Dropout-Based Rashomon Set Exploration for Efficient Predictive Multiplicity Estimation

Predictive multiplicity refers to the phenomenon in which classification tasks may admit multiple competing models that achieve almost-equally-optimal performance, yet generate conflicting outputs for individual samples. This presents significant concerns, as it can potentially result in systemic exclusion, inexplicable discrimination, and unfairness in practical applications. Measuring and mitigating predictive multiplicity, however, is computationally challenging due to the need to explore all such almost-equally-optimal models, known as the Rashomon set, in potentially huge hypothesis spaces. To address this challenge, we propose a novel framework that utilizes dropout techniques for exploring models in the Rashomon set. We provide rigorous theoretical derivations to connect the dropout parameters to properties of the Rashomon set, and empirically evaluate our framework through extensive experimentation. Numerical results show that our technique consistently outperforms baselines in terms of the effectiveness of predictive multiplicity metric estimation, with runtime speedup up to 20× ∼ 5000×. With efficient Rashomon set exploration and metric estimation, mitigation of predictive multiplicity is then achieved through dropout ensemble and model selection. * Work done during internship at JPMorgan Chase Bank, N.A. 1 Under-specification means there is no unique solution to an optimization problem, e.g. the empirical risk minimization that is widely used in modern machine learning [Teney et al., 2022] .