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Uncertainty Quantification of the 4th kind; optimal posterior accuracy-uncertainty tradeoff with the minimum enclosing ball. (arXiv:2108.10517v2 [stat.ME] UPDATED)
Sept. 14, 2022, 1:11 a.m. | Hamed Hamze Bajgiran, Pau Batlle Franch, Houman Owhadi, Mostafa Samir, Clint Scovel, Mahdy Shirdel, Michael Stanley, Peyman Tavallali
cs.LG updates on arXiv.org arxiv.org
There are essentially three kinds of approaches to Uncertainty Quantification
(UQ): (A) robust optimization, (B) Bayesian, (C) decision theory. Although (A)
is robust, it is unfavorable with respect to accuracy and data assimilation.
(B) requires a prior, it is generally brittle and posterior estimations can be
slow. Although (C) leads to the identification of an optimal prior, its
approximation suffers from the curse of dimensionality and the notion of risk
is one that is averaged with respect to the distribution …
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