On the Richness of Calibration

Abstract: Probabilistic predictions can be evaluated through comparisons with observed label frequencies, that is, through the lens of calibration. Recent scholarship on algorithmic fairness has started to look at a growing variety of calibration-based objectives under the name of multi-calibration but has still remained fairly restricted. In this paper, we explore and analyse forms of evaluation through calibration by making explicit the choices involved in designing calibration scores. We organise these into three grouping choices and a choice concerning the agglomeration of group errors. This provides a framework for comparing previously proposed calibration scores and helps to formulate novel ones with desirable mathematical properties. In particular, we explore the possibility of grouping datapoints based on their input features rather than on predictions and formally demonstrate advantages of such approaches. We also characterise the space of suitable agglomeration functions for group errors, generalising previously proposed calibration scores. Complementary to such population-level scores, we explore calibration scores at the individual level and analyse their relationship to choices of grouping. We draw on these insights to introduce and axiomatise fairness deviation measures for population-level scores. We demonstrate that with appropriate choices of grouping, these novel global fairness scores can provide notions of (sub-)group or individual fairness.