## On the Pitfalls of Heteroscedastic Uncertainty Estimation with Probabilistic Neural Networks

29 Sept 2021, 00:33 (edited 10 May 2022)ICLR 2022 PosterReaders: Everyone
• Keywords: Uncertainty Estimation, Probabilistic Neural Networks, Aleatoric Uncertainty, Heteroscedastic Uncertainty, Analysis
• Abstract: Capturing aleatoric uncertainty is a critical part of many machine learning systems. In deep learning, a common approach to this end is to train a neural network to estimate the parameters of a heteroscedastic Gaussian distribution by maximizing the logarithm of the likelihood function under the observed data. In this work, we examine this approach and identify potential hazards associated with the use of log-likelihood in conjunction with gradient-based optimizers. First, we present a synthetic example illustrating how this approach can lead to very poor but stable parameter estimates. Second, we identify the culprit to be the log-likelihood loss, along with certain conditions that exacerbate the issue. Third, we present an alternative formulation, termed $\beta$-NLL, in which each data point's contribution to the loss is weighted by the $\beta$-exponentiated variance estimate. We show that using an appropriate $\beta$ largely mitigates the issue in our illustrative example. Fourth, we evaluate this approach on a range of domains and tasks and show that it achieves considerable improvements and performs more robustly concerning hyperparameters, both in predictive RMSE and log-likelihood criteria.
• One-sentence Summary: We analyse problems with the training objective of probabilistic neural networks and propose a fix in the form of a new loss function.
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