Practical Bayesian Learning of Neural Networks via Adaptive Optimisation Methods.

We introduce a novel framework for the estimation of the posterior distribution over the weights of a neural network, based on a new probabilistic interpretation of adaptive optimisation algorithms such as AdaGrad and Adam. We demonstrate the effectiveness of our Bayesian Adam method, Badam, by experimentally showing that the learnt uncertainties correctly relate to the weights' predictive capabilities by weight pruning. We also demonstrate the quality of the derived uncertainty measures by comparing the performance of Badam to standard methods in a Thompson sampling setting for multi-armed bandits, where good uncertainty measures are required for an agent to balance exploration and exploitation.