Introducing Fortuna: A library for uncertainty quantification

Proper estimation of predictive uncertainty is fundamental in applications that involve critical decisions. Uncertainty can be used to assess the reliability of model predictions, trigger human intervention, or decide whether a model can be safely deployed in the wild. We introduce Fortuna, an open-source library for uncertainty quantification. Fortuna provides calibration methods, such as conformal prediction, that can be applied to any trained neural network to obtain calibrated uncertainty estimates. The library further supports a number of Bayesian inference methods that can be applied to deep neural networks written in Flax.