Efficient Bayesian Deep Ensembles via Analytic Predictive Inference

We introduce an efficient Bayesian deep ensemble method for predictive regression designed to enhance interpretability while maintaining competitive predictive performance and computational efficiency.

Our method combines the statistical rigor of Bayesian inference with the scalability of deep ensembles, providing calibrated uncertainty estimates that enable its use not only for standalone prediction but also as a component within broader learning systems.

To achieve these goals, our work relies on three key design components: (i) low-dimensional ensemble representation: predictions are expressed as a combination of a small number of trained neural predictors, enabling scalable inference whose cost depends on ensemble size rather than dataset size; (ii) closed-form Bayesian aggregation: ensemble predictions are combined using Bayesian linear regression, yielding interpretable posterior weights and calibrated uncertainty without approximate inference; and (iii) Independent ensemble training: multiple neural networks are trained separately, producing diverse predictive representations that improve robustness and uncertainty calibration.

Empirical results on standard regression benchmarks demonstrate that the proposed approach achieves competitive predictive performance while maintaining reliable uncertainty estimates across settings.