Uncertainty estimation for classification and risk prediction in medical settings

In a data-scarce field such as healthcare, where models often deliver predictions on patients with rare conditions, the ability to measure the uncertainty of a model's prediction could potentially lead to improved effectiveness of decision support tools and increased user trust. This work advances the understanding of uncertainty estimation for classification and risk prediction on medical tabular data, in a three-fold way. First, we analyze two families of promising methods and discuss the preferred approach for uncertainty estimation for classification and risk prediction. Second, these remarks are enriched by considerations of the interplay of uncertainty estimation with class imbalance, post-modeling calibration and other modeling procedures. Finally, we expand and refine the set of heuristics to select an uncertainty estimation technique, introducing tests for clinically-relevant scenarios such as generalization to uncommon pathologies, changes in clinical protocol and simulations of corrupted data. These findings are supported by an array of experiments on toy and real-world data