Simple and Scalable Epistemic Uncertainty Estimation Using a Single Deep Deterministic Neural Network

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Authors

Joost van Amersfoort, Lewis Smith, Yee Whye Teh, Yarin Gal

Abstract

We propose a method for training a deterministic deep model that can find and reject out of distribution data points at test time with a single forward pass. Our approach, deterministic uncertainty quantification (DUQ), builds upon ideas of RBF networks. We scale training in these with a novel loss function and centroid updating scheme. By enforcing detectability of changes in the input using a gradient penalty, we are able to reliably detect out of distribution data. Our uncertainty quantification scales well to large datasets, and using a single model, we improve upon Deep Ensembles on notable difficult dataset pairs such as FashionMNIST vs. MNIST, and CIFAR-10 vs. SVHN, while maintaining competitive accuracy.