Jul 12, 2020
Recurrent neural networks (RNNs) are instrumental in modelling sequential and time-series data. Yet, when using RNNs to inform decision-making, predictions by themselves are not sufficient — we also need estimates of predictive uncertainty. Existing approaches for uncertainty quantification in RNNs are based predominantly on Bayesian methods; these are computationally prohibitive, and require major alterations to the RNN architecture and training. Capitalizing on ideas from classical jackknife resampling, we develop a frequentist alternative that: (a) is computationally efficient, (b) does not interfere with model training or compromise its accuracy, (c) applies to any RNN architecture, and (d) provides theoretical coverage guarantees on the estimated uncertainty intervals. Our method derives predictive uncertainty from the variability of the (jackknife) sampling distribution of the RNN outputs, which is estimated by repeatedly deleting "blocks" of (temporally-correlated) training data, and collecting the predictions of the RNN re-trained on the remaining data. To avoid computationally expensive re-training, we utilize influence functions to estimate the effect of removing training data blocks on the learned RNN parameters. Using data from a critical care medical setting, we demonstrate the utility of uncertainty quantification in sequential decision-making.
The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.
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