在于其强大的决策理论语义。无论底层分布如何,也无论决策者的效用函数如何,校准承诺:在所有将预测映射到行动的策略中,一致最优的策略是“信任预测”并视其为正确的策略。但这仅对**完全校准**的预测成立,而这类预测仅在极低维预测问题中才可有效保证。对于更高维的预测问题(例如当结果为多类别时),已研究出缺乏这些决策理论性质的较弱校准形式。本文研究了一个保守的决策者应如何将具备这些较弱(“部分”)校准保证的预测映射到行动,以一种在极小化极大意义上鲁棒的方式:即在所有与校准保证一致的分布中,最大化其最坏情况下的期望效用。我们通过对偶论证刻画了其极小化极大最优决策规则,并表明令人惊讶的是,“信任预测并据此行动”在极小化极大意义上被**决策校准**(以及任何严格更强的校准概念)所恢复,这是一个比完全校准显著更弱且更易处理的条件。对于未达到决策校准的校准保证,极小化极大最优决策规则仍可高效计算,并且我们对一种适用于任何以优化平方误差求解的回归模型的自然规则进行了实证评估。