Algorithmic Robust Forecast Aggregation

TL;DR

This paper introduces an algorithmic framework for robust forecast aggregation that efficiently approximates optimal aggregators under uncertainty about forecasters' information structures, improving accuracy and reliability.

Contribution

It presents a novel, efficient approximation scheme for robust forecast aggregation applicable to general information structures and specific settings with independent signals.

Findings

Provides nearly optimal aggregators in tested scenarios

Offers efficient algorithms with approximation guarantees

Demonstrates effectiveness through numerical experiments

Abstract

Forecast aggregation combines the predictions of multiple forecasters to improve accuracy. However, the lack of knowledge about forecasters' information structure hinders optimal aggregation. Given a family of information structures, robust forecast aggregation aims to find the aggregator with minimal worst-case regret compared to the omniscient aggregator. Previous approaches for robust forecast aggregation rely on heuristic observations and parameter tuning. We propose an algorithmic framework for robust forecast aggregation. Our framework provides efficient approximation schemes for general information aggregation with a finite family of possible information structures. In the setting considered by Arieli et al. (2018) where two agents receive independent signals conditioned on a binary state, our framework also provides efficient approximation schemes by imposing Lipschitz conditions on the aggregator or discrete conditions on agents' reports. Numerical experiments demonstrate the effectiveness of our method by providing a nearly optimal aggregator in the setting considered by Arieli et al. (2018).