Dropout Inference in Bayesian Neural Networks with Alpha-divergences

To obtain uncertainty estimates with real-world Bayesian deep learning models, practical inference approximations are needed. Dropout variational inference (VI) for example has been used for machine vision and medical applications, but VI can severely underestimates model uncertainty. Alpha-divergences are alternative divergences to VI's KL objective, which are able to avoid VI's uncertainty underestimation. But these are hard to use in practice: existing techniques can only use Gaussian approximating distributions, and require existing models to be changed radically, thus are of limited use for practitioners. We propose a re-parametrisation of the alpha-divergence objectives, deriving a simple inference technique which, together with dropout, can be easily implemented with existing models by simply changing the loss of the model. We demonstrate improved uncertainty estimates and accuracy compared to VI in dropout networks. We study our model's epistemic uncertainty far away from the data using adversarial images, showing that these can be distinguished from non-adversarial images by examining our model's uncertainty

Maximally Divergent Intervals for Anomaly Detection

We present new methods for batch anomaly detection in multivariate time series. Our methods are based on maximizing the Kullback-Leibler divergence between the data distribution within and outside an interval of the time series. An empirical analysis shows the benefits of our algorithms compared to methods that treat each time step independently from each other without optimizing with respect to all possible intervals.Comment: ICML Workshop on Anomaly Detectio

Multi-view Regularized Gaussian Processes

Gaussian processes (GPs) have been proven to be powerful tools in various areas of machine learning. However, there are very few applications of GPs in the scenario of multi-view learning. In this paper, we present a new GP model for multi-view learning. Unlike existing methods, it combines multiple views by regularizing marginal likelihood with the consistency among the posterior distributions of latent functions from different views. Moreover, we give a general point selection scheme for multi-view learning and improve the proposed model by this criterion. Experimental results on multiple real world data sets have verified the effectiveness of the proposed model and witnessed the performance improvement through employing this novel point selection scheme