DataTalks.Club

Tuning Up

by David Sweet

The book of the week from 16 Aug 2021 to 20 Aug 2021

Tuning Up: From A/B testing to Bayesian optimization is a toolbox for optimizing machine learning systems, quantitative trading strategies, and more. You’ll start with a deep dive into tests like A/B testing, and then graduate to advanced techniques used to measure performance in highly competitive industries like finance and social media. The tests in this unique, practical guide will quickly reveal which approaches and features deliver real results for your business.

Questions and Answers

WingCode

Hi David Sweet, nice to meet you!
Should A/B test users selected randomly or should we select them based on specific attributes?

David Sweet

Short answer: randomly.
Long answer: Selecting based on specific attributes can improve the precision of a measurement. This is a technique called blocking.
Let’s say you’re running an A/B test. You have two versions of an application, A and B, that you want to compare. You’ll measure “time spent on the app” for each.
The attribute you know about your users is their age: They’re either “over 25” or “25 or younger”. The “over 25” crowd generally spends less time on the app.
If you assign users completely randomly to version A or B you might, by chance, have more “over 25” users seeing version A. These extra “over 25” users would bias downward the measurement of time spent — but you’d attribute that bias to version A. If you were to rerun the experiment you might, this time, assign more “over 25” users to version B. In that case you’d attribute to the bias to version B.
So sometimes the age attribute makes your measurement biased towards A and sometimes towards B. On average, it’s unbiased, thanks to randomization.
Unfortunately, there’s variability from run to run. You can mitigate that by assigning the same number of over-25 users to A as to B and
the same number of 25-or-younger users to A as to B. Then age-related variability will disappear.
That being said, when you select users from the over-25 group, you should select them randomly, and the same goes for the under-25 group. That way your experiment is still unbiased to all of the other factors that might affect time spent.

WingCode

Thank you for the super detailed awesome answer David 🙂

Denis L.

Hi David Sweet! Thanks for doing this.
Bayesian techniques require specific likelihood function assumptions. From your experience, how often do you think these assumptions are violated by end-users and how robust are Bayesian methods under misspecification of likelihood (or prior)?
To give a concrete example - if we run Bayesian A/B test analysis on a metric following what we think Poisson distribution, however upon closer inspection it violates some assumptions of the Poisson (but we model it as Poisson regardless).

David Sweet

The Bayesian method I discuss in the book uses a non-parametric method call Gaussian process regression (GPR) to model what’s called the surrogate function, the function that maps system parameters to a business objective. For example, you might serve ads based on a prediction of click-through-rate (CTR) with a rule that says, “If the predicted CTR < threshold don’t show the ad.” The parameter threshold affected how much ad revenue (the business metric) you earn per day.
You could use GPR to model the function mapping threshold to daily ad revenue making (essentially) no assumptions about the shape of the function.
Once you have that surrogate model, you can ask it, “Which value of threshold would give me the largest daily ad revenue?”

Denis L.

Thanks for the answer!

Bayram Kapti

Thank you David Sweet!
It’s easier to calculate the statistical significance of an uplift in the test group’s performance against the success metric(s) during an AB test when the success metric is a rate -> such as CTR.
However, I find it challenging to measure increased performance after a change in the product. Example Hypothesis: If I add this new feature to my app, It will increase the duration on the app.

Bayram Kapti

A follow up question to above, what are the best practices to come up with “X % increase” in the hypothesis statement. This varies for industry or the metric itself, but is there a methodology to come up with The X percent in the hypothesis statements?

WingCode

I would probably like to add onto the question 🙂
Is there some technique to predict the “X % increase” even before running the experiment?

David Sweet

Generally speaking, we’ll hypothesize “no change in the metric”. This is called the null hypothesis. The A/B test will measure the change in the metric and, potentially, reject the null hypothesis.
The good news is that you don’t have to guess, beforehand, by how much the metric will change to run an A/B test.
You do need to know the level of variability (the standard deviation) of the metric, however. Usually you can estimate that number from existing data. For example, if your metric were time spent by a user during a session, you could look at existing logs of users sessions and compute the standard deviation of the time spent.
That being said, it would be nice to have a prediction of the A/B test result beforehand. If the prediction said, “This new feature probably won’t change time spent by enough for anyone to care”, then you could avoid running the A/B test altogether.
One can sometimes use a domain-specific simulation of the system to make such a prediction. In quantitative trading, for example, it is common to run a trading simulation (aka, a backtest) to estimate the profitability of a trading strategy before deploying it. Simulations are sometimes used by ad-serving systems, recommender systems, and others, too.

Bayram Kapti

Appreciate the answer David Sweet!
When you have seasonality in your users behavior, I guess than you could intentionally only look at the variance for relavant season.
Imagine an e-commerce store having higher durations during Christmas & Holidays season when compared to Summer. In this case, would it makes sense to include Summer data to calculate variance for an AB test during Christmas time?

David Sweet

Yes.
The goal is really to predict the variance that will be realized during the experiment. Using (in your variance calculation) only data expected to be similar to the data you will collect during the experiment would achieve that goal.

Wendy Mak

hi David, would you use an ‘off the shelf’ system to run your A/B tests, and at what point would you decide that it’s better to build your own?

David Sweet

Sure. I would look at it like any other build-vs-buy decision. Does the product do what you need? Is the price right? (Does the do more than you need? If so maybe you’re paying for features you won’t use.)
I think it would be useful to initially run A/B tests in the lowest-effort way possible — whether that’s with a web-based tool or some simple manual calculations in Jupyter. You’ll learn about the details that are specific to your system (ex., deploying “B” versions, logging measurements) and get a sense for the value a piece of commercial software could provide.

Wendy Mak

also, how do you decide whether something is worth running A/B tests on?

David Sweet

One way to do this is to run a simulation before hand.

Alexey Grigorev

Hi David Sweet!
What are your favorite blog posts and videos from companies that talk about their experimentation platforms and the way they run A/B tests?

David Sweet

This is a good one: https://research.fb.com/videos/the-facebook-field-guide-to-machine-learning-episode-6-experimentation/
I especially like the comments about how improvements in offline/modeling metrics (ex., MSE of a regression, or cross-entropy of a classifier) don’t exactly translate to improvements in online/business metrics (like revenue, clicks/day, etc.)

David Sweet

For a nice overview of Bayesian optimization in practice: https://research.fb.com/blog/2018/09/efficient-tuning-of-online-systems-using-bayesian-optimization/

David Sweet

Also, most large companies have internal, custom experimentation platforms:
Uber: https://eng.uber.com/xp/
Netflix: Netflix https://lnkd.in/dmKdFJ8
Twitter: https://lnkd.in/dFHZxSM
Facebook: https://lnkd.in/dG7_8GV
LinkedIn: https://lnkd.in/dCc8aQN
Spotify: https://lnkd.in/dKcyyuM
Spotify: https://lnkd.in/d9E-5BC

Alexey Grigorev

Oh thank you!

Oleg Polivin

Hi David Sweet
Thanks a lot for the opportunity to ask you a question!
Shall a data scientist know A/B testing well?
Here is my reflection/speculation:
I’m working as a data scientist for some time now, and I didn’t have to use A/B testing so far. I know some basics, but surely there is much more to applying A/B tests in production. It looks like it is a must for “data analyst” positions. And I feel uncomfortable about this because:

  • I would speculate that A/B testing itself brings more value to a company than a bunch of data scientists.
  • I do not have that knowledge => am I/will be still relevant to the industry?
Eimhear Rainey

Great question Oleg. I’m a data analyst venturing out into the word of unit testing and wondering if A/B testing is something I should be learning.

David Sweet

A/B testing — and related methods — help you translate your data science work into concrete, business terms.
For example: You might design a new feature and find that it reduces a model’s RMSE by .1%. Is that good? How good? Would your boss care if s/he’s not a data scientist? Would a shareholder care?
The question you need to answer is: How much impact does your new feature have on the business? How much extra revenue can the business generate by using your new feature? How much more do users enjoy the product with your new feature?
You answer questions like that by running an A/B test comparing the original model (without your feature, version A) to the new model (with your feature, version B). You run that test on the production system — the web site or mobile app or whatever — and measure the business impact directly.
You could think of it this way: When you write a self-assessment at the end of a quarter or year, would you rather write, “I improved RMSE by .1%” or “I added $XX million/year to the bottom line”?

Oleg Polivin

David thank you for this detailed answer, it is great!

Oleg Polivin

And a somewhat related question.
Would it be correct to say that A/B testing is mostly used in e-commerce, advertising industries, and, more generally, where some kind of recommendations are involved?
That would explain my lack of knowledge of A/B tests since I have not worked in those industries.

David Sweet

Yes, A/B testing and related experimental methods are used in advertising and on recommender systems. They are used to improve web sites, web and mobile applications (think Google, Facebook, Instagram, Twitter, Spotify, Amazon, Uber, Apple products, and so on) and on trading systems.
In medicine, A/B tests are called random controlled trials (RCT), and are used to test the efficacy of new medications and other types of treatments. Anywhere you see “Six Sigma”, “process improvement”, etc. you’ll find A/B tests and related experimental methods. And, of course, you’ll find experiments in the sciences.
A/B tests may be applied anywhere you need to make a comparison in the face of complexity and uncertainty.

Oleg Polivin

I have some experience in running experiments in Economics, but we never had to use multi-armed bandits and we didn’t call it A/B testing, rather RCTs as well.
It also seems to me that organizing A/B tests in industrial setting is more complicated.
Thanks a lot!

Alexey Grigorev

How much statistics do you think data scientists and analysts need for running A/B tests?
It feels that data scientists are not always good with stats and focus more on ML.

Alexey Grigorev

And often experimentation platforms take care of things like calculating the sample size. But do we need to understand how these things work to be able to use them properly?

Tim Becker

Hi David Sweet, really interesting book! When I went through the introduction, I was wondering what the biggest pitfalls are when evaluating models? What kind of mistakes are frequently made when doing the final test in production. Also, when evaluating financial models, e.g. for stock trading, isn’t there a lot of randomness involved? How can we be sure about selecting the better model for the future? Extending the period over which we compare both models?

David Sweet

A mistake that is common, has a big impact, and is easy to avoid is early stopping. If your A/B test design says “run for 10 days”, and you stop before 10 days because the t statistic looks good, you’ve made the mistake of early stopping. The t statistic itself is noisy and takes time to settle down, so you really need to wait it out.
When you design an A/B test you’ll, in part, try to limit your false positive* rate to 5%. Early stopping can easily make that rate much higher (like 50% or 75% or more).
*A “false positive” is when you think B looks better than A, but, in fact, it’s not.

There is, indeed, a lot of randomness involve in financial models. It’s common to run an experiment on high-frequency strategies or execution strategies (which also run on high-frequency data) in 1 week - 1 month, depending on the specifics of the system.

Tim Becker

David Sweet thank you for answering my questions. It is a quite challenging and interesting topic.

Mansi Parikh

Hi, David! It’s nice of you to do this - thank you!
When easy-to-get large sample sizes generally cause most tests to be significant when means or proportions are actually only slightly different, what do you do? Do you have to look into other parts of the output, such Cohen’s D, to put the test in perspective?

David Sweet

If you have very large sample sizes, then you are fortunate. You’ll have very small standard errors of your measurements of your business metric and can, thus, precisely measure the difference in business metric between versions A and B of your system.
The question that remains is: How big of a difference you care about? The answer to this question is specific to your system. For example, if “version B” of an ad serving system produced $1,000/day more than version A, would you care? It depends. If your company is a small startup that just started serving ads and has little revenue then, yes! You need that $1k/day.
But if you work at Google, where ads produce $150B/year (I think), maybe you’d have to consider whether $1k/day extra is worth the effort it takes to modify the code and the risk (however small) of making a change to the system.
I like to think of this as the question of “practical significance” to differentiate it from statistical significance. Statistical significance tells you how much to believe the measurement. Practical significance tells you how much to care (from a business perspective) about the the value you measured.

Mansi Parikh

Also, whenever you are cautious about your new variant possibly performing poorly compared to your control, wouldn’t you always go with a split that allocates less traffic/money/etc towards the variant being tested? https://geoffruddock.com/run-ab-test-with-unequal-sample-size/

David Sweet

Yes.
Generally, it’s a good idea to start very small. With a small size running you can detect bugs in the new code, bugs in the measurement tooling, and very large, adverse changes in your metrics. Then you can scale up to the full testing size. Even that doesn’t necessarily need to be very large. Like you said, you might want to keep it small for safety’s sake.
The tradeoff to keep in mind might be that small sizes will take more hours (or days) to run to completion.

Mansi Parikh

In most cases, we are running experiments with multifactorial designs. Is it appropriate to still compare all treatments to a common single control (T1 vs C, T2 vs C, T3 vs C…) or perhaps create many different single treatment + control cuts (T1 vs not T1, T2 vs not T2, T3 vs not T3…) and use basic statistical hypothesis testing or should we graduate to something more sophisticated like an ANOVA (though to derive meaning out of those, we’ll typically run Tukey paired tests anyway)?

David Sweet

You can compare all of the treatments to a common control, but you’ll need to use a Bonferroni correction (or some other family-wise approach, if I understand correctly, is what you’re accounting for with the Tukey paired tests) to get the right p values.

Kyle Shannon

❓ Hey David Sweet, how do you handle evaluating multiple tests at once that could have interference with each other? Perfect world is to isolate, but that rarely happens. I was wondering if you have learned any tips or used any frameworks you liked

David Sweet

This is a tough one. My knee-jerk reaction is to suggest finding a way to decouple them. 🙂 For example, if you have a version A and version B of a web app, each day (or each hour, or whatever) you could flip coin and say, “heads we run A, tails we run B”. It’ll be lower precision that running simultaneously, but at least they won’t interfere.
But if interference is unavoidable, I don’t have a good answer. Perhaps you could find a way to model the interference. I’m picturing something akin to “y ~ chi_A + chi_B + chi_AB” where y is your business metric and the chi’s are indicator variables. If you could fit a model of (roughly) that sort to your measurements, then maybe you could separate the effects of A and B from the effect of the interaction.

Kyle Shannon

Thank you for the response, haven’t done much with modeling for interference that’s interesting. Gotta love the ol coin flip 🙂

Hironori Sakai

Hello David Sweet, I have a question about the early stopping. In an ordinary (frequentist) A/B test, we compute the (minimal) number of observations of the groups for the experiment for the stopping condition in advance. How can we determine such a number in a Bayesian A/B test?

David Sweet

In the Bayesian approach — aka., multi-armed bandits — you don’t.
When you design an A/B test you place two constraints on your measurement: (i) the false positive rate is limited (usually to 5%), and (ii) the false negative rate is limited (usually to 20%). You calculate the minimum number of observations needed to satisfy those constraints, given that there is variation (error) in your measurement.
Bandit methods optimize for business-metric impact. Bandit methods will monitor the business metrics and their standard errors for A and B and allocate more observations to A or B as needed to capitalize on business metric and/or decrease the standard error.
Bandit methods will likely lead to higher false positive & false negative rates — especially when the business metric performance of A & B are similar. But the more similar they are, the less you care about telling them apart (if business metric maximization is your goal).

Kyle Shannon

❓ Do you have any suggestions of frameworks, tools or resources for working with stakeholders to help them better plan out their A/B tests?

David Sweet

Names that come to mind are Optimizely and VWO, but I have not used them personally. A/B testing is a big space, so you’ll find many other commercial and open source tools.

Kyle Shannon

Cheers, thanks!

Kyle Shannon

We’re using a homegrown and looking to get something more managed currently checking out optimizely heard some good things

Eric Sims

Ahhh! I need this book in my life! 😅 My co-worker and I have been breaking our brains over A/B testing this week.

David Sweet

Re: peeking
It’s terrible! Resist it! It can send your false positive rate through the roof.
Now, simply looking at the t stats and measurements, of course, won’t cause any problems. In fact, you should watch to make sure that something isn’t going very wrong. After all, you’re testing something new. It could have an adverse effect on your metrics.
The problem is really if you say: “The t statistic is high, and the B version looks better, so I’ll stop now and switch over to B.” Had you waited, the t stat might have come back down, and you might not have been so excited about the B version and just stuck with A. That’s how you drive your false positive rate up. That’s why you need to wait.

Eric Sims

Thank you!

Eric Sims

What is your opinion on ‘peeking’? Is it terrible? Or is it something that people are going to do no matter what so you try not to lose sleep over it?

Eric Sims

Do you have any good analogies/examples to help people understand why ending a test when they see what they want is not a good idea? …asking for a friend 🙂

Lavanya M K

David Sweet what does “tuning up” in the book title mean🙂? Is it tuning abtest system or optimising the business metrics?

David Sweet

I’m using “tuning” to refer to the optimizing the business metrics. (Like setting the tuning knob on a radio.)

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