Methods and systems for generating an uncertainty score for an output of a gradient boosted decision tree model

Abstract

A method of generating an uncertainty score for an output of a Gradient Boosted Decision Tree (GBDT) model is disclosed. The output is a prediction of the GBDT model for an in-use dataset. The method comprises acquiring the GBDT model including a sequence of trees beginning with an initial tree and ending with a last tree, a given one of the sequence of trees having been stochastically built during a current training iteration of the GBDT model, and defining a plurality of sub-sequences of trees in the sequence of trees as sub-models of the GBDT model. During a given in-use iteration of the GBDT model executable for the in-use dataset, the method comprises generating a plurality of sub-outputs using the respective sub-models and generating the uncertainty score using the plurality of sub-outputs, the uncertainty score being indicative of how different sub-outputs from the plurality of sub-outputs are amongst each other.