You can but you do not have to. By default, variables are normalized to [-1,1] and the initial weights are automatically determined using the Widrow-Nguyen Algorithm. If you really want to, look up the logic for the algorithm.
If all weights are initially zero, train will automatically initialize them. If you train multiple nets in a loop, after the first pass the weights will be nonzero and train will just continue using the final weights obtained from the previous loop.
To prevent this, use the function configure to initialize weights before each call of train.
Hope this helps.
Thank you for formally accepting my answer
Greg
