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Let us say we have to neural network architectures, A and B and we train $x$ times each of them. Based on the $x$ retrainings, we can calculate $x$ prediction errors for each model, and plot its corresponding distribution. That means, for model A we have an errors density $\mathcal{D}_A$ and for B a density $\mathcal{D}_B$.

Obviously if the mean of the errors of A $\mu_A$ < $\mu_B$ and the standard deviation of the errors of A $\sigma_A < \sigma_B $, I would choose A as my best model. But what if $\mu_A < \mu_B$ but $\sigma_A > \sigma_B$, how do we chose the model.

My question generally is: Given two errors densities $\mathcal{D}_A$ and $\mathcal{D}_B$, what metric compares these two to choose a final model. My simple and maybe incorrect approach I thought about is: make a decision about a reference density $\mathcal{D}$(how you like the errors density to be, for example $\mathcal{N}(0,1)$) and use the KL-divergence to compute the "distance" between each of the A and B densities with the reference one, and choose the model with the smaller distance.

Any ideas ?

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Seems to me a good idea.

KL divergence would give you a raw distance approximation of your distributions, but not all error values might have the same weight of importance: it highly depends on your error calculation method, and some kind of relative error calculation/weightening could be necessary.

In addition to that, Cross Entropy could also be an interesting option to know the "direction" of the distributions' distance.

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  • $\begingroup$ Thanks for the answer ... What do you mean by 'depends on your error calculation method'. Assume that I am calculating the MAPE (mean average percentage error), how this will affect my logic ..? $\endgroup$
    – outlaw
    Jul 21 at 19:25
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    $\begingroup$ Every method has a different result: MAPE and MSE will not have the same result, neither the same evolution through iterations. As a consequence, the error distribution will not be the same. For instance, the RMSE adds a square to each error that makes high error values more important than MAPE. I recommend using RMSE (good average) or MAE (good use of outliers), rather than MAPE (bad use of high error values & outliers). $\endgroup$
    – Nicolas Martin
    Jul 22 at 7:50
  • $\begingroup$ If you consider the answers somewhat usefull, don't hesitate to upvote them as acknowledgment :) $\endgroup$
    – Nicolas Martin
    Jul 22 at 9:06
  • $\begingroup$ I see your point ... thanks $\endgroup$
    – outlaw
    Jul 22 at 9:37
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For those who are interested in this question, I finally found out some useful metrics that perform well in comparing distributions (and different from KL-divergence): Wasserstein metric, Energy metric, Shannon-Entropy metric, Maximum Mean Discrepancy metric. They are metrics in the sense that they satisfy the properties of a mathematical metric(symmetric for example), while the KL-divergence is not symmetric.

Note that the Shannon-Entropy metric requires density estimation, while the others require only the collected samples.

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