Tag: Bayes

Simulating data with Bayesian networks, by Daniel Oehm

Simulating data with Bayesian networks, by Daniel Oehm

Daniel Oehm wrote this interesting blog about how to simulate realistic data using a Bayesian network.

Bayesian networks are a type of probabilistic graphical model that uses Bayesian inference for probability computations. Bayesian networks aim to model conditional dependence, and therefore causation, by representing conditional dependence by edges in a directed graph. Through these relationships, one can efficiently conduct inference on the random variables in the graph through the use of factors.

Devin Soni via Medium

As Bayes nets represent data as a probabilistic graph, it is very easy to use that structure to simulate new data that demonstrate the realistic patterns of the underlying causal system. Daniel’s post shows how to do this with bnlearn.

Daniel’s example Bayes net

New data is simulated from a Bayes net (see above) by first sampling from each of the root nodes, in this case sex. Then followed by the children conditional on their parent(s) (e.g. sport | sex and hg | sex) until data for all nodes has been drawn. The numbers on the nodes below indicate the sequence in which the data is simulated, noting that rcc is the terminal node.

Daniel Oehms in his blog

The original and simulated datasets are compared in a couple of ways 1) observing the distributions of the variables 2) comparing the output from various models and 3) comparing conditional probability queries. The third test is more of a sanity check. If the data is generated from the original Bayes net then a new one fit on the simulated data should be approximately the same. The more rows we generate the closer the parameters will be to the original values.

The original data alongside the generated data in Daniel’s example

As you can see, a Bayesian network allows you to generate data that looks, feels, and behaves a lot like the data on which you based your network on in the first place.

This can be super useful if you want to generate a synthetic / fake / artificial dataset without sharing personal or sensitive data.

Moreover, the underlying Bayesian net can be very useful to compute missing values. In Daniel’s example, he left out some values on purpose (pretending they were missing) and imputed them with the Bayes net. He found that the imputed values for the missing data points were quite close to the original ones:

For two variables, the original values plotted against the imputed replacements.

In the original blog, Daniel goes on to show how to further check the integrity of the simulated data using statistical models and shares all his code so you can try this out yourself. Please do give his website a visit as Daniel has many more interesting statistics blogs!

Bayes theorem, and making probability intuitive – by 3Blue1Brown

Bayes theorem, and making probability intuitive – by 3Blue1Brown

This video I’ve been meaning to watch for a while now. It another great visual explanation of a statistics topic by the 3Blue1Brown Youtube channel (which I’ve covered before, multiple times).

This time, it’s all about Bayes theorem, and I just love how Grant Sanderson explains the concept so visually. He argues that rather then memorizing the theorem, we’d rather learn how to draw out the context. Have a look at the video, or read my summary below:

Grant Sanderson explains the concept very visually following an example outlined in Daniel Kahneman’s and Amos Tversky’s book Thinking Fast, Thinking Slow:

Steve is very shy and withdrawn, invariably helpful but with very little interest in people or in the world of reality. A meek and tidy soul, he has a need for order and structure, and a passion for detail.”

Is Steve more likely to be a librarian or a farmer?

Question from Thinking Fast, Thinking Slow

What was your first guess?

Kahneman and Tversky argue that people take into account Steve’s disposition and therefore lean towards librarians.

However, few people take into account that librarians are quite scarce in our society, which is rich with farmers. For every librarian, there are 20+ farmers. Hence, despite the disposition, Steve is probably more like to be a farmer.

https://www.youtube.com/watch?v=HZGCoVF3YvM&feature=youtu.be
https://www.youtube.com/watch?v=HZGCoVF3YvM&feature=youtu.be
https://www.youtube.com/watch?v=HZGCoVF3YvM&feature=youtu.be

Rather than remembering the upper theorem, Grant argues that it’s often easier to just draw out the rectangle of probabilities below.

Try it out for yourself using another example by Kahneman and Tversky:

https://www.youtube.com/watch?v=HZGCoVF3YvM&feature=youtu.be
E-Book: Probabilistic Programming & Bayesian Methods for Hackers

E-Book: Probabilistic Programming & Bayesian Methods for Hackers

The Bayesian method is the natural approach to inference, yet it is hidden from readers behind chapters of slow, mathematical analysis. Nevertheless, mathematical analysis is only one way to “think Bayes”. With cheap computing power, we can now afford to take an alternate route via probabilistic programming.

Cam Davidson-Pilon wrote the book Bayesian Methods for Hackers as a introduction to Bayesian inference from a computational and understanding-first, mathematics-second, point of view.

The book is available via Amazon, but you can access an online e-book for free. There’s also an associated GitHub repo.

The book explains Bayesian principles with code and visuals. For instance:

%matplotlib inline
from IPython.core.pylabtools import figsize
import numpy as np
from matplotlib import pyplot as plt
figsize(11, 9)

import scipy.stats as stats

dist = stats.beta
n_trials = [0, 1, 2, 3, 4, 5, 8, 15, 50, 500]
data = stats.bernoulli.rvs(0.5, size=n_trials[-1])
x = np.linspace(0, 1, 100)

for k, N in enumerate(n_trials):
    sx = plt.subplot(len(n_trials)/2, 2, k+1)
    plt.xlabel("$p$, probability of heads") \
        if k in [0, len(n_trials)-1] else None
    plt.setp(sx.get_yticklabels(), visible=False)
    heads = data[:N].sum()
    y = dist.pdf(x, 1 + heads, 1 + N - heads)
    plt.plot(x, y, label="observe %d tosses,\n %d heads" % (N, heads))
    plt.fill_between(x, 0, y, color="#348ABD", alpha=0.4)
    plt.vlines(0.5, 0, 4, color="k", linestyles="--", lw=1)

    leg = plt.legend()
    leg.get_frame().set_alpha(0.4)
    plt.autoscale(tight=True)


plt.suptitle("Bayesian updating of posterior probabilities",
             y=1.02,
             fontsize=14)

plt.tight_layout()

I can only recommend you start with the online version of Bayesian Methods for Hackers, but note that the print version helps sponsor the author ánd includes some additional features:

  • Additional Chapter on Bayesian A/B testing
  • Updated examples
  • Answers to the end of chapter questions
  • Additional explanation, and rewritten sections to aid the reader.

If you’re interested in learning more about Bayesian analysis, I recommend these other books:

Helpful resources for A/B testing

Helpful resources for A/B testing

Brandon Rohrer — (former) data scientist at Microsoft, iRobot, and Facebook — asked his network on Twitter and LinkedIn to share their favorite resources on A/B testing. It produced a nice list, which I summarized below.

The order is somewhat arbitrary, and somewhat based on my personal appreciation of the resources.

Cover image via Optimizely

PyData, London 2018

PyData, London 2018

PyData provides a forum for the international community of users and developers of data analysis tools to share ideas and learn from each other. The communities approach data science using many languages, including (but not limited to) Python, Julia, and R.

April 2018, a PyData conference was held in London, with three days of super interesting sessions and hackathons. While I couldn’t attend in person, I very much enjoy reviewing the sessions at home as all are shared open access on YouTube channel PyDataTV!

In the following section, I will outline some of my favorites as I progress through the channel:

Winning with simple, even linear, models:

One talk that really resonated with me is Vincent Warmerdam‘s talk on “Winning with Simple, even Linear, Models“. Working at GoDataDriven, a data science consultancy firm in the Netherlands, Vincent is quite familiar with deploying deep learning models, but is also midly annoyed by all the hype surrounding deep learning and neural networks. Particularly when less complex models perform equally well or only slightly less. One of his quote’s nicely sums it up:

“Tensorflow is a cool tool, but it’s even cooler when you don’t need it!”

— Vincent Warmerdam, PyData 2018

In only 40 minutes, Vincent goes to show the finesse of much simpler (linear) models in all different kinds of production settings. Among others, Vincent shows:

  • how to solve the XOR problem with linear models
  • how to win at timeseries with radial basis features
  • how to use weighted regression to deal with historical overfitting
  • how deep learning models introduce a new theme of horror in production
  • how to create streaming models using passive aggressive updating
  • how to build a real-time video game ranking system using mere histograms
  • how to create a well performing recommender with two SQL tables
  • how to rock at data science and machine learning using Python, R, and even Stan
Bayesian data analysis for newcomers

Bayesian data analysis for newcomers

Professor John Kruschke and Torrin Liddell – one of his Ph.D. students at Indiana University – wrote a fantastically useful scientific paper introducing Bayesian data analysis to the masses. Kruschke and Liddell explain the main ideas behind Bayesian statistics, how Bayesians deal with continuous and binary variables, how to use and set meaningful priors, the differences between confidence and credibility intervals, how to perform model comparison tests, and many more. The paper is published open access so you can read it here.

I found it incredibly useful, providing me with a better understanding of how Bayesian analysis works, what kind of questions you can answer with it, and what the resulting insights would comprise of. After reading it, I was honestly asking myself why I don’t use Bayesian methods more often… So what’s next, how to learn more?