Bayesian Multinomial Logistic Regression
Multinomial logistic regression is an extension of logistic regression. Logistic regression is used to model problems in which there are exactly two possible discrete outcomes. Multinomial logistic regression is used to model problems in which there are two or more possible discrete outcomes.
In our example, we'll be using the iris dataset. The goal of the iris multiclass problem is to predict the species of a flower given measurements (in centimeters) of sepal length and width and petal length and width. There are three possible species: Iris setosa, Iris versicolor, and Iris virginica.
To start, let's import all the libraries we'll need.
# Load Turing.
using Turing
# Load RDatasets.
using RDatasets
# Load StatsPlots for visualizations and diagnostics.
using StatsPlots
# Functionality for splitting and normalizing the data.
using MLDataUtils: shuffleobs, splitobs, rescale!
# We need a softmax function which is provided by NNlib.
using NNlib: softmax
# Functionality for constructing arrays with identical elements efficiently.
using FillArrays
# Functionality for working with scaled identity matrices.
using LinearAlgebra
# Set a seed for reproducibility.
using Random
Random.seed!(0);
Data Cleaning & Set Up
Now we're going to import our dataset. Twenty rows of the dataset are shown below so you can get a good feel for what kind of data we have.
# Import the "iris" dataset.
data = RDatasets.dataset("datasets", "iris");
# Show twenty random rows.
data[rand(1:size(data, 1), 20), :]
20×5 DataFrame
Row │ SepalLength SepalWidth PetalLength PetalWidth Species
│ Float64 Float64 Float64 Float64 Cat…
─────┼──────────────────────────────────────────────────────────────
1 │ 5.9 3.2 4.8 1.8 versicolor
2 │ 7.7 3.8 6.7 2.2 virginica
3 │ 5.9 3.0 4.2 1.5 versicolor
4 │ 6.3 2.9 5.6 1.8 virginica
5 │ 6.3 2.7 4.9 1.8 virginica
6 │ 4.8 3.4 1.6 0.2 setosa
7 │ 6.5 3.0 5.5 1.8 virginica
8 │ 5.0 3.4 1.5 0.2 setosa
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮
14 │ 5.6 2.8 4.9 2.0 virginica
15 │ 6.4 2.8 5.6 2.1 virginica
16 │ 7.2 3.6 6.1 2.5 virginica
17 │ 5.6 2.5 3.9 1.1 versicolor
18 │ 5.8 2.8 5.1 2.4 virginica
19 │ 5.8 2.7 4.1 1.0 versicolor
20 │ 5.0 3.4 1.5 0.2 setosa
5 rows omitted
In this data set, the outcome Species is currently coded as a string. We convert it to a numerical value by using indices 1, 2, and 3 to indicate species setosa, versicolor, and virginica, respectively.
# Recode the `Species` column.
species = ["setosa", "versicolor", "virginica"]
data[!, :Species_index] = indexin(data[!, :Species], species)
# Show twenty random rows of the new species columns
data[rand(1:size(data, 1), 20), [:Species, :Species_index]]
20×2 DataFrame
Row │ Species Species_index
│ Cat… Union…
─────┼───────────────────────────
1 │ setosa 1
2 │ virginica 3
3 │ setosa 1
4 │ versicolor 2
5 │ setosa 1
6 │ versicolor 2
7 │ versicolor 2
8 │ setosa 1
⋮ │ ⋮ ⋮
14 │ setosa 1
15 │ virginica 3
16 │ virginica 3
17 │ setosa 1
18 │ versicolor 2
19 │ virginica 3
20 │ versicolor 2
5 rows omitted
After we've done that tidying, it's time to split our dataset into training and testing sets, and separate the features and target from the data. Additionally, we must rescale our feature variables so that they are centered around zero by subtracting each column by the mean and dividing it by the standard deviation. Without this step, Turing's sampler will have a hard time finding a place to start searching for parameter estimates.
# Split our dataset 50%/50% into training/test sets.
trainset, testset = splitobs(shuffleobs(data), 0.5)
# Define features and target.
features = [:SepalLength, :SepalWidth, :PetalLength, :PetalWidth]
target = :Species_index
# Turing requires data in matrix and vector form.
train_features = Matrix(trainset[!, features])
test_features = Matrix(testset[!, features])
train_target = trainset[!, target]
test_target = testset[!, target]
# Standardize the features.
μ, σ = rescale!(train_features; obsdim=1)
rescale!(test_features, μ, σ; obsdim=1);
Model Declaration
Finally, we can define our model logistic_regression. It is a function that takes three arguments where
xis our set of independent variables;yis the element we want to predict;σis the standard deviation we want to assume for our priors.
We select the setosa species as the baseline class (the choice does not matter). Then we create the intercepts and vectors of coefficients for the other classes against that baseline. More concretely, we create scalar intercepts intercept_versicolor and intersept_virginica and coefficient vectors coefficients_versicolor and coefficients_virginica with four coefficients each for the features SepalLength, SepalWidth, PetalLength and PetalWidth. We assume a normal distribution with mean zero and standard deviation σ as prior for each scalar parameter. We want to find the posterior distribution of these, in total ten, parameters to be able to predict the species for any given set of features.
# Bayesian multinomial logistic regression
@model function logistic_regression(x, y, σ)
n = size(x, 1)
length(y) == n ||
throw(DimensionMismatch("number of observations in `x` and `y` is not equal"))
# Priors of intercepts and coefficients.
intercept_versicolor ~ Normal(0, σ)
intercept_virginica ~ Normal(0, σ)
coefficients_versicolor ~ MvNormal(Zeros(4), σ^2 * I)
coefficients_virginica ~ MvNormal(Zeros(4), σ^2 * I)
# Compute the likelihood of the observations.
values_versicolor = intercept_versicolor .+ x * coefficients_versicolor
values_virginica = intercept_virginica .+ x * coefficients_virginica
for i in 1:n
# the 0 corresponds to the base category `setosa`
v = softmax([0, values_versicolor[i], values_virginica[i]])
y[i] ~ Categorical(v)
end
end;
Sampling
Now we can run our sampler. This time we'll use HMC to sample from our posterior.
m = logistic_regression(train_features, train_target, 1)
chain = sample(m, NUTS(), MCMCThreads(), 1_500, 3)
Chains MCMC chain (1500×22×3 Array{Float64, 3}):
Iterations = 751:1:2250
Number of chains = 3
Samples per chain = 1500
Wall duration = 15.36 seconds
Compute duration = 14.55 seconds
parameters = intercept_versicolor, intercept_virginica, coefficients
_versicolor[1], coefficients_versicolor[2], coefficients_versicolor[3], coe
fficients_versicolor[4], coefficients_virginica[1], coefficients_virginica[
2], coefficients_virginica[3], coefficients_virginica[4]
internals = lp, n_steps, is_accept, acceptance_rate, log_density, h
amiltonian_energy, hamiltonian_energy_error, max_hamiltonian_energy_error,
tree_depth, numerical_error, step_size, nom_step_size
Summary Statistics
parameters mean std naive_se mcse
⋯
Symbol Float64 Float64 Float64 Float64 F
loa ⋯
intercept_versicolor 0.9494 0.5083 0.0076 0.0071 483
6.9 ⋯
intercept_virginica -0.6518 0.6739 0.0100 0.0108 495
0.5 ⋯
coefficients_versicolor[1] 1.0556 0.6479 0.0097 0.0081 463
2.4 ⋯
coefficients_versicolor[2] -1.4733 0.5602 0.0084 0.0073 480
0.5 ⋯
coefficients_versicolor[3] 1.0303 0.7435 0.0111 0.0108 469
7.8 ⋯
coefficients_versicolor[4] 0.3132 0.7089 0.0106 0.0114 401
8.2 ⋯
coefficients_virginica[1] 0.9615 0.6790 0.0101 0.0100 443
5.7 ⋯
coefficients_virginica[2] -0.7004 0.6586 0.0098 0.0076 486
2.8 ⋯
coefficients_virginica[3] 2.1020 0.8220 0.0123 0.0109 563
6.6 ⋯
coefficients_virginica[4] 2.6179 0.7548 0.0113 0.0126 501
1.5 ⋯
3 columns om
itted
Quantiles
parameters 2.5% 25.0% 50.0% 75.0% 97
.5% ⋯
Symbol Float64 Float64 Float64 Float64 Floa
t64 ⋯
intercept_versicolor -0.0378 0.6028 0.9550 1.2954 1.9
344 ⋯
intercept_virginica -1.9762 -1.1062 -0.6404 -0.1784 0.6
174 ⋯
coefficients_versicolor[1] -0.1816 0.6108 1.0546 1.4951 2.3
514 ⋯
coefficients_versicolor[2] -2.6360 -1.8418 -1.4428 -1.0772 -0.4
581 ⋯
coefficients_versicolor[3] -0.4193 0.5419 1.0388 1.5370 2.4
867 ⋯
coefficients_versicolor[4] -1.0839 -0.1781 0.3063 0.7932 1.7
102 ⋯
coefficients_virginica[1] -0.3369 0.4910 0.9540 1.4167 2.3
063 ⋯
coefficients_virginica[2] -2.0041 -1.1445 -0.6911 -0.2484 0.5
600 ⋯
coefficients_virginica[3] 0.5236 1.5549 2.0865 2.6542 3.7
392 ⋯
coefficients_virginica[4] 1.1253 2.1225 2.6243 3.1309 4.0
841 ⋯
Since we ran multiple chains, we may as well do a spot check to make sure each chain converges around similar points.
plot(chain)
Looks good!
We can also use the corner function from MCMCChains to show the distributions of the various parameters of our multinomial logistic regression. The corner function requires MCMCChains and StatsPlots.
corner(
chain,
MCMCChains.namesingroup(chain, :coefficients_versicolor);
label=[string(i) for i in 1:4],
)
corner(
chain,
MCMCChains.namesingroup(chain, :coefficients_virginica);
label=[string(i) for i in 1:4],
)
Fortunately the corner plots appear to demonstrate unimodal distributions for each of our parameters, so it should be straightforward to take the means of each parameter's sampled values to estimate our model to make predictions.
Making Predictions
How do we test how well the model actually predicts which of the three classes an iris flower belongs to? We need to build a prediction function that takes the test dataset and runs it through the average parameter calculated during sampling.
The prediction function below takes a Matrix and a Chains object. It computes the mean of the sampled parameters and calculates the species with the highest probability for each observation. Note that we do not have to evaluate the softmax function since it does not affect the order of its inputs.
function prediction(x::Matrix, chain)
# Pull the means from each parameter's sampled values in the chain.
intercept_versicolor = mean(chain, :intercept_versicolor)
intercept_virginica = mean(chain, :intercept_virginica)
coefficients_versicolor = [
mean(chain, k) for k in MCMCChains.namesingroup(chain, :coefficients_versicolor)
]
coefficients_virginica = [
mean(chain, k) for k in MCMCChains.namesingroup(chain, :coefficients_virginica)
]
# Compute the index of the species with the highest probability for each observation.
values_versicolor = intercept_versicolor .+ x * coefficients_versicolor
values_virginica = intercept_virginica .+ x * coefficients_virginica
species_indices = [
argmax((0, x, y)) for (x, y) in zip(values_versicolor, values_virginica)
]
return species_indices
end;
Let's see how we did! We run the test matrix through the prediction function, and compute the accuracy for our prediction.
# Make the predictions.
predictions = prediction(test_features, chain)
# Calculate accuracy for our test set.
mean(predictions .== testset[!, :Species_index])
0.92
Perhaps more important is to see the accuracy per class.
for s in 1:3
rows = testset[!, :Species_index] .== s
println("Number of `", species[s], "`: ", count(rows))
println(
"Percentage of `",
species[s],
"` predicted correctly: ",
mean(predictions[rows] .== testset[rows, :Species_index]),
)
end
Number of `setosa`: 24
Percentage of `setosa` predicted correctly: 0.9583333333333334
Number of `versicolor`: 25
Percentage of `versicolor` predicted correctly: 0.88
Number of `virginica`: 26
Percentage of `virginica` predicted correctly: 0.9230769230769231
This tutorial has demonstrated how to use Turing to perform Bayesian multinomial logistic regression.
Appendix
These tutorials are a part of the TuringTutorials repository, found at: https://github.com/TuringLang/TuringTutorials.
To locally run this tutorial, do the following commands:
using TuringTutorials
TuringTutorials.weave("08-multinomial-logistic-regression", "08_multinomial-logistic-regression.jmd")
Computer Information:
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[88015f11] LERC_jll v3.0.0+1
[dd4b983a] LZO_jll v2.10.1+0
[e9f186c6] Libffi_jll v3.2.2+1
[d4300ac3] Libgcrypt_jll v1.8.7+0
[7e76a0d4] Libglvnd_jll v1.6.0+0
[7add5ba3] Libgpg_error_jll v1.42.0+0
[94ce4f54] Libiconv_jll v1.16.1+2
[4b2f31a3] Libmount_jll v2.35.0+0
[89763e89] Libtiff_jll v4.4.0+0
[38a345b3] Libuuid_jll v2.36.0+0
[856f044c] MKL_jll v2022.2.0+0
[e7412a2a] Ogg_jll v1.3.5+1
[458c3c95] OpenSSL_jll v1.1.20+0
[efe28fd5] OpenSpecFun_jll v0.5.5+0
[91d4177d] Opus_jll v1.3.2+0
[30392449] Pixman_jll v0.40.1+0
[ea2cea3b] Qt5Base_jll v5.15.3+2
[f50d1b31] Rmath_jll v0.4.0+0
[a2964d1f] Wayland_jll v1.21.0+0
[2381bf8a] Wayland_protocols_jll v1.25.0+0
[02c8fc9c] XML2_jll v2.10.3+0
[aed1982a] XSLT_jll v1.1.34+0
[4f6342f7] Xorg_libX11_jll v1.6.9+4
[0c0b7dd1] Xorg_libXau_jll v1.0.9+4
[935fb764] Xorg_libXcursor_jll v1.2.0+4
[a3789734] Xorg_libXdmcp_jll v1.1.3+4
[1082639a] Xorg_libXext_jll v1.3.4+4
[d091e8ba] Xorg_libXfixes_jll v5.0.3+4
[a51aa0fd] Xorg_libXi_jll v1.7.10+4
[d1454406] Xorg_libXinerama_jll v1.1.4+4
[ec84b674] Xorg_libXrandr_jll v1.5.2+4
[ea2f1a96] Xorg_libXrender_jll v0.9.10+4
[14d82f49] Xorg_libpthread_stubs_jll v0.1.0+3
[c7cfdc94] Xorg_libxcb_jll v1.13.0+3
[cc61e674] Xorg_libxkbfile_jll v1.1.0+4
[12413925] Xorg_xcb_util_image_jll v0.4.0+1
[2def613f] Xorg_xcb_util_jll v0.4.0+1
[975044d2] Xorg_xcb_util_keysyms_jll v0.4.0+1
[0d47668e] Xorg_xcb_util_renderutil_jll v0.3.9+1
[c22f9ab0] Xorg_xcb_util_wm_jll v0.4.1+1
[35661453] Xorg_xkbcomp_jll v1.4.2+4
[33bec58e] Xorg_xkeyboard_config_jll v2.27.0+4
[c5fb5394] Xorg_xtrans_jll v1.4.0+3
[3161d3a3] Zstd_jll v1.5.4+0
[214eeab7] fzf_jll v0.29.0+0
[a4ae2306] libaom_jll v3.4.0+0
[0ac62f75] libass_jll v0.15.1+0
[f638f0a6] libfdk_aac_jll v2.0.2+0
[b53b4c65] libpng_jll v1.6.38+0
[f27f6e37] libvorbis_jll v1.3.7+1
[1270edf5] x264_jll v2021.5.5+0
[dfaa095f] x265_jll v3.5.0+0
[d8fb68d0] xkbcommon_jll v1.4.1+0
[0dad84c5] ArgTools
[56f22d72] Artifacts
[2a0f44e3] Base64
[ade2ca70] Dates
[8bb1440f] DelimitedFiles
[8ba89e20] Distributed
[f43a241f] Downloads
[9fa8497b] Future
[b77e0a4c] InteractiveUtils
[4af54fe1] LazyArtifacts
[b27032c2] LibCURL
[76f85450] LibGit2
[8f399da3] Libdl
[37e2e46d] LinearAlgebra
[56ddb016] Logging
[d6f4376e] Markdown
[a63ad114] Mmap
[ca575930] NetworkOptions
[44cfe95a] Pkg
[de0858da] Printf
[3fa0cd96] REPL
[9a3f8284] Random
[ea8e919c] SHA
[9e88b42a] Serialization
[1a1011a3] SharedArrays
[6462fe0b] Sockets
[2f01184e] SparseArrays
[10745b16] Statistics
[4607b0f0] SuiteSparse
[fa267f1f] TOML
[a4e569a6] Tar
[8dfed614] Test
[cf7118a7] UUIDs
[4ec0a83e] Unicode
[e66e0078] CompilerSupportLibraries_jll
[deac9b47] LibCURL_jll
[29816b5a] LibSSH2_jll
[c8ffd9c3] MbedTLS_jll
[14a3606d] MozillaCACerts_jll
[4536629a] OpenBLAS_jll
[05823500] OpenLibm_jll
[efcefdf7] PCRE2_jll
[83775a58] Zlib_jll
[8e850ede] nghttp2_jll
[3f19e933] p7zip_jll