Episode 53: Estimating uncertainty with neural networks

Have you ever wanted to get an estimate of the uncertainty of your neural network? Clearly Bayesian modelling provides a solid framework to estimate uncertainty by design. However, there are many realistic cases in which Bayesian sampling is not really an option and ensemble models can play a role. In this episode I describe a simple yet effective way to estimate uncertainty, without changing your neural network’s architecture nor your machine learning pipeline at all. The post with mathematical background and sample source code is published here.