In my team we try to be methodical. I'm just a lowly engineer but one of my team mates is a statistician and another is a PhD student. We know we need to pre-register the hypothesis and at what significance we're testing for first, divide the groups randomly and run the experiment for a set time period.
We've gotten a lot more negative results and been proven wrong in our guesses than the other teams. For some reason I take pride in that.
I wanted to add one detail--there actually are ways to do early stopping while staying within a frequentist approach. For example, most clinical trials methods are not Bayesian but rather are just fixed-horizon tests that have the allowable amount of Type 1 error "spread out" amongst the multiple looks that are planned in advance.
At Optimizely we essentially have a continuous version of this that does in fact allow for multiple looks with rigorous control of Type 1 error. As tedsanders mentions, the key upside is that if you start an experiment with a larger-than-expected lift, you can terminate it early. Then over many repeated experiments, you gain a lot in terms of average time to significance.
The dissonance in this discussion mostly stems from the fact that this paper (which we actually collaborated on!) uses data from 2014, before we rolled out this new Stats Engine.
For more, I would encourage a look at our paper: http://www.kdd.org/kdd2017/papers/view/peeking-at-ab-tests-w...
In fact, why use an inferential framework at all (estimating some sort of probability and using it to guide action), rather than directly using a policy learning framework, e.g. modeling this as Q-learning or multi-armed bandit problem?
If at the end of the day you have some objective function (e.g. 'making money'), some known space of actions (e.g. move this widget up the page, change the color, engage with user this way), and a reasonable way to associate those two, then isn't the company literally doing reinforcement learning over time?
It seems one benefit of a reinforcement learning framework is it maintains a set of actions that will still be explored in the future without forcing you to prematurely 'choose' whether A or B is actually better—if A is better in reality, then it will be explored more and more often and B will progressively become downweighted over time.
That "If" often evaluates to false.
There are tough judgement calls involved in selecting what is that metric that the org wants to optimize. It is very rare that business management commits to a clear quantitative goal. Reasons are many -- weasel room is important politically, selecting a metric that captures short term and long term goals is difficult, there is a lot of uncertainty in the costs due to uncertainty on how overhead should be billed etc etc.
This is fairly common. Typically, in these situations its the PMs who make the final call. There the goal of the experiment is to glean as much knowledge as possible, and present it to the PM. If that comes at the cost of exposing some customers to bad choices, so be it -- in other words, explore at the cost of losses in the opportunity to exploit.
Probably because of the maintenance cost of the code that was only explored but never exploited.
People don't seem to trust the system to make the right decisions even though you can do simulations and have the mathematics to show it is correct.
In a realistic scenario for us, bayesian and frequentist approaches will probably converge to a point that's close enough for a company that runs a website (i.e., we weren't killing anyone by leaving our experiment running). We also weren't getting massive fluctuations in effect size.
The cost of the Bayesian approach, in terms of learning a new system of statistics, programming everything up from scratch, and interpreting results, probably wouldn't be worth the efficiency gains. If we were creating an AB testing program, then I would probably do so.
1. Data collection is expensive (time or money)
2. Keeping with the status quo in the presence of new evidence is problematic (withholding a promising new drug)
3. Continuing with the experiment in the presence of new evidence is problematic (the new drug is hurting people)
Absent one of those features, it's probably not worth the added complexity.
Completely agree with Evan Miller here, thank you for sharing the link.
Suppose you're Facebook and you decide to test a new landing page on 1 million users. You roll out the test and notice that after 10,000 users, the new page is killing engagement. Whoops, turns out it had a bug and isn't even loading. Even though no medical patients are dying, this is still a very negative outcome for Facebook. Obviously they shouldn't test on 990,000 more users before fixing the bug, but that's what slavish adherence to pre-registered trial lengths would tell you to do, because it's 'cheating' to notice that there's a problem after the first 10,000 tests.
Some of you might say, sure, for extenuating circumstances like a bug you can break procedure. But in that case I think the logic slides down a slippery slope. What if in the example above instead of a bug we just had a feature performing terribly? In either case, the right move is to end the test early, since you don't need all the data points to measure a strong signal.
https://www.nytimes.com/2014/06/30/technology/facebook-tinke...
But if an effect shows up earlier, it is not necessarily strong. I think that's the point with running an experiment for a predeterimned length- so you know you didn't get un/lucky and hit a clump of results at the start of the experiments that will sort of average out later on.
Obviously, if a trial drug is killing your patients at a surprising rate, you need to stop the experiment. In fact, I believe experiments are sometimes stopped on ethical grounds when a drugs is found to heal the experiment group at a high rate, also, either so that the control group can also benefit, or just because it is hard to justify giving only half of your patients a life-saving drug and a placebo to the rest.
But those are ethical considerations - not practical ones. Such experiments are cut short without complete confidence to the results, when there is the merest hint of ethical issues down the line. At least that's my understanding.
If failures essential don't matter (e.g. number of bacteria killed in a petri dish), sure use frequentist p-value.
If failure do matter (e.g. number of patients killed), use Bayesian multi-armed bandit.
Wrote a blog post on it: https://www.lucidchart.com/blog/the-fatal-flaw-of-ab-tests-p...
The world would probably be a better place if we taught introductory statistics from a Bayesian perspective, but people get pretty set on their ways.
1. you see a random SKU spiking for n month in a row - good, keep stocking it, maybe even spend few adwords vouchers on it. BUT the fact that nobody in the company readily knows the nature of such spike is already an indication that the business fails at understanding its market.
2. Never in my career, I saw any of "coffee divination" level ideas coming from analysts ever being "life changing" for a company. I been through a number companies spending money on "algorithmic optimisation service" for banner ads of their clients. Yes, the "optimised" banners did score progressively more clicks with time, yet a single full time designer who was hired alongside the "optimiser" company could be scoring more clicks and purchases - without any input from any kind of data analysis
[2] I've only seen massive product movement when the analysts and idea folks work together. I've never seen an idea wonk hit the bullseye contrary to simple economic theory/reasoning on their customer target.
I don't think the tech environment is very conducive to running experiments. Everything moves too fast, by the time you figure out the results someone gives you are bs, they've already got promoted 3 times and work as a director at a different company.
I work in science now, and although people still p-hack like hell, there's at least some sort of shame about it. There's a long term cost too, I've met a couple researchers who have spent years trying to replicate some finding they got early in their career through suspicious means.