Decision-Aligned Evaluation of Uncertainty Quantification

In high-stakes automated decision-making, access to predictive uncertainty is essential for enabling users -- human or downstream systems -- to accept or reject predictions based on application-specific cost trade-offs. Such uncertainty-augmented (UA) systems -- i.e., systems that output both predictions and uncertainty scores -- are currently being assessed in the literature in a variety of ways, using separate metrics to evaluate the predictions and the uncertainty scores, setting a cost function with a fixed rejection cost or integrating over a coverage-risk curve. We argue that these evaluation approaches are inadequate for assessing overall performance of the UA system for decision making under uncertainty and propose a novel family of metrics, ECUAS$_n$, formulated as proper scoring rules for the task of interest. The parameter $n$ controls the trade-off between the cost of incorrect predictions and imperfect uncertainties depending on the needs of the use-case. We demonstrate the advantages of the ECUAS$_n$ metrics both theoretically and empirically, through experiments on diverse classification and generation datasets, including a manually annotated subset of TriviaQA.

Language-model agents increasingly emit uncertainty signals throughout a trajectory, but existing agentic UQ evaluations often conflate ranking usefulness with probabilistic truthfulness. AUROC, AUPRC, risk-coverage, Trajectory ECE, and scalarized trajectory scores evaluate discrimination, binwise calibration, or collapsed summaries, but do not strictly elicit the full prefix-conditioned success-probability trace $q_t = P^π(Y=1 | H_t)$. Building on prequential proper scoring, we introduce the Trajectory Proper Score (TPS), a predictor-agnostic family of strictly proper trajectory-level scoring rules for any per-step uncertainty signal calibrated into a probability of eventual success. We prove that TPS strictly elicits the success-probability process under complete observation, within the chosen score family and weight schedule. We extend the construction to administratively censored trajectories by projecting the complete-data score onto the observable stopped prefix, yielding an exact $q_Z$-weighted reduced score and a tractable approximation when $q_Z$ is unestimated. We further show that common trajectory evaluators target weaker objects than the full prefix-conditioned probability process: Trajectory ECE is resolution-blind, while scalarized Trajectory Brier elicits only the collapsed scalar, not the full trace. Experiments on StrategyQA, Tau2-Bench, HotpotQA, and WebShop show that these theoretical distinctions are operationally visible: probability recalibration can substantially change TPS while leaving rank metrics nearly unchanged, and the tractable censored approximation can change the verdict relative to complete-only evaluation.

Current evaluation of epistemic uncertainty relies on tasks such as out-ofdistribution detection and active learning. However, the Bayes-optimal decision strategies for these tasks do not coincide with the scores commonly used to quantify epistemic uncertainty. Building on the epistemic reject-option framework, we evaluate epistemic uncertainty using its ability to identify regret, the reducible error. Formulating selective prediction as a constrained optimization over coverage, expected risk, and regret, we prove the optimal selector is a thresholded convex combination of the ground-truth aleatoric and epistemic uncertainties. This theoretical unification exposes a weakness in recent uncertainty disentanglement literature: we demonstrate that standard correlation metrics between learned components do not necessarily predict their actual operational utility. We instead propose to evaluate the achievable risk, regret, coverage surface of the decomposition as a diagnostic for joint disentanglement and utility. Benchmarking standard methods on datasets with dense human annotations reveals that decision-theoretic rankings can disagree substantially with proxy-task rankings, including pairwise rank inversions between methods that are top-ranked on one criterion and bottom-ranked on other.