Deep neural networks have led to a series of breakthroughs, dramatically improving the state-of-the-art in many domains. The techniques driving these advances, however, lack a formal method to account for model uncertainty. While the Bayesian approach to learning provides a solid theoretical framework to handle uncertainty, inference in Bayesian-inspired deep neural networks is difficult. In this paper, we provide a practical approach to Bayesian learning that relies on a regularization technique found in nearly every modern network, . We show that training a deep network using batch normalization is equivalent to approximate inference in Bayesian models, and we demonstrate how this finding allows us to make useful estimates of the model uncertainty. With our approach, it is possible to make meaningful uncertainty estimates using conventional architectures without modifying the network or the training procedure. Our approach is thoroughly validated in a series of empirical experiments on different tasks and using various measures, outperforming baselines with strong statistical significance and displaying competitive performance with other recent Bayesian approaches.
Bayesian models provide a natural framework for modeling uncertainty, and several approaches have been developed to adapt NNs to Bayesian reasoning. A common approach is to place a prior distribution (often a Gaussian) over each parameter. The resulting model corresponds to a Gaussian process for infinite parameters , and a Bayesian NN for a finite number of parameters. Inference in BNNs is difficult however , so focus has thus shifted to techniques that approximate the posterior, . Methods based on variational inference (VI) typically rely on a fully factorized approximate distribution , but often do not scale. To alleviate these difficulties, @cite_4 proposed a model using sampling methods to estimate a factorized posterior. Probabilistic backpropagation (PBP), estimates a factorized posterior via expectation propagation .
@cite_4
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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 fix VB and turn it into a robust inference tool for Bayesian neural networks. We achieve this with two innovations: 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 strong predictive performance over alternative approaches. Variational Bayesian neural networks (BNNs) perform variational inference over weights, but it is difficult to specify meaningful priors and approximate posteriors in a high-dimensional weight space. We introduce functional variational Bayesian neural networks (fBNNs), which maximize an Evidence Lower BOund (ELBO) defined directly on stochastic processes, i.e. distributions over functions. We prove that the KL divergence between stochastic processes equals the supremum of marginal KL divergences over all finite sets of inputs. Based on this, we introduce a practical training objective which approximates the functional ELBO using finite measurement sets and the spectral Stein gradient estimator. With fBNNs, we can specify priors entailing rich structures, including Gaussian processes and implicit stochastic processes. Empirically, we find fBNNs extrapolate well using various structured priors, provide reliable uncertainty estimates, and scale to large datasets. Distributed inference estimation in Bayesian framework in the context of sensor networks has recently received much attention due to its broad applicability. The variational Bayesian (VB) algorithm is a technique for approximating intractable integrals arising in Bayesian inference. In this paper, we propose two novel distributed VB algorithms for general Bayesian inference problem, which can be applied to a very general class of conjugate-exponential models. In the first approach, the global natural parameters at each node are optimized using a stochastic natural gradient that utilizes the Riemannian geometry of the approximation space, followed by an information diffusion step for cooperation with the neighbors. In the second method, a constrained optimization formulation for distributed estimation is established in natural parameter space and solved by alternating direction method of multipliers (ADMM). An application of the distributed inference estimation of a Bayesian Gaussian mixture model is then presented, to evaluate the effectiveness of the proposed algorithms. Simulations on both synthetic and real datasets demonstrate that the proposed algorithms have excellent performance, which are almost as good as the corresponding centralized VB algorithm relying on all data available in a fusion center. The Bayesian framework provides a principled way of model selection. This framework estimates a probability distribution over an ensemble of models, and the prediction is done by averaging over the ensemble of models. Accordingly, the uncertainty of the models is taken into account, and complex models with more degrees of freedom are penalized. However, integration over model parameters is often intractable, and some approximation scheme is needed. Recently, a powerful approximation scheme, called the variational bayes (VB) method, has been proposed. This approach defines the free energy for a trial probability distribution, which approximates a joint posterior probability distribution over model parameters and hidden variables. The exact maximization of the free energy gives the true posterior distribution. The VB method uses factorized trial distributions. The integration over model parameters can be done analytically, and an iterative expectation-maximization-like algorithm, whose convergence is guaranteed, is derived. In this article, we derive an online version of the VB algorithm and prove its convergence by showing that it is a stochastic approximation for finding the maximum of the free energy. By combining sequential model selection procedures, the online VB method provides a fully online learning method with a model selection mechanism. In preliminary experiments using synthetic data, the online VB method was able to adapt the model structure to dynamic environments.