Skip to content

RegrKm SE prediction for epistemic uncertainty  #173

@mb706

Description

@mb706

RegrKm SE prediction with nugget currently predicts the epistemic uncertainty (uncertainty of the mean prediction) + aleatoric uncertainty (nugget SE, uncertainty that the model sees as random error). E.g. sampling lots of points with SE 0.1 noise and fitting a GP through them gives us

image

Where the GP goes through the points, the epistemic uncertainty is relatively low (it is the mean of a large sample) but the aleatoric uncertainty has SE 0.1 (nugget estimate).

What instead would be interesting would be the epistemic uncertainty alone

image

This is just

sqrt(pmax(p$sd^2 - self$model@covariance@nugget, 0))

I suggest we introduce a hyperparameter that gives the option to predict this, could be interesting for MBO.

Metadata

Metadata

Assignees

No one assigned

    Type

    No type

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions