Escaping the Sample Trap: Fast and Accurate Epistemic Uncertainty Estimation with Pairwise-Distance Estimators
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This work introduces a novel approach for epistemic uncertainty estimation for ensemble models using pairwise-distance estimators (PaiDEs). These estimators utilize the pairwise-distance between model components to establish bounds on entropy and uses said bounds as estimates for information-based criterion. Unlike recent deep learning methods for epistemic uncertainty estimation, which rely on sample-based Monte Carlo estimators, PaiDEs are able to estimate epistemic uncertainty up to 100× faster, over a larger space (up to 100×) and perform more accurately in higher dimensions. To validate our approach, we conducted a series of experiments commonly used to evaluate epistemic uncertainty estimation: 1D sinusoidal data, Pendulum-v0, Hopper-v2, Ant-v2 and Humanoid-v2. For each experimental setting, an Active Learning framework was applied to demonstrate the advantages of PaiDEs for epistemic uncertainty estimation.
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