Paper:
An ensemble of neural networks is known to be more robust and accurate than an individual network, however usually with linearly-increased cost in both training and testing. In this work, we propose a two-stage method to learn Sparse Structured Ensembles (SSEs) for neural networks. In the first stage, we run SG-MCMC with group sparse priors to draw an ensemble of samples from the posterior distribution of network parameters. In the second stage, we apply weight-pruning to each sampled network and then perform retraining over the remained connections. In this way of learning SSEs with SG-MCMC and pruning, we not only achieve high prediction accuracy since SG-MCMC enhances exploration of the modelparameter space, but also reduce memory and computation cost significantly in both training and testing of NN ensembles. This is thoroughly evaluated in the experiments of learning SSE ensembles of both FNNs and LSTMs. For example, in LSTM based language modeling (LM), we obtain 21% relative reduction in LM perplexity by learning a SSE of 4 large LSTM models, which has only 30% of model parameters and 70% of computations in total, as compared to the baseline large LSTM LM. To the best of our knowledge, this work represents the first methodology and empirical study of integrating SG-MCMC, group sparse prior and network pruning together for learning NN ensembles.

Review:
In this paper, the authors present a new framework for training ensemble of neural networks. The approach is based on the recent scalable MCMC methods, namely the stochastic gradient Langevin dynamics.
The paper is overall well-written and ideas are clear. The main contributions of the paper, namely using SG-MCMC methods within deep learning, and then increasing the computational efficiency by group sparsity+pruning are valuable and can have a significant impact in the domain. Besides, the proposed approach is more elegant the competing ones, while still not being theoretically justified completely. 
I have the following minor comments:
1) The authors mention that retraining significantly improves the performance, even without pruning. What is the explanation for this? If there is no pruning, I would expect that all the samples would converge to the same minimum after retraining. Therefore, the reason why retraining improves the performance in all cases is not clear to me.
2) The notation |\theta_g| is confusing, the authors should use a different symbol.
3) After section 4, the language becomes quite informal sometimes, the authors should check the sentences once again.
4) The results with SGD (1 model) + GSP + PR should be added in order to have a better understanding of the improvements provided by the ensemble networks. 
5) Why does the performance get worse "obviously" when the pruning is 95% and why is it not obvious when the pruning is 90%?
6) There are several typos
pg7: drew -> drawn
pg7: detail -> detailed
pg7: changing -> challenging
pg9: is strongly depend on -> depends on
pg9: two curve -> two curves