Bayesian Neural Networks via Dirichlet Process Priors on the Data-Generating Distribution for Randomized Value Functions in Deep Reinforcement Learning

Bayesian neural networks (BNNs) offer a principled framework for quantifying epistemic uncertainty. However, standard weight-space priors yield complex, high-dimensional neural network posteriors that are computationally prohibitive to sample from, and popular approximate inference schemes often fail to capture epistemic uncertainty effectively---a failure mode particularly acute in reinforcement learning (RL). To resolve this challenge, we introduce a new class of BNNs that quantify uncertainty by placing Bayesian nonparametric Dirichlet Process (DP) priors directly on the underlying data-generating distribution rather than on network parameters. Building on this foundation, we develop DP-DQN, a reinforcement learning algorithm that leverages DP-BNNs to maintain posterior distributions over value functions and perform efficient Thompson sampling. By grounding randomized value functions in Bayesian nonparametrics, DP-DQN unifies data-driven posterior reweighting (via the Bayesian Bootstrap) with generative prior hypotheses injected directly through the DP base measure, enabling decisive ``deep exploration'' with a single neural network without the overhead of multi-network ensembles.