# Evaluating Uncertainty in Deep Gaussian Processes

arXiv: https://arxiv.org/abs/2504.17719 · HTML: https://mlsanity.com/paper/2504.17719/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 12 of its 27 references that are in the map.
- First posted on arXiv 24 Apr 2025.

## Builds on (most cited first, 12 of 12)

- [Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles](https://mlsanity.com/paper/1612.01474/) (2016)
- [Benchmarking Neural Network Robustness to Common Corruptions and Perturbations](https://mlsanity.com/paper/1903.12261/) (2019)
- [Can You Trust Your Model's Uncertainty? Evaluating Predictive Uncertainty Under Dataset Shift](https://mlsanity.com/paper/1906.02530/) (2019)
- [Adversarial Examples Are Not Bugs, They Are Features](https://mlsanity.com/paper/1905.02175/) (2019)
- [AugMix: A Simple Data Processing Method to Improve Robustness and Uncertainty](https://mlsanity.com/paper/1912.02781/) (2019)
- [Deep Kernel Learning](https://mlsanity.com/paper/1511.02222/) (2015)
- [Generalisation in humans and deep neural networks](https://mlsanity.com/paper/1808.08750/) (2018)
- [Scalable Variational Gaussian Process Classification](https://mlsanity.com/paper/1411.2005/) (2014)
- [Doubly Stochastic Variational Inference for Deep Gaussian Processes](https://mlsanity.com/paper/1705.08933/) (2017)
- [Understanding Probabilistic Sparse Gaussian Process Approximations](https://mlsanity.com/paper/1606.04820/) (2016)
- [A Review of Uncertainty for Deep Reinforcement Learning](https://mlsanity.com/paper/2208.09052/) (2022)
- [Deep Sigma Point Processes](https://mlsanity.com/paper/2002.09112/) (2020)

## Built on by (most cited first, 1 of 1)

- [Deep Gaussian Process Proximal Policy Optimization](https://mlsanity.com/paper/2511.18214/) (2025)

## Abstract (arXiv)

Reliable uncertainty estimates are crucial in modern machine learning. Deep Gaussian Processes (DGPs) and Deep Sigma Point Processes (DSPPs) extend GPs hierarchically, offering promising methods for uncertainty quantification grounded in Bayesian principles. However, their empirical calibration and robustness under distribution shift relative to baselines like Deep Ensembles remain understudied. This work evaluates these models on regression (CASP dataset) and classification (ESR dataset) tasks, assessing predictive performance (MAE, Accu- racy), calibration using Negative Log-Likelihood (NLL) and Expected Calibration Error (ECE), alongside robustness under various synthetic feature-level distribution shifts. Results indicate DSPPs provide strong in-distribution calibration leveraging their sigma point approximations. However, compared to Deep Ensembles, which demonstrated superior robustness in both per- formance and calibration under the tested shifts, the GP-based methods showed vulnerabilities, exhibiting particular sensitivity in the observed metrics. Our findings underscore ensembles as a robust baseline, suggesting that while deep GP methods offer good in-distribution calibration, their practical robustness under distribution shift requires careful evaluation. To facilitate reproducibility, we make our code available at https://github.com/matthjs/xai-gp.