Optimal and Provable Calibration in High-Dimensional Binary Classification: Angular Calibration and Platt Scaling
We study the fundamental problem of calibrating a linear binary classifier of the form \(\sigma(\hat{w}^\top x)\), where the feature vector \(x\) is Gaussian, \(\sigma\) is a link function, and \(\hat{w}\) is an estimator of the true linear weight $w^\star$. By interpolating with a noninformative \e…