Toward a Kernel-Based Uncertainty Decomposition Framework for Data and Models

Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Topological data analysis (62R40)

Abstract: This paper introduces a new framework for quantifying predictive uncertainty for both data and models that relies on projecting the data into a Gaussian reproducing kernel Hilbert space (RKHS) and transforming the data probability density function (PDF) in a way that quantifies the flow of its gradient as a topological potential field quantified at all points in the sample space. This enables the decomposition of the PDF gradient flow by formulating it as a moment decomposition problem using operators from quantum physics, specifically the Schrodinger's formulation. We experimentally show that the higher order modes systematically cluster the different tail regions of the PDF, thereby providing unprecedented discriminative resolution of data regions having high epistemic uncertainty. In essence, this approach decomposes local realizations of the data PDF in terms of uncertainty moments. We apply this framework as a surrogate tool for predictive uncertainty quantification of point-prediction neural network models, overcoming various limitations of conventional Bayesian based uncertainty quantification methods. Experimental comparisons with some established methods illustrate performance advantages exhibited by our framework.

Recommendations

Cites work

Cited in

(2)

Describes a project that uses

Uses Software

This page was built for publication: Toward a Kernel-Based Uncertainty Decomposition Framework for Data and Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5004348)