Concurrent, Condensed Stein Variational Gradient Descent for Uncertainty Quantification of Neural Networks

We propose a Stein variational gradient descent (SVGD) method to concurrently sparsify, train, and provide uncertainty quantification (UQ) of a complexly parameterized model, such as a neural network (NN). It employs a graph reconciliation and condensation process to reduce complexity and increase similarity in the Stein ensemble of parameterizations. Therefore, the proposed concurrent, condensed SVGD (ccSVGD) method can provide UQ on parameters, not just outputs. Furthermore, the parameter reduction speeds up the convergence of the Stein gradient descent as it reduces the combinatorial complexity by aligning and differentiating the sensitivity to parameters. These properties are demonstrated with an illustrative example and an application to a mechanical response representation problem in solid mechanics.