Xavier Initialization

Xavier Initialization, or Glorot Initialization, is an initialization scheme for neural networks. Biases are initialized be 0 and the weights $W\_{ij}$ at each layer are initialized as:

$W\_{ij} \sim U\left[-\frac{\sqrt{6}}{\sqrt{fan_{in} + fan_{out}}}, \frac{\sqrt{6}}{\sqrt{fan_{in} + fan_{out}}}\right]$

Where $U$ is a uniform distribution and $fan_{in}$ is the size of the previous layer (number of columns in $W$) and $fan_{out}$ is the size of the current layer.