Weight Uncertainty in Neural Network

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We introduce a new, efficient, principled and backpropagation-compatible algorithm for learning a probability distribution on the weights of a neural network, called Bayes by Backprop. It regularises the weights by minimising a compression cost, known as the variational free energy or the expected lower bound on the marginal likelihood. We show that this principled kind of regularisation yields comparable performance to dropout on MNIST classification. We then demonstrate how the learnt uncertainty in the weights can be used to improve generalisation in non-linear regression problems, and how this weight uncertainty can be used to drive the exploration-exploitation trade-off in reinforcement learning.

• Simple and Scalable Predictive Uncertainty Estimation using Deep\n Ensembles

  arXiv (Cornell University) 2016 · 3010 citations

• Weight Uncertainty in Neural Networks

  arXiv (Cornell University) 2015 · 1276 citations

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