Abstract | ||
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ABSTRACTThis paper forges a strong connection between two seemingly unrelated forecasting problems: incentive-compatible forecast elicitation and forecast aggregation. Proper scoring rules are the well-known solution to the former problem. To each such rule s we associate a corresponding method of aggregation, mapping expert forecasts and expert weights to a "consensus forecast," which we call quasi-arithmetic (QA) pooling with respect to s. We justify this correspondence in several ways: QA pooling with respect to the two most well-studied scoring rules (quadratic and logarithmic) corresponds to the two most well-studied forecast aggregation methods (linear and logarithmic). Given a scoring rule s used for payment, a forecaster agent who sub-contracts several experts, paying them in proportion to their weights, is best off aggregating the experts' reports using QA pooling with respect to s, meaning this strategy maximizes its worst-case profit (over the possible outcomes). The score of an aggregator who uses QA pooling is concave in the experts' weights. As a consequence, online gradient descent can be used to learn appropriate expert weights from repeated experiments with low regret. The class of all QA pooling methods is characterized by a natural set of axioms (generalizing classical work by Kolmogorov on quasi-arithmetic means). |
Year | DOI | Venue |
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2021 | 10.1145/3465456.3467599 | EC |
DocType | Citations | PageRank |
Conference | 0 | 0.34 |
References | Authors | |
0 | 2 |
Name | Order | Citations | PageRank |
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Eric Neyman | 1 | 0 | 1.35 |
Tim Roughgarden | 2 | 4177 | 353.32 |