Markov chain Monte Carlo methods for probabilistic network model determination

The predictive performance of a neural network model depends crucially on the net architecture. Although complex models can fit very well the data at hand, their out-of-sample performance is typically very poor. In order to improve the predictive performance of a neural network model, we propose to interpret a neural network as a graphical model with latent variables. The proposed interpretation allows to extend a computational methodology recently proposed in Giudici and Green (1999) to compare alternative network models in terms of their posterior probabilities, and, therefore, to choose the most plausible net architecture. We apply our proposal to a data-set concerned with the analysis of the correlation structure among shares of viewers in the Italian television market.