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RegrKm SE prediction with nugget currently predicts the epistemic uncertainty (uncertainty of the mean prediction) + aleatoric uncertainty (nugget SE, uncertainty that the model sees as random error). E.g. sampling lots of points with SE 0.1 noise and fitting a GP through them gives us
Where the GP goes through the points, the epistemic uncertainty is relatively low (it is the mean of a large sample) but the aleatoric uncertainty has SE 0.1 (nugget estimate).
What instead would be interesting would be the epistemic uncertainty alone
RegrKm SE prediction with nugget currently predicts the epistemic uncertainty (uncertainty of the mean prediction) + aleatoric uncertainty (nugget SE, uncertainty that the model sees as random error). E.g. sampling lots of points with SE 0.1 noise and fitting a GP through them gives us
Where the GP goes through the points, the epistemic uncertainty is relatively low (it is the mean of a large sample) but the aleatoric uncertainty has SE 0.1 (nugget estimate).
What instead would be interesting would be the epistemic uncertainty alone
This is just
I suggest we introduce a hyperparameter that gives the option to predict this, could be interesting for MBO.
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