Deep learning-based numerical schemes for solving high-dimensional backward stochastic differential equations (BSDEs) have recently raised plenty of scientific interest. While they enable numerical methods to approximate very high-dimensional BSDEs, their reliability has not been studied and is thus not understood. In this work, we study uncertainty quantification (UQ) for a class of deep learning-based BSDE schemes. More precisely, we review the sources of uncertainty involved in the schemes and numerically study the impact of different sources. Usually, the standard deviation (STD) of the approximate solutions obtained from multiple runs of the algorithm with different datasets is calculated to address the uncertainty. This approach is computationally quite expensive, especially for high-dimensional problems. Hence, we develop a UQ model that efficiently estimates the STD of the approximate solution using only a single run of the algorithm. The model also estimates the mean of the approximate solution, which can be leveraged to initialize the algorithm and improve the optimization process. Our numerical experiments show that the UQ model produces reliable estimates of the mean and STD of the approximate solution for the considered class of deep learning-based BSDE schemes. The estimated STD captures multiple sources of uncertainty, demonstrating its effectiveness in quantifying the uncertainty. Additionally, the model illustrates the improved performance when comparing different schemes based on the estimated STD values. Furthermore, it can identify hyperparameter values for which the scheme achieves good approximations.

Offline reinforcement learning enables agents to leverage large pre-collected datasets of environment transitions to learn control policies, circumventing the need for potentially expensive or unsafe online data collection. Significant progress has been made recently in offline model-based reinforcement learning, approaches which leverage a learned dynamics model. This typically involves constructing a probabilistic model, and using the model uncertainty to penalize rewards where there is insufficient data, solving for a pessimistic MDP that lower bounds the true MDP. Existing methods, however, exhibit a breakdown between theory and practice, whereby pessimistic return ought to be bounded by the total variation distance of the model from the true dynamics, but is instead implemented through a penalty based on estimated model uncertainty. This has spawned a variety of uncertainty heuristics, with little to no comparison between differing approaches. In this paper, we compare these heuristics, and design novel protocols to investigate their interaction with other hyperparameters, such as the number of models, or imaginary rollout horizon. Using these insights, we show that selecting these key hyperparameters using Bayesian Optimization produces superior configurations that are vastly different to those currently used in existing hand-tuned state-of-the-art methods, and result in drastically stronger performance.