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Calculation of Predictive Variance? #5
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I agree with this (although I'm not sure about the last bit: why you are mentioning that variance is required for calculating predictive RMSE ....) |
It has been half a year since I opened this. Now I almost totally forgot what I have written. I will come back to this later Orz. |
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Hello Yarin,
It looks like that the description of the outputs in your
predict
method of thenet
class does not match to the actual output.DropoutUncertaintyExps/net/net.py
Lines 95 to 108 in 6eb4497
According to your publication, the predictive variance should be the sample variance of T stochastic forward passes plus the inverse model precision tau. (In your case, because the output y is a scalar, the variance are also scalars.) But it looks like that you did not add the inverse of tau when you are calculating the predictive "rmse". In addition, what is the estimate variance with additive noise?
Thank you very much.
Best,
Lei
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