Entropy-regularized Gradient Estimators for Approximate Bayesian Inference

Abstract: Effective uncertainty quantification is important for training modern predictive models with limited data, enhancing both accuracy and robustness. While Bayesian methods are effective for this purpose, they can be challenging to scale. When employing approximate Bayesian inference, ensuring the quality of samples from the posterior distribution in a computationally efficient manner is essential. This paper addresses the estimation of the Bayesian posterior to generate diverse samples by approximating the gradient flow of the Kullback-Leibler (KL) divergence and the cross entropy of the target approximation under the metric induced by the Stein Operator. It presents empirical evaluations on classification tasks to assess the method's performance and discuss its effectiveness for Model-Based Reinforcement Learning that uses uncertainty-aware network dynamics models.