To better understand the theoretical behavior of large neural networks, several works have analyzed the case where a network's width tends to infinity. In this regime, the effect of random initialization and the process of training a neural network can be formally expressed with analytical tools like Gaussian processes and neural tangent kernels. In this paper, we review methods for quantifying uncertainty in such infinite-width neural networks and compare their relationship to Gaussian processes in the Bayesian inference framework. We make use of several equivalence results along the way to obtain exact closed-form solutions for predictive uncertainty.
Harvard Medical School（哈佛医学院）；Google Research（谷歌研究院）；Harvard School of Public Health（哈佛公共卫生学院）
Uncertainty quantification for complex deep learning models is increasingly important as these techniques see growing use in high-stakes, real-world settings. Currently, the quality of a model's uncertainty is evaluated using point-prediction metrics such as negative log-likelihood or the Brier score on heldout data. In this study, we provide the first large scale evaluation of the empirical frequentist coverage properties of well known uncertainty quantification techniques on a suite of regression and classification tasks. We find that, in general, some methods do achieve desirable coverage p…
Paderborn University（帕德博恩大学）；University of Munich (LMU)（慕尼黑大学）
The idea to distinguish and quantify two important types of uncertainty, often referred to as aleatoric and epistemic, has received increasing attention in machine learning research in the last couple of years. In this paper, we consider ensemble-based approaches to uncertainty quantification. Distinguishing between different types of uncertainty-aware learning algorithms, we specifically focus on Bayesian methods and approaches based on so-called credal sets, which naturally suggest themselves from an ensemble learning point of view. For both approaches, we address the question of how to quan…
Aalborg University（奥尔堡大学）；University of Electronic Science and Technology of China（电子科技大学）；Southern University of Science and Technology（南方科技大学）
Uncertainty is an essential consideration for time series forecasting tasks. In this work, we specifically focus on quantifying the uncertainty of traffic forecasting. To achieve this, we develop Deep Spatio-Temporal Uncertainty Quantification (DeepSTUQ), which can estimate both aleatoric and epistemic uncertainty. We first leverage a spatio-temporal model to model the complex spatio-temporal correlations of traffic data. Subsequently, two independent sub-neural networks maximizing the heterogeneous log-likelihood are developed to estimate aleatoric uncertainty. For estimating epistemic uncert…
Robust data association is critical for analysis of long-term motion trajectories in complex scenes. In its absence, trajectory precision suffers due to periods of kinematic ambiguity degrading the quality of follow-on analysis. Common optimization-based approaches often neglect uncertainty quantification arising from these events. Consequently, we propose the Joint Posterior Tracker (JPT), a Bayesian multi-object tracking algorithm that robustly reasons over the posterior of associations and trajectories. Novel, permutation-based proposals are crafted for exploration of posterior modes that c…
AWS（亚马逊云科技）；Amazon（亚马逊公司）；New York University（纽约大学）
We present Fortuna, an open-source library for uncertainty quantification in deep learning. Fortuna supports a range of calibration techniques, such as conformal prediction that can be applied to any trained neural network to generate reliable uncertainty estimates, and scalable Bayesian inference methods that can be applied to Flax-based deep neural networks trained from scratch for improved uncertainty quantification and accuracy. By providing a coherent framework for advanced uncertainty quantification methods, Fortuna simplifies the process of benchmarking and helps practitioners build rob…
Uncertainty quantification by ensemble learning is explored in terms of an application from computational optical form measurements. The application requires to solve a large-scale, nonlinear inverse problem. Ensemble learning is used to extend a recently developed deep learning approach for this application in order to provide an uncertainty quantification of its predicted solution to the inverse problem. By systematically inserting out-of-distribution errors as well as noisy data the reliability of the developed uncertainty quantification is explored. Results are encouraging and the proposed…
Language Technologies Institute, Carnegie Mellon University（卡内基梅隆大学语言技术研究所）；Computer Science Department, Stanford University（斯坦福大学计算机科学系）
With increasing deployment of machine learning systems in various real-world tasks, there is a greater need for accurate quantification of predictive uncertainty. While the common goal in uncertainty quantification (UQ) in machine learning is to approximate the true distribution of the target data, many works in UQ tend to be disjoint in the evaluation metrics utilized, and disparate implementations for each metric lead to numerical results that are not directly comparable across different works. To address this, we introduce Uncertainty Toolbox, an open-source python library that helps to ass…
German Research Center for Artificial Intelligence（德国人工智能研究中心）
Uncertainty quantification in neural network promises to increase safety of AI systems, but it is not clear how performance might vary with the training set size. In this paper we evaluate seven uncertainty methods on Fashion MNIST and CIFAR10, as we sub-sample and produce varied training set sizes. We find that calibration error and out of distribution detection performance strongly depend on the training set size, with most methods being miscalibrated on the test set with small training sets. Gradient-based methods seem to poorly estimate epistemic uncertainty and are the most affected by tr…
Uncertainty and confidence have been shown to be useful metrics in a wide variety of techniques proposed for deep learning testing, including test data selection and system supervision.We present uncertainty-wizard, a tool that allows to quantify such uncertainty and confidence in artificial neural networks. It is built on top of the industry-leading tf.keras deep learning API and it provides a near-transparent and easy to understand interface. At the same time, it includes major performance optimizations that we benchmarked on two different machines and different configurations.
Rule-based classification models described in the language of logic directly predict boolean values, rather than modeling a probability and translating it into a prediction as done in statistical models. The vast majority of existing uncertainty quantification approaches rely on models providing continuous output not available to rule-based models. In this work, we propose an uncertainty quantification framework in the form of a meta-model that takes any binary classifier with binary output as a black box and estimates the prediction accuracy of that base model at a given input along with a le…
University of Oxford（牛津大学）；Microsoft Research Cambridge（微软研究院剑桥分院）
While causal models are becoming one of the mainstays of machine learning, the problem of uncertainty quantification in causal inference remains challenging. In this paper, we study the causal data fusion problem, where datasets pertaining to multiple causal graphs are combined to estimate the average treatment effect of a target variable. As data arises from multiple sources and can vary in quality and quantity, principled uncertainty quantification becomes essential. To that end, we introduce Bayesian Interventional Mean Processes, a framework which combines ideas from probabilistic integrat…
Bringing deep neural networks (DNNs) into safety critical applications such as automated driving, medical imaging and finance, requires a thorough treatment of the model's uncertainties. Training deep neural networks is already resource demanding and so is also their uncertainty quantification. In this overview article, we survey methods that we developed to teach DNNs to be uncertain when they encounter new object classes. Additionally, we present training methods to learn from only a few labels with help of uncertainty quantification. Note that this is typically paid with a massive overhead …
Harvard Data Science Initiative（哈佛数据科学倡议）；Harvard University（哈佛大学）
Uncertainty quantification has been a core of the statistical machine learning, but its computational bottleneck has been a serious challenge for both Bayesians and frequentists. We propose a model-based framework in quantifying uncertainty, called predictive-matching Generative Parameter Sampler (GPS). This procedure considers an Uncertainty Quantification (UQ) distribution on the targeted parameter, which matches the corresponding predictive distribution to the observed data. This framework adopts a hierarchical modeling perspective such that each observation is modeled by an individual para…
An Axiomatic Assessment of Entropy- and Variance-based Uncertainty Quantification in Regression
LMU Munich（慕尼黑莱布尼茨大学）；Munich Center for Machine Learning (MCML)（慕尼黑机器学习中心）；DLR-German Aerospace Center University of Tromsø（德国航空航天中心图勒大学）；German Research Center for Artificial Intelligence (DFKI, DSA)（德国人工智能研究中心）
We propose a framework for the assessment of uncertainty quantification in deep regression. The framework is based on regression problems where the regression function is a linear combination of nonlinear functions. Basically, any level of complexity can be realized through the choice of the nonlinear functions and the dimensionality of their domain. Results of an uncertainty quantification for deep regression are compared against those obtained by a statistical reference method. The reference method utilizes knowledge of the underlying nonlinear functions and is based on a Bayesian linear reg…
German Research Center for Artificial Intelligence（德国人工智能研究中心）
Uncertainty in machine learning is not generally taught as general knowledge in Machine Learning course curricula. In this paper we propose a short curriculum for a course about uncertainty in machine learning, and complement the course with a selection of use cases, aimed to trigger discussion and let students play with the concepts of uncertainty in a programming setting. Our use cases cover the concept of output uncertainty, Bayesian neural networks and weight distributions, sources of uncertainty, and out of distribution detection. We expect that this curriculum and set of use cases motiva…
The main objective of this paper is to outline a theoretical framework to analyse how humans' decision-making strategies under uncertainty manage the trade-off between information gathering (exploration) and reward seeking (exploitation). A key observation, motivating this line of research, is the awareness that human learners are amazingly fast and effective at adapting to unfamiliar environments and incorporating upcoming knowledge: this is an intriguing behaviour for cognitive sciences as well as an important challenge for Machine Learning. The target problem considered is active learning i…
This work develops rigorous theoretical basis for the fact that deep Bayesian neural network (BNN) is an effective tool for high-dimensional variable selection with rigorous uncertainty quantification. We develop new Bayesian non-parametric theorems to show that a properly configured deep BNN (1) learns the variable importance effectively in high dimensions, and its learning rate can sometimes "break" the curse of dimensionality. (2) BNN's uncertainty quantification for variable importance is rigorous, in the sense that its 95% credible intervals for variable importance indeed covers the truth…
In this paper, we propose a novel data-driven operator learning framework referred to as the \textit{Randomized Prior Wavelet Neural Operator} (RP-WNO). The proposed RP-WNO is an extension of the recently proposed wavelet neural operator, which boasts excellent generalizing capabilities but cannot estimate the uncertainty associated with its predictions. RP-WNO, unlike the vanilla WNO, comes with inherent uncertainty quantification module and hence, is expected to be extremely useful for scientists and engineers alike. RP-WNO utilizes randomized prior networks, which can account for prior info…
University of Munich (LMU)（慕尼黑大学）；Munich Center for Machine Learning（慕尼黑机器学习中心）；Ghent University（根特大学）
Uncertainty quantification has received increasing attention in machine learning in the recent past. In particular, a distinction between aleatoric and epistemic uncertainty has been found useful in this regard. The latter refers to the learner's (lack of) knowledge and appears to be especially difficult to measure and quantify. In this paper, we analyse a recent proposal based on the idea of a second-order learner, which yields predictions in the form of distributions over probability distributions. While standard (first-order) learners can be trained to predict accurate probabilities, namely…
We present a simple and effective approach for posterior uncertainty quantification in deep operator networks (DeepONets); an emerging paradigm for supervised learning in function spaces. We adopt a frequentist approach based on randomized prior ensembles, and put forth an efficient vectorized implementation for fast parallel inference on accelerated hardware. Through a collection of representative examples in computational mechanics and climate modeling, we show that the merits of the proposed approach are fourfold. (1) It can provide more robust and accurate predictions when compared against…
Pohang University of Science and Technology (POSTECH)（浦项科技大学）
We develop a novel deep learning method for uncertainty quantification in stochastic partial differential equations based on Bayesian neural network (BNN) and Hamiltonian Monte Carlo (HMC). A BNN efficiently learns the posterior distribution of the parameters in deep neural networks by performing Bayesian inference on the network parameters. The posterior distribution is efficiently sampled using HMC to quantify uncertainties in the system. Several numerical examples are shown for both forward and inverse problems in high dimension to demonstrate the effectiveness of the proposed method for un…
Seismic imaging is an ill-posed inverse problem that is challenged by noisy data and modeling inaccuracies -- due to errors in the background squared-slowness model. Uncertainty quantification is essential for determining how variability in the background models affects seismic imaging. Due to the costs associated with the forward Born modeling operator as well as the high dimensionality of seismic images, quantification of uncertainty is computationally expensive. As such, the main contribution of this work is a survey-specific Fourier neural operator surrogate to velocity continuation that m…
Oak Ridge National Laboratory（橡树岭国家实验室）；Florida State University（佛罗里达州立大学）；Auburn University（奥本大学）；Jilin University（吉林大学）
We develop a probabilistic machine learning method, which formulates a class of stochastic neural networks by a stochastic optimal control problem. An efficient stochastic gradient descent algorithm is introduced under the stochastic maximum principle framework. Numerical experiments for applications of stochastic neural networks are carried out to validate the effectiveness of our methodology.
University of Cambridge（剑桥大学）；Cancer Research UK Cambridge Centre（英国癌症研究中心剑桥中心）；Cancer Research UK Cambridge Institute（英国癌症研究中心剑桥研究所）；Danube Private University（多瑙河私立大学）；KTH Royal Institute of Technology（KTH皇家理工学院）
Uncertainty quantification in automated image analysis is highly desired in many applications. Typically, machine learning models in classification or segmentation are only developed to provide binary answers; however, quantifying the uncertainty of the models can play a critical role for example in active learning or machine human interaction. Uncertainty quantification is especially difficult when using deep learning-based models, which are the state-of-the-art in many imaging applications. The current uncertainty quantification approaches do not scale well in high-dimensional real-world pro…
University of Colorado Boulder（科罗拉多大学博尔德分校）；The Charles Stark Draper Laboratory, Inc.（查尔斯·斯塔克·德雷珀实验室公司）
For safe and reliable deployment in the real world, autonomous agents must elicit appropriate levels of trust from human users. One method to build trust is to have agents assess and communicate their own competencies for performing given tasks. Competency depends on the uncertainties affecting the agent, making accurate uncertainty quantification vital for competency assessment. In this work, we show how ensembles of deep generative models can be used to quantify the agent's aleatoric and epistemic uncertainties when forecasting task outcomes as part of competency assessment.
