Ambiguity in Sequential Data: Predicting Uncertain Futures with Recurrent Models

Frequentist Uncertainty in Recurrent Neural Networks via Blockwise Influence Functions

Recurrent neural networks (RNNs) are instrumental in modelling sequential and time-series data. Yet, when using RNNs to inform decision-making, predictions by themselves are not sufficient; we also need estimates of predictive uncertainty. Existing approaches for uncertainty quantification in RNNs are based predominantly on Bayesian methods; these are computationally prohibitive, and require major alterations to the RNN architecture and training. Capitalizing on ideas from classical jackknife resampling, we develop a frequentist alternative that: (a) does not interfere with model training or c…

Uncertainty-Aware Variational-Recurrent Imputation Network for Clinical Time Series

Electronic health records (EHR) consist of longitudinal clinical observations portrayed with sparsity, irregularity, and high-dimensionality, which become major obstacles in drawing reliable downstream clinical outcomes. Although there exist great numbers of imputation methods to tackle these issues, most of them ignore correlated features, temporal dynamics and entirely set aside the uncertainty. Since the missing value estimates involve the risk of being inaccurate, it is appropriate for the method to handle the less certain information differently than the reliable data. In that regard, we …

Bayesian Recurrent Neural Network Models for Forecasting and Quantifying Uncertainty in Spatial-Temporal Data

Recurrent neural networks (RNNs) are nonlinear dynamical models commonly used in the machine learning and dynamical systems literature to represent complex dynamical or sequential relationships between variables. More recently, as deep learning models have become more common, RNNs have been used to forecast increasingly complicated systems. Dynamical spatio-temporal processes represent a class of complex systems that can potentially benefit from these types of models. Although the RNN literature is expansive and highly developed, uncertainty quantification is often ignored. Even when considere…

Sampling-free Uncertainty Estimation in Gated Recurrent Units with Exponential Families

There has recently been a concerted effort to derive mechanisms in vision and machine learning systems to offer uncertainty estimates of the predictions they make. Clearly, there are enormous benefits to a system that is not only accurate but also has a sense for when it is not sure. Existing proposals center around Bayesian interpretations of modern deep architectures -- these are effective but can often be computationally demanding. We show how classical ideas in the literature on exponential families on probabilistic networks provide an excellent starting point to derive uncertainty estimat…

分布不确定动态系统的在线优化与基于模糊性的学习

Online Optimization and Ambiguity-based Learning of Distributionally Uncertain Dynamic Systems

本文提出一种基于分布鲁棒优化的在线决策框架，利用控制依赖模糊集同时学习系统不确定性并做出具有概率遗憾界保证的决策，并引入在线Nesterov加速梯度算法求解。

Hey Human, If your Facial Emotions are Uncertain, You Should Use Bayesian Neural Networks!

Facial emotion recognition is the task to classify human emotions in face images. It is a difficult task due to high aleatoric uncertainty and visual ambiguity. A large part of the literature aims to show progress by increasing accuracy on this task, but this ignores the inherent uncertainty and ambiguity in the task. In this paper we show that Bayesian Neural Networks, as approximated using MC-Dropout, MC-DropConnect, or an Ensemble, are able to model the aleatoric uncertainty in facial emotion recognition, and produce output probabilities that are closer to what a human expects. We also show…