Deep Learning, Heteroscedasticity, and TensorFlow Probability

Deep Learning, Heteroscedasticity, and TensorFlow Probability

It is very often the case that Machine Learning models calculate point estimates of quantities of interest; a typical example would be: given the number of rooms, size, and location of a house, they predict that it costs Euros.

In order to make real-world decisions based on these models, however, it is almost mandatory to quantify the confidence we have in their predictions; this is especially true in business scenarios, where large deviations from a prediction could cost an enormous amount of money. In some cases we might even be interested in learning not just expectation values, but the entire probability distribution of a random variable.

In this short post, I will show how easy it is to combine Deep Learning and Probabilistic Modeling with an awesome new module for TensorFlow, called TensorFlow Probability.

Learning the parameters of a distribution

Consider the following artificially generated dataset:

Scatter plot of the data

and imagine your task is to predict given the feature . Probably the first approach one would try is linear regression, which would result in the following predictions (shown in red):

Linear regression on the data

From this plot, it is clear that the predictions for are “closer to the truth” with respect to the ones for away from ; the uncertainty we observe in this case is intrinsic in the data and independent from our model. In particular, since the variance of varies with , our data exhibits heteroscedasticity, which can be quite a hassle if we want to quantify the errors we expect to make in our predictions.

Let’s start with the code I used to perform linear regression with TensorFlow:

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import tensorflow as tf
import tensorflow_probability as tfp

tfd = tfp.distributions

model = tf.keras.Sequential([
            tf.keras.layers.Dense(1)
])

model.compile(optimizer=tf.optimizers.Adam(learning_rate = 0.1),
              loss='mean_squared_error')

model.fit(X, Y, epochs=40);

Although for now this code is unnecessarily complicated, it is equivalent to linear regression: I defined a model with only a single perceptron tf.keras.layers.Dense(1), which by default has a linear activation function and can take bias into account (that is, for the model will not necessarily predict ).

Let’s try now to make the model output not just a number, but a distribution; for the sake of definiteness, let’s try to learn the “best” normal distribution which models the random variable for each value of . In order to do so, notice that we cannot use anymore the mean squared error as a loss function, since it is not a meaningful error metric in this case. We will, instead, use the negative logarithm of likelihood between the distributions given by our model vs the observed data; in this way, training our model becomes essentially a maximum likelihood estimation of parameters!

Notice also that for each value of the normal distribution we want our model to learn is parametrized by two numbers: mean and standard deviation. Therefore, we should increase the number of neurons in the dense layer from one to two, so that each perceptron will learn the functional dependency on of one of the two parameters, and then push its output into the distribution.

The way to implement these changes in TensorFlow Probability is very nice: we can use a tfp.layers.DistributionLambda layer which works in pretty much the same way as a “standard” Keras layer; in its argument, we can plug a lambda function which takes parameters from the previous layers of the network and returns a tfp.Distribution:

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model = tf.keras.Sequential([
            tf.keras.layers.Dense(2),
            tfp.layers.DistributionLambda(lambda t:
                tfd.Normal(loc   = t[...,:1],
                           scale = tf.math.softplus(0.005*t[...,1:])+0.001)
            )
])

negloglik = lambda y, p_y: -p_y.log_prob(y)

model.compile(optimizer=tf.optimizers.Adam(learning_rate = 0.1),
              loss=negloglik)

This code, a minimal alteration from the linear regression case, is able to learn both the mean value and the variance of given . After training, let’s plot what this model has learnt:

Linear regression with confidence

Excellent! The green lines are set 2 standard deviations above and below the mean (here with “standard deviation” and “mean” I intend the values of these parameters which our model learnt). They seem to somewhat characterize our confidence in the values of ; can we improve on this?

Since we used only a single dense layer with linear activations before the tfp.layers.DistributionLambda, both the estimated mean and estimated standard deviation can only depend linearly on , and this leads to an underestimation of error in some regions and an overestimation in others. By using a deeper neural network and introducing nonlinear activation functions, however, we can learn more complicated functional dependencies!

We can achieve this with just the addition of another dense layer tf.keras.layers.Dense(20,activation="relu") before the layer with two perceptrons, i.e., by defining the model as:

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model = tf.keras.Sequential([
            tf.keras.layers.Dense(20,activation="relu"),    
            tf.keras.layers.Dense(2),
            tfp.layers.DistributionLambda(lambda t:
                tfd.Normal(loc   = t[...,:1],
                           scale=tf.math.softplus(0.005*t[...,1:])+0.001)
            )
])

Finally, after fitting the data, we can obtain the following (much nicer) plot:

Nonlinear confidence intervals

This time, we can see how the confidence interval given by the two green lines accurately assesses the variability of given !

Conclusions

This was just one of the many incredible things made possible by TensorFlow Probability in very few lines of code; I plan to show many more in the future where I will use it for the study of time series.

In any case, I think that TensorFlow Probability really helps in bridging the gap between probabilistic methods and neural networks, something I am extremely interested in. Thus, I have the feeling this will hardly be the last time I write about it. :-)

Appendix

The dataset I analyzed was also generated by TensorFlow Probability via a pretty cool feature which is present only in its nightly build (as of the time of writing); the method tfp.distributions.JointDistributionSequential.

It allows to build joint probability distributions starting from elementary (and possibly interdependent) ones. The code I wrote is the following:

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tfd = tfp.distributions

joint = tfd.JointDistributionSequential([
                 tfd.Uniform(low=-8, high=15),
      lambda x : tfd.Normal(loc=x, scale=abs(x)+3)
])

In order to get samples from this distribution, one needs just to run the line X, Y = joint.sample(2000); in my view this is a very elegant way to work with distributions in Python. Moreover, as we have seen above, tfp.Distribution objects can be integrated seamlessly and in a modular way with deep learning models.

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