Prior choice affects ability of Bayesian neural networks to identify unknowns.

Deep Bayesian neural networks (BNNs) are a powerful tool, though computationally demanding, to perform parameter estimation while jointly estimating uncertainty around predictions. BNNs are typically implemented using arbitrary normal-distributed prior distributions on the model parameters. Here, we explore the effects of different prior distributions on classification tasks in BNNs and evaluate the evidence supporting the predictions based on posterior probabilities approximated by Markov Chain Monte Carlo sampling and by computing Bayes factors. We show that the choice of priors has a substantial impact on the ability of the model to confidently assign data to the correct class (true positive rates). Prior choice also affects significantly the ability of a BNN to identify out-of-distribution instances as unknown (false positive rates). When comparing our results against neural networks (NN) with Monte Carlo dropout we found that BNNs generally outperform NNs. Finally, in our tests we did not find a single best choice as prior distribution. Instead, each dataset yielded the best results under a different prior, indicating that testing alternative options can improve the performance of BNNs.