Minimal Superior Penalties: Characterising and Calibrating Decision-Aware Proper Scoring Rules

Rouhollah Ahmadian

Training a classifier means letting a validation metric decide which model is kept and when training stops. A natural requirement on that metric is superiority: every correctly classified forecast should score better than every incorrectly classified one, however close the underlying probabilities are. Neither the Brier score nor the logarithmic score satisfies this on its own. We show that superiority is governed by the separation between two endpoints -- the supremum of the score on correct predictions and the infimum on incorrect predictions -- and derive both in closed form for each score. Their difference is the infimal penalty, the greatest lower bound on the penalty needed to restore superiority. Prior work restores superiority with a penalty calibrated from the first endpoint alone; for the Brier base, our infimal penalty is smaller than that published penalty by a factor ranging from 4.00 at three classes to 2.11 at twenty. We further embed the published and infimal penalties in a one-parameter family and show that, under a single-valued tie convention, every member of the family is strictly proper. In a pre-specified two-dataset case study, mean selected-model macro-F1…