On MCMC Sampling in Bayesian MLP Neural Networks

Bayesian MLP neural networks are a flexible tool in complex nonlinear problems. The approach is complicated by need to evaluate integrals over high-dimensional probability distributions. The integrals are generally approximated with Markov Chain Monte Carlo (MCMC) methods. There are several practical issues which arise when implementing MCMC. This article discusses the choice of starting values and the number of chains in Bayesian MLP models. We propose a new method for choosing the starting values based on early stopping and we demonstrate the benefits of using several independent chains.

• Type: Conference
• Year: 2000
• Where: IJCNN
• Authors: Aki Vehtari, Simo Särkkä, Jouko Lampinen
• Keywords: Bayesian MLP, IJCNN 2000, Markov Chain Monte Carlo, MLP Neural Networks, Neural Networks