Practical Training and Evaluation of BNNs

Building upon the foundations of Bayesian Neural Networks (BNNs), their inference techniques like Variational Inference (VI) and Markov Chain Monte Carlo (MCMC), we now turn to the practical aspects of training these models and evaluating their performance. Implementing and assessing BNNs involves considerations for standard deep neural networks, particularly regarding hyperparameter tuning, convergence monitoring, and uncertainty quantification.

Configuring the Bayesian Neural Network

Before training, careful configuration is necessary. This involves selecting appropriate prior distributions for the weights and biases and defining the network architecture.

• Prior Selection: Priors encode our beliefs about the parameters before observing data. Common choices include Gaussian priors, often centered at zero ($\mathcal{N}(0, \sigma^2)$). The variance $\sigma^2$ acts as a regularization parameter. Large variance implies weaker regularization (more flexible weights), while small variance implies stronger regularization (weights closer to zero). Choosing $\sigma^2$ can be done via empirical Bayes (estimating from data, though potentially complex) or by setting it based on domain knowledge or cross-validation. Hierarchical priors, where $\sigma^2$ itself has a prior, can also be used for more flexibility.
• Network Architecture: The choice of architecture (layers, activation functions) follows similar principles to standard deep learning but interacts with the Bayesian approach. For instance, the number of parameters directly impacts the dimensionality of the posterior distribution, influencing the difficulty of inference.

Training BNNs with Variational Inference

VI, particularly methods like Bayes by Backprop, reframes inference as an optimization problem, maximizing the Evidence Lower Bound (ELBO).

• Objective Function (ELBO): Recall the ELBO: $$\mathcal{L}(\phi) = \mathbb{E}_{q_\phi(w)}[\log p(\mathcal{D}|w)] - \text{KL}(q_\phi(w) || p(w))$$ Here, $q_\phi(w)$ is the variational approximation (often a diagonal Gaussian) parameterized by $\phi$, $p(\mathcal{D}|w)$ is the likelihood, and $p(w)$ is the prior. The first term encourages fitting the data, while the second KL divergence term acts as a regularizer, keeping the approximate posterior close to the prior.
• Optimization: Stochastic gradient ascent methods (like Adam) are typically used to maximize the ELBO with respect to the variational parameters $\phi$. The gradients are often estimated using the reparameterization trick, which allows backpropagation through the sampling process.
• Convergence Monitoring: Track the ELBO value during training. It should generally increase and plateau. Monitor the likelihood term and the KL divergence term separately to understand the trade-off. Sometimes, the KL term might dominate early on, or the model might struggle to fit the data (low likelihood). Fluctuations are expected due to stochastic gradients, but a stable trend is important.
• KL Annealing: Sometimes, weighting the KL term in the ELBO can help training. Starting with a small weight (e.g., close to 0) and gradually increasing it to 1 (annealing) can allow the model to focus on fitting the data first before the regularization effect of the prior fully kicks in. This can prevent the variational posterior $q_\phi(w)$ from collapsing onto the prior too early.

Training BNNs with MCMC

MCMC methods, like Stochastic Gradient Hamiltonian Monte Carlo (SGHMC), aim to generate samples directly from the true posterior $p(w | \mathcal{D})$.

• Sampling Process: Instead of optimizing parameters, MCMC algorithms simulate a Markov chain whose stationary distribution is the target posterior. SGHMC adapts HMC for large datasets by using mini-batch gradients, introducing a friction term to counteract the gradient noise.
• Hyperparameters: SGHMC involves tuning parameters like the step size (learning rate) $\epsilon$ and the friction coefficient $\alpha$. These significantly impact sampling efficiency and stability. Tuning often requires experimentation. Techniques like cyclical learning rates can sometimes be beneficial.
• Burn-in and Thinning: Early samples from the MCMC chain (burn-in period) are typically discarded as the chain might not have reached the stationary distribution. To reduce autocorrelation between samples, thinning (keeping only every $k$-th sample) is often applied, although its necessity is debated, especially with efficient samplers like HMC/NUTS variants.
• Convergence Diagnostics: Unlike VI's ELBO, MCMC convergence is assessed using diagnostics on the generated samples. Trace plots (plotting sampled parameter values over iterations) should show good mixing (random fluctuation around a stable mean). Formal diagnostics like the Gelman-Rubin statistic ($\hat{R}$) require running multiple chains and comparing within-chain and between-chain variance. $\hat{R}$ values close to 1 suggest convergence.

Making Predictions and Estimating Uncertainty

An important advantage of BNNs is their ability to provide uncertainty estimates. Predictions are made by marginalizing over the posterior distribution of weights.

• Predictive Distribution: For a new input $x^*$, the predictive distribution is: $$p(y^* | x^*, \mathcal{D}) = \int p(y^* | x^*, w) p(w | \mathcal{D}) dw$$ In practice, this integral is approximated using samples from the posterior (obtained via MCMC) or the variational distribution (obtained via VI). $$p(y^* | x^*, \mathcal{D}) \approx \frac{1}{S} \sum_{s=1}^S p(y^* | x^*, w^{(s)})$$ where $w^{(s)}$ are $S$ samples drawn from $p(w | \mathcal{D})$ (MCMC) or $q_\phi(w)$ (VI).
• Prediction: The final prediction is often the mean of this approximate predictive distribution. For classification, this involves averaging the output probabilities from multiple forward passes with different sampled weights.
• Uncertainty Quantification: The variance of the predictive distribution quantifies uncertainty. It can be decomposed into:
  • Aleatoric Uncertainty: Inherent noise in the data generating process. Modeled by the likelihood function's variance (e.g., the variance parameter in a Gaussian likelihood for regression). It cannot be reduced with more data.
  • Epistemic Uncertainty: Uncertainty due to the model parameters. Reflected in the variance of the posterior distribution $p(w | \mathcal{D})$. It can be reduced with more data. In practice, the total predictive variance is estimated from the variance of the $S$ predictions $y^{*(s)}$, potentially combined with the estimated aleatoric variance if modeled explicitly. High variance indicates low confidence.

Evaluating BNN Performance

Evaluation should assess both predictive accuracy and the quality of uncertainty estimates.

• Standard Metrics: Accuracy, F1-score (classification), Root Mean Squared Error (RMSE), Mean Absolute Error (MAE) (regression) are calculated based on the mean prediction. These measure the central tendency of the predictive distribution.
• Probabilistic Metrics:
  • Negative Log-Likelihood (NLL): Measures how well the entire predictive distribution $p(y^* | x^*, \mathcal{D})$ fits the test data. Lower NLL is better.
  • Calibration: Assesses whether the predicted probabilities match empirical frequencies. For instance, if the model predicts 80% confidence for a set of predictions, roughly 80% of those predictions should be correct. Reliability diagrams (calibration plots) visualize this.

This reliability diagram shows the relationship between predicted confidence levels (grouped into bins) and the actual accuracy observed within those bins. Bars above the diagonal indicate under-confidence, while bars below indicate over-confidence.

• Uncertainty Quality: Evaluate if the model is more uncertain for out-of-distribution (OOD) samples or misclassified examples compared to correctly classified in-distribution samples. Metrics like predictive entropy or variance can be compared across these groups.

Practical Challenges and Considerations

• Computational Cost: Training BNNs, especially with MCMC, is generally more computationally intensive than training standard DNNs. VI is faster but introduces approximation errors. Prediction also requires multiple forward passes.
• Hyperparameter Sensitivity: Performance can be sensitive to the choice of priors, variational family structure (for VI), MCMC sampler parameters (step size, friction), and optimization hyperparameters (learning rate, batch size). Careful tuning and sensitivity analysis are often required.
• Software: Libraries like TensorFlow Probability (TFP), Pyro (PyTorch), PyMC, and Stan provide tools for building and training BNNs, implementing various inference algorithms and probabilistic layers. Familiarity with these tools is highly beneficial.
• Interpretability: While BNNs provide uncertainty, interpreting the source of uncertainty (aleatoric vs. epistemic) and the impact of specific priors requires careful analysis.

Training and evaluating BNNs requires a shift in mindset from point estimates to distributions. While challenging, the resulting models offer a richer understanding of prediction confidence, which is invaluable in many real-world applications where reliability and risk assessment are important.