Multicalibration Boosting: Theory, Convergence, and Transferability

• URL: http://arxiv.org/abs/2605.24364v1
• Date: Sat, 23 May 2026 03:04:49 GMT
• Title: Multicalibration Boosting: Theory, Convergence, and Transferability
• Abstract summary: Multicalibration extends classical calibration by requiring predictions to be unbiased over a rich collection of functions.<n>It has emerged as a powerful framework for fairness, robustness, and reliable prediction.<n>We develop a unified and refined perspective on MCBoost that subsumes existing variants.
• Score: 1.2031796234206138
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Multicalibration extends classical calibration by requiring predictions to be unbiased over a rich collection of functions, encompassing both prediction slices and subpopulations. It has emerged as a powerful framework for fairness, robustness, and reliable prediction, yet the theoretical understanding of multicalibration boosting (MCBoost) remains fragmented and often relies on restrictive assumptions. In this work, we develop a unified and refined perspective on MCBoost that subsumes existing variants, including multiaccuracy, BatchGCP, and BatchMVP. We uncover several phenomena that provide new insights into its practical behavior: even highly accurate and flexible predictors can remain substantially miscalibrated; enforcing multicalibration introduces a calibration-risk trade-off; and early stopping plays a central role in controlling this trade-off. On the theoretical side, we establish a general framework for MCBoost under weaker and more realistic conditions. We show that the boosting iterates converge to a Bregman projection of the population-optimal predictor onto the cumulative span generated by the audit class, thereby explicitly characterizing the function space on which multicalibration is achieved. We further derive convergence rates under different smoothness assumptions, finite-sample guarantees, and principled stopping rules that ensure multicalibration at termination. Finally, we extend the theory of universal adaptability under covariate shift, providing more general transfer guarantees and clarifying when multicalibrated predictors generalize across domains. These results provide a more complete theoretical foundation and practical guidance for multicalibration boosting, positioning it as both a unifying framework and a reliable post-processing approach for modern predictive models.

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