Clustered Calibration: Representation-Aware Probability Calibration via Learned Subpopulations

Ensuring that predicted probabilities align with observed frequencies is critical in high-stakes domains such as clinical decision support, autonomous driving and financial risk assessment. Existing calibration methods typically apply a single global transformation or rely on post-hoc binning over predicted confidences, limiting their ability to exploit heterogeneous reliability across sub-populations. We propose Clustered Calibration, a representation-aware framework that identifies sub-populations via clustering in learned feature spaces (e.g., coverage vectors, SHAP values, CNN activations, Transformer embeddings) and fits a soft mixture of cluster-specific parametric calibrators under hierarchical shrinkage toward a global mapping. This design yields context-specific calibration while maintaining global stability. Across six tabular datasets and additional image and text benchmarks, clustered calibration consistently improves or matches strong global calibrators in terms of negative log-likelihood and Brier score, while preserving AUC and accuracy. We further show, both analytically and empirically, that fixed-bin Expected Calibration Error (ECE) can mis-rank soft, region-aware calibrators even when proper scoring rules improve, and we advocate for log-loss and Brier as more reliable bases for model selection in such settings.