Not able to obtain Predicted values in Bayesian neural network

[simon_o]

There are many things that could be going wrong here, but maybe as a starting point you could have a look at the ADVI troubleshooting/tuning tips found in the thread:

Poor Accuracy of ADVI for Linear Regression

I tried training a linear regression model using both ADVI and MCMC. ADVI is expected to have less accuracy than MCMC when both models are converged. However, I found that ADVI has unacceptable accuracy compare to the MCMC sampling. The script that was used for evaluation : import time import numpy as np import pymc3 as pm from sklearn.datasets import load_diabetes, load_boston from sklearn.metrics import mean_squared_error from sklearn.model_selection import train_test_split from theano impo…