提出新度量方法,统一比较模糊概率模型并量化认知不确定性。
Integral Imprecise Probability Metrics
- 基于Choquet积分构建模糊概率度量框架,扩展经典概率差异度量。
- 首次定义最大均值不精确度量,可有效评估单一模型的认知不确定性。
- 在多分类任务中表现优于传统方法,尤其适用于大规模类别场景。
量化概率分布间的差异是统计学与机器学习的基础,主要用于比较统计不确定性。然而,由于知识不完备导致的认知不确定性需要比经典概率更丰富的表达方式。模糊概率(IP)理论提供了此类建模工具,能够捕捉模糊性与部分信念。这推动了模糊概率机器学习(IPML)的发展,其推理与决策依赖于更广泛的不确定性模型,凸显了超越经典概率度量的必要性。本文提出积分模糊概率度量(IIPM)框架,基于Choquet积分将经典积分概率度量推广至容量(capacities)——一类涵盖下概率、概率区间、信念函数等众多现有模型的广义类。理论上,我们建立了IIPM作为有效度量及弱收敛度量化的条件;实践中,IIPM不仅支持跨不同IP模型的比较,还能在单个模型内量化认知不确定性(EU)。特别地,通过比较一个IP模型与其共轭模型,导出一类新的认知不确定性度量——最大均值不精确度量(MMI),满足不确定性量化文献中提出的若干公理性质。我们在选择性分类实验中验证了MMI,结果表明其在性能上显著优于现有度量,且在经典方法难以扩展到大量类别时仍保持优越表现。本工作推进了模糊概率机器学习的理论与实践,为不精确性下的不确定性比较与量化提供了严谨框架。
原文摘要 · Abstract (English)
Quantifying differences between probability distributions is fundamental to statistics and machine learning, primarily for comparing statistical uncertainty. In contrast, epistemic uncertainty -- due to incomplete knowledge -- requires richer representations than those offered by classical probability. Imprecise probability (IP) theory offers such models, capturing ambiguity and partial belief. This has driven growing interest in imprecise probabilistic machine learning (IPML), where inference and decision-making rely on broader uncertainty models -- highlighting the need for metrics beyond classical probability. This work introduces the integral imprecise probability metric framework, a Choquet integral-based generalisation of classical integral probability metrics to the setting of capacities -- a broad class of IP models encompassing many existing ones, including lower probabilities, probability intervals, belief functions, and more. Theoretically, we establish conditions under which IIPM serves as a valid metric and metrises a form of weak convergence of capacities. Practically, IIPM not only enables comparison across different IP models but also supports the quantification of epistemic uncertainty~(EU) within a single IP model. In particular, by comparing an IP model with its conjugate, IIPM gives rise to a new class of epistemic uncertainty measures -- Maximum Mean Imprecision -- which satisfy key axiomatic properties proposed in the uncertainty quantification literature. We validate MMI through selective classification experiments, demonstrating strong empirical performance against established EU measures, and outperforming them when classical methods struggle to scale to a large number of classes. Our work advances both theory and practice in Imprecise Probabilistic Machine Learning, offering a principled framework for comparing and quantifying epistemic uncertainty under imprecision.
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