Uncertainty Quantification in Deep Learning

Deep neural networks (DNNs) have achieved enormous success in a wide range of domains, such as computer vision, natural language processing and scientific areas. However, one key bottleneck of DNNs is that they are ignorant about the uncertainties in their predictions. They can produce wildly wrong predictions without realizing, and can even be confident about their mistakes. Such mistakes can cause misguided decisions-sometimes catastrophic in critical applications, ranging from self-driving cars to cyber security to automatic medical diagnosis. In this tutorial, we present recent advancements in uncertainty quantification for DNNs and their applications across various domains. We first provide an overview of the motivation behind uncertainty quantification, different sources of uncertainty, and evaluation metrics. Then, we delve into several representative uncertainty quantification methods for predictive models, including ensembles, Bayesian neural networks, conformal prediction, and others. We go on to discuss how uncertainty can be utilized for label-efficient learning, continual learning, robust decision-making, and experimental design. Furthermore, we showcase examples of uncertainty-aware DNNs in various domains, such as health, robotics, and scientific machine learning. Finally, we summarize open challenges and future directions in this area.