Greedy Bayesian Posterior Approximation with Deep Ensembles

24 Mar 2022, 20:50 (modified: 03 Jun 2022, 15:06)Accepted by TMLREveryoneRevisionsBibTeX
Abstract: Ensembles of independently trained neural networks are a state-of-the-art approach to estimate predictive uncertainty in Deep Learning, and can be interpreted as an approximation of the posterior distribution via a mixture of delta functions. The training of ensembles relies on non-convexity of the loss landscape and random initialization of their individual members, making the resulting posterior approximation uncontrolled. This paper proposes a novel and principled method to tackle this limitation, minimizing an $f$-divergence between the true posterior and a kernel density estimator (KDE) in a function space. We analyze this objective from a combinatorial point of view, and show that it is submodular with respect to mixture components for any $f$. Subsequently, we consider the problem of greedy ensemble construction. From the marginal gain on the negative $f$-divergence, which quantifies an improvement in posterior approximation yielded by adding a new component into the KDE, we derive a novel diversity term for ensemble methods. The performance of our approach is demonstrated on computer vision out-of-distribution detection benchmarks in a range of architectures trained on multiple datasets. The source code of our method is made publicly available at
License: Creative Commons Attribution 4.0 International (CC BY 4.0)
Submission Length: Regular submission (no more than 12 pages of main content)
Assigned Action Editor: ~Yarin_Gal1
Submission Number: 8