Proof: The log probability scoring rule is a strictly proper scoring rule
Theorem: The log (probability) scoring rule is a strictly proper scoring rule.
Proof: We will show that all versions of the log probability scoring rule (binary/multiclass/regression) are strictly proper scoring rules.
1) Binary log probability scoring rule:
\[\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] = P(Y = 1) \log q + P(Y = 0) \log (1 - q)\]Let $p$ be the true probability of the event $Y = 1$. Then, the expected score is:
\[\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] = p \log q + (1 - p) \log (1 - q)\]To find the maxima, take the derivative with respect to $q$ and set it to zero:
\[\begin{split} \frac{\partial}{\partial q}\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] &= \frac{p}{q} - \frac{1-p}{1 - q} \\ 0 &= \frac{p - pq - q + pq}{q (1-q)} \\ 0 &= \frac{p - q}{q (1-q)} \\ \Rightarrow p - q &= 0 \\ \Rightarrow p &= q \end{split}\]Now, we need to check the second derivative to see, if it is a maximum for the properness condition and if it is the only maximizer for the strictness condition:
\[\begin{split} \frac{\partial^2}{\partial q^2}\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] &= -\frac{p}{q^2} - \frac{1-p}{(1 - q)^2} \\ &= - \left( \underbrace{\frac{p}{q^2}}_\textrm{> 0} + \underbrace{\frac{1-p}{(1 - q)^2}}_\textrm{> 0} \right) < 0 \end{split}\]Except for the cases $q=0$ and $q=1$, the second derivative is always negative, which means that the function is concave and the maximum is unique. For $q = 1$, maximum is achieved only if $p = 1$, and similarly for $q = 0$, maximum is achieved only if $p = 0$. Therefore, $p = q$ is the only maximizer and the log probability scoring rule for binary classification is strictly proper.
2a) Multiclass log probability scoring rule (Proof #1):
\[S(q, y) = \sum_k^K y_k \log q_k(x)\]Let $p_k$ be the true probability of the event $Y = k$. Since $q_k$ is the predicted probability for class $k$, we know that $\sum_i q_i = 1$. Then, the expected score is:
\[\begin{split} \mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] &= \sum_k P(Y = k|x) \log(q_k(x)) \\ &= p_1 \log(q_1(x)) + p_2\log(q_2(x)) + ... + p_K \log(q_K(x)) \\ &= p_1 \log(q_1(x)) + p_2\log(q_2(x)) + ... + p_K \log(1 - \sum_{i \neq K} q_i(x)) \end{split}\]Taking the derivative with respect to $q_j$ and setting it to zero:
\[\begin{split} \frac{\partial}{\partial q_j}\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] &= \frac{p_j}{q_j} -\frac{p_K}{1- \sum_{i \neq K} q_i(x)} \\ 0 &= \frac{p_j}{q_j} - \frac{p_K}{q_K} \\ \Rightarrow \frac{p_j}{q_j} &= \frac{p_K}{q_K} \end{split}\]This equality holds for any $j$:
\[\frac{p_1}{q_1} = \frac{p_2}{q_2} = ... = \frac{p_K}{q_K} = \lambda\]Each $q_i$ can be represented as a constant multiple of $p_i$ as follows: $q_i = \lambda \ p_i$
\[\begin{split} \sum_i q_i &= 1 \\ \sum_i \lambda \ p_i &= 1 \\ \lambda \sum_i p_i &= 1 \\ \lambda = 1 \end{split}\]Since $\lambda = 1$, we have $p_i = q_i$ for all $i$. Now, we need to check the second derivative to see, if it is a maximum for the properness condition and if it is the only maximizer for the strictness condition:
\[\begin{split} \frac{\partial^2}{\partial q_j^2}\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] &= -\frac{p_j}{q_j^2} - \frac{p_K}{(1- \sum_{i \neq K} q_i(x))^2} \\ &= - \left( \underbrace{\frac{p_j}{q_j^2}}_\textrm{> 0} + \underbrace{\frac{p_K}{(1- \sum_{i \neq K} q_i(x))^2}}_\textrm{> 0} \right) < 0 \end{split}\]Except for the cases $q_j=0$ and $q_j=1$, the second derivative is always negative, which means that the function is concave and the maximum is unique. For $q_j = 1$, maximum is achieved only if $p_j = 1$, and similarly for $q_j = 0$ maximum is achieved only if $p_j = 0$. Therefore, $p_j = q_j$ is the only maximizer and the log probability scoring rule for multiclass classification is strictly proper.
2b) Multiclass log probability scoring rule (Proof #2):
Alternatively, we can solve the optimization problem with Lagrange multipliers. The Lagrangian is:
\[\mathcal{L}(q, \lambda) = \sum_k P(Y = k|x) \log(q_k(x)) + \lambda \left(1 - \sum_k q_k(x)\right)\]Taking the derivative with respect to $q_j$ and setting it to zero:
\[\begin{split} \frac{\partial}{\partial q_j}\mathcal{L}(q, \lambda) &= \frac{p_j}{q_j} - \lambda \\ 0 &= \frac{p_j}{q_j} - \lambda \\ \Rightarrow \frac{p_j}{q_j} &= \lambda \end{split}\]The rest of the proof follows as in the first proof.
3) Continuous log probability scoring rule:
\[S(q, y) = \log q(y)\]Let $p(y)$ be the true probability density function of the event $Y = y$. Then, the expected score is:
\[\mathbb{E}_{Y \sim P}[\mathbf{S}(Q, Y)] = \int p(y) \log q(y) dy\]Let $X = \frac{q(y)}{p(y)}$ and $\phi = \log(\cdot)$ (a concave function). By Jensen’s inequality, we know that $f(\mathbb{E}[X]) \leq \mathbb{E}[f(X)]$, if $f$ is concave. Therefore, we have:
\[\begin{split} \int p(y) \log \frac{q(y)}{p(y)} dy &\leq \log \int p(y)\frac{q(y)}{p(y)} dy \\ \int p(y) \log \frac{q(y)}{p(y)} dy &\leq \log \int q(y) dy \\ \int p(y) \log \frac{q(y)}{p(y)} dy &\leq \log(1) \\ \int p(y) \log \frac{q(y)}{p(y)} dy &\leq 0 \end{split}\]The same result can be obtained by using the Kullback-Leibler divergence. The Kullback-Leibler divergence is always non-negative, therefore $\text{E} - \text{CE} = \text{KL} \geq 0$. The resulting expression is $-\text{KL}$, which is always non-positive. It is maximized only when $q(y) = p(y)$ which means that the log probability scoring rule for continuous classification is strictly proper.
An alternative argument for uniqueness of the maximum point can be proposed as follows: $\int p(y) \log \frac{q(y)}{p(y)} dy$ can be equal to $0$ in two cases: Either $\frac{q(y)}{p(y)}$ is equal to $1$ for each value or the expression $\log ( \frac{q(y)}{p(y)})$ takes positive and negative values summing up to $0$ at the end. The second case cannot occur, because it means that there exists a $y_0$ such that $q(y_0) > p(y_0)$, implying that Jensen’s inequality is violated. Therefore, the maximum is achieved, if and only if $q = p$.
- Bálint Mucsányi, Michael Kirchhof, Elisa Nguyen, Alexander Rubinstein, Seong Joon Oh (2023): "Proper/Strictly Proper Scoring Rule"; in: Trustworthy Machine Learning; URL: https://trustworthyml.io/; DOI: 10.48550/arXiv.2310.08215.
Metadata: ID: P438 | shortcut: lpsr-spsr | author: KarahanS | date: 2024-02-28, 17:40.