Papers › Surrogate-assisted parallel tempering for Bayesian neural learning
Surrogate-assisted parallel tempering for Bayesian neural learning
Rohitash Chandra, Konark Jain, Arpit Kapoor, Ashray Aman
Due to the need for robust uncertainty quantification, Bayesian neural learning has gained attention in the era of deep learning and big data. Markov Chain Monte-Carlo (MCMC) methods typically implement Bayesian inference which faces several challenges given a large number of parameters, complex and multimodal posterior distributions, and computational complexity of large neural network models. Parallel tempering MCMC addresses some of these limitations given that they can sample multimodal posterior distributions and utilize high-performance computing. However, certain challenges remain given large neural network models and big data. Surrogate-assisted optimization features the estimation of an objective function for models which are computationally expensive. In this paper, we address the inefficiency of parallel tempering MCMC for large-scale problems by combining parallel computing features with surrogate assisted likelihood estimation that describes the plausibility of a model parameter value, given specific observed data. Hence, we present surrogate-assisted parallel tempering for Bayesian neural learning for simple to computationally expensive models. Our results demonstrate that the methodology significantly lowers the computational cost while maintaining quality in decision making with Bayesian neural networks. The method has applications for a Bayesian inversion and uncertainty quantification for a broad range of numerical models.
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