subjective-risk-decomposition-a-new-view-for-uncertainty-quantification-31894ef7·1 events·first seen Aliases: Subjective Risk Decomposition: A New View for Uncertainty Quantification
A new arXiv preprint proposes deriving epistemic and aleatoric uncertainty measures as consequences of decomposing a subjective risk based on a strictly proper loss, rather than treating them as axiomatic primitives. The framework unifies numerous previously proposed UQ measures under a common theoretical foundation, with reverse cross-entropy recovering classic information-theoretic uncertainty terms as a special case. The authors extend the view to learning theory, introducing subjective risk analogues of excess risk, approximation error, and estimation error, positioning this as a first step toward a full learning-theoretic framework for UQ.