From Risk to Uncertainty: Generating Predictive Uncertainty Measures via Bayesian Estimation

ICLR 2025 Conference Submission1292 Authors

Keywords: Uncertainty quantification, Bayesian methods, Statistics

TL;DR: We show, how one can get predictive uncertainty measures using Bayesian approximations of statistical risk.

Abstract:

There are various measures of predictive uncertainty in the literature, but their relationships to each other remain unclear. This paper uses a decomposition of statistical pointwise risk into components associated with different sources of predictive uncertainty: namely, aleatoric uncertainty (inherent data variability) and epistemic uncertainty (model-related uncertainty). Together with Bayesian methods applied as approximations, we build a framework that allows one to generate different predictive uncertainty measures.

We validate measures, derived from our framework on image datasets by evaluating its performance in detecting out-of-distribution and misclassified instances using the AUROC metric. The experimental results confirm that the measures derived from our framework are useful for the considered downstream tasks.

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

Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics.

Submission Guidelines: I certify that this submission complies with the submission instructions as described on https://iclr.cc/Conferences/2025/AuthorGuide.

Reciprocal Reviewing: I understand the reciprocal reviewing requirement as described on https://iclr.cc/Conferences/2025/CallForPapers. If none of the authors are registered as a reviewer, it may result in a desk rejection at the discretion of the program chairs. To request an exception, please complete this form at https://forms.gle/Huojr6VjkFxiQsUp6.

Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors’ identity.

No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.

Submission Number: 1292