Considering uncertainty estimation of modern neural networks (NNs) is one of the most important steps towards deploying machine learning systems to meaningful real-world applications such as in medicine, finance or autonomous systems. At the moment, ensembles of different NNs constitute the state-of-the-art in both accuracy and uncertainty estimation in different tasks. However, ensembles of NNs are unpractical under real-world constraints, since their computation and memory consumption scale linearly with the size of the ensemble, which increase their latency and deployment cost. In this work, we examine a simple regularisation approach for distribution-free knowledge distillation of ensemble of machine learning models into a single NN. The aim of the regularisation is to preserve the diversity, accuracy and uncertainty estimation characteristics of the original ensemble without any intricacies, such as fine-tuning. We demonstrate the generality of the approach on combinations of toy data, SVHN/CIFAR-10, simple to complex NN architectures and different tasks.
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