Bayesian inference with finitely wide neural networks

The analytic inference, e.g., predictive distribution being in closed form, may be an appealing benefit for machine learning practitioners when they treat wide neural networks as Gaussian process in a Bayesian setting. The realistic widths, however, are finite and cause weak deviation from the Gaussianity under which partial marginalization of random variables in a model is straightforward. On the basis of multivariate Edgeworth expansion, we propose a non-Gaussian distribution in differential form to model a finite set of outputs from a random neural network, and derive the corresponding marginal and conditional properties. Thus, we are able to derive the non-Gaussian posterior distribution in Bayesian regression task. In addition, in the bottlenecked deep neural networks, a weight space representation of a deep Gaussian process, the non-Gaussianity is investigated through the marginal kernel and the accompanying small parameters.