Should Ensemble Members Be Calibrated?

Abstract: Underlying the use of statistical approaches for a wide range of applications is the assumption that the probabilities obtained from a statistical model are representative of the "true" probability that event, or outcome, will occur. Unfortunately, for modern deep neural networks this is not the case, they are often observed to be poorly calibrated. Additionally, these deep learning approaches make use of large numbers of model parameters, motivating the use of Bayesian, or ensemble approximation, approaches to handle issues with parameter estimation. This paper explores the application of calibration schemes to deep ensembles from both a theoretical perspective and empirically on a standard image classification task, CIFAR-100. The underlying theoretical requirements for calibration, and associated calibration criteria, are first described. It is shown that well calibrated ensemble members will not necessarily yield a well calibrated ensemble prediction, and if the ensemble prediction is well calibrated its performance cannot exceed that of the average performance of the calibrated ensemble members. On CIFAR-100 the impact of calibration for ensemble prediction, and associated calibration is evaluated. Additionally the situation where multiple different topologies are combined together is discussed.