  We present a new type of probabilistic model which we call DISsimilarity
COefficient Networks (DISCO Nets). DISCO Nets allow us to efficiently sample
from a posterior distribution parametrised by a neural network. During
training, DISCO Nets are learned by minimising the dissimilarity coefficient
between the true distribution and the estimated distribution. This allows us to
tailor the training to the loss related to the task at hand. We empirically
show that (i) by modeling uncertainty on the output value, DISCO Nets
outperform equivalent non-probabilistic predictive networks and (ii) DISCO Nets
accurately model the uncertainty of the output, outperforming existing
probabilistic models based on deep neural networks.
