Frozen Priors, Fluid Forecasts: Prequential Uncertainty for Low-Data Deployment with Pretrained Generative Models

Fernando Ruiz-Mazo, Vikas K Garg

Keywords: predictive uncertainty quantification, prequential inference, measure-valued martingales, frozen generative models

TL;DR: Provably coherent prequential UQ for frozen generative models: a decaying-weight blend with a GPU-parallel martingale posterior that yields calibrated, small-n intervals for long-run operational rates.

Abstract: Deploying ML systems with only a few real samples makes operational metrics (such as alert rates or mean scores) highly unstable. Existing uncertainty quantification (UQ) methods fail here: frequentist intervals ignore the deployed predictive rule, Bayesian posteriors assume continual refitting, and conformal methods offer per-example rather than long-run guarantees. We introduce a forecast-first UQ framework that blends the empirical distribution with a frozen pretrained generator using a unique Dirichlet schedule, ensuring time-consistent forecasts. Uncertainty is quantified via martingale posteriors: a lightweight, likelihood-free resampling method that simulates future forecasts under the deployed rule, yielding sharp, well-calibrated intervals for both current and long-run metrics without retraining or density evaluation. A single hyperparameter, set by a small-$n$ minimax criterion, balances sampling variance and model--data mismatch; for bounded scores, we provide finite-time drift guarantees. We also show how this framework informs optimal retraining decisions. Applicable off-the-shelf to frozen generators (flows, diffusion, autoregressive models, GANs) and linear metrics (means, tails, NLL), it outperforms bootstrap baselines across vision and language benchmarks (WikiText-2, CIFAR-10, and SVHN datasets); e.g., it achieves $\sim$90\% coverage on GPT-2 with 20 samples vs.\ 37\% for bootstrap. Importantly, our uncertainty estimates are operational under the deployed forecasting rule agnostic of the population parameters, affording practicable estimators for deployment in real world settings. Code available at \url{https://github.com/Aalto-QuML/Prequential/}.

Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)

Submission Number: 2675