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arxiv 2109.14309 v1 pith:ETWB7QPY submitted 2021-09-29 cs.AI cs.LG

Online Aggregation of Probability Forecasts with Confidence

classification cs.AI cs.LG
keywords probabilitycrpsexpertsfunctionlosscontinuousforecastsonline
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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The paper presents numerical experiments and some theoretical developments in prediction with expert advice (PEA). One experiment deals with predicting electricity consumption depending on temperature and uses real data. As the pattern of dependence can change with season and time of the day, the domain naturally admits PEA formulation with experts having different ``areas of expertise''. We consider the case where several competing methods produce online predictions in the form of probability distribution functions. The dissimilarity between a probability forecast and an outcome is measured by a loss function (scoring rule). A popular example of scoring rule for continuous outcomes is Continuous Ranked Probability Score (CRPS). In this paper the problem of combining probabilistic forecasts is considered in the PEA framework. We show that CRPS is a mixable loss function and then the time-independent upper bound for the regret of the Vovk aggregating algorithm using CRPS as a loss function can be obtained. Also, we incorporate a ``smooth'' version of the method of specialized experts in this scheme which allows us to combine the probabilistic predictions of the specialized experts with overlapping domains of their competence.

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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score.

  1. AdaWeather: Adaptively Mixing Probabilistic Weather Forecasts with Logarithmic Regret

    cs.LG 2026-06 unverdicted novelty 6.0

    AdaWeather adaptively mixes probabilistic weather forecasts and achieves logarithmic regret relative to the best static mixture of experts in hindsight.