Scalable Marginal Likelihood Estimation for Model Selection in Deep Learning

• URL: http://arxiv.org/abs/2104.04975v1
• Date: Sun, 11 Apr 2021 09:50:24 GMT
• Title: Scalable Marginal Likelihood Estimation for Model Selection in Deep Learning
• Authors: Alexander Immer, Matthias Bauer, Vincent Fortuin, Gunnar R\"atsch, Mohammad Emtiyaz Khan
• Abstract summary: Marginal-likelihood based model-selection is rarely used in deep learning due to estimation difficulties. Our work shows that marginal likelihoods can improve generalization and be useful when validation data is unavailable.
• Score: 78.83598532168256
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Marginal-likelihood based model-selection, even though promising, is rarely used in deep learning due to estimation difficulties. Instead, most approaches rely on validation data, which may not be readily available. In this work, we present a scalable marginal-likelihood estimation method to select both the hyperparameters and network architecture based on the training data alone. Some hyperparameters can be estimated online during training, simplifying the procedure. Our marginal-likelihood estimate is based on Laplace's method and Gauss-Newton approximations to the Hessian, and it outperforms cross-validation and manual-tuning on standard regression and image classification datasets, especially in terms of calibration and out-of-distribution detection. Our work shows that marginal likelihoods can improve generalization and be useful when validation data is unavailable (e.g., in nonstationary settings).

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