Bayesian deep learning with Fastai : how not to be uncertain about your uncertainty !

Today, Neural Networks have made the headlines in many fields, such as image classification of cancer tissues, text generation, or even credit scoring. Nevertheless, one big issue that is rarely tackled with these models, is the uncertainty of the prediction. When we humans learn, one of our greatest strengths is knowing our weaknesses, and not acting when there is too much uncertainty. However, the same is not true for most machine learning models, where decisions are taken without taking into account the uncertainty. For instance, if you train a classifier on cats and dogs, it will only be able to output cat or dog.