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arXiv 2201.07766cs.LG
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科学机器学习中的不确定性量化:方法、检验和比较

Uncertainty Quantification in Scientific Machine Learning: Methods, Metrics, and Comparisons

Brown University(布朗大学);Shanghai Normal University(上海师范大学);Pacific Northwest National Laboratory(太平洋西北国家实验室)

Apostolos F Psaros, Xuhui Meng, Zongren Zou, Ling Guo, George Em Karniadakis

摘要:

神经网络(NN)目前正在深刻地改变如何将数据与物理和工程中的数学定律相结合的计算范式,解决传统方法无法解决的具有挑战性的逆问题和不适定问题。然而,在基于神经网络的推理量化误差和不确定性是更复杂的比传统的方法。这是因为除了与噪声数据相关的任意不确定性之外,还存在由于有限数据而导致的不确定性,而且还由于NN超参数,过度参数化,优化和采样误差以及模型错误指定。虽然最近有一些工作的不确定性量化(UQ)在神经网络,有没有系统的研究,对量化的总的不确定性有效和高效的方法,甚至函数逼近,有更少的工作,解决偏微分方程和学习算子映射之间的无限维函数空间使用神经网络。在这项工作中,我们提出了一个全面的框架,其中包括不确定性建模,新的和现有的解决方案,以及评估指标和事后改进方法。为了证明我们的框架的适用性和可靠性,我们提出了一个广泛的比较研究,在原型问题,包括混合输入-输出数据的问题,并在高维随机问题,在各种方法进行了测试。在附录中,我们包含了对所有UQ方法的全面描述,我们将把这些方法作为这个框架中包含的所有代码的开源库提供。

英文摘要:

Neural networks (NNs) are currently changing the computational paradigm on how to combine data with mathematical laws in physics and engineering in a profound way, tackling challenging inverse and ill-posed problems not solvable with traditional methods. However, quantifying errors and uncertainties in NN-based inference is more complicated than in traditional methods. This is because in addition to aleatoric uncertainty associated with noisy data, there is also uncertainty due to limited data, but also due to NN hyperparameters, overparametrization, optimization and sampling errors as well as model misspecification. Although there are some recent works on uncertainty quantification (UQ) in NNs, there is no systematic investigation of suitable methods towards quantifying the total uncertainty effectively and efficiently even for function approximation, and there is even less work on solving partial differential equations and learning operator mappings between infinite-dimensional function spaces using NNs. In this work, we present a comprehensive framework that includes uncertainty modeling, new and existing solution methods, as well as evaluation metrics and post-hoc improvement approaches. To demonstrate the applicability and reliability of our framework, we present an extensive comparative study in which various methods are tested on prototype problems, including problems with mixed input-output data, and stochastic problems in high dimensions. In the Appendix, we include a comprehensive description of all the UQ methods employed, which we will make available as open-source library of all codes included in this framework.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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