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Neural networks have the ability to represent and learn complex regression functions and are very suitable for retrieval of geophysical parameters from remotely sensed data. Neural networks trained to minimize the mean square error are able to estimate the conditional expectation of target variables. In many remote sensing applications, it is also critical to provide estimates of prediction uncertainty. In this paper, we evaluate an approach that, in addition to training a neural network for retrievals, also trains a neural-network-based estimator of retrieval uncertainty. The uncertainty estimator is built under the assumption that uncertainty is a function of input variables. The methodology was evaluated on aerosol-optical-depth retrieval. The data set consists of 38 238 collocated Moderate Resolution Imaging Spectrometer (MODIS) satellite instrument and Aerosol Robotic Network ground-based instrument measurements collected over the entire Earth during two years (in 2005-2006). The results indicate that a neural network ensemble is more accurate than the operational MODIS retrieval algorithm called Collection 5 and that the retrieval uncertainty of the ensemble can be estimated with satisfactory accuracy.