Bayesian Neural Networks via Dirichlet Process Priors on the Data-Generating Distribution for Randomized Value Functions in Deep Reinforcement Learning

There is growing evidence that the performance of a neural network depends largely on a small subset of its weights, which are typically identified by training a dense network and pruning it afterwards. Within a Bayesian framework, pruning can be directly incorporated through a spike-and-slab prior, providing a proper treatment of the uncertainties involved, both with respect to pruning and to parameter uncertainty. In Bayesian neural networks (BNNs), sampling by MCMC is notoriously hard. We demonstrate that modern Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) can be used to sample posteriors of BNNs asymptotically exact whenever numerically constructed rate bounds hold. Spike-and-slab priors can be incorporated through sticky versions of the PDMPs, setting weights exactly to zero during sampling. We examine the predictive performance and convergence of the samplers, and show that sparse BNNs sampled this way can be more robust to input noise than dense ones.

Classical PAC-Bayesian generalization theory places prior distributions over Euclidean parameter space $Θ\subseteq \mathbb{R}^D$, causing relative entropy to scale with network dimension $D$. For modern overparameterized neural networks where $D \gg n$, this parameter-counting dependency yields vacuous generalization bounds ($> 1{,}000\%$). In this work, we resolve this barrier by shifting prior specification from internal parameters to the non-parametric space of data distributions $\mathcal{M}_1(\mathcal{Z})$ via a Dirichlet Process (DP), $\mathcal{DP}(α, F_0)$, inducing parameter distributions through push-forward measures under the learning algorithm. By the Data Processing Inequality, parameter-space relative entropy is strictly bounded by the data-space DP divergence, which we evaluate in exact closed form using Digamma functions. The resulting PAC-Bayesian certificate is strictly invariant to network parameter count $D$, width, and depth. On intrinsic $d^*$-dimensional submanifolds, optimal partition scaling achieves the minimax non-parametric rate $\mathcal{O}(n^{-1/(d^*+2)} \sqrt{\ln n})$. Across vision architectures scaling up to 4.2 million parameters ($D = 7{,}850$ to $D = 4{,}203{,}522$) on the full MNIST benchmark, while classical weight-space bounds scale past $940\%$ (becoming vacuous), our data-space DP-PAC-Bayes certificate remains stable, non-vacuous, and certified at \textbf{$8.8\%$--$9.4\%$}.

The practical adoption of sampling-based inference (SAI) in Bayesian neural networks (BNNs) remains limited, partly due to persistent misconceptions about the feasibility and efficiency of sampling. This position paper argues that SAI has achieved computational parity with optimization-based methods and is at the verge of superseding such methods for effective and efficient inference in BNNs. This development should be in the interest of the whole community, promoting BNNs as a principled paradigm with its long-standing yet unfulfilled promise of providing principled uncertainty quantification for neural networks. SAI can even do more -- yielding superior prediction performance through model averaging, serving as the foundation for a plethora of possible downstream tasks, and providing crucial insights into the landscape of BNNs. In order to make such a change happen and unfold the potential of sampling, overcoming current misconceptions is a necessary first step. The next step is to realign research efforts toward addressing remaining challenges in SAI. In particular, the community must focus on two core problems: sufficient exploration of the posterior landscape and high-fidelity distillation of posterior samples for efficient downstream inference. By addressing conceptual and practical obstacles, we can unlock the full potential of SAI and establish it as a central tool in Bayesian deep learning.