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The predict-then-optimize framework is fundamental in practical stochastic decision-making problems: first predict unknown parameters of an optimization model, then solve the problem using the predicted values. A natural loss function in…
Two-time-scale stochastic approximation (SA) is an algorithm with coupled iterations which has found broad applications in reinforcement learning, optimization and game control. In this work, we derive mean squared error bounds for…
Many classification applications require accurate probability estimates in addition to good class separation but often classifiers are designed focusing only on the latter. Calibration is the process of improving probability estimates by…
This paper provides both an introduction to and a detailed overview of the principles and practice of classifier calibration. A well-calibrated classifier correctly quantifies the level of uncertainty or confidence associated with its…
Contextual optimization, also known as predict-then-optimize or prescriptive analytics, considers an optimization problem with the presence of covariates (context or side information). The goal is to learn a prediction model (from the…
A set of probabilistic predictions is well calibrated if the events that are predicted to occur with probability p do in fact occur about p fraction of the time. Well calibrated predictions are particularly important when machine learning…
It is often observed that the probabilistic predictions given by a machine learning model can disagree with averaged actual outcomes on specific subsets of data, which is also known as the issue of miscalibration. It is responsible for the…
The classic concept of "calibrated forecasts" and its more recent refinement, "calibeating," are defined with respect to the standard quadratic scoring rule. We extend these notions to the class of $\textit{proper}$ scoring rules (for which…
As an autonomous system performs a task, it should maintain a calibrated estimate of the probability that it will achieve the user's goal. If that probability falls below some desired level, it should alert the user so that appropriate…
Calibration measures quantify how much a forecaster's predictions violates calibration, which requires that forecasts are unbiased conditioning on the forecasted probabilities. Two important desiderata for a calibration measure are its…
Scenario optimization and conformal prediction share a common goal, that is, turning finite samples into safety margins. Yet, different terminology often obscures the connection between their respective guarantees. This paper revisits that…
In online (sequential) calibration, a forecaster predicts probability distributions over a finite outcome space $[d]$ over a sequence of $T$ days, with the goal of being calibrated. While asymptotically calibrated strategies are known to…
We initiate the study of the truthfulness of calibration measures in sequential prediction. A calibration measure is said to be truthful if the forecaster (approximately) minimizes the expected penalty by predicting the conditional…
We consider the problem of online forecasting of sequences of length $n$ with total-variation at most $C_n$ using observations contaminated by independent $\sigma$-subgaussian noise. We design an $O(n\log n)$-time algorithm that achieves a…
Post-hoc calibration methods are widely used to improve the reliability of probabilistic predictions from machine learning models. Despite their prevalence, a comprehensive theoretical understanding of these methods remains elusive,…
We present a scheme by which a probabilistic forecasting system whose predictions have poor probabilistic calibration may be recalibrated by incorporating past performance information to produce a new forecasting system that is demonstrably…
Model diagnostics and forecast evaluation are two sides of the same coin. A common principle is that fitted or predicted distributions ought to be calibrated or reliable, ideally in the sense of auto-calibration, where the outcome is a…
He and Yuan's prediction-correction framework [SIAM J. Numer. Anal. 50: 700-709, 2012] is able to provide convergent algorithms for solving separable convex optimization problems at a rate of $O(1/t)$ ($t$ represents iteration times) in…
Probabilistic models must be well calibrated to support reliable decision-making. While calibration in single-output regression is well studied, defining and achieving multivariate calibration in multi-output regression remains considerably…
Calibration ensures that predicted uncertainties align with observed uncertainties. While there is an extensive literature on recalibration methods for univariate probabilistic forecasts, work on calibration for multivariate forecasts is…