Bayesian Inference

Variational Dropout is a regularization technique based on dropout, but uses a variational inference grounded approach. In Variational Dropout, we repeat the same dropout mask at each time step for both inputs, outputs, and recurrent layers (drop the same network units at each time step). This is in contrast to ordinary Dropout where different dropout masks are sampled at each time step for the inputs and outputs alone.

Embedding Dropout is equivalent to performing dropout on the embedding matrix at a word level, where the dropout is broadcast across all the word vector’s embedding. The remaining non-dropped-out word embeddings are scaled by $\frac{1}{1-p\_{e}}$ where $p\_{e}$ is the probability of embedding dropout. As the dropout occurs on the embedding matrix that is used for a full forward and backward pass, this means that all occurrences of a specific word will disappear within that pass, equivalent to performing variational dropout on the connection between the one-hot embedding and the embedding lookup. Source: Merity et al, Regularizing and Optimizing LSTM Language Models

We present TabPFN, a trained Transformer that can do supervised classification for small tabular datasets in less than a second, needs no hyperparameter tuning and is competitive with state-of-the-art classification methods. TabPFN is fully entailed in the weights of our network, which accepts training and test samples as a set-valued input and yields predictions for the entire test set in a single forward pass. TabPFN is a Prior-Data Fitted Network (PFN) and is trained offline once, to approximate Bayesian inference on synthetic datasets drawn from our prior. This prior incorporates ideas from causal reasoning: It entails a large space of structural causal models with a preference for simple structures. On the 18 datasets in the OpenML-CC18 suite that contain up to 1 000 training data points, up to 100 purely numerical features without missing values, and up to 10 classes, we show that our method clearly outperforms boosted trees and performs on par with complex state-of-the-art AutoML systems with up to 230× speedup. This increases to a 5 700× speedup when using a GPU. We also validate these results on an additional 67 small numerical datasets from OpenML. We provide all our code, the trained TabPFN, an interactive browser demo and a Colab notebook at https://github.com/automl/TabPFN.

This method applies Polya-Gamma latent variables as a way to obtain closed form expressions for full-conditionals of posterior distributions in sampling algorithms like MCMC.

Automatic Structured Variational Inference (ASVI) is a fully automated method for constructing structured variational families, inspired by the closed-form update in conjugate Bayesian models. These convex-update families incorporate the forward pass of the input probabilistic program and can therefore capture complex statistical dependencies. Convex-update families have the same space and time complexity as the input probabilistic program and are therefore tractable for a very large family of models including both continuous and discrete variables.

Bayesian Reward Extrapolation is a Bayesian reward learning algorithm that scales to high-dimensional imitation learning problems by pre-training a low-dimensional feature encoding via self-supervised tasks and then leveraging preferences over demonstrations to perform fast Bayesian inference.