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Never heard of that, I'll take a look thanks. What do you mean by overly prohibitive? I'm not talking about big networks here so running them many times for inference is not a big deal, although I admit I'm not sure what numbers we are talking about. 100s to 1000s of times is feasible though.

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I'm not an expert on MCMC for BNNs by any means, but even with small networks I think it's a little tricky to get right. If my memory serves me right, this paper[1] focuses on small networks and goes over the issues and how to get around them.

[1]: https://arxiv.org/abs/2402.01484

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