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I'm attempting a problem where I have a mixture of regression coefficients. Not sure if my math or my coding is bad, but I'm getting wrong estimates for the coefficients, which should be 5 and -5. I originally tried this with three regression lines and had even more issues, but for now I would be content to make it work with two. I'm getting more like 1.5 and -1.5 for by betas with a sigma parameter around 5--the true values are not even in the credible regions.

enter image description here

##Fake data
%matplotlib inline 
import numpy as np
import matplotlib.pyplot as plt
import pymc3 as pm
import seaborn as sns

np.random.seed(123)
alpha = 0
sigma = 1
beta = [-5]
beta2 = [5]
size = 250

# Predictor variable
X1_1 = np.random.randn(size)

# Simulate outcome variable--cluster 1
Y1= alpha + beta[0]*X1_1 +  np.random.normal(loc=0, scale=sigma, size=size)

# Predictor variable
X1_2 = np.random.randn(size)
# Simulate outcome variable --cluster 2
Y2 = alpha + beta2[0]*X1_2 + np.random.normal(loc=0, scale=sigma, size=size)


X1 = np.append(X1_1, X1_2)
Y = np.append(Y1,Y2)  

And here's the model:

basic_model = pm.Model()

with basic_model:    
    p = pm.Uniform('p', 0, 1) #Proportion in each mixture

    alpha  = pm.Normal('alpha', mu=0, sd=10) #Intercept
    beta_1 = pm.Normal('beta_1', mu=0, sd=100, shape=2)  #Betas.  Two of them.
    sigma  = pm.Uniform('sigma', 0, 20)  #Noise

    category = pm.Bernoulli('category', p=p, shape=size*2)  #Classification of each observation

    b1 = pm.Deterministic('b1', beta_1[category])  #Choose beta based on category

    mu = alpha + b1*X1 # Expected value of outcome

    # Likelihood 
    Y_obs = pm.Normal('Y_obs', mu=mu, sd=sigma, observed=Y)
with basic_model:
    step1 = pm.Metropolis([p, alpha, beta_1, sigma])
    step2 = pm.BinaryMetropolis([category])
    trace = pm.sample(20000, [step1, step2], progressbar=True)
pm.traceplot(trace)

In this plot, I'm expecting dark points for one mixture, light from the other. It doesn't have the certainty expecting on most of the points:

p_cat = np.apply_along_axis(np.mean, 0, trace['category'])
fig, axes = plt.subplots(1,1, figsize=(10,4))
axes.scatter(X1, Y, c=p_cat)

axes.set_ylabel('Y'); axes.set_xlabel('X1'); 

enter image description here

EDIT: I've attempted the same model in pymc as follows:

import pymc as mc
p = mc.Uniform('p', 0, 1, value=.5) #Proportion in each mixture

alpha  = mc.Normal('alpha', mu=0, tau=1./10, value=0) #Intercept
beta_1 = mc.Normal('beta_1', mu=0, tau=1, size=2, value=[0,0])  #Betas.  Two of them.
sigma  = mc.Uniform('sigma', 0, 20)  #Noise

category = mc.Bernoulli('category', p=p, size=500)  #Classification of each observation


@mc.deterministic 
def b1(beta_1 = beta_1, category=category):
    return np.choose(category, beta_1)

@mc.deterministic
def mu(alpha=alpha, b1=b1):
    return alpha + b1*X1

@mc.deterministic
def tau(sigma=sigma):
    return 1.0/sigma

    # Likelihood 
Y_obs = mc.Normal('Y_obs', mu=mu, tau=tau, observed=True, value=Y)
model = mc.Model([p,alpha, beta_1, sigma, category, Y_obs])
mcmc = mc.MCMC(model)
mcmc.sample(10000)
p_cat = np.apply_along_axis(np.mean, 0, mcmc.trace('category')[:])
fig, axes = plt.subplots(1,1, figsize=(10,4))
axes.scatter(X1, Y, c=p_cat, alpha=1, cmap='coolwarm')

axes.set_ylabel('Y'); axes.set_xlabel('X1'); 

This gets the correct results, so now I'm confused about what's different between these two models. I get an error trying to use the np.choose function in pymc3, so it could be in looking up the coefficient values.

enter image description here

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An alternative is to use the marginalized mixture model (see also this SO answer). This utilizes the NUTS using ADVI and converges within 6000 samples.

import theano.tensore as tt
ncls = 2
with pm.Model() as basic_model:
    w = pm.Dirichlet('w', np.ones(ncls))
    alpha = pm.Normal('alpha', mu=0, sd=10)
    beta = pm.Normal('beta', mu=0, sd=100, shape=ncls)
    sigma  = pm.Uniform('sigma', 0, 20)

    mu = tt.stack([alpha + beta[0]*X1,
                   alpha + beta[1]*X1], axis=1)

    y_obs = pm.NormalMixture('y_obs', w, mu, tau=sigma, observed=Y)

with basic_model:
    trace = pm.sample(5000, n_init=10000, tune=1000)[1000:]
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So the problem with this was actually with the BinaryMetropolis sampler, a problem I only discovered by stumbling on this post.

I adjusted the scaling parameter of the sampler and after about 35k samples, it converged on the parameters.

with basic_model:
    step1 = pm.Metropolis([p, alpha, beta_1, sigma])
    step2 = pm.BinaryMetropolis([category], scaling=.01)
    trace = pm.sample(50000, [step1, step2], progressbar=True)
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