Fairness in Forecasting of Observations of Linear Dynamical Systems

• URL: http://arxiv.org/abs/2209.05274v4
• Date: Mon, 15 May 2023 20:13:53 GMT
• Title: Fairness in Forecasting of Observations of Linear Dynamical Systems
• Authors: Quan Zhou, Jakub Marecek, Robert N. Shorten
• Abstract summary: We introduce two natural notions of fairness in time-series forecasting problems: fairness and instantaneous fairness. We show globally convergent methods for optimisation of fairness-constrained learning problems. Our results on a biased data set motivated by insurance applications and the well-known COMPAS data set demonstrate the efficacy of our methods.
• Score: 10.762748665074794
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In machine learning, training data often capture the behaviour of multiple subgroups of some underlying human population. This behaviour can often be modelled as observations of an unknown dynamical system with an unobserved state. When the training data for the subgroups are not controlled carefully, however, under-representation bias arises. To counter under-representation bias, we introduce two natural notions of fairness in time-series forecasting problems: subgroup fairness and instantaneous fairness. These notions extend predictive parity to the learning of dynamical systems. We also show globally convergent methods for the fairness-constrained learning problems using hierarchies of convexifications of non-commutative polynomial optimisation problems. We also show that by exploiting sparsity in the convexifications, we can reduce the run time of our methods considerably. Our empirical results on a biased data set motivated by insurance applications and the well-known COMPAS data set demonstrate the efficacy of our methods.

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