Deep learning and Bayesian learning are considered two entirely different fields often used in complementary settings. It is clear that combining ideas from the two fields would be beneficial, but how can we achieve this given their fundamental differences?

This tutorial will introduce modern Bayesian principles to bridge this gap. Using these principles, we can derive a range of learning-algorithms as special cases, e.g., from classical algorithms, such as linear regression and forward-backward algorithms, to modern deep-learning algorithms, such as SGD, RMSprop and Adam. This view then enables new ways to improve aspects of deep learning, e.g., with uncertainty, robustness, and interpretation. It also enables the design of new methods to tackle challenging problems, such as those arising in active learning, continual learning, reinforcement learning, etc.

Overall, our goal is to bring Bayesians and deep-learners closer than ever before, and motivate them to work together to solve challenging real-world problems by combining their strengths.