Learning Fair Classifiers in Online Stochastic Settings

In many real life situations, including job and loan applications, gatekeepers must make justified, real-time decisions about a person's fitness for a particular opportunity. People on both sides of such decisions have understandable concerns about their fairness, especially when they occur online or algorithmically. In this paper we consider the setting where we try to satisfy approximate fairness in an online decision making process where examples are sampled i.i.d from an underlying distribution. The fairness metric we consider is "equalized odds", which requires that approximately equalized false positive rates and false negative rates across groups. Our work follows from the classical learning from experts scheme and extends the multiplicative weights algorithm by maintaining an estimation for label distribution and keeping separate weights for label classes as well as groups. Our theoretical results show that approximate equalized odds can be achieved without sacrificing much regret from some distributions. We also demonstrate the algorithm on real data sets commonly used by the fairness community.