Generalized Laplace Approximation

• URL: http://arxiv.org/abs/2405.13535v3
• Date: Thu, 10 Oct 2024 04:41:33 GMT
• Title: Generalized Laplace Approximation
• Authors: Yinsong Chen, Samson S. Yu, Zhong Li, Chee Peng Lim,
• Abstract summary: We introduce a unified theoretical framework to attribute Bayesian inconsistency to model misspecification and inadequate priors. We propose the generalized Laplace approximation, which involves a simple adjustment to the Hessian matrix of the regularized loss function. We assess the performance and properties of the generalized Laplace approximation on state-of-the-art neural networks and real-world datasets.
• Score: 23.185126261153236
• License:
• Abstract: In recent years, the inconsistency in Bayesian deep learning has garnered increasing attention. Tempered or generalized posterior distributions often offer a direct and effective solution to this issue. However, understanding the underlying causes and evaluating the effectiveness of generalized posteriors remain active areas of research. In this study, we introduce a unified theoretical framework to attribute Bayesian inconsistency to model misspecification and inadequate priors. We interpret the generalization of the posterior with a temperature factor as a correction for misspecified models through adjustments to the joint probability model, and the recalibration of priors by redistributing probability mass on models within the hypothesis space using data samples. Additionally, we highlight a distinctive feature of Laplace approximation, which ensures that the generalized normalizing constant can be treated as invariant, unlike the typical scenario in general Bayesian learning where this constant varies with model parameters post-generalization. Building on this insight, we propose the generalized Laplace approximation, which involves a simple adjustment to the computation of the Hessian matrix of the regularized loss function. This method offers a flexible and scalable framework for obtaining high-quality posterior distributions. We assess the performance and properties of the generalized Laplace approximation on state-of-the-art neural networks and real-world datasets.

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