README.md

Bayesian Benchmarks

This is a set of tools for evaluating Bayesian models, together with benchmark implementations and results.

Motivations:

• There is a lack of standardized tasks that meaningfully assess the quality of uncertainty quantification for Bayesian black-box models.
• Variations between tasks in the literature make a direct comparison between methods difficult.
• Implementing competing methods takes considerable effort, and there little incentive to do a good job.
• Published papers may not always provide complete details of implementations due to space considerations.

Aims:

• Curate a set of benchmarks that meaningfully compare the efficacy of Bayesian models in real-world tasks.
• Maintain a fair assessment of benchmark methods, with full implementations and results.

Tasks:

• Classification and regression
• Density estimation (real world and synthetic) (TODO)
• Active learning
• Adversarial robustness (TODO)

Current implementations:

• Sparse variational GP, for Gaussian and non-Gaussian likelihoods
• Sparse variational GP, with minibatches
• 2 layer Deep Gaussian process, with doubly-stochastic variational inference
• A variety of sklearn models

See the models folder for instruction for adding new models.

Coming soon:

• Structured Variational Learning of Bayesian Neural Networks with Horseshoe Priors
• Differentiable Compositional Kernel Learning for Gaussian Processes
• Deep Gaussian Processes using Stochastic Gradient Hamiltonian Monte Carlo