Recent results in bayesian statistics for constructing robust neural networks have proved that it is one of the best ways to deal with uncertainty, overfitting but still having good performance. Gelato will help to use bayes for neural networks. Library heavily relies on Theano, Lasagne and PyMC3.

git clone https://github.com/ferrine/gelato
pip install -r gelato/requirements.txt
pip install gelato

Charles Blundell et al: "Weight Uncertainty in Neural Networks" (arXiv preprint arXiv:1505.05424)