Deterministic Variational Inference for Robust Bayesian Neural NetworksDownload PDF

Published: 21 Dec 2018, Last Modified: 22 Oct 2023ICLR 2019 Conference Blind SubmissionReaders: Everyone
Abstract: Bayesian neural networks (BNNs) hold great promise as a flexible and principled solution to deal with uncertainty when learning from finite data. Among approaches to realize probabilistic inference in deep neural networks, variational Bayes (VB) is theoretically grounded, generally applicable, and computationally efficient. With wide recognition of potential advantages, why is it that variational Bayes has seen very limited practical use for BNNs in real applications? We argue that variational inference in neural networks is fragile: successful implementations require careful initialization and tuning of prior variances, as well as controlling the variance of Monte Carlo gradient estimates. We provide two innovations that aim to turn VB into a robust inference tool for Bayesian neural networks: first, we introduce a novel deterministic method to approximate moments in neural networks, eliminating gradient variance; second, we introduce a hierarchical prior for parameters and a novel Empirical Bayes procedure for automatically selecting prior variances. Combining these two innovations, the resulting method is highly efficient and robust. On the application of heteroscedastic regression we demonstrate good predictive performance over alternative approaches.
Keywords: Bayesian neural network, variational inference, variational bayes, variance reduction, empirical bayes
TL;DR: A method for eliminating gradient variance and automatically tuning priors for effective training of bayesian neural networks
Code: [![github](/images/github_icon.svg) Microsoft/deterministic-variational-inference](https://github.com/Microsoft/deterministic-variational-inference) + [![Papers with Code](/images/pwc_icon.svg) 1 community implementation](https://paperswithcode.com/paper/?openreview=B1l08oAct7)
Community Implementations: [![CatalyzeX](/images/catalyzex_icon.svg) 2 code implementations](https://www.catalyzex.com/paper/arxiv:1810.03958/code)
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