ZigZag: Universal Sampling-free Uncertainty Estimation Through Two-Step Inference

Whereas the ability of deep networks to produce useful predictions on many kinds of data has been amply demonstrated, estimating the reliability of these predictions remains challenging. Sampling approaches such as MC-Dropout and Deep Ensembles have emerged as the most popular ones for this purpose. Unfortunately, they require many forward passes at inference time, which slows them down. Sampling-free approaches can be faster but suffer from other drawbacks, such as lower reliability of uncertainty estimates, difficulty of use, and limited applicability to different types of tasks and data. In this work, we introduce a sampling-free approach that is generic and easy to deploy, while producing reliable uncertainty estimates on par with state-of-the-art methods at a significantly lower computational cost. It is predicated on training the network to produce the same output with and without additional information about that output. At inference time, when no prior information is given, we use the network's own prediction as the additional information. We prove that the difference between the two predictions is an accurate uncertainty estimate and demonstrate our approach on various types of tasks and applications.