  We evaluate the uncertainty quality in neural networks using anomaly
detection. We extract uncertainty measures (e.g. entropy) from the predictions
of candidate models, use those measures as features for an anomaly detector,
and gauge how well the detector differentiates known from unknown classes. We
assign higher uncertainty quality to candidate models that lead to better
detectors. We also propose a novel method for sampling a variational
approximation of a Bayesian neural network, called One-Sample Bayesian
Approximation (OSBA). We experiment on two datasets, MNIST and CIFAR10. We
compare the following candidate neural network models: Maximum Likelihood,
Bayesian Dropout, OSBA, and --- for MNIST --- the standard variational
approximation. We show that Bayesian Dropout and OSBA provide better
uncertainty information than Maximum Likelihood, and are essentially equivalent
to the standard variational approximation, but much faster.
