In this paper, we show that the optimisation 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.To optimise density forecasting models under multiple criteria we introduce a multi-objective evolutionary optimisation framework that can produce better density forecasts from a prediction user's perspective. Our experiments show improvements over the state-of-the-art on a risk management problem. © Springer-Verlag Berlin Heidelberg 2006.
CITATION STYLE
Carney, M., & Cunningham, P. (2006). Making good probability estimates for regression. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 4212 LNAI, pp. 582–589). Springer Verlag. https://doi.org/10.1007/11871842_55
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