Uncertainty estimation

Uncertainty estimation enables detecting when ML models make mistakes. This is of critical importance in high risk machine learning applications, such as autonomous vehicle and medical ML.

Area 20. Uncertainty Estimation.svg

Posts

Publications

  • Gradient Boosting Performs Gaussian Process Inference

    Machine learning theoryUncertainty estimation Gradient boosting
    Aleksei Ustimenko
    Artem Beliakov
    Liudmila Prokhorenkova
    ICLR, 2023

    This paper shows that gradient boosting based on symmetric decision trees can be equivalently reformulated as a kernel method that converges to the solution of a certain Kernel Ridge Regression problem. Thus, we obtain the convergence to a Gaussian Process' posterior mean, which, in turn, allows us to easily transform gradient boosting into a sampler from the posterior to provide better knowledge uncertainty estimates through Monte-Carlo estimation of the posterior variance. We show that the proposed sampler allows for better knowledge uncertainty estimates leading to improved out-of-domain detection.

  • Scaling Ensemble Distribution Distillation to Many Classes with Proxy Targets

    Computer visionNatural language processing Probabilistic machine learningDistributional shiftUncertainty estimation OptimizationMachine translationSpeech processing
    Max Ryabinin
    Andrey Malinin
    Mark Gales
    NeurIPS, 2021

    Ensembles of machine learning models yield improved system performance as well as robust and interpretable uncertainty estimates; however, their inference costs can be prohibitively high. Ensemble Distribution Distillation (EnD^2) is an approach that allows a single model to efficiently capture both the predictive performance and uncertainty estimates of an ensemble. For classification, this is achieved by training a Dirichlet distribution over the ensemble members' output distributions via the maximum likelihood criterion. Although theoretically principled, this work shows that the criterion exhibits poor convergence when applied to large-scale tasks where the number of classes is very high. Specifically, we show that for the Dirichlet log-likelihood criterion classes with low probability induce larger gradients than high-probability classes. Hence during training the model focuses on the distribution of the ensemble tail-class probabilities rather than the probability of the correct and closely related classes. We propose a new training objective which minimizes the reverse KL-divergence to a Proxy-Dirichlet target derived from the ensemble. This loss resolves the gradient issues of EnD^2, as we demonstrate both theoretically and empirically on the ImageNet, LibriSpeech, and WMT17 En-De datasets containing 1000, 5000, and 40,000 classes, respectively.

  • Shifts: A Dataset of Real Distributional Shift Across Multiple Large-Scale Tasks

    Natural language processing Distributional shiftUncertainty estimation Machine translationTabular data
    Andrey Malinin
    Neil Band
    Yarin Gal
    Mark J. F. Gales
    Alexander Ganshin
    German Chesnokov
    Alexey Noskov
    Andrey Ploskonosov
    Liudmila Prokhorenkova
    Ivan Provilkov
    Vatsal Raina
    Vyas Raina
    Denis Roginskiy
    Mariya Shmatova
    Panos Tigas
    Boris Yangel
    NeurIPS Benchmarks, 2021

    Published at NeurIPS Datasets and Benchmarks Track.

    There has been significant research done on developing methods for improving robustness to distributional shift and uncertainty estimation. In contrast, only limited work has examined developing standard datasets and benchmarks for assessing these approaches. Additionally, most work on uncertainty estimation and robustness has developed new techniques based on small-scale regression or image classification tasks. However, many tasks of practical interest have different modalities, such as tabular data, audio, text, or sensor data, which offer significant challenges involving regression and discrete or continuous structured prediction. Thus, given the current state of the field, a standardized large-scale dataset of tasks across a range of modalities affected by distributional shifts is necessary. This will enable researchers to meaningfully evaluate the plethora of recently developed uncertainty quantification methods, as well as assessment criteria and state-of-the-art baselines. In this work, we propose the \emph{Shifts Dataset} for evaluation of uncertainty estimates and robustness to distributional shift. The dataset, which has been collected from industrial sources and services, is composed of three tasks, with each corresponding to a particular data modality: tabular weather prediction, machine translation, and self-driving car (SDC) vehicle motion prediction. All of these data modalities and tasks are affected by real, ‘in-the-wild’ distributional shifts and pose interesting challenges with respect to uncertainty estimation. In this work we provide a description of the dataset and baseline results for all tasks.

Datasets

  • Shifts Dataset

    Distributional shiftUncertainty estimation Tabular dataMachine translationNatural language processing
    Andrey Malinin
    Neil Band
    Yarin Gal
    Mark J. F. Gales
    Alexander Ganshin
    German Chesnokov
    Alexey Noskov
    Andrey Ploskonosov
    Liudmila Prokhorenkova
    Ivan Provilkov
    Vatsal Raina
    Vyas Raina
    Denis Roginskiy
    Mariya Shmatova
    Panos Tigas
    Boris Yangel

    The Shifts Dataset contains curated and labeled examples of real, 'in-the-wild' distributional shifts across three large-scale tasks. Specifically, it contains tabular weather prediction, machine translation, and vehicle motion prediction tasks' data used in Shifts Challenge 2021. Dataset shift is ubiquitous in all of these tasks and modalities.