Efficient Epistemic Uncertainty Estimation in Regression Ensemble Models Using Pairwise-Distance Estimators

Abstract: This work introduces an efficient novel approach for epistemic uncertainty estimation for ensemble models for regression tasks using pairwise-distance estimators (PaiDEs). Utilizing the pairwise-distance between model components, these estimators establish bounds on entropy. We leverage this capability to enhance the performance of Bayesian Active Learning by Disagreement (BALD). Notably, unlike sample-based Monte Carlo estimators, PaiDEs exhibit a remarkable capability to estimate epistemic uncertainty at speeds up to 100 times faster while covering a significantly larger number of inputs at once and demonstrating superior performance in higher dimensions. To validate our approach, we conducted a varied series of regression experiments on commonly used benchmarks: 1D sinusoidal data, $\textit{Pendulum}$, $\textit{Hopper}$, $\textit{Ant}$ and $\textit{Humanoid}$. For each experimental setting, an active learning framework was applied to demonstrate the advantages of PaiDEs for epistemic uncertainty estimation. We compare our approach to existing active learning methods and find that our approach outperforms on high-dimensional regression tasks.