High-dimensional online calibration from harmonic weights
Maxwell Fishelson, Mehryar Mohri
Abstract
We study the online calibration of multidimensional forecasts over an arbitrary convex set $Y\subseteq\mathbb{R}^d$ relative to an arbitrary error norm $\|\cdot\|_{L}$. For forecasting $d$ binary outcomes simultaneously ($Y=[0,1]^d$), we give the first algorithm that achieves $\varepsilon$-calibration in a number of rounds that is polynomial in $d$ for every fixed accuracy. It requires $d^{O(1/\varepsilon)}$ rounds, exponentially improving the dimension dependence of previous bounds. For multi-class forecasting ($Y=Δ_d$), we obtain the same $d^{O(1/\varepsilon)}$ rate, improving the $d^{\widetilde{O}(1/\varepsilon^2)}$ bounds of Peng and Fishelson et al. Our algorithm is simple: on each round, it outputs a harmonically weighted distribution over harmonically smoothed past outcomes. The same algorithm works for every forecast set and norm. More generally, it achieves $\varepsilon$-calibration after $\exp(O(γ(Y,L)/\varepsilon))$ rounds, where $γ(Y,L)$ is a geometric parameter defined by a matrix discrepancy problem. The harmonic weights are motivated by the fact that the discrete Hilbert transform matrix achieves the optimal discrepancy up to a universal constant, simultaneously for every $L$. This optimality result may be of independent interest.