In multi-group learning, a single predictor must perform nearly as well as the best hypothesis in a class on every group in a rich, possibly infinite and overlapping, collection of subpopulations. The known algorithms with the optimal sample complexity keep track of every pair of a group and a hypothesis, which is impossible for the large classes of interest, and the known oracle-based algorithms have a worse rate. We ask whether the optimal rate can be attained by a learner that accesses the classes only through an empirical risk minimization (ERM) oracle. We give an algorithm that uses $\tilde{O}((d_G+d_H)/\varepsilon^2)$ samples and polynomially many calls to a weighted ERM oracle over pairs of a group and a hypothesis, where $d_G$ and $d_H$ are the VC dimensions of the group and hypothesis classes and $\varepsilon$ bounds the excess risk on every group, weighted by its probability. We also show a matching lower bound of $Ω((d_G+d_H)/\varepsilon^2)$ samples for every learner even with unlimited computation, so oracle efficiency costs no additional samples. We also consider a natural special case in which every input belongs to at most $k$ groups and these groups can be listed. In this case, an ERM oracle for the hypothesis class alone suffices, with $\tilde{O}((d_H+\log k)/\varepsilon^2)$ samples in the agnostic setting and $\tilde{O}((d_H+\log k)/\varepsilon)$ samples when every group has a hypothesis that is correct on it.

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