Smooth Calibration, Leaky Forecasts, Finite Recall, and Nash Dynamics

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Tác giả: Dean P Foster, Sergiu Hart

Ngôn ngữ: eng

Ký hiệu phân loại: 525.63 Earth (Astronomical geography)

Thông tin xuất bản: 2022

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 195917

Comment: http://www.ma.huji.ac.il/hart/publ.html#calib-eqWe propose to smooth out the calibration score, which measures how good a forecaster is, by combining nearby forecasts. While regular calibration can be guaranteed only by randomized forecasting procedures, we show that smooth calibration can be guaranteed by deterministic procedures. As a consequence, it does not matter if the forecasts are leaked, i.e., made known in advance: smooth calibration can nevertheless be guaranteed (while regular calibration cannot). Moreover, our procedure has finite recall, is stationary, and all forecasts lie on a finite grid. To construct the procedure, we deal also with the related setups of online linear regression and weak calibration. Finally, we show that smooth calibration yields uncoupled finite-memory dynamics in n-person games "smooth calibrated learning" in which the players play approximate Nash equilibria in almost all periods (by contrast, calibrated learning, which uses regular calibration, yields only that the time-averages of play are approximate correlated equilibria).
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