Probability Calibration
Improve the reliability of predicted probabilities
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My classification model returns probabilities but they seem poorly calibrated (distorted reliability diagram). Explain how to calibrate probabilities with Platt Scaling and Isotonic Regression, when to use each method, and how to measure calibration improvement with the Brier Score and ECE.
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Pour les petits datasets, préférez Platt Scaling (paramétrique, moins de variance) à Isotonic Regression qui risque le surajustement. Calibrez toujours sur un fold séparé ou en validation croisée pour éviter de biaiser l’évaluation. Mesurez l’amélioration avec ECE (Expected Calibration Error) plutôt que Brier Score seul, car il isole le défaut de calibration.
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