Applied Bayesian Inference with PyMC

Applied Bayesian Inference with
PyMC
@MrSantoni

Which color will sell more?
Page A
A Tea Pot
Lorem ipsum dolor sit amet, nemore accusam mel ne, usu offendit
delicata id, idque splendide constituam ex vel. Sea in nemore impedit
singulis, vivendo sadipscing cum ea. Eum debet torquatos prodesset cu.
Mel id mollis comprehensam, nemore verear mei cu.
Mei meis iuvaret vituperata ad, ne cetero iisque singulis eum. Ex magna
latine virtute nam, ne graecis dissentias eloquentiam ius. Nam alienum
omittam no. Eu vix docendi maiestatis signiferumque, alienum officiis
delicata te pri, commodo corrumpit deterruisset eu cum. An mei
tincidunt incorrupte dissentias, prompta diceret delenit vis ad.
Sea ad sadipscing intellegebat, quod sumo mea cu, ei eos feugait alienum
nominavi. Ei vix simul possit. Recteque tincidunt incorrupte pri no, ipsum
constituam eu quo. Per ne populo quodsi persius, molestie efficiantur et
his. Munere discere vis id, te sea homero suscipiantur definitionem, quot
dicam vis ne.
BUY
Page B
A Tea Pot
dicam vis ne.
BUY

Page A
A Tea Pot
dicam vis ne.
BUY
Page B
A Tea Pot
dicam vis ne.
BUY
#buy / N #buy / N

• What if N is small?
• What is N to have 90% confidence?
• What if N is different on A and B?

Probability:
Claim: we think Bayesian
Frequentist
Bayesian
Frequence
Belief

test 1 test 2 test 3
Claim: we think Bayesian
no-bugs
confidence

Bayesian Inference =
update your beliefs
new evidence
prior belief

The Developer View
Statistical
Problem
def frequentist(): return 80%
def bayesian(): return
0% 100%

How to?
𝑃 𝐴 𝐵 =
𝑃 𝐵 𝐴 𝑃(𝐴)
𝑃(𝐵)
Closed-form solution:
Realistic Cases
Toy Examples
0% 100%

PyMC
• Perform Bayesian Inference
• Markov Chain Monte Carlo techniques
• A.k.a. Probabilistic Programming

Only one difference between A and B
Page A
A Tea Pot
dicam vis ne.
BUY
Page B
A Tea Pot
dicam vis ne.
BUY

Page A
A Tea Pot
dicam vis ne.
BUY
Page B
A Tea Pot
dicam vis ne.
BUY

Assume there is
p_a
probability of clicking BUY when landing on A
p_b
probability of clicking BUY when landing on B
How to compute p_a and p_b?

Page A
– N_a visitors
– C_a BUY-click on page A
Page B
– N_b visitors
– C_b BUY-click on page B

Frequentist:
C_a / N_a
BUT:
Observed frequency does not necessarily equal p_a

Bayesian:
Infer true frequency from observed data

Page A
A Tea Pot
dicam vis ne.
BUY

Bayesian Worflow
1. Define prior
2. Fit to observations
3. Get posteriors

from pymc import Uniform, rbernoulli, Bernoulli, MCMC
from matplotlib import pyplot as plt
p_A_true = 0.05
N = 1500
occurrences = rbernoulli(p_A_true, N)
print 'Click-BUY:'
print occurrences.sum()
print 'Observed frequency:'
print occurrences.sum() / float(N)
Click-BUY:
68
Observed frequency:
0.0453333333333

Clicking BUY
Bernoulli distribution
𝑃 𝑐𝑙𝑖𝑐𝑘 =
𝑝
1 − 𝑝
𝑐𝑙𝑖𝑐𝑘 = 1
𝑐𝑙𝑖𝑐𝑘 = 0
0
0.2
0.4
0.6
0.8
click=1 click=0
𝑝

p_A = Uniform('p_A', lower=0, upper=1)
0 1 P_a
print p_A.random()
print p_A.value
array(0.906086144982998)
array(0.906086144982998)
print p_A.random()
print p_A.value
array(0.285313846133313)
array(0.285313846133313)

obs = Bernoulli('obs', p_A, value=occurrences, observed=True)

[------- 20% ] 4053 of 20000 complete in 0.5 sec
[------------- 36% ] 7315 of 20000 complete in 1.0 sec
[-----------------53% ] 10627 of 20000 complete in 1.5 sec
[-----------------69%------ ] 13939 of 20000 complete in 2.0 sec
[-----------------81%----------- ] 16376 of 20000 complete in 2.5 sec
[-----------------96%---------------- ] 19342 of 20000 complete in 3.0 sec
[-----------------100%-----------------] 20000 of 20000 complete in 3.1 sec
[ 0.04656576 0.04656576 0.04656576 ..., 0.03803667 0.03803667
0.03803667]
mcmc = MCMC([p_A, obs])
mcmc.sample(20000, 1000)
print mcmc.trace('p_A')[:]

plt.figure(figsize=(8, 7))
plt.hist(mcmc.trace('p_A')[:], bins=35, histtype='stepfilled', normed=True)
plt.xlabel('Probability of clicking BUY')
plt.ylabel('Density')
plt.vlines(p_A_true, 0, 90, linestyle='--', label='True p_A')
plt.legend()
plt.savefig('p_A_hist_N_%s.png' % N)
plt.show()

Confidence 90% that P is between X and Y?
There is 90% probability that p_A is between
0.0373019596856 and 0.0548052806892
p_A_samples = mcmc.trace('p_A')[:]
lower_bound = np.percentile(p_A_samples, 5)
upper_bound = np.percentile(p_A_samples, 95)
print 'There is 90%% probability that p_A is between %s and %s' %
(lower_bound, upper_bound)

from pymc import Uniform, rbernoulli, Bernoulli, MCMC
p_A_true = 0.05
N = 50
occurrences = rbernoulli(p_A_true, N)
print 'Click-BUY:'
print occurrences.sum()
print occurrences.sum() / float(N)
Click-BUY:
2
Observed frequency:
0.04

mcmc = MCMC([p_A, obs])
print mcmc.trace('p_A')[:]
[----- 14% ] 2874 of 20000 complete in 0.5 sec
[----------- 30% ] 6035 of 20000 complete in 1.0 sec
[-----------------63%---- ] 12775 of 20000 complete in 2.0 sec
[-----------------81%---------- ] 16203 of 20000 complete in 2.5 sec
[ 0.06240723 0.06240723 0.06240723 ..., 0.01864419 0.01864419
0.01864419]

Confidence 90% that P is between X and Y?
There is 90% probability that p_A is between
0.0160966147705 and 0.114655284797
lower_bound = np.percentile(p_A_samples, 5)
upper_bound = np.percentile(p_A_samples, 95)
print 'There is 90%% probability that p_A is between %s and %s' %
(lower_bound, upper_bound)

Does the red have a larger probability of being clicked?
Page A
A Tea Pot
dicam vis ne.
BUY
Page B
A Tea Pot
dicam vis ne.
BUY

from pymc import Uniform, rbernoulli, Bernoulli, MCMC, deterministic
p_A_true = 0.05
p_B_true = 0.04
N_A = 1500
N_B = 750
occurrences_A = rbernoulli(p_A_true, N_A)
occurrences_B = rbernoulli(p_B_true, N_B)
print 'A'
print occurrences_A.sum() / float(N_A)
print 'B'
print occurrences_B.sum() / float(N_B)
Observed frequency:
A
0.0533333333333
B
0.0413333333333

p_B = Uniform('p_B', lower=0, upper=1)
@deterministic
def delta(p_A=p_A, p_B=p_B):
return p_A - p_B
obs_A = Bernoulli('obs_A', p_A, value=occurrences_A, observed=True)
obs_B = Bernoulli('obs_B', p_B, value=occurrences_B, observed=True)
mcmc = MCMC([p_A, p_B, obs_A, obs_B, delta])
[----- 14% ] 3561 of 25000 complete in 0.5 sec
[--------- 25% ] 6332 of 25000 complete in 1.0 sec
[------------ 33% ] 8454 of 25000 complete in 1.5 sec
[--------------- 41% ] 10499 of 25000 complete in 2.0 sec
[-----------------59%-- ] 14780 of 25000 complete in 3.0 sec
[-----------------67%----- ] 16883 of 25000 complete in 3.5 sec
[-----------------75%-------- ] 18954 of 25000 complete in 4.0 sec
[-----------------83%----------- ] 20877 of 25000 complete in 4.5 sec
[-----------------91%-------------- ] 22924 of 25000 complete in 5.0 sec

p_B_samples = mcmc.trace('p_B')[:]
delta_samples = mcmc.trace('delta')[:]

plt.subplot(3,1,1)
plt.xlim(0, 0.1)
plt.hist(p_A_samples, bins=35, histtype='stepfilled', normed=True, color='blue', label='Posterior
of p_A')
plt.vlines(p_A_true, 0, 90, linestyle='--', label='True p_A (unknown)')
plt.xlabel('Probability of clicking BUY via A')
plt.legend()
plt.subplot(3,1,2)
plt.xlim(0, 0.1)
plt.hist(p_B_samples, bins=35, histtype='stepfilled', normed=True, color='green',
label='Posterior of p_B')
plt.vlines(p_B_true, 0, 90, linestyle='--', label='True p_B (unknown)')
plt.xlabel('Probability of clicking BUY via B')
plt.legend()
plt.subplot(3,1,3)
plt.xlim(0, 0.1)
plt.hist(delta_samples, bins=35, histtype='stepfilled', normed=True, color='red', label='Posterior
of delta')
plt.vlines(p_A_true - p_B_true, 0, 90, linestyle='--', label='True delta (unknown)')
plt.xlabel('p_A - p_B')
plt.legend()
plt.savefig('A_and_B.png')
plt.show()

p_A > p_B
How much are we confident?
print 'Probability that p_A > p_B:'
print (delta_samples > 0).mean()
Probability that p_A > p_B:
0.8919

N_A = 1500
N_B = 750
N_A = 1500
N_B = 200

print 'Probability that p_A > p_B:'
print (delta_samples > 0).mean()
Probability that p_A > p_B:
0.73455

Posterior P(p_A, p_B, delta | obs_A, obs_B) as samples
25000 iterations
5000 burn-in
Metropolis-Hastings algorithm

Open the black box
from pymc.Matplot import plot as mcplot
mcplot(mcmc)

PyMC
• Easy to interpret results
– confidence, no p-values!
• No crazy math
• Computationally expensive

Thank you
@MrSantoni
marcosantoni@hotmail.it

Date HomeTeam AwayTeam FTHG FTAG FTR HTHG HTAG HTR
24/08/2013 Sampdoria Juventus 0 1 A 0 0 D
24/08/2013 Verona Milan 2 1 H 1 1 D
25/08/2013 Cagliari Atalanta 2 1 H 1 1 D
25/08/2013 Inter Genoa 2 0 H 0 0 D
25/08/2013 Lazio Udinese 2 1 H 2 0 H
25/08/2013 Livorno Roma 0 2 A 0 0 D
25/08/2013 Napoli Bologna 3 0 H 2 0 H
25/08/2013 Parma Chievo 0 0 D 0 0 D
25/08/2013 Torino Sassuolo 2 0 H 1 0 H
26/08/2013 Fiorentina Catania 2 1 H 2 1 H
31/08/2013 Chievo Napoli 2 4 A 2 2 D
31/08/2013 Juventus Lazio 4 1 H 2 1 H
01/09/2013 Atalanta Torino 2 0 H 0 0 D
01/09/2013 Bologna Sampdoria 2 2 D 1 1 D
01/09/2013 Catania Inter 0 3 A 0 1 A
01/09/2013 Genoa Fiorentina 2 5 A 0 3 A
01/09/2013 Milan Cagliari 3 1 H 2 1 H
01/09/2013 Roma Verona 3 0 H 0 0 D
01/09/2013 Sassuolo Livorno 1 4 A 0 1 A
01/09/2013 Udinese Parma 3 1 H 1 0 H
14/09/2013 Inter Juventus 1 1 D 0 0 D
14/09/2013 Napoli Atalanta 2 0 H 0 0 D
14/09/2013 Torino Milan 2 2 D 0 0 D
15/09/2013 Fiorentina Cagliari 1 1 D 0 0 D
https://datahub.io/dataset/italian-football-data-serie-a-b

Bayesian Worflow
1. Define Prior
2. Fit to observations
3. Get Posteriors

Winning a Match
Bernoulli distribution
𝑃 𝑤 =
𝑝
1 − 𝑝
𝑤 = 1
𝑤 = 0
0
0.2
0.4
0.6
0.8
Win (w=1) Lose (w=0)
𝑝

Model the switchpoint
𝑝 =
𝑝1
𝑝2
𝑡 < 𝜏
𝑡 ≥ 𝜏
Goal -> infer 𝑝1, 𝑝2, 𝜏, 𝑝

Let’s model this
• goal: infer unknown p1, p2, TAU
• FIRST STEP OF Bayesian Inference: assign a prior
probability to different possible values of p
• what would be a good prior for p1, p2? Use
uniform:
– p1 ~ Uniform(0,1)
– p2 ~ Uniform(0,1)
– TAU ~ DiscreteUniform(1, 38)
• P(TAU=k)=1/38 for all k

from pymc import Uniform, DiscreteUniform, deterministic, Bernoulli, Model, MCMC
p_1 = Uniform('p_1', lower=0, upper=1)
p_2 = Uniform('p_2', lower=0, upper=1)
tau = DiscreteUniform('tau', lower=1, upper=38)
print 'Random output: ', tau.random(), tau.random(), tau.random()
Random output: 14 24 33
@deterministic
def p_(tau=tau, p_1=p_1, p_2=p_2, num_matches=38):
# concatenate p_1 and p_2 based on tau
out = np.empty(num_matches)
out[:tau] = p_1
out[tau:] = p_2
return out

Load Data
import pandas as pd
df = pd.read_csv('serie_a.csv', parse_dates=['Date'], date_parser=parse_date)
matches = df[(df.HomeTeam == ‘Milan’) | (df.AwayTeam == ‘Milan’)]
matches = matches.set_index(['Date'])
matches = compute_extra_columns(matches, team)
# some pandas manipulations occur here
matches[‘Win’] = … # 1 if Milan won, 0 otherwise

Fit the Model
observed_matches = Bernoulli('obs', p=p_, value=matches[['Win']], observed=True)
model = Model([observed_matches, p_1, p_2, tau])
mcmc = MCMC(model)
p_1_samples = mcmc.trace('p_1')[:]
p_2_samples = mcmc.trace('p_2')[:]
tau_samples = mcmc.trace('tau')[:]
print p_1_samples[:10]
print p_2_samples[:10]
print tau_samples[:10]
[ 0.42067236 0.42067236 0.42067236 0.43900391 0.43900391 0.43900391
0.43900391 0.43900391 0.43900391 0.43900391]
[ 0.49213381 0.49213381 0.49213381 0.56072562 0.79863176 0.79863176
0.67416932 0.68382528 0.6069458 0.60062698]
[10 10 24 35 35 35 35 27 27 27]

plt.figure(figsize=(14.5, 10))
ax = plt.subplot(311)
ax.set_autoscaley_on(False)
plt.hist(p_1_samples, histtype='stepfilled', alpha=0.85, label='posterior of p_1', color='#A60628', normed=True, bins=30)
plt.legend(loc='upper left')
plt.hist(p_2_samples, histtype='stepfilled', alpha=0.85, label='posterior of p_2', color='#7A68A6', normed=True, bins=30)
plt.hist(tau_samples, histtype='stepfilled', alpha=0.85, label='posterior of tau', color='#467821', normed=True, bins=30)
plt.show()

Expected Win Probability
num_matches = 38
N = tau_samples.shape[0]
expected_p_per_match = np.zeros(num_matches)
for match in range(num_matches):
ix = match < tau_samples
p_samples_match = np.concatenate([p_1_samples[ix], p_2_samples[~ix]])
expected_p_per_match[match] = np.percentile(p_samples_match, 50)

Compute Confidence Bounds
lower_p_per_match = np.zeros(num_matches)
upper_p_per_match = np.zeros(num_matches)
for match in range(num_matches):
ix = match < tau_samples
p_samples_match = np.concatenate([p_1_samples[ix], p_2_samples[~ix]])
lower_p_per_match[match] = np.percentile(p_samples_match, 5)
upper_p_per_match[match] = np.percentile(p_samples_match, 95)

Bayesian returns a distribution. What have we gained? We see uncertainty in our
estimates. The wider the distribution, the less certain our posterior belief should be.

Applied Bayesian Inference with PyMC

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