Papers › Cyclical Stochastic Gradient MCMC for Bayesian Deep Learning

Cyclical Stochastic Gradient MCMC for Bayesian Deep Learning

11 Feb 2019ICLR 2020 1arXiv:1902.03932archive 2025-07-28

Ruqi Zhang, Chunyuan Li, Jianyi Zhang, Changyou Chen, Andrew Gordon Wilson

The posteriors over neural network weights are high dimensional and multimodal. Each mode typically characterizes a meaningfully different representation of the data. We develop Cyclical Stochastic Gradient MCMC (SG-MCMC) to automatically explore such distributions. In particular, we propose a cyclical stepsize schedule, where larger steps discover new modes, and smaller steps characterize each mode. We also prove non-asymptotic convergence of our proposed algorithm. Moreover, we provide extensive experimental results, including ImageNet, to demonstrate the scalability and effectiveness of cyclical SG-MCMC in learning complex multimodal distributions, especially for fully Bayesian inference with modern deep neural networks.

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Bayesian InferenceDeep LearningStochastic Optimization

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