DualAQD: Dual Accuracy-quality-driven Prediction Intervals

Description

We present a method to learn prediction intervals for regression-based neural networks automatically in addition to the conventional target predictions. In particular, we train two companion neural networks: one that uses one output, the target estimate, and another that uses two outputs, the upper and lower bounds of the corresponding PI. We designed a loss function, DualAQD, for the PI-generation network that takes into account the output of the target-estimation network and has two optimization objectives: minimizing the mean prediction interval width and ensuring the PI integrity using constraints that maximize the prediction interval probability coverage implicitly. Both objectives are balanced within the loss function using a self-adaptive coefficient. Furthermore, we apply a Monte Carlo-based approach that evaluates the model uncertainty in the learned PIs.

Installation

The following libraries have to be installed:

• Git
• Pytorch

To install the package, run !pip install -q git+https://github.com/NISL-MSU/PredictionIntervals in the terminal.

You can also try the package on Google Colab.

Usage

Train the models

DualAQD uses two neural networks: a target-estimation network $f$ that is trained to generate accurate estimates, and a PI-generation NN $g$ that produces the upper and lower bounds of a prediction interval.

First, create an instance of the class Trainer.

Parameters:

• X: Input data (explainable variables). 2-D numpy array, shape (#samples, #features)
• Y: Target data (response variable). 1-D numpy array, shape (#samples, #features)
• Xval: Validation input data. 2-D numpy array, shape (#samples, #features)
• Yval: Validation target data. 1-D numpy array, shape (#samples, #features)
• method: PI-generation method. Options: 'DualAQD' or 'MCDropout'
• normData: If True, apply z-score normalization to the inputs and min-max normalization to the outputs

Note: Normalization is applied to the training set; then, the exact same scaling is applied to the validation set.

from PredictionIntervals.Trainer.TrainNN import Trainer
trainer = Trainer(X=Xtrain, Y=Ytrain, Xval=Xval, Yval=Yval)

To train the model, we'll call the train method.

Parameters:

• batch_size: Mini batch size. It is recommended a small number. default: 16
• epochs: Number of training epochs default: 1000
• eta_: Scale factor used to update the self-adaptive coefficient lambda (Eq. 6 of the paper). default: 0.01
• printProcess: If True, print the training process (loss and validation metrics after each epoch). default: False
• plotCurves: If True, plot the training and validation curves at the end of the training process

trainer.train(printProcess=False, epochs=2000, batch_size=16, plotCurves=True)

Evaluate the model on the test set

To do this, we call the method evaluate.

Parameters:

• Xeval: Evaluation data
• Yeval: Optional. Evaluation targets. default: None
• normData: If True, apply the same normalization that was applied to the training set

Note: Yeval is None in the case that the target values of the evaluation data are not known.

Returns:

• If Yeval is None: It returns predictions ypred, y_u, y_l (i.e., target predictions, PI upper bounds, and PI lower bounds).
• If Yeval is not None: It returns performance metrics and predictions mse, PICP, MPIW, ypred, y_u, y_l (i.e., mean square error of target predictions, PI coverage probability, mean PI width, target predictions, PI upper bounds, and PI lower bounds).

val_mse, PICP, MPIW, ypred, y_u, y_l = trainer.evaluate(Xtest, Ytest, normData=True)
print('Test Performance:')
print("Test MSE: " + str(val_mse) + " Test PICP: " + str(PICP) + " Test MPIW: " + str(MPIW))

Repository Structure

This repository contains the following scripts in src/PredictionIntervals/:

• TrainNN.py: Main method, used to train a PI-generation NN using DualAQD or MCDropout-PI.
• PIGenerator.py: Performs cross-validation using different NN-based PI-generation methods. Used for replication of the paper results.
• utils.py: Additional methods used to transform the data and calculate the metrics.
• utils.py: Additional methods used to transform the data and calculate the metrics.
• models/NNmodel.py: Implements the PI-generation methods tested in this work: DualAQD, QD+, QD, MC-Dropout.
• models/network.py: Defines the network architecture.
• Demo.ipynb: Jupyter notebook demo using a synthetic dataset.

Citation

Use this Bibtex to cite this repository

@ARTICLE{10365540,
  author={Morales, Giorgio and Sheppard, John W.},
  journal={IEEE Transactions on Neural Networks and Learning Systems}, 
  title={Dual Accuracy-Quality-Driven Neural Network for Prediction Interval Generation}, 
  year={2023},
  volume={},
  number={},
  pages={1-11},
  doi={10.1109/TNNLS.2023.3339470}
}