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

Dean P. Foster and Sergiu Hart

Papers from arXiv.org

Abstract: We 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).

Date: 2022-10
New Economics Papers: this item is included in nep-gth and nep-mic
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Published in Games and Economic Behavior 109 (May 2018), 271-293

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Related works:
Journal Article: Smooth calibration, leaky forecasts, finite recall, and Nash dynamics (2018)
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