Related papers: Simultaneous Swap Regret Minimization via KL-Calib…

Accurate probabilistic predictions are essential for optimal decision making. While neural network miscalibration has been studied primarily in classification, we investigate this in the less-explored domain of regression. We conduct the…

Multicalibration [HJKRR18] is an algorithmic fairness perspective that demands that the predictions of a predictor are correct conditional on themselves and membership in a collection of potentially overlapping subgroups of a population.…

As we move towards safety-critical cyber-physical systems that operate in non-stationary and uncertain environments, it becomes crucial to close the gap between classical optimal control algorithms and adaptive learning-based methods. In…

Overconfidence and underconfidence in machine learning classifiers is measured by calibration: the degree to which the probabilities predicted for each class match the accuracy of the classifier on that prediction. How one measures…

Large language models (LLMs) often make accurate next token predictions but their confidence in these predictions can be poorly calibrated: high-confidence predictions are frequently wrong, and low-confidence predictions may be correct.…

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…

We derive an alternative proof for the regret of Thompson sampling (\ts) in the stochastic linear bandit setting. While we obtain a regret bound of order $\widetilde{O}(d^{3/2}\sqrt{T})$ as in previous results, the proof sheds new light on…

We consider the problem setting of prediction with expert advice with possibly heavy-tailed losses, i.e. the only assumption on the losses is an upper bound on their second moments, denoted by $\theta$. We develop adaptive algorithms that…

Model overconfidence and poor calibration are common in machine learning and difficult to account for when applying standard empirical risk minimization. In this work, we propose a novel method to alleviate these problems that we call…

Calibration error is commonly adopted for evaluating the quality of uncertainty estimators in deep neural networks. In this paper, we argue that such a metric is highly beneficial for training predictive models, even when we do not…

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…

We consider $K$-armed stochastic bandits and consider cumulative regret bounds up to time $T$. We are interested in strategies achieving simultaneously a distribution-free regret bound of optimal order $\sqrt{KT}$ and a…

We consider the problem of adversarial (non-stochastic) online learning with partial information feedback, where at each round, a decision maker selects an action from a finite set of alternatives. We develop a black-box approach for such…

Algorithms for online learning typically require one or more boundedness assumptions: that the domain is bounded, that the losses are Lipschitz, or both. In this paper, we develop a new setting for online learning with unbounded domains and…

We make two contributions to the problem of estimating the $L_1$ calibration error of a binary classifier from a finite dataset. First, we provide an upper bound for any classifier where the calibration function has bounded variation.…

We consider online learning problems in the realizable setting, where there is a zero-loss solution, and propose new Differentially Private (DP) algorithms that obtain near-optimal regret bounds. For the problem of online prediction from…

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 study the adversarial kernel bandit problem, in which the loss at each round is induced by an arbitrary bounded element of a reproducing kernel Hilbert space (RKHS). We propose an exponential-weights algorithm built on a regularized…

Calibration of predicted probabilities is critical for reliable machine learning, yet it is poorly understood how standard training procedures yield well-calibrated models. This work provides the first theoretical proof that canonical…

We present an algorithm that achieves almost optimal pseudo-regret bounds against adversarial and stochastic bandits. Against adversarial bandits the pseudo-regret is $O(K\sqrt{n \log n})$ and against stochastic bandits the pseudo-regret is…