High-Dimensional Calibration from Swap Regret

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arXiv:2505.21460v2 Announce Type: replace Abstract: We study online calibration of multi-dimensional forecasts over an arbitrary convex set $P \subset \mathbb{R}^d$ relative to an arbitrary norm $|\cdot|$. We connect this to external regret minimization for online linear optimization (OLO): if one can guarantee $O(\sqrt{\rho T})$ worst-case regret after $T$ rounds when actions are drawn from $P$ and losses from the dual $|\cdot|_*$ unit norm ball, then one can obtain $\epsilon$-calibrated forecasts after $T = \exp(\tilde O(\rho/\epsilon^2))$ rounds. When $P$ is the $d$-dimensional simplex and $|\cdot|$ is the $\ell_1$-norm, the $O(\sqrt{T\log d})$ experts regret bound yields $\epsilon$-calibrated forecasts after $T = \exp(\tilde O(\log d/\epsilon^2)) = d^{\tilde O(1/\epsilon^2)}$ rounds, recovering a recent result of Peng (2025). Interestingly, our algorithm obtains this guarantee without requiring access to any online linear optimization subroutine or knowledge of the optimal rate $\rho$ -- in fact, our algorithm is identical for every setting of $P$ and $|\cdot|$. Instead, we show that the optimal regularizer for the above OLO problem can be used to upper bound the above calibration error by a swap regret, which we then minimize by running the recent TreeSwap algorithm (Dagan et al., 2024; Peng and Rubinstein, 2024) with Follow-The-Leader as a subroutine. The resulting algorithm is highly efficient and plays a distribution over simple averages of past observations in each round. Finally, we prove that any online calibration algorithm that guarantees $\epsilon T$ …

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