Efficient Calibration for Decision Making

A decision-theoretic characterization of perfect calibration is that an agent seeking to minimize a proper loss in expectation cannot improve their outcome by post-processing a perfectly calibrated predictor. Hu and Wu (FOCS’24) use this to define an approximate calibration measure called calibration decision loss (CDL), which measures the maximal improvement achievable by any post-processing over any proper loss. Unfortunately, CDL turns out to be intractable to even weakly approximate in the offline setting, given black-box access to the predictions and labels. We suggest circumventing this by restricting attention to structured families of post-processing functions K. We define the calibration decision loss relative to K, denoted CDL_K where we consider all proper losses but restrict post-processings to a structured family K. We develop a comprehensive theory of when CDL_K is information-theoretically and computationally tractable, and use it to prove both upper and lower bounds for natural classes K. In addition to introducing new definitions and algorithmic techniques to the theory of calibration for decision making, our results give rigorous guarantees for some widely used recalibration procedures in machine learning.

• † University of Texas at Austin
• ‡ Harvard University