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A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training…

Computational Finance · Quantitative Finance 2020-02-03 Shuaiqiang Liu , Anastasia Borovykh , Lech A. Grzelak , Cornelis W. Oosterlee

Artificial neural networks (ANNs) are powerful machine learning methods used in many modern applications such as facial recognition, machine translation, and cancer diagnostics. A common issue with ANNs is that they usually have millions or…

Machine Learning · Statistics 2023-05-08 Lars Skaaret-Lund , Geir Storvik , Aliaksandr Hubin

Artificial Neural Networks (ANN) have been employed for a range of modelling and prediction tasks using financial data. However, evidence on their predictive performance, especially for time-series data, has been mixed. Whereas some…

Risk Management · Quantitative Finance 2022-05-17 Philipp Ratz

Accurate probabilistic predictions are essential for optimal decision making. While neural network miscalibration has been studied primarily in classification, we investigate this in the less-explored domain of regression. We conduct the…

Machine Learning · Computer Science 2023-06-08 Victor Dheur , Souhaib Ben Taieb

Deep Neural Networks (DNNs) are powerful tools for various computer vision tasks, yet they often struggle with reliable uncertainty quantification - a critical requirement for real-world applications. Bayesian Neural Networks (BNN) are…

Machine Learning · Computer Science 2023-12-27 Gianni Franchi , Olivier Laurent , Maxence Leguéry , Andrei Bursuc , Andrea Pilzer , Angela Yao

In recent years Deep Neural Networks (DNNs) have been rapidly developed in various applications, together with increasingly complex architectures. The performance gain of these DNNs generally comes with high computational costs and large…

Machine Learning · Computer Science 2017-12-05 Yiren Zhou , Seyed-Mohsen Moosavi-Dezfooli , Ngai-Man Cheung , Pascal Frossard

Neural networks have proven successful at learning from complex data distributions by acting as universal function approximators. However, they are often overconfident in their predictions, which leads to inaccurate and miscalibrated…

Machine Learning · Computer Science 2021-02-23 Jeffrey Willette , Juho Lee , Sung Ju Hwang

Deep neural networks (DNN) are prone to miscalibrated predictions, often exhibiting a mismatch between the predicted output and the associated confidence scores. Contemporary model calibration techniques mitigate the problem of…

Machine Learning · Computer Science 2022-12-21 Ramya Hebbalaguppe , Rishabh Patra , Tirtharaj Dash , Gautam Shroff , Lovekesh Vig

Although various linear log-distance path loss models have been developed, advanced models are requiring to more accurately and flexibly represent the path loss for complex environments such as the urban area. This letter proposes an…

Machine Learning · Computer Science 2019-04-05 Chanshin Park , Daniel K. Tettey , Han-Shin Jo

Deep neural network (DNN) regression models are widely used in applications requiring state-of-the-art predictive accuracy. However, until recently there has been little work on accurate uncertainty quantification for predictions from such…

Methodology · Statistics 2020-09-07 Nadja Klein , David J. Nott , Michael Stanley Smith

Recent advances in deep learning have shown that uncertainty estimation is becoming increasingly important in applications such as medical imaging, natural language processing, and autonomous systems. However, accurately quantifying…

Machine Learning · Computer Science 2023-07-04 Uddeshya Upadhyay , Jae Myung Kim , Cordelia Schmidt , Bernhard Schölkopf , Zeynep Akata

In this paper, we consider the uncertainty quantification problem for regression models. Specifically, we consider an individual calibration objective for characterizing the quantiles of the prediction model. While such an objective is…

Machine Learning · Computer Science 2023-10-27 Shang Liu , Zhongze Cai , Xiaocheng Li

Existing adaptive bias techniques, which seek to estimate free energies and physical properties from molecular simulations, are limited by their reliance on fixed kernels or basis sets which hinder their ability to efficiently conform to…

Statistical Mechanics · Physics 2018-04-04 Hythem Sidky , Jonathan K. Whitmer

Model calibration, which is concerned with how frequently the model predicts correctly, not only plays a vital part in statistical model design, but also has substantial practical applications, such as optimal decision-making in the real…

Machine Learning · Statistics 2023-01-18 Erdong Guo , David Draper , Maria De Iorio

Rapid development in numerical modelling of materials and the complexity of new models increases quickly together with their computational demands. Despite the growing performance of modern computers and clusters, calibration of such models…

Neural and Evolutionary Computing · Computer Science 2016-03-08 Tomáš Mareš , Eliška Janouchová , Anna Kučerová

Deep neural networks have been shown to be highly miscalibrated. often they tend to be overconfident in their predictions. It poses a significant challenge for safety-critical systems to utilise deep neural networks (DNNs), reliably. Many…

Machine Learning · Computer Science 2022-05-05 Aditya Singh , Alessandro Bay , Biswa Sengupta , Andrea Mirabile

Conventional model quantization methods use a fixed quantization scheme to different data samples, which ignores the inherent "recognition difficulty" differences between various samples. We propose to feed different data samples with…

Computer Vision and Pattern Recognition · Computer Science 2022-04-22 Chen Tang , Haoyu Zhai , Kai Ouyang , Zhi Wang , Yifei Zhu , Wenwu Zhu

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,…

Machine Learning · Statistics 2017-11-07 Balaji Lakshminarayanan , Alexander Pritzel , Charles Blundell

Deep learning models, including modern systems like large language models, are well known to offer unreliable estimates of the uncertainty of their decisions. In order to improve the quality of the confidence levels, also known as…

Machine Learning · Computer Science 2024-04-15 Jiayi Huang , Sangwoo Park , Osvaldo Simeone

Graph neural networks (GNNs) have been shown to be astonishingly capable models for molecular property prediction, particularly as surrogates for expensive density functional theory calculations of relaxed energy for novel material…

Machine Learning · Computer Science 2024-08-27 Joseph Musielewicz , Janice Lan , Matt Uyttendaele , John R. Kitchin
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