A few comments have mentioned neural nets in this post. adamnemecek mentions in this thread that PGMs are a superset of neural networks, and
and Thomas Wiecki has a few excellent blog posts on creating bayesian neural networks using pymc3.[0][1][2] If you're curious about how these two concepts can be brought together I highly recommend reading through these three posts.
[0] http://twiecki.github.io/blog/2016/06/01/bayesian-deep-learn...
[1] http://twiecki.github.io/blog/2016/07/05/bayesian-deep-learn...
[2] http://twiecki.github.io/blog/2017/03/14/random-walk-deep-ne...