Truthfulness of Decision-Theoretic Calibration Measures

Calibration measures quantify how much a forecaster’s predictions violate calibration, which requires that forecasts are unbiased conditioning on the forecasted probabilities. Two important desiderata for a calibration measure are its decision-theoretic implications (i.e., downstream decision-makers that best respond to the forecasts are always no-regret) and its truthfulness (i.e., a forecaster approximately minimizes error by always reporting the true probabilities). Existing measures satisfy at most one of the properties, but not both. We introduce a new calibration measure termed subsampled step calibration, $\mathrm{StepCE}^{\mathrm{sub}}$, that is both decision-theoretic and truthful. In particular, on any product distribution, $\mathrm{StepCE}^{\mathrm{sub}}$ is truthful up to an $O(1)$ factor whereas prior decision-theoretic calibration measures suffer from an $e^{-\Omega(T)}$–$\Omega(\sqrt{T})$ truthfulness gap. Moreover, in any smoothed setting where the conditional probability of each event is perturbed by a noise of magnitude $c>0$, $\mathrm{StepCE}^{\mathrm{sub}}$ is truthful up to an $O(\sqrt{\log(1/c)})$ factor, while prior decision-theoretic measures have an $e^{-\Omega(T)}$–$\Omega(T^{1/3})$ truthfulness gap. We also prove a general impossibility result for truthful decision-theoretic forecasting: any complete and decision-theoretic calibration measure must be discontinuous and non-truthful in the non-smoothed setting.