Linear Uncertainty Quantification of Graphical Model Inference

摘要

Uncertainty Quantification (UQ) is vital for decision makers as it offers insights into the potential reliability of data and model, enabling more informed and risk-aware decision-making. Graphical models, capable of representing data with complex dependencies, are widely used across domains.Existing sampling-based UQ methods are unbiased but cannot guarantee convergence and are time-consuming on large-scale graphs. There are fast UQ methods for graphical models with closed-form solutions and convergence guarantee but with uncertainty underestimation.We propose *LinUProp*, a UQ method that utilizes a novel linear propagation of uncertainty to model uncertainty among related nodes additively instead of multiplicatively, to offer linear scalability, guaranteed convergence, and closed-form solutions without underestimating uncertainty.Theoretically, we decompose the expected prediction error of the graphical model and prove that the uncertainty computed by *LinUProp* is the *generalized variance component* of the decomposition.Experimentally, we demonstrate that *LinUProp* is consistent with the sampling-based method but with linear scalability and fast convergence.Moreover, *LinUProp* outperforms competitors in uncertainty-based active learning on four real-world graph datasets, achieving higher accuracy with a lower labeling budget.