A Mean Field Algorithm for Bayes Learning in Large Feed-forward Neural Networks

In the Bayes approach to statistical inference [Berger, 1985] one assumes that the prior uncertainty about parameters of an unknown data generating mechanism can be encoded in a probability distribution, the so called prior. Using the prior and the likelihood of the data given the parameters, the posterior distribution of the parameters can be derived from Bayes rule. From this posterior, various estimates for functions ofthe parameter, like predictions about unseen data, can be calculated. However, in general, those predictions cannot be realised by specific parameter values, but only by an ensemble average over parameters according to the posterior probability. Hence,exact implementations of Bayes method for neural networks require averages over network parameters which in general can be performed by time consuming 226 M.Opper and O. Winther Monte Carlo procedures.