Bayesian Computation in Deep Learning

Wenlong Chen, Bolian Li, Ruqi Zhang, Yingzhen Li

Abstract: This review paper is intended for the 2nd edition of the Handbook of Markov chain Monte Carlo. We provide an introduction to approximate inference techniques as Bayesian computation methods applied to deep learning models. We organize the chapter by presenting popular computational methods for Bayesian neural networks and deep generative models, explaining their unique challenges in posterior inference as well as the solutions.