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I am new to pymc3, but I've heard it can be used to build a Bayesian update model. So I tried, without success. My goal was to predict which day of the week a person buys a certain product, based on prior information from a number of customers, as well as that person's shopping history.

So let's suppose I know that customers in general buy this product only on Mondays, Tuesdays, Wednesdays, and Thursdays only; and that the number of customers who bought the product in the past on those days is 3,2, 1, and 1, respectively. I thought I would set up my model like this:

import pymc3 as pm

dow = ['m', 'tu', 'w','th']
c = np.array([3, 2, 1, 1])

# hyperparameters (initially all equal)
alphas = np.array([1, 1, 1, 1])
with pm.Model() as model:
    # Parameters of the Multinomial are from a Dirichlet
    parameters = pm.Dirichlet('parameters', a=alphas, shape=4)
    # Observed data is from a Multinomial distribution
    observed_data = pm.Multinomial(
        'observed_data', n=7, p=parameters, shape=4, observed=c)

So this set up my model without any issues. Then I have an individual customer's data from 4 weeks: 1 means they bought the product, 0 means they didn't, for a given day of the week. I thought updating the model would be as simple as:

c = np.array([[1, 0,0,0],[0,1,0,0],[1,0,0,0],[1,0,0,0],[1,0,0,1])

with pm.Model() as model:
    # Parameters are a dirichlet distribution 
    parameters = pm.Dirichlet('parameters', a=alphas, shape=4)
    # Observed data is a multinomial distribution
    observed_data = pm.Multinomial(
        'observed_data',n=1,p=parameters,  shape=4, observed=c)    

    trace = pm.sample(draws=100, chains=2, tune=50, discard_tuned_samples=True)

This didn't work.

My questions are:

  • Does this still take into account the priors I set up before, or does it create a brand-new model?
  • As written above, the code didn't work as it gave me a "bad initial energy" error. Through trial and error I found that parameter "n" has to be the sum of the elements in observations (so I can't have observations adding up to different n's). Why is that? Surely the situation I described above (where some weeks they shop only on Mondays, and others on Mondays and Thursday) is not impossible?

Is there a better way of using pymc3 or a different package for this type of problem? Thank you!

merv
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user3490622
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1 Answers1

2

To answer your specific questions first:

  • The second model is a new model. You can reuse context managers by changing the line to just with model:, but looking at the code, that is probably not what you intended to do.
  • A multinomial distribution takes n draws, using the provided probabilities, and returns one list. pymc3 will broadcast for you if you provide an array for n. Here's a tidied version of your model:
with pm.Model() as model:
    parameters = pm.Dirichlet('parameters', a=alphas)
    observed_data = pm.Multinomial(
        'observed_data', n=c.sum(axis=-1), p=parameters, observed=c)    

    trace = pm.sample()

You also ask about whether pymc3 is the right library for this question, which is great! The two models you wrote down are well known, and you can solve the posterior by hand, which is much faster: in the first model, it is a Dirichlet([4, 3, 2, 2]), and in the second Dirichlet([5, 2, 1, 2]). You can confirm this with PyMC3, or read up here.

If you wanted to expand your model, or chose distributions that were not conjugate, then PyMC3 might be a better choice.

colcarroll
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