Structural Limits of the Information-Theoretic Uncertainty Decomposition

The standard taxonomy of predictive uncertainty defines epistemic uncertainty as the part removable by collecting more data, while the standard measure identifies it with a mutual-information term. We prove the definition and the measure are extensionally inconsistent. On an explicit construction, the measure assigns all uncertainty to the epistemic class, yet no quantity of training data reduces it. Reducibility is instead a property of the pair (uncertainty, acquisition class), and the dichotomy resolves into three parts: aleatoric, sample-reducible epistemic, and mechanism-reducible epistemic uncertainty. An exact identity for the value of an observation shows that in-distribution data never reduces mechanism-irreducible uncertainty and generically increases it. Ensemble disagreement, the deployed epistemic estimate, tracks the training procedure rather than the epistemic term. It collapses to zero beneath a positive truth under consistent training, and equals hyperparameter-scaled initialization noise under interpolation. A finite-sample falsification test and seed-swept experiments confirm the theory.

Uncertainty estimation is critical for deploying machine learning models in high-stakes settings. However, classical calibration only assesses the reliability of predicted probabilities and does not evaluate whether epistemic uncertainty estimates are themselves trustworthy. This limitation is particularly relevant for second-order classification models. We introduce epistemic calibration, a principled criterion that measures whether reported epistemic uncertainty faithfully reflects the dispersion of model predictions around the ground truth. We show that epistemic calibration is a strictly stronger notion than classical calibration and captures failure modes invisible to standard metrics. We relate this work to the existing literature through an impossibility theorem that holds under the epistemic calibration hypothesis. To operationalize this concept, we propose the Expected Epistemic Calibration Error (EECE), which we prove to be a consistent estimator of a True Epistemic Calibration Error (TECE). Experiments across a broad range of uncertainty quantification methods show that epistemic calibration is a coherent and meaningful criterion and reveal substantial differences across methods, despite similar predictive performance.

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.