Large multilayer neural networks trained with backpropagation have recently achieved state-of-the-art results in a wide range of problems. However, using backprop for neural net learning still has some disadvantages, e.g., having to tune a large number of hyperparameters to the data, lack of calibrated probabilistic predictions, and a tendency to overfit the training data. In principle, the Bayesian approach to learning neural networks does not have these problems. However, existing Bayesian techniques lack scalability to large dataset and network sizes. In this work we present a novel scalable method for learning Bayesian neural networks, called probabilistic backpropagation (PBP). Similar to classical backpropagation, PBP works by computing a forward propagation of probabilities through the network and then doing a backward computation of gradients. A series of experiments on ten real-world datasets show that PBP is significantly faster than other techniques, while offering competitive predictive abilities. Our experiments also show that PBP provides accurate estimates of the posterior variance on the network weights.
Probabilistic Backpropagation for Scalable
Learning of Bayesian Neural Networks
José Miguel Hernández-Lobato firstname.lastname@example.org
Ryan P. Adams email@example.com
School of Engineering and Applied Sciences, Harvard University, Cambridge, MA 02138 USA
Neural networks (NNs) have seen a recent resurgence of interest due to empirical achievements on a wide range of supervised learning problems. In their typical usage, neural networks are highly expressive models that can learn complex function approximations from input/output examples (Hornik et al., 1989). Part of the success of NNs is due to the ability to train them on massive data sets with stochastic optimization (Bottou, 2010) and the backpropagation (BP) algorithm (Rumelhart et al., 1986). This, along with faster machines, larger datasets, and innovations such as dropout (Srivastava et al., 2014) and rectified linear units (Nair & Hinton, 2010), have resulted in successes for NNs on tasks such as speech recognition (Hinton et al., 2012; Hannun et al., 2014), computer vision (Krizhevsky et al., 2012; Wu et al., 2015) and natural language processing (Collobert & Weston, 2008; Sutskever et al., 2014).
Despite all these successes, there are still some challenges in learning NNs with backpropagation (BP). First, there are many hyperparameters in BP-based stochastic optimization that require specific tuning, e.g., learning rate, momentum, weight decay, etc., each of which may be layer-specific. With large data sets, finding the optimal values can take a large amount of time, even with an efficient procedure such as Bayesian optimization (Snoek et al., 2012). Second, in NNs trained with BP, we can only obtain point estimates of the weights in the network. As a result, these networks make predictions that do not account for uncertainty in the parameters. However, in many cases these weights may be poorly specified and it is desirable to produce uncertainty estimates along with predictions. Finally, it is common practice to use a very large NN to flexibly fit data, and then reign in overfitting using regularization terms, even if a smaller network would be cheaper and easier to train.
A Bayesian approach to neural networks can potentially avoid some of the pitfalls of stochastic optimization (MacKay, 1992c). Bayesian techniques, in principle, can automatically infer hyperparameter values by marginalizing them out of the posterior distribution or by determining them via type II maximum likelihood (empirical Bayes). Furthermore, Bayesian methods naturally account for uncertainty in parameter estimates and can propagate this uncertainty into predictions. Finally, Bayesian approaches are often more robust to overfitting, since they average over parameter values instead of choosing a single point estimate.
Several approaches have been proposed for Bayesian learning of neural networks, based on, e.g., the Laplace approximation (MacKay, 1992c), Hamiltonian Monte Carlo (Neal, 1995), expectation propagation (Jylänki et al., 2014), and variational inference (Hinton & Camp, 1993). However, these approaches have not seen widespread adoption due to their lack of scalability in both network architecture and data size. A notable exception is the scalable variational inference approach of Graves (2011). However, this method seems to perform poorly in practice due to noise from Monte Carlo approximations within the stochastic gradient computations. A different scalable solution based on expectation propagation was proposed by Soudry et al. (2014). While this method works for networks with binary weights, its extension to continuous weights is unsatisfying as it does not produce estimates of posterior variance.
We describe a new approach for learning Bayesian neural networks called probabilistic backpropagation (PBP) that is fast and does not have the disadvantages of previous approaches. PBP works by propagating probabilities forward through the network to obtain the marginal likelihood, before propagating backward the gradients of the marginal likelihood with respect to the parameters of the posterior approximation. Our experiments show that PBP is fast, makes accurate predictions and also produces calibrated estimates of the posterior uncertainty in network weights.
We describe a probabilistic model for data based on a feedforward neural network. Given data , made up of -dimensional feature vectors and corresponding scalar target variables , we assume that each is obtained as , where is the output of a multi-layer neural network with connections between consecutive layers and weights given by . The evaluations of this NN are corrupted by additive noise variables , where .
The NN has layers, where is the number of hidden units in layer , and is the collection of weight matrices between the fully-connected layers. The is introduced here to account for the additional per-layer biases. We denote the outputs of the layers by vectors , where is the input layer, are the hidden units and denotes the output layer, which is one-dimensional since the are scalars. The input to the -th layer is defined as , where the factor keeps the scale of the input to each neuron independent of the number of incoming connections. The activation functions for each hidden layer are rectified linear units (ReLUs) (Nair & Hinton, 2010), i.e., .
Let be an -dimensional vector with the targets and be an matrix of feature vectors . The likelihood for the network weights and the noise precision , with data is then
To complete our probabilistic model, we specify a Gaussian prior distribution for each entry in each of the weight matrices in . In particular,
where is the entry in the -th row and -th column of and is a precision parameter. The hyper-prior for is chosen to be a gamma distribution, i.e., with shape and inverse scale . The values chosen for and make this equivalent to having observed samples from with empirical variance equal to 1. This relatively low value for compared to the large number of observed data points makes this prior weakly-informative. The prior for the noise precision is also gamma: . We assume that the have been normalized to have unit variance and, as above, we fix and .
The posterior distribution for the parameters , and can then be obtained by applying Bayes’ rule:
where is a normalization constant. Given a new input vector , we can then make predictions for its output using the predictive distribution given by
where . However, the exact computation of and is not tractable in most cases. Therefore, in practice we have to resort to approximate inference methods. In the following section we describe a technique for approximate Bayesian inference in NN models that is both fast and also offers excellent predictive performance.
Backpropagation (Rumelhart et al., 1986) is by far the most common method for training neural networks. This method operates in two phases to compute a gradient of the loss in terms of the network weights. In the first phase, the input features are propagated forward through the network to compute the function output and thereby the loss associated with the current parameters. In the second phase, the derivatives of the training loss with respect to the weights are propagated back from the output layer towards the input. These derivatives are used to update the weights using, e.g., stochastic gradient descent with momentum.
In this section we describe a probabilistic alternative to the backpropagation algorithm, which we call probabilistic backpropagation (PBP). PBP does not use point estimates for the synaptic weights in the network. Instead, it uses a collection of one-dimensional Gaussians, each one approximating the marginal posterior distribution of a different weight. PBP also has two phases equivalent to the ones of BP. In the first phase, the input data is propagated forward through the network. However, since the weights are now random, the activations produced in each layer are also random and result in (intractable) distributions. PBP sequentially approximates each of these distributions with a collection of one-dimensional Gaussians that match their marginal means and variances. At the end of this phase, PBP computes, instead of the prediction error, the logarithm of the marginal probability of the target variable. In the second phase, the gradients of this quantity with respect to the means and variances of the approximate Gaussian posterior are propagated back using reverse-mode differentiation as in classic backpropagation. These derivatives are finally used to update the means and variances of the posterior approximation.
The update rule used by PBP is not the standard step in the direction of the gradient of the loss made by the classic backpropagation algorithm. PBP uses the following property of Gaussian distributions (Minka, 2001). Let encode an arbitrary likelihood function for the single synaptic weight given some data and let our current beliefs regarding the scalar be captured by a distribution . After seeing the data, our beliefs about are updated according to Bayes’ rule:
where is the normalization constant. The updated beliefs usually have a complex form and need to be approximated with a simpler distribution. A common choice is to approximate this posterior with a distribution that has the same form as . In this case, the parameters of the new Gaussian beliefs that minimize the the Kullback-Leibler (KL) divergence between and can then be obtained as a function of , and the gradient of with respect to these quantities, namely
See (Minka, 2001), equations 5.12 and 5.13. These rules match moments between and , guaranteeing that these two distributions have the same mean and variance. These are the main update equations used by PBP. The next section provides a detailed description of PBP, presenting it as an assumed density filtering (ADF) method (Opper & Winther, 1998) that uses some of the improvements on ADF given by expectation propagation (Minka, 2001).
Probabilistic backpropagation is an inference method that approximates the exact posterior of a neural network (3) with a factored distribution given by
The approximation parameters , , , , and are determined by applying an assumed density filtering method (Opper & Winther, 1998; Minka, 2001) on the posterior (3). For this, (8) is first initialized to be uniform, that is, , , and . After this, PBP iterates over the factors in the numerator of (3) and sequentially incorporates each of these factors into the approximation in (8). A general description of this operation is given in the following paragraph. Specific details on how to incorporate each type of factor in (3) are given in the following sections.
There are two factors for the priors on and , a total of factors for the prior on given by (2) and finally, factors for the likelihood (1). Let be one of these factors. PBP incorporates into the current posterior approximation (8) by minimizing the KL divergence between and , with respect to the parameters of , where normalizes and the used to construct is kept constant during the minimization of the KL divergence. This makes the new approximate the product of the old and the factor . The result is an approximation to an exact online learning algorithm within the Bayesian framework (Opper & Winther, 1998).
The first factors to be incorporated are the priors on and . Since these factors have the same functional form as (8), the resulting update for is straightforward: , , and .
After this, we sequentially incorporate the factors in (2). In this case, the updates for and in (8) are given by (6) and (7). Similar update rules can be obtained for the parameters and in (8). In particular,
where is the normalizer of , that is, the product of the factor that is being incorporated and and and are the values of this normalizer when the parameter in is increased by one and two units, respectively. The update rules (9) and (10) do not exactly minimize the KL divergence since that would require matching the sufficient statistics for in and , which does not have a closed form. Instead, the rules above match the first and second moments of , which also produces good results (Minka, 2001; Cowell et al., 1996). The derivation of (9) and (10) can be found in the supplementary material. One difficulty when applying the update rules just described is that the normalizer of does not have a closed form. Nevertheless, we can approximate using
where denotes a Student’s distribution with mean , variance parameter and degrees of freedom . In the next-to-last line we have approximated the Student’s density with a Gaussian density that has the same mean and variance. Finally, , and the gradients of with respect to and can be similarly approximated by incorporating this approximation of into their expressions. By plugging in the resulting quantities in (6), (7), (9) and (10) we obtain the new parameter values for .
After incorporating all the factors in (2), PBP sequentially incorporates the factors for the likelihood (1). As before, updates for all the and in (8) are given by (6) and (7), respectively. The updates for and in (8) are given by (9) and (10), respectively. To compute all these updates we only require , the normalization constant of . However, this is difficult to compute, as it requires integration of each likelihood factor with respect to the distribution of the network output, i.e., , when . Let us assume that we have an approximating Gaussian with mean and variance for the distribution of . We can then approximate as
where the first approximation in (12) assumes that when and the second approximates the Student’s density with a Gaussian density that has the same mean and variance. An analysis of the error of this latter approximation can be found in the supplementary material. This expression for can be substituted into (6), (7), (9) and (10) to obtain the new parameters for .
However, it remains to compute the mean and variance parameters and in (12). This is done by propagating distributions forward through the network and, when necessary, approximating each new distribution with a Gaussian. For this, let us assume that, when , the output of the layer is a diagonal Gaussian with means and variances given by the -dimensional vectors and , respectively. Furthermore, let , so that the marginal means and variances of (when is distributed as ) are
where and are matrices whose entries are given by and , for and , respectively, and denotes the Hadamard elementwise product. We again assume that the entries in are independent Gaussian with means and variances given by the equations above. The Central Limit Theorem states that is approximately Gaussian when is large (Soudry et al., 2014). Let , where is the rectifier linear activation function . Then, the entries of are a mixture of a point mass at 0 (when the rectifier is saturated) and a Gaussian truncated at 0 (when the rectifier is in the linear regime). The mean and variance of the -th entry of are then
and and are respectively the CDF and the density function of a standard Gaussian. When is very large and negative the previous definition of is not numerically stable. Instead, when , we use the approximation as recommended by Paquet et al. (2012). The output of the -th layer, , is obtained by concatenating with the constant 1 for the bias. We can therefore approximate the distribution of to be Gaussian with marginal means and variances
These concatenated means and variances reflect the lack on uncertainty in the “bias unit”. Finally, to compute the mean and variance parameters and in (12) we initialize to and to and then apply (13), (14), (15), (16) and (17) iteratively until we obtain and . This resembles the forward pass of the standard backpropagation algorithm. With and , we can evaluate the log of as given by (12) and the gradients of that quantity that are required to apply rules (6) and (7). This is similar to the reverse mode differentiation used in backpropagation. We provide a Theano-based (Bergstra et al., 2010) implementation of PBP at http://jmhl.org/, as well as a C version using the gradients given in the supplementary material.
Expectation propagation (EP) (Minka, 2001) improves on assumed density filtering by iteratively incorporating each factor multiple times. On each pass over the list of factors, each factor is removed from the current posterior approximation, re-estimated, and then reincorporated. Each iteration improves the accuracy of the posterior approximation. The disadvantage of EP over ADF is that it needs to keep in memory all of the approximate factors, one for each exact factor in the numerator of the posterior. This is necessary, because each factor must be able to be removed and updated. With massive data sets, the number of likelihoods will be very large and it is not possible to store these factors in memory. Instead, we incorporate these factors multiple times, but without removing them from the current approximation. This is equivalent to doing multiple ADF passes through the data, treating each likelihood factor as a novel example. A disadvantage of this approach is that it can lead to underestimation of the variance parameters in (8) when too many passes are done over the data. Nevertheless, PBP is geared toward larger data sets, where only a reduced number of passes over the data (fewer than 100) are possible. Note that we can afford to keep in memory an approximate factor for each exact factor in the prior on the weights (2), since the number and size of these approximate factors are small. We therefore do one full EP update of these approximate factors for the prior after each ADF pass through the data. Details for this operation can be found in the in the supplementary material. These approximate factors could also be updated more frequently, for example, each time we do an ADF pass through a small block of likelihood factors.
After incorporating the factors in (2) for the first time, we slightly perturb each mean parameter in (8) from the original value of 0 to be , where . This is similar to the random initialization of weights in NNs that is usually done before learning with backpropagation. This operation directs our inference method towards one of the multiple symmetric modes of the posterior.
Because the computation of in (12) is approximate, on rare occasions the variance parameters for some weights in (8) may be negative after incorporating one likelihood factor. When this happens, we undo the update for those weights and keep their previous mean and variance values. A similar operation is often done in EP when negative variances arise in Gaussian approximate factors (Minka, 2001).
|Avg. Test RMSE and Std. Errors||Avg. Test LL and Std. Errors||Avg. Running Time in Secs|
|Concrete Compression Strength||1030||8||7.128||0.1230||5.977||0.2207||5.667||0.0933||-3.391||0.017||-3.161||0.019||1085||758||24|
|Combined Cycle Power Plant||9568||4||4.327||0.0352||4.182||0.0402||4.124||0.0345||-2.890||0.010||-2.837||0.009||2955||2114||178|
|Wine Quality Red||1599||11||0.646||0.0081||0.645||0.0098||0.635||0.0079||-0.980||0.013||-0.968||0.014||1195||917||50|
|Year Prediction MSD||515,345||90||9.034||NA||8.932||NA||8.879||NA||-3.622||NA||-3.603||NA||142,077||65,131||6119|
The gold standard method for Bayesian learning in neural networks is Hamilton Monte Carlo (HMC) (Neal, 1995). However, this is a batch method that can perform poorly on large data sets. HMC also requires problem-specific tuning parameters such as the length and number of integration steps. One alternative to MCMC inference in neural networks is the Laplace approximation (MacKay, 1992c). However, the Laplace approximation requires computation of the inverse Hessian of the log likelihood, which can be infeasible to compute for large networks. Diagonal approximations to the Hessian are possible, but performance can deteriorate considerably. One alternative approach based on EP is described by Jylänki et al. (2014). This is a batch method that is not expected to scale to large data sets and, unlike PBP, it requires numerical quadrature. Jylanki keeps in memory several approximate factors for each data point, which is not feasible in large scale settings. Furthermore, by using latent variables, this method breaks each likelihood factor into additional sub-factors that are incorporated into the posterior approximation in multiple disconnected steps. PBP incorporates each likelihood factor in a single step, which is expected to be more accurate.
A scalable variational inference (VI) method for neural networks is described by Graves (2011). This method maximizes a lower bound on the marginal likelihood of the NN. The computation of this bound requires computing the expectation of the log of the numerator of the exact posterior (3) under a factorized Gaussian approximation. This is intractable in general, and so Graves (2011) proposes a Monte Carlo approximation to compute the lower bound, which is then optimized using a second approximation for stochastic gradient descent (SGD). While SGD is a common approach to optimization of neural networks, the initial approximation leads to inefficient use of data. As a result, the VI approach tends to generate poor solutions for larger data sets over which only a few passes are possible.
The technique that is most closely related to PBP is the expectation-backpropagation (EBP) method described by Soudry et al. (2014), which proposes an online EP technique for neural networks with sign activation functions and binary weights, with an extension to continuous weights. As with PBP, EBP also includes a forward propagation of probabilities followed by a backward propagation of gradients. However, there are three important contributions of PBP with respect to EBP. First, EBP can only model data with binary targets and cannot be applied when the are continuous (as in regression), while PBP assumes continuous and can be extended to binary targets using the same method as in EBP. Second, and more importantly, EBP with continuous weights only updates the mean parameters of the Gaussian posterior approximations. In particular, the EBP update operation for each Gaussian approximation includes only equation (6) and does not perform the corresponding update for the variance given by (7). Therefore, EBP cannot produce accurate uncertainty estimates, as it keeps the posterior variances constant during the learning process. Note also that the “learning rate” in (6) is the variance of the Gaussian approximation. In effect, by not updating the variances, EBP makes inefficient updates for the means. Finally, unlike probabilistic backpropagation, EBP does not learn the hyperparameter for the prior variance . Instead, EBP keeps fixed to a large initial value.
We evaluate PBP in regression experiments with publicly available data sets and neural networks with one hidden layer. In PBP we make probabilistic predictions for the target variables by using (12), which approximates (4).
We first evaluate the predictive accuracy of PBP. Table 1 lists the analyzed data sets and shows summary statistics. We use neural networks with 50 hidden units in all cases except in the two largest ones, i.e., Year Prediction MSD and Protein Structure, where we use 100 hidden units. We compare PBP with the variational inference (VI) approach described in Section id1 and with standard stochastic gradient descent via backpropagation (BP). These methods were coded using Theano (Bergstra et al., 2010).
The different methods, PBP, VI and BP, were run by performing 40 passes over the available training data, updating the model parameters after seeing each data point. The data sets are split into random training and test sets with 90% and 10% of the data, respectively. This splitting process is repeated 20 times and the average test performance of each method is reported. In the two largest data sets, Year Prediction MSD and Protein Structure, we do the train-test splitting only one and five times respectively. The data sets are normalized so that the input features and the targets have zero mean and unit variance in the training set. The normalization on the targets is removed for prediction.
BP and VI have several hyperparameters that have to be optimally adjusted to the data. These are learning rate and momentum in BP and VI and weight decay in BP. We select these hyperparameter values by maximizing the predictive performance of each method on a validation set with 20% of the training data. For this task we use Bayesian optimization (BO) techniques (Snoek et al., 2012). In particular, for each train-test split of the data, we use BO to sequentially evaluate the validation performance of 30 different hyperparameter configurations. After that, an optimal value for the hyperparameters is selected and used to fit the model on the training set.
Table 1 shows the average test root mean squared error (RMSE) for each method. On each data set, the results of the best method are shown in bold. Overall, PBP and BP perform best, with PBP obtaining the best results in 6 out of 10 data sets. Unlike BP, PBP automatically adjusts its hyperparameters and does not require an expensive BO search. VI performs rather poorly, evidently due to the use of two stochastic approximations. First, VI approximates the lower bound on the model evidence by sampling from the variational approximation and second, VI further approximates that bound by subsampling the data. BP and PBP only perform the second type of approximation.
Table 1 also shows the average test log-likelihood for VI and PBP, and average running time for each method, in seconds. PBP is considerably better than VI, which performs rather poorly. BP and VI are very slow since they have to be re-run 30 times to search for their optimal hyperparameter values. The BO search in these methods also has a considerable overhead in the smallest data sets. PBP is the fastest method since it does not have to select any hyperparameter values and is run only once.
A comparison of the test RMSE obtained by PBP and BP in neural networks with up to 4 hidden layers can be found in the supplementary material. The experimental protocol in these experiments is the same as before. We use networks with 50 units in each hidden layer, except in the datasets Year and Protein, where we use 100. These results are similar to those shown in Table 1, with PBP obtaining usually the best results with 2 hidden layers.
We further evaluate the predictive distribution obtained by PBP in a toy data set generated by sampling 20 inputs uniformly at random in the interval . For each value of obtained, the corresponding target is computed as , where . We fitted a neural network with one layer and 100 hidden units to these data using PBP. We compare PBP with VI and BP, using 40 training epochs in all these methods. We also compare with a ground truth generated by Hamiltonian Monte Carlo (HMC). HMC is implemented by modifying the MCMCstuff Matlab toolbox (Vanhatalo & Vehtari, 2006) to include rectified linear activation functions. We run HMC by drawing 30,000 samples from the posterior distribution.
Figure 1 shows the predictions generated by each method. PBP and BP are much closer to the ground truth HMC than VI. Furthermore, BP and PBP perform similarly, even though PBP automatically adjusts its hyperparameters while BP has to use BO methods for this task.
We performed another series of experiments to evaluate the accuracy of the estimates of the posterior variance on the weights produced by PBP. For this, we use an active learning scenario (Settles, 2009) since in this type of problems it is necessary to produce accurate estimates of uncertainty for obtaining good performance.
In these experiments, we used a neural network with a single hidden layer and ten hidden units. We split each data set into training and test sets with 20 and 100 data instances, respectively, and pool sets with all the remaining data. PBP is fitted using the training data and then, its performance is evaluated on the test data. After this, one data point is collected from the pool set and then moved into the training set. The process repeats until 9 of these active additions to the training set have been completed, that is, until we have performed 10 evaluations on the test set. The entire process, including the random data set splitting, is repeated 40 times. The pool data is initially lacking the target variables and these become available only once the data is moved to the training set. As before, we run PBP for 40 epochs.
We compare PBP with a ground truth obtained by a HMC method in which we draw 500 samples from the posterior. We also compare with the batch EP algorithm for neural networks described by Jylänki et al. (2014). This method uses nonlinear activation functions given by the standard Gaussian CDF. We further compare with the Laplace approximation (LA) of MacKay (1992c) using the neural network toolbox from Matlab with tanh nonlinearities. In LA we approximate the Hessian of the unnormalized posterior distribution with the Levenberg-Marquardt approximation and assume a diagonal Hessian matrix. This allows LA to scale to large data sets and larger networks. We compare two versions of PBP, HMC, EP and LA. One in which the data from the pool set is collected actively (PBP-A, HMC-A, EP-A and LA-A) and another one in which the pool data is collected uniformly at random (PBP-R, HMC-R, EP-R and LA-R). We re-trained from scratch all the methods after each new addition to the training set from the pool set.
To actively collect data from the pool set we follow the information-based approach described by MacKay (1992a). The goal is to maximize the expected reduction in posterior entropy that is produced by adding data to the training set. This implies choosing the that maximizes
Since the last term in (19) is constant, we select the that maximizes the entropy of the predictive distribution . Therefore, all the methods select the next with highest predictive variance.
Table 2 shows the average test RMSE for each method at the end of the data collection process. These results show that the active learning approach HMC-A is significantly better than the random approach HMC-R in the data sets Boston, Energy, Power Plant and Yacht. In these data sets we also see a significant improvement of PBP-A over PBP-R. This indicates that PBP produces useful estimates of posterior variance. In these experiments PBP is usually better than EP and LA. LA performs poorly because it cannot correctly select the hyperparameters and , due to the diagonal Hessian approximation, as also observed by MacKay (1992b). PBP does not have this problem.
Finally, Figure 2 shows the evolution of the average test RMSE for each method during the data collection process in the problems Boston, Yacht and Energy. These plots indicate that the improvements of PBP-A over PBP-R are similar to those of HMC-A over HMC-R. Furthermore, we can see that the active learning strategy does not work as well in EP and LA as it does in PBP and HMC.
We have presented probabilistic backpropagation (PBP), a new algorithm for scalable Bayesian learning of neural networks. PBP uses a product of Gaussians to approximate the posterior over weights. The parameters of these Gaussians are updated in a two stage process similar to the one used by the backpropagation algorithm. First, probabilities are propagated forward through the network to obtain the marginal likelihood and second, the gradients of this quantity with respect to the Gaussian parameters are propagated backwards. These gradients are finally used to update the parameters of the approximation to the posterior distribution. Experiments on ten datasets show that PBP makes accurate predictions. Furthermore, we also show that PBP produces useful estimates of the posterior variance on the network weights. In summary, PBP is a fast method with state-of-the-art performance for Bayesian learning of neural networks. As future work we plan to address multi-label and multi-class problems. We will also make PBP use mini-batches and output estimates of the model evidence
The authors thank Edward O. Pyzer-Knapp for helpful discussions. José Miguel Hernández-Lobato acknowledges support from the Rafael del Pino Foundation. This work was partially funded by NSF IIS-1421780.
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