预测聚合

Itai Arieli, Y. Babichenko, Rann Smorodinsky
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引用次数: 0

摘要

拥有共同先验的贝叶斯专家在接触不同证据的情况下,可能会做出相互矛盾的概率预测。收到预测的政策制定者必须尽可能以最佳方式汇总这些预测。每当政策制定者不熟悉先验,也不熟悉专家可用的模型和证据时,这就是一个挑战。我们提出了一个非贝叶斯预测聚合模型,并将后悔的概念作为评估决策者绩效的一种手段。当专家被布莱克威尔命令时,对两种预测进行加权平均,其权重与其精度(方差的倒数)成正比,是最优的。由此产生的遗憾等于1/8(5√5-11),约为0.0225425,这比随机选择一位专家或取非加权平均值等朴素方法好3到4倍。
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Forecast Aggregation
Bayesian experts with a common prior that are exposed to different evidence possibly make contradicting probabilistic forecasts. A policy maker who receives the forecasts must aggregate them in the best way possible. This is a challenge whenever the policy maker is not familiar with the prior nor the model and evidence available to the experts. We propose a model of non-Bayesian forecast aggregation and adapt the notion of regret as a means for evaluating the policy maker's performance. Whenever experts are Blackwell ordered taking a weighted average of the two forecasts, the weight of which is proportional to its precision (the reciprocal of the variance), is optimal. The resulting regret is equal 1/8(5√ 5-11) approx 0.0225425, which is 3 to 4 times better than naive approaches such as choosing one expert at random or taking the non-weighted average.
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