Concrete Dropout

Dropout is used as a practical tool to obtain uncertainty estimates in large vision models and reinforcement learning (RL) tasks. But to obtain well-calibrated uncertainty estimates, a grid-search over the dropout probabilities is necessary--a prohibitive operation with large models, and an impossible one with RL. We propose a new dropout variant which gives improved performance and better calibrated uncertainties. Relying on recent developments in Bayesian deep learning, we use a continuous relaxation of dropout's discrete masks. Together with a principled optimisation objective, this allows for automatic tuning of the dropout probability in large models, and as a result faster experimentation cycles.