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Can you trust your model's uncertainty? Evaluating predictive uncertainty under dataset shift
Jasper Snoek · Yaniv Ovadia · Emily Fertig · Balaji Lakshminarayanan · Sebastian Nowozin · D. Sculley · Joshua Dillon · Jie Ren · Zachary Nado

Wed Dec 11 10:45 AM -- 12:45 PM (PST) @ East Exhibition Hall B + C #40

Modern machine learning methods including deep learning have achieved great success in predictive accuracy for supervised learning tasks, but may still fall short in giving useful estimates of their predictive uncertainty. Quantifying uncertainty is especially critical in real-world settings, which often involve input distributions that are shifted from the training distribution due to a variety of factors including sample bias and non-stationarity. In such settings, well calibrated uncertainty estimates convey information about when a model's output should (or should not) be trusted. Many probabilistic deep learning methods, including Bayesian-and non-Bayesian methods, have been proposed in the literature for quantifying predictive uncertainty, but to our knowledge there has not previously been a rigorous large-scale empirical comparison of these methods under dataset shift. We present a large-scale benchmark of existing state-of-the-art methods on classification problems and investigate the effect of dataset shift on accuracy and calibration. We find that traditional post-hoc calibration does indeed fall short, as do several other previous methods. However, some methods that marginalize over models give surprisingly strong results across a broad spectrum of tasks.

Author Information

Jasper Snoek (Google Brain)
Yaniv Ovadia (Princeton University)
Emily Fertig (Google Research)
Balaji Lakshminarayanan (Google DeepMind)
Sebastian Nowozin (Google Research Berlin)
D. Sculley (Google Research)
Joshua Dillon (Google)
Jie Ren (Google Inc.)
Zachary Nado (Google Inc.)

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