How to calculate prediction uncertainty using Keras?

If you want to implement dropout approach to measure uncertainty you should do the following:

1. Implement function which applies dropout also during the test time:

   import keras.backend as K
   f = K.function([model.layers[0].input, K.learning_phase()],
                  [model.layers[-1].output])
   

2. Use this function as uncertainty predictor e.g. in a following manner:

   def predict_with_uncertainty(f, x, n_iter=10):
       result = numpy.zeros((n_iter,) + x.shape)
   
       for iter in range(n_iter):
           result[iter] = f(x, 1)
   
       prediction = result.mean(axis=0)
       uncertainty = result.var(axis=0)
       return prediction, uncertainty
   

Of course you may use any different function to compute uncertainty.

Made a few changes to the top voted answer. Now it works for me.

It's a way to estimate model uncertainty. For other source of uncertainty, I found https://eng.uber.com/neural-networks-uncertainty-estimation/ helpful.

f = K.function([model.layers[0].input, K.learning_phase()],
               [model.layers[-1].output])


def predict_with_uncertainty(f, x, n_iter=10):
    result = []

    for i in range(n_iter):
        result.append(f([x, 1]))

    result = np.array(result)

    prediction = result.mean(axis=0)
    uncertainty = result.var(axis=0)
    return prediction, uncertainty

Your model uses a softmax activation, so the simplest way to obtain some kind of uncertainty measure is to look at the output softmax probabilities:

probs = model.predict(some input data)[0]

The probs array will then be a 10-element vector of numbers in the [0, 1] range that sum to 1.0, so they can be interpreted as probabilities. For example the probability for digit 7 is just probs[7].

Then with this information you can do some post-processing, typically the predicted class is the one with highest probability, but you can also look at the class with second highest probability, etc.