“Everything that works works because it's Bayesian” Why Deep Nets Generalize?
inference.vc
inference.vc
Another common example is ridge regression being expressed as a bayesian regression (where the "ridge" part is due to the prior).
DNN is fantastic from a computational standpoint. Its _GEMM all the way down. You get high flop counts and with modern techniques, gradient-based methods find optimums relatively reliably.
But from a theoretical standpoint there are major question marks. Why does dropout work? Why has SGD been so successful? To make the field more rigorous these need to be pounded out. And in the course of it, this will make DNNs more powerful, more generalizable (as Ferenc noted), and more useful. I'll also add that it might help us discover fundamental laws of intelligence.
As evidence of this approach being useful, I'll note that Yann LeCun is openly Bayesian.
But if we have a network that has essentially memorized a random dataset, how is it functionally different from a nearest neighbor algorithm?