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Simple and Scalable Predictive Uncertainty Estimation using …

Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles Balaji Lakshminarayanan Alexander Pritzel Charles Blundell DeepMind Abstract Deep neural networks (NNs) are powerful black box predictors that have recently achieved impressive performance on a wide spectrum of tasks. Quantifying pre- dictive 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 modifica- tions to the training procedure and are computationally expensive compared to standard (non-Bayesian) NNs.

tainty estimation and compare their performance to current state-of-the-art approximate Bayesian methods on a series of classification and regression benchmark datasets. Compared to Bayesian NNs (e.g. variational inference or MCMC methods), our method is …

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  Estimation, Uncertainty, The art, Uncertainty estimation

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