Related papers: Evaluating Uncertainty in Deep Gaussian Processes

Reliable uncertainty from deterministic single-forward pass models is sought after because conventional methods of uncertainty quantification are computationally expensive. We take two complex single-forward-pass uncertainty approaches, DUQ…

Fitting a theoretical model to experimental data in a Bayesian manner using Markov chain Monte Carlo typically requires one to evaluate the model thousands (or millions) of times. When the model is a slow-to-compute physics simulation,…

Deep Neural Networks (DNNs) have achieved state-of-the-art accuracy performance in many tasks. However, recent works have pointed out that the outputs provided by these models are not well-calibrated, seriously limiting their use in…

When the cost of misclassifying a sample is high, it is useful to have an accurate estimate of uncertainty in the prediction for that sample. There are also multiple types of uncertainty which are best estimated in different ways, for…

Gaussian Processes (GPs) are widely employed in control and learning because of their principled treatment of uncertainty. However, tracking uncertainty for iterative, multi-step predictions in general leads to an analytically intractable…

Standard deep learning methods, such as Ensemble Models, Bayesian Neural Networks and Quantile Regression Models provide estimates to prediction uncertainties for data-driven deep learning models. However, they can be limited in their…

The vast quantity of information brought by big data as well as the evolving computer hardware encourages success stories in the machine learning community. In the meanwhile, it poses challenges for the Gaussian process (GP) regression, a…

Deep Probabilistic Programming (DPP) allows powerful models based on recursive computation to be learned using efficient deep-learning optimization techniques. Additionally, DPP offers a unified perspective, where inference and learning…

Ensembles of neural networks achieve superior performance compared to stand-alone networks in terms of accuracy, uncertainty calibration and robustness to dataset shift. \emph{Deep ensembles}, a state-of-the-art method for uncertainty…

We study aleatoric and epistemic uncertainty estimation in a learned regressive system dynamics model. Disentangling aleatoric uncertainty (the inherent randomness of the system) from epistemic uncertainty (the lack of data) is crucial for…

Gaussian process (GP) methods have been widely studied recently, especially for large-scale systems with big data and even more extreme cases when data is sparse. Key advantages of these methods consist in: 1) the ability to provide…

We define deep kernel processes in which positive definite Gram matrices are progressively transformed by nonlinear kernel functions and by sampling from (inverse) Wishart distributions. Remarkably, we find that deep Gaussian processes…

A large collection of time series poses significant challenges for classical and neural forecasting approaches. Classical time series models fail to fit data well and to scale to large problems, but succeed at providing uncertainty…

Uncertainty estimation bears the potential to make deep learning (DL) systems more reliable. Standard techniques for uncertainty estimation, however, come along with specific combinations of strengths and weaknesses, e.g., with respect to…

Many real-world applications demand accurate and fast predictions, as well as reliable uncertainty estimates. However, quantifying uncertainty on high-dimensional predictions is still a severely under-investigated problem, especially when…

Predictions made by deep learning models are prone to data perturbations, adversarial attacks, and out-of-distribution inputs. To build a trusted AI system, it is therefore critical to accurately quantify the prediction uncertainties. While…

Gaussian processes are a powerful framework for quantifying uncertainty and for sequential decision-making but are limited by the requirement of solving linear systems. In general, this has a cubic cost in dataset size and is sensitive to…

Determinantal point processes (DPPs) offer an elegant tool for encoding probabilities over subsets of a ground set. Discrete DPPs are parametrized by a positive semidefinite matrix (called the DPP kernel), and estimating this kernel is key…

Many inferential tasks involve fitting models to observed data and predicting outcomes at new covariate values, requiring interpolation or extrapolation. Conventional methods select a single best-fitting model, discarding fits that were…

We introduce a new scalable approximation for Gaussian processes with provable guarantees which hold simultaneously over its entire parameter space. Our approximation is obtained from an improved sample complexity analysis for sparse…