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Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles

Neural Information Processing Systems

Deep neural networks (NNs) are powerful black box predictors that have recently achieved impressive performance on a wide spectrum of tasks. Quantifying predictive uncertainty in NNs is a challenging and yet unsolved problem. Bayesian NNs, which learn a distribution over weights, are currently the state-of-the-art for estimating predictive uncertainty; however these require significant modifications to the training procedure and are computationally expensive compared to standard (non-Bayesian) NNs. We propose an alternative to Bayesian NNs that is simple to implement, readily parallelizable, requires very little hyperparameter tuning, and yields high quality predictive uncertainty estimates. Through a series of experiments on classification and regression benchmarks, we demonstrate that our method produces well-calibrated uncertainty estimates which are as good or better than approximate Bayesian NNs.


Fully Bayesian Recurrent Neural Networks for Safe Reinforcement Learning

arXiv.org Machine Learning

Reinforcement Learning (RL) has demonstrated state-of-the-art results in a number of autonomous system applications, however many of the underlying algorithms rely on black-box predictions. This results in poor explainability of the behaviour of these systems, raising concerns as to their use in safety-critical applications. Recent work has demonstrated that uncertainty-aware models exhibit more cautious behaviours through the incorporation of model uncertainty estimates. In this work, we build on Probabilistic Backpropagation to introduce a fully Bayesian Recurrent Neural Network architecture. We apply this within a Safe RL scenario, and demonstrate that the proposed method significantly outperforms a popular approach for obtaining model uncertainties in collision avoidance tasks. Furthermore, we demonstrate that the proposed approach requires less training and is far more efficient than the current leading method, both in terms of compute resource and memory footprint.


Frequentist uncertainty estimates for deep learning

arXiv.org Machine Learning

We provide frequentist estimates of aleatoric and epistemic uncertainty for deep neural networks. To estimate aleatoric uncertainty we propose simultaneous quantile regression, a loss function to learn all the conditional quantiles of a given target variable. These quantiles lead to well-calibrated prediction intervals. To estimate epistemic uncertainty we propose training certificates, a collection of diverse non-trivial functions that map all training samples to zero. These certificates map out-of-distribution examples to non-zero values, signaling high epistemic uncertainty. We compare our proposals to prior art in various experiments.


Uncertainty-Aware Learning from Demonstration using Mixture Density Networks with Sampling-Free Variance Modeling

arXiv.org Artificial Intelligence

In this paper, we propose an uncertainty-aware learning from demonstration method by presenting a novel uncertainty estimation method utilizing a mixture density network appropriate for modeling complex and noisy human behaviors. The proposed uncertainty acquisition can be done with a single forward path without Monte Carlo sampling and is suitable for real-time robotics applications. The properties of the proposed uncertainty measure are analyzed through three different synthetic examples, absence of data, heavy measurement noise, and composition of functions scenarios. We show that each case can be distinguished using the proposed uncertainty measure and presented an uncertainty-aware learn- ing from demonstration method of an autonomous driving using this property. The proposed uncertainty-aware learning from demonstration method outperforms other compared methods in terms of safety using a complex real-world driving dataset.


Predictive Uncertainty Estimation via Prior Networks

Neural Information Processing Systems

Estimating how uncertain an AI system is in its predictions is important to improve the safety of such systems. Uncertainty in predictive can result from uncertainty in model parameters, irreducible \emph{data uncertainty} and uncertainty due to distributional mismatch between the test and training data distributions. Different actions might be taken depending on the source of the uncertainty so it is important to be able to distinguish between them. Recently, baseline tasks and metrics have been defined and several practical methods to estimate uncertainty developed. These methods, however, attempt to model uncertainty due to distributional mismatch either implicitly through \emph{model uncertainty} or as \emph{data uncertainty}.