perf_mod: Bayesian Analysis of Resampling Statistics

Description Usage Arguments Details Value References See Also

View source: R/perf_mod.R

Description

Bayesian analysis used here to answer the question: "when looking at resampling results, are the differences between models 'real?'" To answer this, a model can be created were the outcome is the resampling statistics (e.g. accuracy or RMSE). These values are explained by the model types. In doing this, we can get parameter estimates for each model's affect on performance and make statistical (and practical) comparisons between models.

Usage

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perf_mod(object, ...)

## S3 method for class 'rset'
perf_mod(object, transform = no_trans, hetero_var = FALSE, formula = NULL, ...)

## S3 method for class 'resamples'
perf_mod(
  object,
  transform = no_trans,
  hetero_var = FALSE,
  metric = object$metrics[1],
  ...
)

## S3 method for class 'data.frame'
perf_mod(object, transform = no_trans, hetero_var = FALSE, formula = NULL, ...)

## S3 method for class 'tune_results'
perf_mod(
  object,
  metric = NULL,
  transform = no_trans,
  hetero_var = FALSE,
  formula = NULL,
  filter = NULL,
  ...
)

## S3 method for class 'workflow_set'
perf_mod(
  object,
  metric = NULL,
  transform = no_trans,
  hetero_var = FALSE,
  formula = NULL,
  ...
)

Arguments

object

Depending on the context (see Details below):

  • A data frame with id columns for the resampling groupds and metric results in all of the other columns..

  • An rset object (such as rsample::vfold_cv()) containing the id column(s) and at least two numeric columns of model performance statistics (e.g. accuracy).

  • An object from caret::resamples.

  • An object with class tune_results, which could be produced by tune::tune_grid(), tune::tune_bayes() or similar.

  • A workflow set where all results contain the metric value given in the metric argument value.

...

Additional arguments to pass to rstanarm::stan_glmer() such as verbose, prior, seed, refresh, family, etc.

transform

An named list of transformation and inverse transformation functions. See logit_trans() as an example.

hetero_var

A logical; if TRUE, then different variances are estimated for each model group. Otherwise, the same variance is used for each group. Estimating heterogeneous variances may slow or prevent convergence.

formula

An optional model formula to use for the Bayesian hierarchical model (see Details below).

metric

A single character value for the statistic from the resamples object that should be analyzed.

filter

A conditional logic statement that can be used to filter the statistics generated by tune_results using the tuning parameter values or the .config column.

Details

These functions can be used to process and analyze matched resampling statistics from different models using a Bayesian generalized linear model with effects for the model and the resamples.

Bayesian Model formula

By default, a generalized linear model with Gaussian error and an identity link is fit to the data and has terms for the predictive model grouping variable. In this way, the performance metrics can be compared between models.

Additionally, random effect terms are also used. For most resampling methods (except repeated V-fold cross-validation), a simple random intercept model its used with an exchangeable (i.e. compound-symmetric) variance structure. In the case of repeated cross-validation, two random intercept terms are used; one for the repeat and another for the fold within repeat. These also have exchangeable correlation structures.

The above model specification assumes that the variance in the performance metrics is the same across models. However, this is unlikely to be true in some cases. For example, for simple binomial accuracy, it well know that the variance is highest when the accuracy is near 50 percent. When the argument hetero_var = TRUE, the variance structure uses random intercepts for each model term. This may produce more realistic posterior distributions but may take more time to converge.

Examples of the default formulas are:

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   # One ID field and common variance:
     statistic ~ model + (model | id)

   # One ID field and heterogeneous variance:
     statistic ~ model + (model + 0 | id)

   # Repeated CV (id = repeat, id2 = fold within repeat)
   # with a common variance:
     statistic ~ model + (model | id2/id)

   # Repeated CV (id = repeat, id2 = fold within repeat)
   # with a heterogeneous variance:
     statistic ~ model + (model + 0| id2/id)

   # Default for unknown resampling method and
   # multiple ID fields:
     statistic ~ model + (model | idN/../id)
 

Custom formulas should use statistic as the outcome variable and model as the factor variable with the model names.

Also, as shown in the package vignettes, the Gaussian assumption make be unrealistic. In this case, there are at least two approaches that can be used. First, the outcome statistics can be transformed prior to fitting the model. For example, for accuracy, the logit transformation can be used to convert the outcome values to be on the real line and a model is fit to these data. Once the posterior distributions are computed, the inverse transformation can be used to put them back into the original units. The transform argument can be used to do this.

The second approach would be to use a different error distribution from the exponential family. For RMSE values, the Gamma distribution may produce better results at the expense of model computational complexity. This can be achieved by passing the family argument to perf_mod as one might with the glm function.

Input formats

There are several ways to give resampling results to the perf_mod() function. To illustrate, here are some example objects using 10-fold cross-validation for a simple two-class problem:

   library(tidymodels)
   library(tidyposterior)
   library(workflowsets)

   data(two_class_dat, package = "modeldata")

   set.seed(100)
   folds <- vfold_cv(two_class_dat)

We can define two different models (for simplicity, with no tuning parameters).

   logistic_reg_glm_spec <-
     logistic_reg() %>%
     set_engine('glm')

   mars_earth_spec <-
     mars(prod_degree = 1) %>%
     set_engine('earth') %>%
     set_mode('classification')

For tidymodels, the tune::fit_resamples() function can be used to estimate performance for each model/resample:

   rs_ctrl <- control_resamples(save_workflow = TRUE)

   logistic_reg_glm_res <-
     logistic_reg_glm_spec %>%
     fit_resamples(Class ~ ., resamples = folds, control = rs_ctrl)

   mars_earth_res <-
     mars_earth_spec %>%
     fit_resamples(Class ~ ., resamples = folds, control = rs_ctrl)

From these, there are several ways to pass the results to perf_mod().

Data Frame as Input

The most general approach is to have a data frame with the resampling labels (i.e., one or more id columns) as well as columns for each model that you would like to compare.

For the model results above, tune::collect_metrics() can be used along with some basic data manipulation steps:

   logistic_roc <-
     collect_metrics(logistic_reg_glm_res, summarize = FALSE) %>%
     dplyr::filter(.metric == "roc_auc") %>%
     dplyr::select(id, logistic = .estimate)

   mars_roc <-
     collect_metrics(mars_earth_res, summarize = FALSE) %>%
     dplyr::filter(.metric == "roc_auc") %>%
     dplyr::select(id, mars = .estimate)

   resamples_df <- full_join(logistic_roc, mars_roc, by = "id")
   resamples_df
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   ## # A tibble: 10 x 3
   ##   id     logistic  mars
   ##   <chr>     <dbl> <dbl>
   ## 1 Fold01    0.908 0.875
   ## 2 Fold02    0.904 0.917
   ## 3 Fold03    0.924 0.938
   ## 4 Fold04    0.881 0.881
   ## 5 Fold05    0.863 0.864
   ## 6 Fold06    0.893 0.889
   ## # … with 4 more rows

We can then give this directly to perf_mod():

   set.seed(101)
   roc_model_via_df <- perf_mod(resamples_df, refresh = 0)
   tidy(roc_model_via_df) %>% summary()
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   ## # A tibble: 2 x 4
   ##   model     mean lower upper
   ##   <chr>    <dbl> <dbl> <dbl>
   ## 1 logistic 0.892 0.879 0.906
   ## 2 mars     0.888 0.875 0.902
rsample Object as Input

Alternatively, the result columns can be merged back into the original rsample object. The up-side to using this method is that perf_mod() will know exactly which model formula to use for the Bayesian model:

   resamples_rset <-
     full_join(folds, logistic_roc, by = "id") %>%
     full_join(mars_roc, by = "id")

   set.seed(101)
   roc_model_via_rset <- perf_mod(resamples_rset, refresh = 0)
   tidy(roc_model_via_rset) %>% summary()
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   ## # A tibble: 2 x 4
   ##   model     mean lower upper
   ##   <chr>    <dbl> <dbl> <dbl>
   ## 1 logistic 0.892 0.879 0.906
   ## 2 mars     0.888 0.875 0.902
Workflow Set Object as Input

Finally, for tidymodels, a workflow set object can be used. This is a collection of models/preprocessing combinations in one object. We can emulate a workflow set using the existing example results then pass that to perf_mod():

   example_wset <-
     as_workflow_set(logistic = logistic_reg_glm_res, mars = mars_earth_res)

   set.seed(101)
   roc_model_via_wflowset <- perf_mod(example_wset, refresh = 0)
   tidy(roc_model_via_rset) %>% summary()
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   ## # A tibble: 2 x 4
   ##   model     mean lower upper
   ##   <chr>    <dbl> <dbl> <dbl>
   ## 1 logistic 0.892 0.879 0.906
   ## 2 mars     0.888 0.875 0.902
caret resamples object

The caret package can also be used. An equivalent set of models are created:

   library(caret)

   set.seed(102)
   logistic_caret <- train(Class ~ ., data = two_class_dat, method = "glm",
                           trControl = trainControl(method = "cv"))

   set.seed(102)
   mars_caret <- train(Class ~ ., data = two_class_dat, method = "gcvEarth",
                       tuneGrid = data.frame(degree = 1),
                       trControl = trainControl(method = "cv"))

Note that these two models use the same resamples as one another due to setting the seed prior to calling train(). However, these are different from the tidymodels results used above (so the final results will be different).

caret has a resamples() function that can collect and collate the resamples. This can also be given to perf_mod():

   caret_resamples <- resamples(list(logistic = logistic_caret, mars = mars_caret))

   set.seed(101)
   roc_model_via_caret <- perf_mod(caret_resamples, refresh = 0)
   tidy(roc_model_via_caret) %>% summary()
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   ## # A tibble: 2 x 4
   ##   model     mean lower upper
   ##   <chr>    <dbl> <dbl> <dbl>
   ## 1 logistic 0.821 0.801 0.842
   ## 2 mars     0.822 0.802 0.842

Value

An object of class perf_mod. If a workfkow set is given in object, there is an extra class of "perf_mod_workflow_set".

References

Kuhn and Silge (2021) Tidy Models with R, Chapter 11, https://www.tmwr.org/compare.html

See Also

tidy.perf_mod(), contrast_models()


tidyposterior documentation built on March 25, 2021, 5:06 p.m.