Bayesian Hierarchical Linear Regression: how to predict on a new patient having observations?

Hello there :smile:

I would like to understand how to extend the mentioned tutorial with NumPyro so that:

  • having a new (= not part of training) patient, with some observed data,
  • we infer his “random effects” (i.e. posterior distribution of (\alpha, \beta) - or only offsets (\alpha - \mu_\alpha, \beta - \mu_\beta)), while retaining “fixed effects” of the once trained model (i.e. posterior distribution of (\mu_\alpha, \mu_\beta, \sigma_\alpha, \sigma_\beta, \sigma))
  • and then eventually predict his outcome (FVC_{est}) at unknown weeks

I precise that:

  • I’d be in a setup where I could not re-train a model with union of all data (old training data + new data)
  • This new patient having observations, I do want to infer his random effects, not considering them as centered on fixed effects (as we could do for a new patient without any observations)

Thanks for your help :blush:

Related material found:

Hi @exhumea, when you perform Bayesian inference and get posterior, you can use that posterior (rather than prior) for new inference with new data.

Hi @fehiepsi! Thanks, so you’d estimate univariate / multivariate joint posterior distribution of “fixed effects” and set them as new priors for inference on new patients? But then is there a way somehow for that these “fixed effects” not to be updated during this new inference?

To fix values of a site, you can use block + condition handlers.

set them as new priors for inference on new patients

Yes, I think it is a reasonable approach.

I may have misunderstood the use of (block +) condition but doesn’t it enable to replace some of the model latent variables priors by point estimates only?

For instance, if after first inference, posterior distribution of \mu_\alpha seems to be well modeled by \mathcal{N}(\hat{\mu}_{\mu_\alpha}, \hat{\sigma}_{\mu_\alpha}) how could I sample this variable from this distribution in my latter inferences, keeping it not updated / “blocked”?


Maybe there’s a more elegant way of doing it but my code usually looks like the code below. Basically, I have a custom predict function that handles the logic for unseen patients with a try-except-else. To decide if the patient is “seen” or “new” I use sklearn’s LabelEncoder(). The example below is minimal, only controlling for age, but you can easily extend it to control for sex or smoking_status.

# not showing import statements nor the code for loading the data

encoder = LabelEncoder()["Patient"])

N_PATIENTS = len(encoder.classes_)

patient_to_age = train[['Patient', 'Age']] \
    .drop_duplicates() \
    .set_index("Patient") \
    .loc[encoder.classes_, "Age"] \

    PatientNum = jnp.array(encoder.transform(train['Patient'].values)),
    Weeks = jnp.array(train['Weeks'].values),
    PatientToAge = jnp.array(patient_to_age),
    FVC_obs = jnp.array(train['FVC'].values),

def model(PatientNum, Weeks, PatientToAge, FVC_obs=None):
    μ_α = numpyro.sample("μ_α", dist.Normal(0., 100.))
    σ_α = numpyro.sample("σ_α", dist.HalfNormal(100.))
    μ_β = numpyro.sample("μ_β", dist.Normal(0., 100.))
    σ_β = numpyro.sample("σ_β", dist.HalfNormal(100.))
    # Age's effect on α
    coef_age= numpyro.sample("coef_age", dist.Normal(0., 100.,))

    with numpyro.plate("plate_i", N_PATIENTS) as patient_idx:
        α = numpyro.sample("α", dist.Normal(μ_α + coef_age * PatientToAge[patient_idx], σ_α))
        β = numpyro.sample("β", dist.Normal(μ_β, σ_β))

    σ = numpyro.sample("σ", dist.HalfNormal(100.))
    FVC_est = α[PatientNum] + β[PatientNum] * Weeks
    n_obs = PatientNum.shape[0]
    with numpyro.plate("data", n_obs):
        numpyro.sample("obs", dist.Normal(FVC_est, σ), obs=FVC_obs)

# run mcmc
nuts_kernel = NUTS(model)
mcmc = MCMC(nuts_kernel, num_samples=2000, num_warmup=2000)
rng_key = random.PRNGKey(0), **data_dict)

# custom predict function
def predict_single_patient(patient_id, weeks, age, posterior_samples, patient_encoder):
    # logic to handle unseen patients:
        n = patient_encoder.transform([patient_id])[0]
    except ValueError:
        # new patient but known age
        μ_α = posterior_samples["μ_α"]
        σ_α = posterior_samples["σ_α"]
        α = dist.Normal(μ_α + age * posterior_samples["coef_age"], σ_α) \
        β = dist.Normal(posterior_samples["μ_β"], posterior_samples["σ_β"]) \
        α = posterior_samples["α"][:, n]
        β = posterior_samples["β"][:, n]

    mu = α[:, None] + β[:, None] * weeks
    # note: I'm not including the noise term σ in the prediction here
    # but you could easily do that
    return mu

weeks = jnp.arange(-12, 133)

# try on seen patient
patient = "ID00007637202177411956430"
age = train.query("Patient == @patient")["Age"].iloc[0]
mu_pred = predict_single_patient(patient, weeks, age, mcmc.get_samples(), encoder)

# try on unseen patient but with known age
patient = "this is a random id"
age = 66
mu_pred = predict_single_patient(patient, weeks, age, mcmc.get_samples(), encoder)

Thank you @omarfsosa.
The difference in my setup is that new patients do have observed data that I want to take into account (i.e. to infer their random effects, the fixed effects being somehow excluded from new inference) so I don’t want to just return a population-level prediction.

Thanks to @fehiepsi I now understood:

  • how to force my fixed effects to some point estimates (e.g. mean or mode from training inference posterior distribution) for following inferences on new patients with block + condition
  • that I could replace my initial priors on fixed effects (= used during training inference) with posterior distributions obtained after training inference:
    • but in turn I still don’t understand how I could freeze these sites / exclude them from next inferences so that only random effects are inferred

I see. So perhaps you want to use something like and create a sort of “intervened” model? I’m not convinced there’s an easy way of achieving what you’re trying to do here without writing a new model altogether. I think that strictly speaking the data on the new patient will affect the posterior distribution of the rest of the population (only a little cause you have a lot of patients, but still) so inferences should all be considered simultaneously. Inferring the effects of the new patient only feels like a different model to me. Definitely interested in hearing if you find a solution to this :slight_smile:

I guess you want to perform inference for p(y) (y is a random effect) given the density p(x, y) (x is a fixed effect), by marginalizing out the x variable. I’m not sure what is an easy way to perform such marginalization (maybe using funsor here? I don’t know). One way is to approximate it by \sum_{i=0}^{n-1} p(x_i)p(y|x_i) - you’ll need to create an auxiliary categorical variable over {0,..., n-1} (with probs parameter is equal to p(x_i)), some sort of:

def model():
    c = sample("c", Categorical(p_x))
    x_i = x[c]
    # use the original modeling code here
    # with x=x_i rather than a sample site
    sample("y", p(y|x_i))

If you assume that x and y are independent (mean-field approximation). You can use HMCGibbs wherein the gibbs_fn, you can just simply draw a sample for your fixed effects.

Disclaim: Please justify the above suggestions both theoretically and empirically.