Efficient Credal Prediction through Decalibration

A reliable representation of uncertainty is essential for the application of modern machine learning methods in safety-critical settings. In this regard, the use of credal sets (i.e., convex sets of probability distributions) has recently been proposed as a suitable approach to representing epistemic uncertainty. However, as with other approaches to epistemic uncertainty, training credal predictors is computationally complex and usually involves (re-)training an ensemble of models. The resulting computational complexity prevents their adoption for complex models such as foundation models and multi-modal systems. To address this problem, we propose an efficient method for credal prediction that is grounded in the notion of relative likelihood and inspired by techniques for the calibration of probabilistic classifiers. For each class label, our method predicts a range of plausible probabilities in the form of an interval. To produce the lower and upper bounds of these intervals, we propose a technique that we refer to as decalibration. Extensive experiments show that our method yields credal sets with strong performance across diverse tasks, including coverage-efficiency evaluation, out-of-distribution detection, and in-context learning. Notably, we demonstrate credal prediction on models such as TabPFN and CLIP -- architectures for which the construction of credal sets was previously infeasible.

Credal Prediction based on Relative Likelihood

Predictions in the form of sets of probability distributions, so-called credal sets, provide a suitable means to represent a learner's epistemic uncertainty. In this paper, we propose a theoretically grounded approach to credal prediction based on the statistical notion of relative likelihood: The target of prediction is the set of all (conditional) probability distributions produced by the collection of plausible models, namely those models whose relative likelihood exceeds a specified threshold. This threshold has an intuitive interpretation and allows for controlling the trade-off between correctness and precision of credal predictions. We tackle the problem of approximating credal sets defined in this way by means of suitably modified ensemble learning techniques. To validate our approach, we illustrate its effectiveness by experiments on benchmark datasets demonstrating superior uncertainty representation without compromising predictive performance. We also compare our method against several state-of-the-art baselines in credal prediction.

An Axiomatic Assessment of Entropy- and Variance-based Uncertainty Quantification in Regression

Uncertainty quantification (UQ) is crucial in machine learning, yet most (axiomatic) studies of uncertainty measures focus on classification, leaving a gap in regression settings with limited formal justification and evaluations. In this work, we introduce a set of axioms to rigorously assess measures of aleatoric, epistemic, and total uncertainty in supervised regression. By utilizing a predictive exponential family, we can generalize commonly used approaches for uncertainty representation and corresponding uncertainty measures. More specifically, we analyze the widely used entropy- and variance-based measures regarding limitations and challenges. Our findings provide a principled foundation for UQ in regression, offering theoretical insights and practical guidelines for reliable uncertainty assessment.

Label-wise Aleatoric and Epistemic Uncertainty Quantification

We present a novel approach to uncertainty quantification in classification tasks based on label-wise decomposition of uncertainty measures. This label-wise perspective allows uncertainty to be quantified at the individual class level, thereby improving cost-sensitive decision-making and helping understand the sources of uncertainty. Furthermore, it allows to define total, aleatoric, and epistemic uncertainty on the basis of non-categorical measures such as variance, going beyond common entropy-based measures. In particular, variance-based measures address some of the limitations associated with established methods that have recently been discussed in the literature. We show that our proposed measures adhere to a number of desirable properties. Through empirical evaluation on a variety of benchmark data sets -- including applications in the medical domain where accurate uncertainty quantification is crucial -- we establish the effectiveness of label-wise uncertainty quantification.