HappyMap: A Generalized Multi-calibration Method

Abstract: Multi-calibration is a powerful and evolving concept originating in the field of algorithmic fairness. For a predictor $f$ that estimates the outcome $y$ given covariates $x$, and for a function class $\mathcal{C}$, multi-calibration requires that the predictor $f(x)$ and outcome $y$ are indistinguishable under the class of auditors in $\mathcal{C}$. Fairness is captured by incorporating demographic subgroups into the class of functions~$\mathcal{C}$. Recent work has shown that, by enriching the class $\mathcal{C}$ to incorporate appropriate propensity re-weighting functions, multi-calibration also yields target-independent learning, wherein a model trained on a source domain performs well on unseen, future, target domains(approximately) captured by the re-weightings. Formally, multi-calibration with respect to $\mathcal{C}$ bounds $\big|\mathbb{E}_{(x,y)\sim \mathcal{D}}[c(f(x),x)\cdot(f(x)-y)]\big|$ for all $c \in \mathcal{C}$. In this work, we view the term $(f(x)-y)$ as just one specific mapping, and explore the power of an enriched class of mappings. We propose \textit{HappyMap}, a generalization of multi-calibration, which yields a wide range of new applications, including a new fairness notion for uncertainty quantification (conformal prediction), a novel technique for conformal prediction under covariate shift, and a different approach to analyzing missing data, while also yielding a unified understanding of several existing seemingly disparate algorithmic fairness notions and target-independent learning approaches. We give a single \textit{HappyMap} meta-algorithm that captures all these results, together with a sufficiency condition for its success.