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Sparse Uncertainty Representation in Deep Learning with Inducing Weights
Hippolyt Ritter · Martin Kukla · Cheng Zhang · Yingzhen Li

Fri Dec 10 08:30 AM -- 10:00 AM (PST) @
Bayesian Neural Networks and deep ensembles represent two modern paradigms of uncertainty quantification in deep learning. Yet these approaches struggle to scale mainly due to memory inefficiency, requiring parameter storage several times that of their deterministic counterparts. To address this, we augment each weight matrix with a small inducing weight matrix, projecting the uncertainty quantification into a lower dimensional space. We further extend Matheron’s conditional Gaussian sampling rule to enable fast weight sampling, which enables our inference method to maintain reasonable run-time as compared with ensembles. Importantly, our approach achieves competitive performance to the state-of-the-art in prediction and uncertainty estimation tasks with fully connected neural networks and ResNets, while reducing the parameter size to $\leq 24.3\%$ of that of a single neural network.

Author Information

Hippolyt Ritter (University College London)
Martin Kukla (University of Cambridge)
Cheng Zhang (Microsoft Research, Cambridge)
Yingzhen Li (Imperial College London)

Yingzhen Li is a senior researcher at Microsoft Research Cambridge. She received her PhD from the University of Cambridge, and previously she has interned at Disney Research. She is passionate about building reliable machine learning systems, and her approach combines both Bayesian statistics and deep learning. Her contributions to the approximate inference field include: (1) algorithmic advances, such as variational inference with different divergences, combining variational inference with MCMC and approximate inference with implicit distributions; (2) applications of approximate inference, such as uncertainty estimation in Bayesian neural networks and algorithms to train deep generative models. She has served as area chairs at NeurIPS/ICML/ICLR/AISTATS on related research topics, and she is a co-organizer of the AABI2020 symposium, a flagship event of approximate inference.

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