Rethinking Approximate Gaussian Inference in Classification
Bálint Mucsányi, Nathaël Da Costa, Philipp Hennig
In classification tasks, softmax functions are ubiquitously used as output activations to produce predictive probabilities. Such outputs only capture aleatoric uncertainty. To capture epistemic uncertainty, approximate Gaussian inference methods have been proposed. We develop a common formalism to describe such methods, which we view as outputting Gaussian distributions over the logit space. Predictives are then obtained as the expectations of the Gaussian distributions pushed forward through the softmax. However, such softmax Gaussian integrals cannot be solved analytically, and Monte Carlo (MC) approximations can be costly and noisy. We propose to replace the softmax activation by element-wise normCDF or sigmoid, which allows for the accurate sampling-free approximation of predictives. This also enables the approximation of the Gaussian pushforwards by Dirichlet distributions with moment matching. This approach entirely eliminates the runtime and memory overhead associated with MC sampling. We evaluate it combined with several approximate Gaussian inference methods (Laplace, HET, SNGP) on large- and small-scale datasets (ImageNet, CIFAR-100, CIFAR-10), demonstrating improved uncertainty quantification capabilities compared to softmax MC sampling.