In this blog, we look at the topic of uncertainty quantification for machine learning and deep learning. By no means is this a new subject, but the introduction of tools such as Tensorflow Probability and Pyro have made it easy to perform probabilistic modeling to streamline uncertainty calculations. Consider the scenario in which we predict the value of an asset like a house, based on a number of features, to drive purchasing decisions. Wouldn’t it be beneficial to know how certain we are of these predicted prices? Tensorflow Probability allows you to use the familiar Tensorflow syntax and methodology but adds the ability to work with distributions. In this introductory post, we leave the priors and the Bayesian treatment behind and opt for a simpler probabilistic treatment to illustrate the basic principles. We use the likelihood principle to illustrate how an uncertainty measure can be obtained along with predicted values by applying them to a deep learning regression problem.
Read on for an interesting explanation and tutorial.