Fair admission risk prediction with proportional multicalibration
This work addresses fairness in risk prediction for decision-makers in domains like healthcare, though it is incremental as it builds on existing multicalibration methods.
The paper tackles the problem of unfair calibration in risk prediction models by introducing proportional multicalibration, which constrains percent calibration error across groups to prevent decision-makers from learning to trust or distrust predictions for specific groups. The result is an efficient post-processing algorithm that achieves this fairness with virtually no cost in classification performance, as validated in simulations and a real-world emergency department admissions application.
Fair calibration is a widely desirable fairness criteria in risk prediction contexts. One way to measure and achieve fair calibration is with multicalibration. Multicalibration constrains calibration error among flexibly-defined subpopulations while maintaining overall calibration. However, multicalibrated models can exhibit a higher percent calibration error among groups with lower base rates than groups with higher base rates. As a result, it is possible for a decision-maker to learn to trust or distrust model predictions for specific groups. To alleviate this, we propose \emph{proportional multicalibration}, a criteria that constrains the percent calibration error among groups and within prediction bins. We prove that satisfying proportional multicalibration bounds a model's multicalibration as well its \emph{differential calibration}, a fairness criteria that directly measures how closely a model approximates sufficiency. Therefore, proportionally calibrated models limit the ability of decision makers to distinguish between model performance on different patient groups, which may make the models more trustworthy in practice. We provide an efficient algorithm for post-processing risk prediction models for proportional multicalibration and evaluate it empirically. We conduct simulation studies and investigate a real-world application of PMC-postprocessing to prediction of emergency department patient admissions. We observe that proportional multicalibration is a promising criteria for controlling simultaneous measures of calibration fairness of a model over intersectional groups with virtually no cost in terms of classification performance.