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Bayesian neural networks with latent variables are scalable and flexible probabilistic models: they account for uncertainty in the estimation of the network weights and, by making use of latent variables, can capture complex noise patterns in the data. Using these models we show how to perform and utilize a decomposition of uncertainty in aleatoric and epistemic components for decision making purposes. This allows us to successfully identify informative points for active learning of functions with heteroscedastic and bimodal noise. Using the decomposition we further define a novel risk-sensitive criterion for reinforcement learning to identify policies that balance expected cost, model-bias and noise aversion.
Author Information
Stefan Depeweg (TU Munich)
Jose Miguel Hernandez-Lobato (University of Cambridge)
Finale Doshi-Velez (Harvard University)

Finale Doshi-Velez is a Gordon McKay Professor in Computer Science at the Harvard Paulson School of Engineering and Applied Sciences. She completed her MSc from the University of Cambridge as a Marshall Scholar, her PhD from MIT, and her postdoc at Harvard Medical School. Her interests lie at the intersection of machine learning, healthcare, and interpretability. Selected Additional Shinies: BECA recipient, AFOSR YIP and NSF CAREER recipient; Sloan Fellow; IEEE AI Top 10 to Watch
Steffen Udluft (Siemens AG)
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