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Maintaining estimates of why unexpected events happen, of why we are uncertain, allows humans to adjust their inference and learn as efficiently as possible.Humans adjust their learning in response to the levels of different types of uncertainty, including expected uncertainty, caused by probabilistic associations between observed events and what we are learning, and unexpected uncertainty, caused by changes in the thing we are learning.People who experience anxiety are less sensitive to changes in levels of unexpected uncertainty.Misestimation of the levels of uncertainty may lead to a tendency to be more influenced by negative events, which is believed to cause depression and anxiety.Understanding how the estimation of uncertainty is related to symptoms of anxiety and depression promises to enhance our understanding of these illnesses and may suggest novel therapeutic interventions. Our knowledge about the state of the world is often incomplete, making it difficult to select the best course of action. One strategy that can be used to improve our ability to make decisions is to identify the causes of our ignorance (i.e., why an unexpected event might have occurred) and use estimates of the uncertainty induced by these causes to guide our learning. Here, we explain the logic behind this process and describe the evidence that human learners use estimates of uncertainty to sculpt their learning. Finally, we describe recent work suggesting that misestimation of uncertainty is involved in the development of anxiety and depression and describe how these ideas may be advanced. Our knowledge about the state of the world is often incomplete, making it difficult to select the best course of action. One strategy that can be used to improve our ability to make decisions is to identify the causes of our ignorance (i.e., why an unexpected event might have occurred) and use estimates of the uncertainty induced by these causes to guide our learning. Here, we explain the logic behind this process and describe the evidence that human learners use estimates of uncertainty to sculpt their learning. Finally, we describe recent work suggesting that misestimation of uncertainty is involved in the development of anxiety and depression and describe how these ideas may be advanced. When we observe our environment, we observe it incompletely and intermittently. Our senses report aspects of the particular location we find ourselves in, but many of the most important processes we want to know about cannot be directly perceived. For example, if I stroke my cat, will it scratch me or not (Figure 1A , Key Figure)? If we knew whether the cat was feeling angry or friendly, then we would know whether it was likely to scratch us, but the internal state of the cat is hidden and so, if we want to know it, it must be inferred from our previous experience of how it has behaved. To complicate matters further, the hidden processes (see Glossary) we estimate will often change over time, so even if the cat was friendly the last time we stroked it, it may now be angry. Therefore, the challenge is how to make reasonable inferences about hidden, changeable processes when faced with such fundamental uncertainty about these processes. Failure to meet this challenge reduces our ability to accurately gauge the opportunities and costs afforded by the environment and, ultimately, to select the best course of action. One approach to mitigating the impact of uncertainty on our decisions is to identify its potential causes and use estimates of the extent of these causes to sculpt how we learn [1.Yu A.J. Dayan P. 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