Trinity College Dublin, Department of Computer Science
Carney, Michael; Cunningham, Pádraig. 'Calibrating Probability Density Forecasts with Multi-objective Search'. - Dublin, Trinity College Dublin, Department of Computer Science, TCD-CS-2006-07, 2006, pp12
Computer Science Technical Report TCD-CS-2006-07
In this paper, we show that the optimization of density forecasting models for regression in machine learning can be formulated as a
multi-objective problem.We describe the two objectives of sharpness and
calibration and suggest suitable scoring
metrics for both.We use the popular negative log-likelihood as a measure of sharpness and the probability
integral transform as a measure of calibration. We show how optimization on negative log-likelihood alone often results in sub-optimal models.
To solve this problem we introduce a multi-objective evolutionary optimization framework that can produce better density forecasts from a
prediction users perspective. Our experiments show improvements over
Please note: There is a known bug in some browsers that causes an
error when a user tries to view large pdf file within the browser window.
If you receive the message "The file is damaged and could not be
repaired", please try one of the solutions linked below based on the
browser you are using.
Items in TARA are protected by copyright, with all rights reserved, unless otherwise indicated.