This paper considers the generation of prediction intervals (PIs) by neural networks for quantifying uncertainty in regression tasks. It is axiomatic that high-quality PIs should be as narrow as possible, whilst capturing a specified portion of data. We derive a loss function directly from this axiom that requires no distributional assumption. We show how its form derives from a likelihood principle, that it can be used with gradient descent, and that model uncertainty is accounted for in ensembled form. Benchmark experiments show the method outperforms current state-of-the-art uncertainty quantification methods, reducing average PI width by over 10%.
Paperid:407
Authors:Aaron Oord, Yazhe Li, Igor Babuschkin, Karen Simonyan, Oriol Vinyals, Koray Kavukcuoglu, George Driessche, Edward Lockhart, Luis Cobo, Florian Stimberg, Norman Casagrande, Dominik Grewe, Seb Noury, Sander Dieleman, Erich Elsen, Nal Kalchbrenner, Heiga Zen, Alex Graves, Helen King, Tom Walters, Dan Belov, Demis Hassabis