Improvements for the Generic Bayesian Neural Network?

[Gregliest]

In the Bayesian Neural Network tutorial, there is code for a "Generic Bayesian Neural Network," that rebuilds the Flux model with the new sampled parameters. The tutorial itself also has a fully hard coded version. I think that a multiple dispatch approach might make the code a little more flexible and extensible to other layer types. Here's a prototype:

using Flux, Zygote

function similar(layer::Dense, params)
  i = 1

  weights = params[i: i + length(layer.weight) - 1]
  w = reshape(weights, size(layer.weight))
  i += length(layer.weight)

  b = params[i: i + length(layer.bias) - 1]
  i += length(layer.bias)

  return Dense(w, b, layer.σ)
end

function similar(model::Chain, params)
  layers = Array{Any}(undef, length(model))
  i = 1
  for (layerIndex, layer) in enumerate(model)
    layers[layerIndex] = similar(layer, params[i:end])
    i += numParams(Flux.params(layer))
  end

  return Chain(layers...)
end

function numParams(params::Zygote.Params)
  return reduce((x, y) -> x + length(y), params, init=0)
end

which can then be used like:

model = Chain(
  Dense(2, 3, tanh),
  Dense(3, 2, tanh),
  Dense(2, 1, σ)
)

n = numParams(Flux.params(model))
alpha = 0.09
sig = sqrt(1.0 / alpha)

@model function bayesNN(input, labels)
  nn_params ~ MvNormal(zeros(n), fill(sig, n))

  nn = similar(model, nn_params)
  predictions = nn(input)

  for i in 1:length(labels)
    labels[i] ~ Bernoulli(predictions[i])
  end
end

numSamples = 5000
chain = sample(bayesNN(xs, labels), HMC(.05, 4), numSamples)

This code will throw if similar hasn't been implemented for the Flux component, or if there aren't enough parameters. More error checking could easily be added. This approach could be easily extended to new layer types, and can handle nested models (like a Chain within a Chain). If this approach is of interest, I can add it to the tutorial.

One caveat is that similar is not a perfect analogue for this situation. The docs say that it creates an unintialized version, whereas here I'm creating a fully initialized model with the new params.

[shravanngoswamii]

@yebai Is this worth changing in Bayes NN OR current changes are fine?