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ab-simulation contribution #258
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# ab-simulation | ||
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A Python 2.7 library to simulate AB tests and analyze results. |
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# A Python 2.7 library to simulate AB tests and analyze results. | ||
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############################################################################### | ||
# Copyright 2016 Intuit | ||
# | ||
# Licensed under the Apache License, Version 2.0 (the "License"); | ||
# you may not use this file except in compliance with the License. | ||
# You may obtain a copy of the License at | ||
# | ||
# http://www.apache.org/licenses/LICENSE-2.0 | ||
# | ||
# Unless required by applicable law or agreed to in writing, software | ||
# distributed under the License is distributed on an "AS IS" BASIS, | ||
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
# See the License for the specific language governing permissions and | ||
# limitations under the License. | ||
############################################################################### | ||
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import math, time, numpy, pandas | ||
import scipy.stats | ||
import matplotlib.pyplot as plt | ||
from pandas import DataFrame, Series | ||
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### estimate and confidence interval methods for binomial distributions | ||
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def WaldEstimate(successes, trials, significance=0.05): | ||
z = scipy.stats.norm.ppf(1 - significance / 2.) | ||
value = 1.*successes / trials | ||
interval = z*math.sqrt(value * (1 - value) / trials) | ||
return value, interval | ||
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# Agresti-Coull | ||
def ACEstimate(successes, trials, significance=0.05): | ||
z = scipy.stats.norm.ppf(1 - significance / 2.) | ||
value = 1.*(successes + z**2 / 2.) / (trials + z**2) | ||
interval = z*math.sqrt(value*(1 - value) / (trials + z**2)) | ||
return value, interval | ||
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### scaling significance to account for multiple test reads | ||
# fuction used to fit simulated results | ||
def modifiedSignificance(numImpressions, significance, firstLook, scale): | ||
numIndependentReads = (numpy.log(1.*numImpressions / firstLook) / | ||
numpy.log(scale)) + 1 | ||
modSig = 1 - (1 - significance)**numIndependentReads | ||
return modSig | ||
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### helper methods | ||
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# if the null hypothesis is rejected | ||
def rejectNull(estimate, rate): | ||
value = estimate[0] | ||
interval = estimate[1] | ||
return (rate < value - interval) or (rate > value + interval) | ||
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### core simulation | ||
# simulates a single-proportion Z-test | ||
# calculates type I error for a single test read (at end) | ||
# and cumulative error for continuous test reads (after every impression) | ||
def simulate(rates, significances, impressions, numTrials, firstLook=None, | ||
estimateFunction=WaldEstimate, seed=None): | ||
""" simulate a single-proportion Z-test | ||
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Args: | ||
rate (list): success rates | ||
significances (list): significance values (1 - confidence) | ||
impressions (int or list): maximum impressions or list of number of | ||
impressions | ||
numTrials (int): number of independent simulations to aggregate over | ||
firstLook (int): first impression at which experiment is evaluated for | ||
continuous evaluation | ||
(defaults to 1) | ||
estimateFunction (function): binomal approximation to use | ||
(defaults to Wald) | ||
seed (int, optional): seed for random number generation | ||
(defaults to current time) | ||
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Returns: | ||
avgRejects (DataFrame): simulate single test read at end | ||
avgAnyRejects (DataFrame): simulate conintuous test read after every impression | ||
Both DataFrames contain the estimate and uncertainty on the type I error | ||
(incorrect rejection of null hypothesis) for each rate, significance, and | ||
impression value. Results are aggregated across numTrials independent | ||
experiments. | ||
""" | ||
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trials = range(numTrials) | ||
base = [rates, significances, trials] | ||
mi = pandas.MultiIndex.from_product(base, names=['rate', 'significance', | ||
'trial']) | ||
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if seed is None: | ||
numpy.random.seed(int(time.time())) | ||
else: | ||
numpy.random.seed(seed) | ||
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if type(impressions) == int: | ||
points = range(1, impressions + 1) | ||
else: | ||
points = impressions | ||
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avgRejects = None | ||
avgAnyRejects = None | ||
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for n in points: | ||
if n <= 0: | ||
raise ValueError("All values in impressions must be positive.") | ||
draws = DataFrame(numpy.random.random([n, len(rates) * | ||
len(significances) * | ||
len(trials)]), | ||
columns=mi) | ||
draws.index = range(1, n + 1) | ||
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successes = draws.copy() | ||
rejects = draws.copy() | ||
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for rate in rates: | ||
successes[rate] = draws[rate].applymap(lambda x: int(x < rate)) | ||
cumSuccesses = successes.apply(numpy.core.fromnumeric.cumsum, raw=True) | ||
cumImpressions = successes.index.values | ||
for rate in rates: | ||
for sig in significances: | ||
for trial in trials: | ||
vals = Series(zip(cumSuccesses.loc[:, (rate, sig, trial)].values, | ||
cumImpressions)) | ||
vals.index = cumImpressions | ||
rejects.loc[:, (rate, sig, trial)] = vals.apply(lambda x: \ | ||
int(rejectNull(estimateFunction(x[0], x[1], sig), rate))) | ||
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if firstLook is not None: | ||
anyRejects = rejects.ix[firstLook:].max() | ||
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# apply binomial approximation to estimate type I error rate | ||
if avgRejects is None: | ||
avgRejects = rejects[-1:]. \ | ||
groupby(axis=1, level=['rate', 'significance']). \ | ||
sum(). \ | ||
applymap(lambda x: estimateFunction(x, numTrials)) | ||
else: | ||
avgRejects.ix[n] = rejects[-1:]. \ | ||
groupby(axis=1, level=['rate', 'significance']). \ | ||
sum(). \ | ||
applymap(lambda x: estimateFunction(x, numTrials)). \ | ||
values[0] | ||
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# apply binomial approximation to estimate cumulative type I error rate | ||
if firstLook is not None: | ||
if avgAnyRejects is None: | ||
avgAnyRejects = DataFrame(anyRejects. \ | ||
groupby(level=['rate', 'significance']). \ | ||
sum(). \ | ||
map(lambda x: estimateFunction(x, numTrials))). \ | ||
transpose() | ||
avgAnyRejects.index = avgRejects.index.copy() | ||
else: | ||
avgAnyRejects.ix[n] = anyRejects. \ | ||
groupby(level=['rate', 'significance']). \ | ||
sum(). \ | ||
map(lambda x: estimateFunction(x, numTrials)). \ | ||
values | ||
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return avgRejects, avgAnyRejects | ||
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### plotting | ||
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def plotRejects(avgRejects, avgAnyRejects): | ||
impressions = avgRejects.index | ||
rates = avgRejects.columns.levels[0] | ||
sigs = avgRejects.columns.levels[1] | ||
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colors = [(1, 0, 0), (0, 1, 0), (0, 0, 1), (1, 1, 0), (0, 1, 1), (1, 0, 1), | ||
(1, 1, 1)] | ||
levels = [(val + 1.)/len(sigs) for val in range(len(sigs))] | ||
fig = plt.figure(figsize=(10, 6)) | ||
ax = fig.add_subplot(1, 1, 1) | ||
rateIndex = 0 | ||
for (rate, baseColor) in zip(rates, colors[:len(rates)]): | ||
for (sig, level) in zip(sigs, levels): | ||
color = tuple(val*level for val in baseColor) | ||
rejectsVals = avgRejects[rate][sig].apply(lambda x: x[0]).values | ||
anyRejectsVals = avgAnyRejects[rate][sig]. \ | ||
apply(lambda x: x[0]).values | ||
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ax.plot(impressions, rejectsVals, color=color, | ||
label="rate: %.3f; significance: %.3f" % (rate, sig)) | ||
ax.plot(impressions, anyRejectsVals, color=color, marker='x', | ||
ls='--') | ||
for sig in sigs: | ||
ax.plot(impressions, [sig]*len(impressions), color='k', ls=':') | ||
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ax.set_xlim(0, max(impressions)) | ||
ax.set_ylim(0, 1) | ||
ax.set_title('Average Reject Rate', fontsize=24) | ||
ax.set_xlabel('# Impressions', fontsize=20) | ||
ax.set_ylabel('% Rejects', fontsize=20) | ||
ax.legend(loc=1, fontsize=18) | ||
plt.tick_params(axis='both', which='major', labelsize=16) | ||
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plt.show() |
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@dillard Please add the copyright header to the python script as this is in the open source repo