Benchmarking the Neural Linear Model for Regression
This work provides an incremental evaluation of a known method on standard benchmarks, clarifying its practical utility for regression problems.
The authors systematically benchmarked the neural linear model on UCI datasets for regression tasks, showing it generally performs well but requires careful hyperparameter tuning.
The neural linear model is a simple adaptive Bayesian linear regression method that has recently been used in a number of problems ranging from Bayesian optimization to reinforcement learning. Despite its apparent successes in these settings, to the best of our knowledge there has been no systematic exploration of its capabilities on simple regression tasks. In this work we characterize these on the UCI datasets, a popular benchmark for Bayesian regression models, as well as on the recently introduced UCI "gap" datasets, which are better tests of out-of-distribution uncertainty. We demonstrate that the neural linear model is a simple method that shows generally good performance on these tasks, but at the cost of requiring good hyperparameter tuning.