We present a novel viewpoint for uncertainty quantification. Uncertainty measures are not primitives, in need of axioms and argumentation, but instead consequences, of higher-level modelling decisions. We show how epistemic and aleatoric uncertainty measures can be derived via decomposition of a subjective risk, based on a strictly proper loss. Reverse cross-entropy provides a prominent example, where decomposition recovers the classic information-theoretic uncertainty terms. The same approach recovers numerous measures previously proposed across the UQ literature, providing them a common theoretical foundation. From a practical point of view, this suggests a new approach to UQ: given a modelling scenario and strictly proper loss, the corresponding epistemic and aleatoric terms are induced by the subjective-risk decomposition. We then extend our view to learning theory: we introduce and analyse subjective risk analogues of excess risk, approximation error, and estimation error, and identify the connections to UQ. We consider this a first step towards a full learning-theoretic framework for uncertainty quantification.
Structured tabular data dominates clinical medicine, yet existing benchmarks fail to reflect real-world properties like complex survey sampling, demographic oversampling, and subgroup fairness. We introduce the NHANES Accelerometry Cardiometabolic Benchmark, derived from NHANES 2…
Uncertainty estimates in machine learning are typically evaluated using generic metrics such as the negative log-likelihood and expected calibration error, yet good performance on such metrics does not necessarily imply high utility in downstream decisions. We introduce decision-…
Reinforcement Learning (RL) is a sequential decision-making framework in which an agent learns optimal policies through interaction with an environment by maximizing cumulative rewards. Among RL methods, Bayesian Reinforcement Learning (BRL) addresses common practical challenges…
The Continual Learning (CL) literature has long been driven by the goal of mitigating catastrophic forgetting. This objective rests on a pervasive, often unstated assumption: that a lifelong learner should approximate the Joint-Task Learning (JTL) solution and retain all previous…
Streaming inference pipelines increasingly pair lightweight fast models with Large Language Models (LLMs) that provide rich semantic understanding at substantial cost. The central question of when to invoke the LLM has received limited formal treatment. We cast this as a risk-bas…
The informativeness of a training set is as consequential as its size, yet most sampling strategies remain agnostic to the intrinsic geometry of the data distribution. We introduce CuBAS (Curvature-Based Adaptive Sampling), an information-geometric framework for adaptive data sel…