Towards Reliable Uncertainty Quantification via Deep Ensembles in Multi-output Regression Task

• URL: http://arxiv.org/abs/2303.16210v4
• Date: Fri, 24 Nov 2023 03:56:54 GMT
• Title: Towards Reliable Uncertainty Quantification via Deep Ensembles in Multi-output Regression Task
• Authors: Sunwoong Yang, Kwanjung Yee
• Abstract summary: This study aims to investigate the deep ensemble approach, an approximate Bayesian inference, in the multi-output regression task. A trend towards underestimation of uncertainty as it increases is observed for the first time. We propose the deep ensemble framework that applies the post-hoc calibration method to improve its uncertainty quantification performance.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: This study aims to comprehensively investigate the deep ensemble approach, an approximate Bayesian inference, in the multi-output regression task for predicting the aerodynamic performance of a missile configuration. To this end, the effect of the number of neural networks used in the ensemble, which has been blindly adopted in previous studies, is scrutinized. As a result, an obvious trend towards underestimation of uncertainty as it increases is observed for the first time, and in this context, we propose the deep ensemble framework that applies the post-hoc calibration method to improve its uncertainty quantification performance. It is compared with Gaussian process regression and is shown to have superior performance in terms of regression accuracy ($\uparrow55\sim56\%$), reliability of estimated uncertainty ($\uparrow38\sim77\%$), and training efficiency ($\uparrow78\%$). Finally, the potential impact of the suggested framework on the Bayesian optimization is briefly examined, indicating that deep ensemble without calibration may lead to unintended exploratory behavior. This UQ framework can be seamlessly applied and extended to any regression task, as no special assumptions have been made for the specific problem used in this study.

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