A.1 ThePólya-Gammaaugmentation A random variableω has a Pólya-Gamma distribution if it can be written as an infinite sum of independentgammarandomvariables: ω D = 1 2π2 X

GivenatrainingdatasetD =(X,y)offeaturesandcorresponding labels from {1, ..., T} classes,D is partitioned recursively to two subsets, according to classes, at each tree level until reaching leaf nodes with data from only one class. More concretely, initially, feature vectors for all samples are obtained (using a NN), then a class prototype is generated by averaging the feature vectors belonging to the same class for all classes.