Uncertainty propagation in feed-forward neural network models

We develop new uncertainty propagation methods for feed-forward neural network architectures with leaky ReLU activation functions subject to random perturbations in the input vectors. In particular, we derive analytical expressions for the probability density function (PDF) of the neural network output and its statistical moments as a function of the input uncertainty and the parameters of the network, i.e., weights and biases. A key finding is that an appropriate linearization of the leaky ReLU activation function yields accurate statistical results even for large perturbations in the input vectors. This can be attributed to the way information propagates through the network. We also propose new analytically tractable Gaussian copula surrogate models to approximate the full joint PDF of the neural network output. To validate our theoretical results, we conduct Monte Carlo simulations and a thorough error analysis on a multi-layer neural network representing a nonlinear integro-differential operator between two polynomial function spaces. Our findings demonstrate excellent agreement between the theoretical predictions and Monte Carlo simulations.