Multi-level Monte Carlo Dropout for Efficient Uncertainty Quantification

Abstract

We develop a multilevel Monte Carlo (MLMC) framework for uncertainty quantification with Monte Carlo dropout. Treating dropout masks as a source of epistemic randomness, we define a fidelity hierarchy by the number of stochastic forward passes used to estimate predictive moments. We construct coupled coarse--fine estimators by reusing dropout masks across fidelities, yielding telescoping MLMC estimators for both predictive means and predictive variances that remain unbiased for the corresponding dropout-induced quantities while reducing sampling variance at fixed evaluation budget. We derive explicit bias, variance and effective cost expressions, together with sample-allocation rules across levels. Numerical experiments on forward and inverse PINNs--Uzawa benchmarks confirm the predicted variance rates and demonstrate efficiency gains over single-level MC-dropout at matched cost.