title: Cyclical Stochastic Gradient MCMC for Bayesian Deep Learning
abstract: The posteriors over neural network weights are high dimensional and multimodal. Each mode typically characterizes a meaningfully different representation of the data. We develop Cyclical Stochastic Gradient MCMC (SG-MCMC) to automatically explore such distributions. In particular, we propose a cyclical stepsize schedule, where larger steps discover new modes, and smaller steps characterize each mode. We prove non-asymptotic convergence theory of our proposed algorithm. Moreover, we provide extensive experimental results, including ImageNet, to demonstrate the effectiveness of cyclical SG-MCMC in learning complex multimodal distributions, especially for fully Bayesian inference with modern deep neural networks.
authors: Ruqi Zhang Chunyuan Li Jianyi Zhang Changyou Chen Andrew Gordon Wilson
hIndex: Andrew Gordon Wilson 42