Set data when building Linearmodel

pymc_experimental/linearmodel.py

@@ -67,8 +67,6 @@ def build_model(self, X: pd.DataFrame, y: pd.Series):
         """
         cfg = self.model_config
 
-        # The model is built with placeholder data.
-        # Actual data will be set by _data_setter when fitting or evaluating the model.
         # Data array size can change but number of dimensions must stay the same.
         with pm.Model() as self.model:
             x = pm.MutableData("x", np.zeros((1,)), dims="observation")
@@ -94,6 +92,8 @@ def build_model(self, X: pd.DataFrame, y: pd.Series):
                 dims="observation",
             )
 
+        self._data_setter(X, y)
+
     def _data_setter(self, X: pd.DataFrame, y: Optional[Union[pd.DataFrame, pd.Series]] = None):
         with self.model:
             pm.set_data({"x": X.squeeze()})

pymc_experimental/model_builder.py

@@ -299,8 +299,8 @@ def sample_model(self, **kwargs):
         with self.model:
             sampler_args = {**self.sampler_config, **kwargs}
             idata = pm.sample(**sampler_args)
-            idata.extend(pm.sample_prior_predictive())
-            idata.extend(pm.sample_posterior_predictive(idata))
+            idata.extend(pm.sample_prior_predictive(), join="right")
+            idata.extend(pm.sample_posterior_predictive(idata), join="right")
 
         idata = self.set_idata_attrs(idata)
         return idata
@@ -601,17 +601,16 @@ def sample_prior_predictive(
 
         if self.model is None:
             self.build_model(X_pred, y_pred)
-
-        self._data_setter(X_pred, y_pred)
-        if self.model is not None:
-            with self.model:  # sample with new input data
-                prior_pred: az.InferenceData = pm.sample_prior_predictive(samples, **kwargs)
-                self.set_idata_attrs(prior_pred)
-                if extend_idata:
-                    if self.idata is not None:
-                        self.idata.extend(prior_pred)
-                    else:
-                        self.idata = prior_pred
+        else:
+            self._data_setter(X_pred, y_pred)
+        with self.model:  # sample with new input data
+            prior_pred: az.InferenceData = pm.sample_prior_predictive(samples, **kwargs)
+            self.set_idata_attrs(prior_pred)
+            if extend_idata:
+                if self.idata is not None:
+                    self.idata.extend(prior_pred, join="right")
+                else:
+                    self.idata = prior_pred
 
         prior_predictive_samples = az.extract(prior_pred, "prior_predictive", combined=combined)
 
@@ -641,7 +640,7 @@ def sample_posterior_predictive(self, X_pred, extend_idata, combined, **kwargs):
         with self.model:  # sample with new input data
             post_pred = pm.sample_posterior_predictive(self.idata, **kwargs)
             if extend_idata:
-                self.idata.extend(post_pred)
+                self.idata.extend(post_pred, join="right")
 
         posterior_predictive_samples = az.extract(
             post_pred, "posterior_predictive", combined=combined

pymc_experimental/tests/test_linearmodel.py

@@ -36,6 +36,15 @@
     sklearn_available = False
 
 
+@pytest.fixture(scope="module")
+def toy_actual_params():
+    return {
+        "intercept": 3,
+        "slope": 5,
+        "obs_error": 0.5,
+    }
+
+
 @pytest.fixture(scope="module")
 def toy_X():
     x = np.linspace(start=0, stop=1, num=100)
@@ -44,23 +53,24 @@ def toy_X():
 
 
 @pytest.fixture(scope="module")
-def toy_y(toy_X):
-    y = 5 * toy_X["input"] + 3
-    y = y + np.random.normal(0, 1, size=len(toy_X))
+def toy_y(toy_X, toy_actual_params):
+    y = toy_actual_params["slope"] * toy_X["input"] + toy_actual_params["intercept"]
+    rng = np.random.default_rng(427)
+    y = y + rng.normal(0, toy_actual_params["obs_error"], size=len(toy_X))
     y = pd.Series(y, name="output")
     return y
 
 
 @pytest.fixture(scope="module")
 def fitted_linear_model_instance(toy_X, toy_y):
     sampler_config = {
-        "draws": 500,
-        "tune": 300,
+        "draws": 50,
+        "tune": 30,
         "chains": 2,
         "target_accept": 0.95,
     }
     model = LinearModel(sampler_config=sampler_config)
-    model.fit(toy_X, toy_y)
+    model.fit(toy_X, toy_y, random_seed=312)
     return model
 
 
@@ -101,6 +111,23 @@ def test_fit(fitted_linear_model_instance):
     assert isinstance(post_pred, xr.DataArray)
 
 
+def test_parameter_fit(toy_X, toy_y, toy_actual_params):
+    """Check that the fit model recovered the data-generating parameters."""
+    # Fit the model with a sufficient number of samples
+    sampler_config = {
+        "draws": 500,
+        "tune": 300,
+        "chains": 2,
+        "target_accept": 0.95,
+    }
+    model = LinearModel(sampler_config=sampler_config)
+    model.fit(toy_X, toy_y, random_seed=312)
+    fit_params = model.idata.posterior.mean()
+    np.testing.assert_allclose(fit_params["intercept"], toy_actual_params["intercept"], rtol=0.1)
+    np.testing.assert_allclose(fit_params["slope"], toy_actual_params["slope"], rtol=0.1)
+    np.testing.assert_allclose(fit_params["σ_model_fmc"], toy_actual_params["obs_error"], rtol=0.1)
+
+
 def test_predict(fitted_linear_model_instance):
     model = fitted_linear_model_instance
     X_pred = pd.DataFrame({"input": np.random.uniform(low=0, high=1, size=100)})