  Dropout is used as a practical tool to obtain uncertainty estimates in large
vision models and reinforcement learning (RL) tasks. But to obtain
well-calibrated uncertainty estimates, a grid-search over the dropout
probabilities is necessary - a prohibitive operation with large models, and an
impossible one with RL. We propose a new dropout variant which gives improved
performance and better calibrated uncertainties. Relying on recent developments
in Bayesian deep learning, we use a continuous relaxation of dropout's discrete
masks. Together with a principled optimisation objective, this allows for
automatic tuning of the dropout probability in large models, and as a result
faster experimentation cycles. In RL this allows the agent to adapt its
uncertainty dynamically as more data is observed. We analyse the proposed
variant extensively on a range of tasks, and give insights into common practice
in the field where larger dropout probabilities are often used in deeper model
layers.
