Variational inference has become an increasingly attractive fast alternative to Markov chain Monte Carlo methods for approximate Bayesian inference. However, a major obstacle to the widespread use of variational methods is the lack of post-hoc accuracy measures that are both theoretically justified and computationally efficient. In this paper, we provide rigorous bounds on the error of posterior mean and uncertainty estimates that arise from full-distribution approximations, as in variational inference. Our bounds are widely applicable, as they require only that the approximating and exact posteriors have polynomial moments. Our bounds are also computationally efficient for variational inference because they require only standard values from variational objectives, straightforward analytic calculations, and simple Monte Carlo estimates. We show that our analysis naturally leads to a new and improved workflow for validated variational inference. Finally, we demonstrate the utility of our proposed workflow and error bounds on a robust regression problem and on a real-data example with a widely used multilevel hierarchical model.
Advances in deep neural network (DNN) based molecular property prediction have recently led to the development of models of remarkable accuracy and generalization ability, with graph convolution neural networks (GCNNs) reporting state-of-the-art performance for this task. However, some challenges remain and one of the most important that needs to be fully addressed concerns uncertainty quantification. DNN performance is affected by the volume and the quality of the training samples. Therefore, establishing when and to what extent a prediction can be considered reliable is just as important as outputting accurate predictions, especially when out-of-domain molecules are targeted. Recently, several methods to account for uncertainty in DNNs have been proposed, most of which are based on approximate Bayesian inference. Among these, only a few scale to the large datasets required in applications. Evaluating and comparing these methods has recently attracted great interest, but results are generally fragmented and absent for molecular property prediction. In this paper, we aim to quantitatively compare scalable techniques for uncertainty estimation in GCNNs. We introduce a set of quantitative criteria to capture different uncertainty aspects, and then use these criteria to compare MC-Dropout, deep ensembles, and bootstrapping, both theoretically in a unified framework that separates aleatoric/epistemic uncertainty and experimentally on the QM9 dataset. Our experiments quantify the performance of the different uncertainty estimation methods and their impact on uncertainty-related error reduction. Our findings indicate that ensembling and bootstrapping consistently outperform MC-Dropout, with different context-specific pros and cons. Our analysis also leads to a better understanding of the role of aleatoric/epistemic uncertainty and highlights the challenge posed by out-of-domain uncertainty.
Deep learning has enjoyed much recent success, and applying state-of-the-art model learning methods to controls is an exciting prospect. However, there is a strong reluctance to use these methods on safety-critical systems, which have constraints on safety, stability, and real-time performance. We propose a framework which satisfies these constraints while allowing the use of deep neural networks for learning model uncertainties. Central to our method is the use of Bayesian model learning, which provides an avenue for maintaining appropriate degrees of caution in the face of the unknown. In the proposed approach, we develop an adaptive control framework leveraging the theory of stochastic CLFs (Control Lyapunov Functions) and stochastic CBFs (Control Barrier Functions) along with tractable Bayesian model learning via Gaussian Processes or Bayesian neural networks. Under reasonable assumptions, we guarantee stability and safety while adapting to unknown dynamics with probability 1. We demonstrate this architecture for high-speed terrestrial mobility targeting potential applications in safety-critical high-speed Mars rover missions.
In this paper, we are concerned with a non-asymptotic analysis of sampling algorithms used in nonconvex optimization. In particular, we obtain non-asymptotic estimates in Wasserstein-1 and Wasserstein-2 distances for a popular class of algorithms called Stochastic Gradient Langevin Dynamics (SGLD). In addition, the aforementioned Wasserstein-2 convergence result can be applied to establish a non-asymptotic error bound for the expected excess risk. Crucially, these results are obtained under a local Lipschitz condition and a local dissipativity condition where we remove the uniform dependence in the data stream. We illustrate the importance of this relaxation by presenting examples from variational inference and from index tracking optimization.
We investigate a deep learning approach to efficiently perform Bayesian inference in partial differential equation (PDE) and integral equation models over potentially high-dimensional parameter spaces. The contributions of this paper are two-fold; the first is the introduction of a neural network approach to approximating the solutions of Fredholm and Volterra integral equations of the first and second kind. The second is the development of a new, efficient deep learning-based method for Bayesian inversion applied to problems that can be described by PDEs or integral equations. To achieve this we introduce a surrogate model, and demonstrate how this allows efficient sampling from a Bayesian posterior distribution in which the likelihood depends on the solutions of PDEs or integral equations. Our method relies on the direct approximation of parametric solutions by neural networks, without need of traditional numerical solves. This deep learning approach allows the accurate and efficient approximation of parametric solutions in significantly higher dimensions than is possible using classical discretisation schemes. Since the approximated solutions can be cheaply evaluated, the solutions of Bayesian inverse problems over large parameter spaces are efficient using Markov chain Monte Carlo. We demonstrate the performance of our method using two real-world examples; these include Bayesian inference in the PDE and integral equation case for an example from electrochemistry, and Bayesian inference of a function-valued heat-transfer parameter with applications in aviation.
To understand how rich dynamics emerge in neural populations, we require models exhibiting a wide range of activity patterns while remaining interpretable in terms of connectivity and single-neuron dynamics. However, it has been challenging to fit such mechanistic spiking networks at the single neuron scale to empirical population data. To close this gap, we propose to fit such data at a meso scale, using a mechanistic but low-dimensional and hence statistically tractable model. The mesoscopic representation is obtained by approximating a population of neurons as multiple homogeneous `pools' of neurons, and modelling the dynamics of the aggregate population activity within each pool. We derive the likelihood of both single-neuron and connectivity parameters given this activity, which can then be used to either optimize parameters by gradient ascent on the log-likelihood, or to perform Bayesian inference using Markov Chain Monte Carlo (MCMC) sampling. We illustrate this approach using a model of generalized integrate-and-fire neurons for which mesoscopic dynamics have been previously derived, and show that both single-neuron and connectivity parameters can be recovered from simulated data. In particular, our inference method extracts posterior correlations between model parameters, which define parameter subsets able to reproduce the data. We compute the Bayesian posterior for combinations of parameters using MCMC sampling and investigate how the approximations inherent to a mesoscopic population model impact the accuracy of the inferred single-neuron parameters.
Variational inference has had great success in scaling approximate Bayesian inference to big data by exploiting mini-batch training. To date, however, this strategy has been most applicable to models of independent data. We propose an extension to state space models of time series data based on a novel generative model for latent temporal states: the neural moving average model. This permits a subsequence to be sampled without drawing from the entire distribution, enabling training iterations to use mini-batches of the time series at low computational cost. We illustrate our method on autoregressive, Lotka-Volterra, FitzHugh-Nagumo and stochastic volatility models, achieving accurate parameter estimation in a short time.
Gaussian processes are ubiquitous in nature and engineering. A case in point is a class of neural networks in the infinite-width limit, whose priors correspond to Gaussian processes. Here we perturbatively extend this correspondence to finite-width neural networks, yielding non-Gaussian processes as priors. The methodology developed herein allows us to track the flow of preactivation distributions by progressively integrating out random variables from lower to higher layers, reminiscent of renormalization-group flow. We further develop a perturbative procedure to perform Bayesian inference with weakly non-Gaussian priors.
Model uncertainty obtained by variational Bayesian inference with Monte Carlo dropout is prone to miscalibration. The uncertainty does not represent the model error well. In this paper, temperature scaling is extended to dropout variational inference to calibrate model uncertainty. Expected uncertainty calibration error (UCE) is presented as a metric to measure miscalibration of uncertainty. The effectiveness of this approach is evaluated on CIFAR-10/100 for recent CNN architectures. Experimental results show, that temperature scaling considerably reduces miscalibration by means of UCE and enables robust rejection of uncertain predictions. The proposed approach can easily be derived from frequentist temperature scaling and yields well-calibrated model uncertainty. It is simple to implement and does not affect the model accuracy.
Over the last decades, the challenges in applied regression and in predictive modeling have been changing considerably: (1) More flexible model specifications are needed as big(ger) data become available, facilitated by more powerful computing infrastructure. (2) Full probabilistic modeling rather than predicting just means or expectations is crucial in many applications. (3) Interest in Bayesian inference has been increasing both as an appealing framework for regularizing or penalizing model estimation as well as a natural alternative to classical frequentist inference. However, while there has been a lot of research in all three areas, also leading to associated software packages, a modular software implementation that allows to easily combine all three aspects has not yet been available. For filling this gap, the R package bamlss is introduced for Bayesian additive models for location, scale, and shape (and beyond). At the core of the package are algorithms for highly-efficient Bayesian estimation and inference that can be applied to generalized additive models (GAMs) or generalized additive models for location, scale, and shape (GAMLSS), also known as distributional regression. However, its building blocks are designed as "Lego bricks" encompassing various distributions (exponential family, Cox, joint models, ...), regression terms (linear, splines, random effects, tensor products, spatial fields, ...), and estimators (MCMC, backfitting, gradient boosting, lasso, ...). It is demonstrated how these can be easily recombined to make classical models more flexible or create new custom models for specific modeling challenges.
Bayesian approaches have become increasingly popular in causal inference problems due to their conceptual simplicity, excellent performance and in-built uncertainty quantification ('posterior credible sets'). We investigate Bayesian inference for average treatment effects from observational data, which is a challenging problem due to the missing counterfactuals and selection bias. Working in the standard potential outcomes framework, we propose a data-driven modification to an arbitrary (nonparametric) prior based on the propensity score that corrects for the first-order posterior bias, thereby improving performance. We illustrate our method for Gaussian process (GP) priors using (semi-)synthetic data. Our experiments demonstrate significant improvement in both estimation accuracy and uncertainty quantification compared to the unmodified GP, rendering our approach highly competitive with the state-of-the-art.
Deep neural network controllers for autonomous driving have recently benefited from significant performance improvements, and have begun deployment in the real world. Prior to their widespread adoption, safety guarantees are needed on the controller behaviour that properly take account of the uncertainty within the model as well as sensor noise. Bayesian neural networks, which assume a prior over the weights, have been shown capable of producing such uncertainty measures, but properties surrounding their safety have not yet been quantified for use in autonomous driving scenarios. In this paper, we develop a framework based on a state-of-the-art simulator for evaluating end-to-end Bayesian controllers. In addition to computing pointwise uncertainty measures that can be computed in real time and with statistical guarantees, we also provide a method for estimating the probability that, given a scenario, the controller keeps the car safe within a finite horizon. We experimentally evaluate the quality of uncertainty computation by several Bayesian inference methods in different scenarios and show how the uncertainty measures can be combined and calibrated for use in collision avoidance. Our results suggest that uncertainty estimates can greatly aid decision making in autonomous driving.
Deep Learning sets the state-of-the-art in many challenging tasks showing outstanding performance in a broad range of applications. Despite its success, it still lacks robustness hindering its adoption in medical applications. Modeling uncertainty, through Bayesian Inference and Monte-Carlo dropout, has been successfully introduced for better understanding the underlying deep learning models. Yet, another important source of uncertainty, coming from the inter-observer variability, has not been thoroughly addressed in the literature. In this paper, we introduce labels uncertainty which better suits medical applications and show that modeling such uncertainty together with epistemic uncertainty is of high interest for quality control and referral systems.
Gaussian processes (GPs) are nonparametric priors over functions. Fitting a GP implies computing a posterior distribution of functions consistent with the observed data. Similarly, deep Gaussian processes (DGPs) should allow us to compute a posterior distribution of compositions of multiple functions giving rise to the observations. However, exact Bayesian inference is intractable for DGPs, motivating the use of various approximations. We show that the application of simplifying mean-field assumptions across the hierarchy leads to the layers of a DGP collapsing to near-deterministic transformations. We argue that such an inference scheme is suboptimal, not taking advantage of the potential of the model to discover the compositional structure in the data. To address this issue, we examine alternative variational inference schemes allowing for dependencies across different layers and discuss their advantages and limitations.
Neural networks are popular state-of-the-art models for many different tasks.They are often trained via back-propagation to find a value of the weights that correctly predicts the observed data. Although back-propagation has shown good performance in many applications, it cannot easily output an estimate of the uncertainty in the predictions made. Estimating the uncertainty in the predictions is a critical aspect with important applications, and one method to obtain this information is following a Bayesian approach to estimate a posterior distribution on the model parameters. This posterior distribution summarizes which parameter values are compatible with the data, but is usually intractable and has to be approximated. Several mechanisms have been considered for solving this problem. We propose here a general method for approximate Bayesian inference that is based on minimizing{\alpha}-divergences and that allows for flexible approximate distributions. The method is evaluated in the context of Bayesian neural networks on extensive experiments. The results show that, in regression problems, it often gives better performance in terms of the test log-likelihoodand sometimes in terms of the squared error. In classification problems, however, it gives competitive results.
As a result of social network popularity, in recent years, hate speech phenomenon has significantly increased. Due to its harmful effect on minority groups as well as on large communities, there is a pressing need for hate speech detection and filtering. However, automatic approaches shall not jeopardize free speech, so they shall accompany their decisions with explanations and assessment of uncertainty. Thus, there is a need for predictive machine learning models that not only detect hate speech but also help users understand when texts cross the line and become unacceptable. The reliability of predictions is usually not addressed in text classification. We fill this gap by proposing the adaptation of deep neural networks that can efficiently estimate prediction uncertainty. To reliably detect hate speech, we use Monte Carlo dropout regularization, which mimics Bayesian inference within neural networks. We evaluate our approach using different text embedding methods. We visualize the reliability of results with a novel technique that aids in understanding the classification reliability and errors.
We seek to achieve the Holy Grail of Bayesian inference for gravitational-wave astronomy: using deep-learning techniques to instantly produce the posterior $p(\theta|D)$ for the source parameters $\theta$, given the detector data $D$. To do so, we train a deep neural network to take as input a signal + noise data set (drawn from the astrophysical source-parameter prior and the sampling distribution of detector noise), and to output a parametrized approximation of the corresponding posterior. We rely on a compact representation of the data based on reduced-order modeling, which we generate efficiently using a separate neural-network waveform interpolant [A. J. K. Chua, C. R. Galley & M. Vallisneri, Phys. Rev. Lett. 122, 211101 (2019)]. Our scheme has broad relevance to gravitational-wave applications such as low-latency parameter estimation and characterizing the science returns of future experiments. Source code and trained networks are available online at https://github.com/vallis/truebayes.
Gravitational wave (GW) detection is now commonplace and as the sensitivity of the global network of GW detectors improves, we will observe $\mathcal{O}(100)$s of transient GW events per year. The current methods used to estimate their source parameters employ optimally sensitive but computationally costly Bayesian inference approaches where typical analyses have taken between 6 hours and 5 days. For binary neutron star and neutron star black hole systems prompt counterpart electromagnetic (EM) signatures are expected on timescales of 1 second -- 1 minute and the current fastest method for alerting EM follow-up observers, can provide estimates in $\mathcal{O}(1)$ minute, on a limited range of key source parameters. Here we show that a conditional variational autoencoder pre-trained on binary black hole signals can return Bayesian posterior probability estimates. The training procedure need only be performed once for a given prior parameter space and the resulting trained machine can then generate samples describing the posterior distribution $\sim 6$ orders of magnitude faster than existing techniques.
Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to incorrect posterior predictive distributions. We present a novel approach that corrects for inaccuracies in posterior inference by altering the decision-making process. We train a separate model to make optimal decisions under the approximate posterior, combining interpretable Bayesian modeling with optimization of direct predictive accuracy in a principled fashion. The solution is generally applicable as a plug-in module for predictive decision-making for arbitrary probabilistic programs, irrespective of the posterior inference strategy. We demonstrate the approach empirically in several problems, confirming its potential.
Likelihood-free methods are an established approach for performing approximate Bayesian inference for models with intractable likelihood functions. However, they can be computationally demanding. Bayesian synthetic likelihood (BSL) is a popular such method that approximates the likelihood function of the summary statistic with a known, tractable distribution -- typically Gaussian -- and then performs statistical inference using standard likelihood-based techniques. However, as the number of summary statistics grows, the number of model simulations required to accurately estimate the covariance matrix for this likelihood rapidly increases. This poses significant challenge for the application of BSL, especially in cases where model simulation is expensive. In this article we propose whitening BSL (wBSL) -- an efficient BSL method that uses approximate whitening transformations to decorrelate the summary statistics at each algorithm iteration. We show empirically that this can reduce the number of model simulations required to implement BSL by more than an order of magnitude, without much loss of accuracy. We explore a range of whitening procedures and demonstrate the performance of wBSL on a range of simulated and real modelling scenarios from ecology and biology.