Calibrated Reliable Regression using Maximum Mean Discrepancy

• URL: http://arxiv.org/abs/2006.10255v2
• Date: Wed, 28 Oct 2020 03:38:24 GMT
• Title: Calibrated Reliable Regression using Maximum Mean Discrepancy
• Authors: Peng Cui, Wenbo Hu, Jun Zhu
• Abstract summary: Modern deep neural networks still produce unreliable predictive uncertainty. In this paper, we are concerned with getting well-calibrated predictions in regression tasks. Experiments on non-trivial real datasets show that our method can produce well-calibrated and sharp prediction intervals.
• Score: 45.45024203912822
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Accurate quantification of uncertainty is crucial for real-world applications of machine learning. However, modern deep neural networks still produce unreliable predictive uncertainty, often yielding over-confident predictions. In this paper, we are concerned with getting well-calibrated predictions in regression tasks. We propose the calibrated regression method using the maximum mean discrepancy by minimizing the kernel embedding measure. Theoretically, the calibration error of our method asymptotically converges to zero when the sample size is large enough. Experiments on non-trivial real datasets show that our method can produce well-calibrated and sharp prediction intervals, which outperforms the related state-of-the-art methods.

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