popsregression 0.4.0

Bayesian regression for low-noise data with misspecification uncertainty (POPS algorithm).

popsregression

popsregression is a scikit-learn compatible package providing POPSRegression, a Bayesian regression method for low-noise data that accounts for model misspecification uncertainty.

Try it out! online demo from Kermode group comparing multiple regression schemes.

Misspecification-aware Bayesian regression

Standard Bayesian regression (e.g. BayesianRidge) estimates epistemic and aleatoric uncertainties, but provably ignore model misspecification- errors arising from limited model form (see example below). In the low-noise (weak aleatoric / near-deterministic) limit, weight uncertainties (sigma_) are significantly underestimated as they only capture epistemic uncertainty, which decays with increasing data. Any remaining error is attributed to aleatoric noise (alpha_), which is erroneous in low-noise settings.

POPSRegression efficiently estimates model misspecification uncertainty via the Pointwise Optimal Parameter Sets (POPS) algorithm, finidng parameter perturbations that would fit each training point exactly. The result is wider, more honest uncertainty estimates that properly cover the true function, even when the model class cannot perfectly represent the target.

The misspecified, near-deterministic regression problem that POPSRegression addresses is particularly relevant to the fitting of surrogate simulation models in computational science, i.e. interatomic potentials,where by construction the optimal surrogate model is structurally unable to capture the target function exactly.

Example

Fitting a quartic polynomial (P=5 parameters) to a complex oscillatory function with N=10, 50, 500 training points. Top row: BayesianRidge epistemic uncertainty vanishes with more data. Bottom rows: POPS correctly maintains uncertainty where the polynomial deviates from the truth.

See the SimpleExample.ipynb notebook for a runnable version.

Installation

pip install popsregression

Dependencies: scikit-learn >= 1.6.1, scipy >= 1.6.0, numpy >= 1.20.0

Quick start

from popsregression import POPSRegression

X_train, X_test, y_train, y_test = ...

# Fit POPSRegression
# fit_intercept=False by default
model = POPSRegression() 
model.fit(X_train, y_train)

# Prediction with misspecification & epistemic uncertainty
y_pred, y_std = model.predict(X_test, return_std=True)

# Also return min/max bounds over the posterior
y_pred, y_std, y_max, y_min = model.predict(
    X_test, return_std=True, return_bounds=True
)
# Also return epistemic-only uncertainty separately
y_pred, y_std, y_max, y_min, y_epistemic_std = model.predict(
    X_test,
    return_std=True,
    return_bounds=True,
    return_epistemic_std=True,
)

Key parameters

Parameter	Default	Description
posterior	'hypercube'	Posterior form: 'hypercube' (PCA-aligned box) or 'ensemble' (raw corrections)
resampling_method	'uniform'	Sampling method: 'uniform', 'sobol', 'latin', 'halton'
resample_density	1.0	Number of posterior samples per training point
leverage_percentile	50.0	Only use high-leverage training points for POPS posterior
mode_threshold	1e-8	Eigenvalue threshold for hypercube dimensionality
percentile_clipping	0.0	Percentile to clip from hypercube bounds (0–50)

All BayesianRidge parameters (max_iter, tol, alpha_1, alpha_2, lambda_1, lambda_2, fit_intercept, etc.) are also supported.

Key attributes (after fitting)

Attribute	Description
coef_	Regression coefficients (posterior mean)
sigma_	Epistemic variance-covariance matrix
misspecification_sigma_	Misspecification variance-covariance matrix from POPS
posterior_samples_	Samples from the POPS posterior
alpha_	Estimated noise precision (not used for prediction)

Pipeline compatibility

POPSRegression is fully compatible with scikit-learn pipelines and hyperparameter search:

from sklearn.pipeline import make_pipeline

pipe = make_pipeline(
    PolynomialFeatures(degree=4),
    POPSRegression(resampling_method='sobol'),
)
pipe.fit(X_train, y_train)
y_pred = pipe.predict(X_test)

scikit-learn style documentation

https://tomswinburne.github.io/popsregression

Development

# Install in development mode
pip install -e .

# Run tests
pytest -vsl popsregression

# With pixi
pixi run test
pixi run lint
pixi run build-doc

Citation

Parameter uncertainties for imperfect surrogate models in the low-noise regime

TD Swinburne and D Perez, Machine Learning: Science and Technology 2025

@article{swinburne2025,
    author={Swinburne, Thomas and Perez, Danny},
    title={Parameter uncertainties for imperfect surrogate models in the low-noise regime},
    journal={Machine Learning: Science and Technology},
    doi={10.1088/2632-2153/ad9fce},
    year={2025}
}