^ Above post is the illustration of the danger of LW's style Bayes. Below is a non-crazy discussion (e.g. one where people don't scream):
http://andrewgelman.com/2013/12/10/cross-validation-bayesian-estimation-tuning-parameters/
Unfortunately the discussion is above my current understanding. But by glancing at the comments I catched this:
remember that many people in machine learning are frequentist (or have not yet learned the Bayesian arts) and don’t really have any other means of tuning hyperparameters so they jump on whatever methods might be available.
Which explains why it's going to be so difficult for me to learn ML. It's like I'm forced to learn Aristotelian physics. Aaargh!
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