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Title: Dangers of Bayesian Model Averaging under Covariate Shift
Approximate Bayesian inference for neural networks is considered a robust alternative to standard training, often providing good performance on out-of-distribution data. However, Bayesian neural networks (BNNs) with high-fidelity approximate inference via full-batch Hamiltonian Monte Carlo achieve poor generalization under covariate shift, even underperforming classical estimation. We explain this surprising result, showing how a Bayesian model average can in fact be problematic under covariate shift, particularly in cases where linear dependencies in the input features cause a lack of posterior contraction. We additionally show why the same issue does not affect many approximate inference procedures, or classical maximum a-posteriori (MAP) training. Finally, we propose novel priors that improve the robustness of BNNs to many sources of covariate shift.
Authors:
; ; ;
Award ID(s):
1922658
Publication Date:
NSF-PAR ID:
10341886
Journal Name:
Advances in neural information processing systems
ISSN:
1049-5258
Sponsoring Org:
National Science Foundation
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