Truthful Calibration Measures for Sequential Prediction

We study the online binary sequential calibration problem. A recent breakthrough by \citet{dagan2024breaking} overcomes the classical $T^{2/3}$ barrier for calibration error. Building on this result, we present an efficient randomized forecaster that achieves an expected calibration error $O(T^{2/3-\varepsilon})$ for some constant $\varepsilon>0$. Our forecaster combines the SPR-Calibration procedure \citep{dagan2024breaking} with an outer Blackwell-style correction layer. The SPR-Calibration procedure controls calibration with respect to a surrogate sequence of conditional-mean estimates, while the correction layer controls the additional error incurred when these surrogates are used to approximate the true outcomes. The analysis decomposes the total calibration error into the surrogate calibration error and the residual discrepancy between the surrogate sequence and the true outcomes. The former is bounded by the SPR-Calibration guarantee in \citet{dagan2024breaking}, and the latter is controlled using a quadratic potential argument together with the sparsity of the SPR-Calibration forecaster.

Probability forecasts are calibrated when predicted probabilities match empirical outcome frequencies: among events assigned a probability $p$, we'd hope that the fraction of positive outcomes is close to $p$. We study the problem of sequential forecasting of binary outcomes. The classical $O(T^{2/3})$ bound on expected cumulative $\ell_1$-calibration error established by Foster and Vohra stood for over two decades until Dagan et al. reduced the exponent $2/3$ by an unspecified constant. We establish a new two-phase recursive labeling strategy for the sign-preservation-with-reuse game that yields the bound $O(n^αt^β)$ for all choices of space and time. We then sharpen the reduction from upper bounds on sign preservation to calibration by modifying the equivalence of Dagan et al. to use only $O(\log T)$ instances of the sign-preservation-with-reuse game. This lets us establish an explicit bound of $O(T^{0.662942288})$, the first explicit exponent below $2/3$ for sequential calibration, by combining both improvements and choosing explicit feasible parameters.

A set of probabilistic forecasts is calibrated if each prediction of the forecaster closely approximates the empirical distribution of outcomes on the subset of timesteps where that prediction was made. We study the fundamental problem of online calibrated forecasting of binary sequences under the standard $\ell_1$ calibration error metric, which was initially studied by Foster & Vohra (1998). They derived an algorithm with $O(T^{2/3})$ calibration error after $T$ time steps, and showed a lower bound of $Ω(T^{1/2})$. These bounds remained stagnant for two decades, until Qiao & Valiant (2021) improved the lower bound to $Ω(T^{0.528})$ by introducing a combinatorial game called sign preservation and showing that lower bounds for this game imply lower bounds for calibration. In this paper, we give the first improvement to the $O(T^{2/3})$ upper bound on calibration error of Foster & Vohra. We do this by introducing a variant of Qiao & Valiant's game that we call sign preservation with reuse (SPR). We prove that the relationship between SPR and calibrated forecasting is bidirectional: not only do lower bounds for SPR translate into lower bounds for calibration, but algorithms for SPR also translate into new algorithms for calibrated forecasting. We then give an improved upper bound for the SPR game, which implies, via our equivalence, a forecasting algorithm with calibration error $O(T^{2/3 - \varepsilon})$ for some $\varepsilon > 0$, improving Foster & Vohra's upper bound for the first time. Using similar ideas, we then prove a slightly stronger lower bound than that of Qiao & Valiant, namely $Ω(T^{0.54389})$. Our lower bound is obtained by an oblivious adversary, marking the first $ω(T^{1/2})$ calibration lower bound for oblivious adversaries.