MSRDL / Deep4Cast

Probabilistic Multivariate Time Series Forecast using Deep Learning
BSD 3-Clause "New" or "Revised" License
95 stars 22 forks source link

Add MC Dropout to obtain confidence estimate #14

Closed zer0n closed 6 years ago

zer0n commented 6 years ago

Original Paper

Follow-up paper for RNN

bischtob commented 6 years ago

Here is also the GitHub of the paper author: https://github.com/yaringal

bischtob commented 6 years ago

I think this code relevant for implementing MC dropout. It builds a keras layer to handle the issue: https://github.com/yaringal/ConcreteDropout The corresponding paper is: https://arxiv.org/abs/1705.07832

shirleyuw commented 6 years ago

25 I submitted a pull request for the MC dropout.