Parameter uncertainties for imperfect surrogate models in the low-noise regime

Abstract

Bayesian regression determines model parameters by minimizing the expected loss, an upper bound to the true generalization error. However, the loss ignores misspecification, where models are imperfect. Parameter uncertainties from Bayesian regression are thus significantly underestimated and vanish in the large data limit. This is particularly problematic when building models of low-noise, or near-deterministic, calculations, as the main source of uncertainty is neglected. We analyze the generalization error of misspecified, near-deterministic surrogate models, a regime of broad relevance in science and engineering. We show posterior distributions must cover every training point to avoid a divergent generalization error and design an ansatz that respects this constraint, which for linear models incurs minimal overhead. This is demonstrated on model problems before application to thousand dimensional datasets in atomistic machine learning. Our efficient misspecification-aware scheme gives accurate prediction and bounding of test errors where existing schemes fail, allowing this important source of uncertainty to be incorporated in computational workflows.