An all-batch loss for constructing prediction intervals

Abstract

The prediction interval (PI) is an important research topic in reliability analyses and decision support systems. Data size and computation costs are two of the issues which may hamper the construction of PIs. This paper proposes an all-batch (AB) loss function for constructing high quality PIs. Taking the full advantage of the likelihood principle, the proposed loss makes it possible to train PI generation models using the gradient descent (GD) method for both small and large batches of samples. With the structure of dual feedforward neural networks (FNNs), a high-quality PI generation framework is introduced, which can be adapted to a variety of problems including regression analysis. Numerical experiments were conducted on the benchmark datasets; the results show that higher-quality PIs were achieved using the proposed scheme. Its reliability and stability were also verified in comparison with various state-of-the-art PI construction methods.