Fitting Mixed Effects Models - Python, Julia or R?
I’m benchmarking how long it takes to fit a mixed
effects model using
lme4 in R,
statsmodels in Python, plus
MixedModels.jl in Julia is also a viable option.
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Data science is always up for debating whether R or Python is the better language when it comes to analysing some data. Julia has been making its case as a viable alternative as well. In most cases you can perform a task in all three with a little bit of syntax adjustment, so no need for any real commitment. Yet, I’ve recently been having performance issues in R with a mixed model.
I have a dataset with 1604 groups for a random effect that has been
grinding to a halt when fitting in R using
lme4. The team at
have a vignette titled
which at the bottom suggests using Julia to speed things up. So I’ve
taken it upon myself to benchmark the basic model-fitting performances
to see if there is a measurable difference. You can use this post as
an example of fitting a mixed effects model in Python, R and Julia.
In our first experiment, I am using the palmerspenguins dataset to fit a basic linear model. I’ve followed the most basic method in all three languages, using what the first thing in Google displays.
The dataset has 333 observations with 3 groups for the random effects parameter.
I’ll make sure all the parameters are close across the three languages before benchmarking the performance, again, using what Google says is the best approach to time some code.
I’m running everything on a Late 2013 Macbook. 2.6GHz i5 with 16GB of RAM. I’m more than happy to repeat this on an M1 Macbook if someone is willing to sponsor the purchase!
Now onto the code.
Mixed Effects Models in R with lme4
We will start with R as that is where the dataset comes from. Loading
palmerspenguins package and filtering out the NaN in the
relevant columns provide a consistent dataset for the other
- R - 4.1.0
- lme4 - 1.1-27.1
require(palmerpenguins) require(lme4) require(microbenchmark) testData <- palmerpenguins::penguins %>% drop_na(sex, species, island, bill_length_mm) lmer(bill_length_mm ~ (1 | species) + sex + 1, testData)
- Intercept - 43.211
- sex:male - 3.694
- species variance - 29.55
testData gets saved as a csv for the rest of the languages
to read and use in the benchmarking.
To benchmark the function I use the microbenchmark package. It is an excellent and lightweight way of quickly working out how long a function takes to run.
microbenchmark(lmer(bill_length_mm ~ (1 | species) + sex + 1, testData), times = 1000)
This outputs the relevant quantities of the benchmarking times.
Mixed Effects Models Python with statsmodels
The Python syntax for fitting these types of models is similar to R.
- Python 3.9.4
- statmodels 0.13.1
import pandas as pd import statsmodels.api as sm import statsmodels.formula.api as smf import timeit as tt modelData = pd.read_csv("~/Downloads/penguins.csv") md = smf.mixedlm("bill_length_mm ~ sex + 1", modelData, groups=modelData["species"]) mdf = md.fit(method=["lbfgs"])
Which gives us parameter values:
- Intercept - 43.211
- sex:male - 3.694
- Species variance: 29.496
When we benchmark the code, we define a specific function and
repeatedly run it 10000 times. This is all contained in the
module, part of the Python standard library.
def run(): md = smf.mixedlm("bill_length_mm ~ sex + 1", modelData, groups=modelData["species"]) mdf = md.fit(method=["lbfgs"]) times = tt.repeat('run()', repeat = 10000, setup = "from __main__ import run", number = 1)
We’ll be taking the mean, median and, range of the
Mixed Effects Models in Julia with MixedModels.jl
- Julia 1.6.0
- MixedModels 4.5.0
Julia follows the R syntax very closely, so this needs little explanation.
using DataFrames, DataFramesMeta, CSV, MixedModels using BenchmarkTools modelData = CSV.read("/Users/deanmarkwick/Downloads/penguins.csv", DataFrame) m1 = fit(MixedModel, @formula(bill_length_mm ~ 1 + (1|species) + sex), modelData)
- Intercept - 43.2
- sex:male coefficient - 3.694
- group variance of - 19.68751
We notice that the variance in the intercept here is different compared to the previous methods. Julia uses maximum likelihood by default whereas R and Python default to REML (Restricted Maximum Likelihood) for fitting the models. As the dataset only has three groups, (there are three penguin species) then these methods will start to produce different results, as we can see. Thanks to Phillip Alday and Reddit user PuppySteaks for pointing this out. For more info you can read Phillip’s comment on the differences between ML and REML.
We use the BenchmarkTools.jl package to run the function 10,000 times.
@benchmark fit(MixedModel, @formula(bill_length_mm ~ 1 + (1|species) + sex), $modelData)
As a side note, if you run this benchmarking code in a Jupyter notebook, you get this beautiful output from the BenchmarkTools package. Gives you a lovely overview of all the different metrics and the distribution on the running times.
All the parameters are close enough, how about the running times?
Julia blows both Python and R out of the water. About 60 times faster.
I don’t think Python is that slow in practice, I think it is more of an artefact of the benchmarking code that doesn’t behave in the same way as Julia and R.
What About Bigger Data and More Groups?
What if we increased the scale of the problem and also the number of groups in the random effects parameters?
I’ll now fit a Poisson mixed model to some football data. I’ll be modeling the goals scored by each team as a Poisson variable, with a fixed effect of whether the team played at home or not and random effects for the team and another random effect of the opponent.
This new data set is from football-data.co.uk and has 98,242 rows with 151 groups in the random effects. Much bigger than the Palmer Penguins dataset.
Now, poking around the
statsmodels documentation, there doesn’t
appear to be a way to fit this model in a frequentist
way. The closest is the
PoissonBayesMixedGLM, which isn’t comparable
to the R/Julia methods. So in this case we will be dropping Python
from the analysis. If I’m wrong, please let me know in the comments
below and I’ll add it to the benchmarking.
With generalised linear models in both R and Julia, there are additional parameters to help speed up the fitting but at the expense of the parameter accuracy. I’ll be testing these parameters to judge how much of a tradeoff there is between speed and accuracy.
The basic mixed-effects generalised linear model doesn’t change much from the above in R.
glmer(Goals ~ Home + (1 | Team) + (1 | Opponent), data=modelData, family="poisson")
The documentation states that you can pass
nAGQ=0 to speed up the
fitting process but might lose some accuracy. So our fast version of
this model is simply:
glmer(Goals ~ Home + (1 | Team) + (1 | Opponent), data=modelData, family="poisson", nAGQ = 0)
Likewise for Julia hardly any difference in fitting this type of Poisson model.
fit(MixedModel, @formula(Goals ~ Home + (1 | Team) + (1 | Opponent)), footballData, Poisson())
And even mode simply, there is a
fast parameter to use which speeds
up the fitting.
fit(MixedModel, @formula(Goals ~ Home + (1 | Team) + (1 | Opponent)), footballData, Poisson(), fast = true)
Big Data Results
Let’s check the fitted coefficients.
The parameters are all very similar, showing that for this parameter specification the different speed flags do not change the coefficient results, which is good. But for any specific model, you should verify on a subsample at least to make sure the flags don’t change anything.
Now, what about speed.
fast=true gives a 2x speed boost in Julia which is
nice. Likewise, setting
nAGQ=0 in R improves the speed by almost 3x over
the default. Julia set to
fast = true is the quickest, but I’m
surprised that R can get close with its speed-up parameter.
If you are fitting a large mixed-effects model with lots of groups hopefully, this convinces you that Julia is the way forward. The syntax for fitting the model is equivalent, so you can do all your preparation in R before importing the data into Julia to do the model fitting.