Doubting the weights: ensembles and calibration

A distribution instead of a single set of weights. Its practical counterpart is an ensemble, and when we measure it, it gives uncertainty in the right direction but at the wrong scale.

Sources

• Lakshminarayanan, B., Pritzel, A. & Blundell, C. 2017 · Simple and Scalable Predictive Uncertainty Estimation Using Deep Ensembles · NeurIPS 2017
• Blundell, C. et al. 2015 · Weight Uncertainty in Neural Networks · ICML 2015
• Ovadia, Y. et al. 2019 · Can You Trust Your Model’s Uncertainty? · NeurIPS 2019