Calibrating multi-class models
Proceedings of the Tenth Symposium on Conformal and Probabilistic Prediction and Applications, PMLR 152:111-130, 2021.
Predictive models communicating algorithmic confidence are very informative, but only if well-calibrated and sharp, i.e., providing accurate probability estimates adjusted for each instance. While almost all machine learning algorithms are able to produce probability estimates, these are often poorly calibrated, thus requiring external calibration. For multiclass problems, external calibration has typically been done using one-vs-all or all-vs-all schemes, thus adding to the computational complexity, but also making it impossible to analyze and inspect the predictive models. In this paper, we suggest a novel approach for calibrating inherently multi-class models. Instead of providing a probability distribution over all labels, the estimation is of the probability that the class label predicted by the underlying model is correct. In an extensive empirical study, it is shown that the suggested approach, when applied to both Platt scaling and Venn-Abers, is able to improve the probability estimates from decision trees, random forests and extreme gradient boosting.