Uncertainty-Aware (UNA) Bases for Deep Bayesian Regression Using Multi-Headed Auxiliary Networks

• URL: http://arxiv.org/abs/2006.11695v4
• Date: Wed, 15 Dec 2021 19:18:58 GMT
• Title: Uncertainty-Aware (UNA) Bases for Deep Bayesian Regression Using Multi-Headed Auxiliary Networks
• Authors: Sujay Thakur, Cooper Lorsung, Yaniv Yacoby, Finale Doshi-Velez, Weiwei Pan
• Abstract summary: We show that traditional training procedures for Neural Linear Models drastically underestimate uncertainty on out-of-distribution inputs. We propose a novel training framework that captures useful predictive uncertainties for downstream tasks.
• Score: 23.100727871427367
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Neural Linear Models (NLM) are deep Bayesian models that produce predictive uncertainties by learning features from the data and then performing Bayesian linear regression over these features. Despite their popularity, few works have focused on methodically evaluating the predictive uncertainties of these models. In this work, we demonstrate that traditional training procedures for NLMs drastically underestimate uncertainty on out-of-distribution inputs, and that they therefore cannot be naively deployed in risk-sensitive applications. We identify the underlying reasons for this behavior and propose a novel training framework that captures useful predictive uncertainties for downstream tasks.

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