Aggregating Distribution Forecasts from Deep Ensembles

Abstract The importance of accurately quantifying forecast uncertainty has motivated much recent research on probabilistic forecasting. In particular, a variety of deep learning approaches has been proposed, with forecast distributions obtained as output of neural networks. These neural network-based methods are often used in the form of an ensemble, e.g., based on multiple model runs from different random initializations or more sophisticated ensembling strategies such as dropout, resulting in a collection of forecast distributions that need to be aggregated into a final probabilistic prediction. With the aim of consolidating findings from the machine learning literature on ensemble methods and the…

• PM
  Philipps-Universität Marburg