the alexnet.py (along with the other Python files in examples/image-classification/symbols folder) only returns symbols that represent the network.
First download and unarchive your dataset:
/mxnet/example/image-classification/data# wget http://www.image-net.org/image/whatever-zip-or-tar-file
/mxnet/example/image-classification/data# unzip whatever-zip-or-tar-file
Convert data format to RecordIO:
/mxnet/example/image-classification/data# python ../../../tools/im2rec.py --list True --recursive True --train-ratio 0.95 mydata tiny-imagenet-200
/mxnet/example/image-classification/data# python ../../../tools/im2rec.py --num-thread 16 mydata tiny-imagenet-200
Use train_imagenet.py script to train on alexnet (you may switch to any of the other symbols if you wish):
/mxnet/example/image-classification/data# cd ..
/mxnet/example/image-classification# python train_imagenet.py --network alexnet --data-train /mxnet/example/image-classification/data/mydata_train.rec --data-val /mxnet/example/image-classification/data/mydata_val.rec --num-layers 110 --batch-size 64 --gpus 0
Take a look at the README for more details.