Keras prediction interval

A more honest way to show predictions from a model is as a range of estimates: there might be a most likely value, but there is also a wide interval where the real value could be. The full code is available on GitHub with an interactive version of the Jupyter Notebook on nbviewer.

Generating prediction intervals is another tool in the data science toolbox, one critical for earning the trust of non-data-scientists. The objective is to predict the energy consumption from the features.

This is an actual task we do every day at Cortex Building Intel! There are undoubtedly hidden features latent variables not captured in our data that affect energy consumption, and therefore, we want to show the uncertainty in our estimates by predicting both an upper and lower bound for energy use.

The basic idea is straightforward:. At a high level, the loss is the function optimized by the model. If we use lower and upper quantiles, we can produce an estimated range.

After splitting the data into train and test sets, we build the model. We actually have to use 3 separate Gradient Boosting Regressors because each model is optimizing a different function and must be trained separately. Training a computational method to simulate thermo predicting uses the familiar Scikit-Learn syntax:.

Just like that, we have prediction intervals! With a little bit of plotlywe can generate a nice interactive plot. As with any machine learning model, we want to quantify the error for our predictions on the test set where we have the actual answers.

Measuring the error of a prediction interval is a little bit trickier than a point prediction. We can calculate the percentage of the time the actual value is within the range, but this can be easily optimized by making the interval very wide. Therefore, we also want a metric that takes into account how far away the predictions are from the actual value, such as absolute error.

Understanding Confidence Intervals: Statistics Help

We can do this for each data point and then plot a boxplot of the errors the percent in bounds is in the title :. Interestingly, for this model, the median absolute error for the lower prediction is actually less than for the mid prediction.

The actual value is between the lower and upper bounds just over half the time, a metric we could increase by lowering the lower quantile and raising the upper quantile at a loss in precision. There are probably better metrics, but I selected these because they are simple to calculate and easy to interpret.

Fitting and predicting with 3 separate models is somewhat tedious, so we can write a model that wraps the Gradient Boosting Regressors into a single class. The model also comes with some plotting utilities:.

Prediction Intervals for Machine Learning

Please use and adapt the model as you see fit! In general, this is a good approach to data science problems: start with the simple solution and add complexity only as required! In contrast to a random forest, which trains trees in parallel, a gradient boosting machine trains trees sequentially, with each tree learning from the mistakes residuals of the current ensemble. With the default loss function — least squares — the gradient boosting regressor is predicting the mean.

The critical point to understand is that the least squares loss penalizes low and high errors equally :. This allows the gradient boosting model to optimize not for the mean, but for percentiles. The quantile loss is:. The quantile loss is best illustrated in a graph showing loss versus error:. This is a great reminder that the loss function of a machine learning method dictates what you are optimizing for!By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service.

Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization.

It only takes a minute to sign up. To illustrate my question, suppose that I have a training set where the input has a degree of noise but the output does not, for example. My question is how can a neural network be created such that it will return a predicted value and a measure of confidence, such as a variance or confidence interval?

keras prediction interval

It sounds like you are looking for a prediction-intervali. Look at the tag wikis for prediction-interval and confidence-interval for the difference. Your best bet is likely to work directly with NN architectures that do not output single point predictions, but entire predictive distributions. You can then directly extract desired prediction intervals or mean, or median point predictions from these distributions.

I and others have been arguing that predictive distributions are much more useful than point predictionsbut to be honest, I have not yet seen a lot of work on predictive distributions with neural nets, although I have been keeping my eyes open. This paper sounds like it might be useful. You might want to search a bit, perhaps also using other keywords like "forecast distributions" or "predictive densities" and such.

That said, you might want to look into Michael Feindt's NeuroBayes algorithm, which uses a Bayesian approach to forecast predictive densities. I'm not sure you can compute a confidence interval for a single prediction, but you can indeed compute a confidence interval for error rate of the whole dataset you can generalize for accuracy and whatever other measure you are assessing.

For the cost function you can use the NLPD negative log probability density. On test data you again want to maximize the probability of your test data so you can use NLPD metric again.

I'd love to hear other opinions on this. However, as far as I know, Conformal Prediction CP is the only principled method for building calibrated PI for prediction in nonparametric regression and classification problems. Machine Learning Research 9[pdf]. In terms of directly outputting prediction intervals, there's a paper ' Comprehensive Review of Neural Network-Based Prediction Intervals '.

Unfortunately it does not work with backprop, but recent work made this possible, High-Quality Prediction Intervals for Deep Learning. Alternative to directly outputting prediction intervals, Bayesian neural networks BNNs model uncertainty in a NN's parameters, and hence capture uncertainty at the output.

This is hard to do, but popular methods include running MC dropout at prediction time, or ensembling. I have not heard of any method that gives a confidence interval for a neural network prediction. Despite a lack of formal methodology, it seems like it might be feasible to construct one. I have never attempted this due to the compute power that would be needed and I make no claims on this working for certain, but one method that might work for a tiny neural net or with blazing fast GPU power it could work for moderate sized nets would be to resample the training set and build many similar networks say 10, times with the same parameters and initial settings, and build confidence intervals based on the predictions for each of your bootstrapped net.

For example, in the 10, networks trained as discussed above, one might get 2.GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together. If nothing happens, download GitHub Desktop and try again. If nothing happens, download Xcode and try again.

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keras prediction interval

Sign up. Jupyter Notebook Python. Jupyter Notebook Branch: master. Find file. Sign in Sign up. Go back. Launching Xcode If nothing happens, download Xcode and try again. Latest commit Fetching latest commit…. Intro How can we get uncertainty estimates from deep learning systems? Estimating model uncertainty. Comparison against MVE. Code Structure Main paper code in 5 files: main.

We have included hyperparameters used for the boston and concrete datasets in inputs. You signed in with another tab or window. Reload to refresh your session. You signed out in another tab or window. Add files via upload. Jun 12, Feb 21, Jun 19, May 15, By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service. Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization.

It only takes a minute to sign up. When using neural network for classification problem, and using softmax as last layer for last layer. Typically, we have a prediction and a confidence level. However, is there such confidence interval measure for neural network regression problem?

You would have to output vectors of means and standard deviations rather than discrete values to achieve that. Sign up to join this community. The best answers are voted up and rise to the top. Home Questions Tags Users Unanswered. Neural network regression with confidence interval implemented with Keras Ask Question. Asked 3 years ago. Active 1 year, 10 months ago. Viewed times.

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It only takes a minute to sign up. Is there a method to calculate the prediction interval probability distribution around a time series forecast from an LSTM or other recurrent neural network? Typically, one might draw error bars around the prediction to show the interval. I'm considering reframing the problem as classification into discrete bins, as that produces a confidence per class, but that seems a poor solution.

There are a couple of similar topics such as the belowbut nothing seems to directly address the issue of prediction intervals from LSTM or indeed other neural networks:. Directly, this is not possible.

However, if you model it in a different way you can get out confidence intervals. You could instead of a normal regression approach it as estimating a continuous probability distribution. By doing this for every step you can plot your distribution.

How to Generate Prediction Intervals with Scikit-Learn and Python

You use the log likelihood for training the model. Another option for modeling the uncertainty is to use dropout during training and then also during inference. You do this multiple times and every time you get a sample from your posterior. You don't get distributions, only samples, but it's the easiest to implement and it works very well. Depending on your current setup you might have to sample from the previous time step and feed that for the next one.

That doesn't work very well with the first approach, nor with the second. Conformal Prediction as a buzz word might be interesting for you because it works under many conditions - in particular it does not need normal distributed error and it works for almost any machine learning model.

Two nice introductions are given by Scott Locklin and Henrik Linusson. I am going to diverge a little bit and argue that calculation confidence interval is in practice is usually not a valuable thing to do.

The reason is there is always a whole bunch of assumptions you need to make. Even for the simplest linear regression, you need to have. A much more pragmatic approach is to do a Monte Carlo simulation. If you already know or willing to make of assumption around the distribution of your input variables, take a whole bunch of sample and feed it to you LSTM, now you can empirically calculate your "confidence interval". Yes, you can.

The only thing you need to change is the loss function. Implement the loss function used in quantile regression and integrate it.Last Updated on January 10, Once you choose and fit a final deep learning model in Keras, you can use it to make predictions on new data instances. There is some confusion amongst beginners about how exactly to do this. I often see questions such as:. In this tutorial, you will discover exactly how you can make classification and regression predictions with a finalized deep learning model with the Keras Python library.

Discover how to develop deep learning models for a range of predictive modeling problems with just a few lines of code in my new bookwith 18 step-by-step tutorials and 9 projects. This was done in order to give you an estimate of the skill of the model on out of sample data, e. You now must train a final model on all of your available data. You can learn more about how to train a final model here:. Below is an example of a finalized neural network model in Keras developed for a simple two-class binary classification problem.

If developing a neural network model in Keras is new to you, see this Keras tutorial. After finalizing, you may want to save the model to file, e. Once saved, you can load the model any time and use it to make predictions.

For an example of this, see the post:. There are two types of classification predictions we may wish to make with our finalized model; they are class predictions and probability predictions. A class prediction is given the finalized model and one or more data instances, predict the class for the data instances. We do not know the outcome classes for the new data.

That is why we need the model in the first place. Note that this function is only available on Sequential models, not those models developed using the functional API. For example, we have one or more data instances in an array called Xnew. Running the example predicts the class for the three new data instances, then prints the data and the predictions together. Note that when you prepared your data, you will have mapped the class values from your domain such as strings to integer values.

You may have used a LabelEncoder. For this reason, you may want to save pickle the LabelEncoder used to encode your y values when fitting your final model.

Another type of prediction you may wish to make is the probability of the data instance belonging to each class.One of the most common applications of Time Series models is to predict future values. How the stock market is going to change?

How much will 1 Bitcoin cost tomorrow? How much coffee are you going to sell next month? Read the previous part to learn the basics. This guide will show you how to use Multivariate many features Time Series data to predict future demand.

Run the complete notebook in your browser. The complete project on GitHub. Our data London bike sharing dataset is hosted on Kaggle. It is provided by Hristo Mavrodiev. A bicycle-sharing system, public bicycle scheme, or public bike share PBS scheme, is a service in which bicycles are made available for shared use to individuals on a short term basis for a price or free.

Our goal is to predict the number of future bike shares given the historical data of London bike shares. Pandas is smart enough to parse the timestamp strings as DateTime objects.

Demand Prediction with LSTMs using TensorFlow 2 and Keras in Python

What do we have? We have 2 years of bike-sharing data, recorded at regular intervals 1 hour. And in terms of the number of rows:. The hours with most bike shares differ significantly based on a weekend or not days.

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Workdays contain two large spikes during the morning and late afternoon hours people pretend to work in between. On weekends early to late afternoon hours seem to be the busiest. Our little feature engineering efforts seem to be paying off. The new features separate the data very well. Our data is not in the correct format for training an LSTM model. How well can we predict the number of bike shares?

You can see that the model learns pretty quickly. At about epoch 5it is already starting to overfit a bit. You can play around - regularize it, change the number of units, etc. But how well can we predict demand with it? Note that our model is predicting only one point in the future. That being said, it is doing very well. You just took a real dataset, preprocessed it, and used it to predict bike-sharing demand. You even got some very good results.

keras prediction interval

Develop a deeper understanding of Machine Learning models, tools and concepts by building them from scratch with Python. Tutorials, notebooks and Python source code included.

keras prediction interval

Venelin Valkov on Twitter. Sequential model. Bidirectional keras. Published 17 Nov

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