Because it's difficult. Bayesian methods don't scale well to the number of parameters that most modern ML demands. Doing inference for large models is intractab

Because it's difficult. Bayesian methods don't scale well to the number of parameters that most modern ML demands. Doing inference for large models is intractable. However, even if you're able to do that, the problem isn't solved. You have to answer level of confidence for what? The uncertainty / confidence that you get assumes your model is right. No model can tell you whether it is a true reflection of reality. I had written more about this on my twitter: https://twitter.com/paraschopra/status/1075033048767520768 https://twitter.com/paraschopra/status/1075033048767520768