Machine learning techniques exploit subtle patterns in high-dimensional feature spaces which may not be well-modeled by the simulations used for training, resulting in an enhanced sensitivity to systematic uncertainties. 
Contrary to the traditional wisdom of constructing an analysis strategy that is invariant to systematic uncertainties, we study the use of a classifier that is fully aware of uncertainties and their corresponding nuisance parameters. We show that this dependence can actually enhance the sensitivity to parameters of interest. Studies are performed using a synthetic Gaussian dataset as well as a more realistic HEP dataset based on Higgs boson decays to tau leptons. For both cases, we show that the uncertainty aware approach can achieve a better sensitivity than alternative machine learning strategies.