Predictive Uncertainty in Large Scale Classification using Dropout - Stochastic Gradient Hamiltonian Monte Carlo

Predictive uncertainty is crucial for many computer vision tasks, from image classification to autonomous driving systems. Hamiltonian Monte Carlo (HMC) is an inference method for sampling complex posterior distributions. On the other hand, Dropout regularization has been proposed as an approximate model averaging technique that tends to improve generalization in large scale models such as deep neural networks. Although, HMC provides convergence guarantees for most standard Bayesian models, it does not handle discrete parameters arising from Dropout regularization. In this paper, we present a robust methodology for predictive uncertainty in large scale classification problems, based on Dropout and Stochastic Gradient Hamiltonian Monte Carlo. Even though Dropout induces a non-smooth energy function with no such convergence guarantees, the resulting discretization of the Hamiltonian proves empirical success. The proposed method allows to effectively estimate predictive accuracy and to provide better generalization for difficult test examples.