The Graphics Processing Unit (GPU) originally designed for rendering graphics and which is difficult to program for other tasks, has since evolved into a device suitable for general-purpose computations. As a result graphics hardware has become progressively more attractive yielding unprecedented performance at a relatively low cost. Thus, it is the ideal candidate to accelerate a wide variety of data parallel tasks in many fields such as in Machine Learning (ML). As problems become more and more demanding, parallel implementations of learning algorithms are crucial for a useful application. In particular, the implementation of Neural Networks (NNs) in GPUs can significantly reduce the long training times during the learning process. In this paper we present a GPU parallel implementation of the Back-Propagation (BP) and Multiple Back-Propagation (MBP) algorithms, and describe the GPU kernels needed for this task. The results obtained on well-known benchmarks show faster training times and improved performances as compared to the implementation in traditional hardware, due to maximized floating-point throughput and memory bandwidth. Moreover, a preliminary GPU based Autonomous Training System (ATS) is developed which aims at automatically finding high-quality NNs-based solutions for a given problem.