Does an Efficient Calibrated Forecasting Strategy Exist?

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Jacob Abernethy, Shie Mannor ;
Proceedings of the 24th Annual Conference on Learning Theory, PMLR 19:809-812, 2011.

Abstract

We recall two previously-proposed notions of \emphasymptotic calibration for a forecaster making a sequence of probability predictions. We note that the existence of efficient algorithms for calibrated forecasting holds only in the case of binary outcomes. We pose the question: do there exist such efficient algorithms for the general (non-binary) case?

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