Surrogate Losses for Fairness-Aware Classification: Fisher Consistency and Calibration

Changcheng Song, Yi Yang, Xiangyu Chang, Xiaoling Lu, Yufeng Liu

Fairness-aware classification seeks to balance predictive accuracy and fairness across demographic groups. Although surrogate losses facilitate the optimization of fairness-aware objectives, it remains unclear when minimizing these losses yields optimal decisions under the original fairness-aware risk. This paper investigates the statistical validity of surrogate-based fairness-aware classification under demographic parity and equal opportunity, considering both attribute-blind and attribute-aware settings. We introduce fairness-aware Fisher consistency and characterize it through conditions on the derivatives of the surrogate losses. The characterization shows that consistency depends not only on the individual loss functions but also on their interaction within the fairness-regularized objective. We further establish a calibration inequality that relates the excess fairness-aware risk to the excess surrogate risk, providing a quantitative connection between surrogate optimization and the original classification objective. Numerical experiments illustrate how deviations from the consistency conditions affect fairness-aware excess risk and how the regularization parameter…