For instance, consider a banner with a title and an image. We are considering two different titles and three different images. A full-factorial experiment will compare all 2*3=6 possible combinations of title and image, to see which version of the banner performs the best.
In this example, we first run an exploratory batch to collect data on all possible combinations. Then we use empirical Bayes to model the data and shrink noisy estimates toward the mean. Next, we use Thompson Sampling to suggest a set of arms (combinations of factors and levels) on which to collect more data. We repeat the process until we have identified the best performing combination(s).
import numpy as np
import pandas as pd
import sklearn as skl
from typing import Dict, Optional, Tuple, Union
from ax import Arm, ChoiceParameter, Models, ParameterType, SearchSpace, Experiment, OptimizationConfig, Objective
from ax.plot.scatter import plot_fitted
from ax.utils.notebook.plotting import render, init_notebook_plotting
from ax.utils.stats.statstools import agresti_coull_sem
init_notebook_plotting()
[INFO 09-15 19:21:42] ax.utils.notebook.plotting: Injecting Plotly library into cell. Do not overwrite or delete cell.
search_space = SearchSpace(
parameters=[
ChoiceParameter(
name="factor1",
parameter_type=ParameterType.STRING,
values=["level11", "level12", "level13"],
),
ChoiceParameter(
name="factor2",
parameter_type=ParameterType.STRING,
values=["level21", "level22"],
),
ChoiceParameter(
name="factor3",
parameter_type=ParameterType.STRING,
values=["level31", "level32", "level33", "level34"],
),
]
)
/home/runner/work/Ax/Ax/ax/core/parameter.py:480: UserWarning: `is_ordered` is not specified for `ChoiceParameter` "factor1". Defaulting to `False` for parameters of `ParameterType` STRING. To override this behavior (or avoid this warning), specify `is_ordered` during `ChoiceParameter` construction. /home/runner/work/Ax/Ax/ax/core/parameter.py:480: UserWarning: `sort_values` is not specified for `ChoiceParameter` "factor1". Defaulting to `False` for parameters of `ParameterType` STRING. To override this behavior (or avoid this warning), specify `sort_values` during `ChoiceParameter` construction. /home/runner/work/Ax/Ax/ax/core/parameter.py:480: UserWarning: `is_ordered` is not specified for `ChoiceParameter` "factor2". Defaulting to `False` for parameters of `ParameterType` STRING. To override this behavior (or avoid this warning), specify `is_ordered` during `ChoiceParameter` construction. /home/runner/work/Ax/Ax/ax/core/parameter.py:480: UserWarning: `sort_values` is not specified for `ChoiceParameter` "factor2". Defaulting to `False` for parameters of `ParameterType` STRING. To override this behavior (or avoid this warning), specify `sort_values` during `ChoiceParameter` construction. /home/runner/work/Ax/Ax/ax/core/parameter.py:480: UserWarning: `is_ordered` is not specified for `ChoiceParameter` "factor3". Defaulting to `False` for parameters of `ParameterType` STRING. To override this behavior (or avoid this warning), specify `is_ordered` during `ChoiceParameter` construction. /home/runner/work/Ax/Ax/ax/core/parameter.py:480: UserWarning: `sort_values` is not specified for `ChoiceParameter` "factor3". Defaulting to `False` for parameters of `ParameterType` STRING. To override this behavior (or avoid this warning), specify `sort_values` during `ChoiceParameter` construction.
Second, we define a custom metric, which is responsible for computing the mean and standard error of a given arm.
In this example, each possible parameter value is given a coefficient. The higher the level, the higher the coefficient, and the higher the coefficients, the greater the mean.
The standard error of each arm is determined by the weight passed into the evaluation function, which represents the size of the population on which this arm was evaluated. The higher the weight, the greater the sample size, and thus the lower the standard error.
from ax import Data, Metric
import pandas as pd
from random import random
one_hot_encoder = skl.preprocessing.OneHotEncoder(
categories=[par.values for par in search_space.parameters.values()],
)
class FactorialMetric(Metric):
def fetch_trial_data(self, trial):
records = []
for arm_name, arm in trial.arms_by_name.items():
params = arm.parameters
batch_size = 10000
noise_level = 0.0
weight = trial.normalized_arm_weights().get(arm, 1.0)
coefficients = np.array([
0.1, 0.2, 0.3,
0.1, 0.2,
0.1, 0.2, 0.3, 0.4
])
features = np.array(list(params.values())).reshape(1, -1)
encoded_features = one_hot_encoder.fit_transform(features)
z = coefficients @ encoded_features.T + np.sqrt(noise_level) * np.random.randn()
p = np.exp(z) / (1 + np.exp(z))
plays = np.random.binomial(batch_size, weight)
successes = np.random.binomial(plays, p)
records.append({
"arm_name": arm_name,
"metric_name": self.name,
"trial_index": trial.index,
"mean": float(successes) / plays,
"sem": agresti_coull_sem(successes, plays),
})
return Data(df=pd.DataFrame.from_records(records))
from ax import Runner
class MyRunner(Runner):
def run(self, trial):
trial_metadata = {"name": str(trial.index)}
return trial_metadata
exp = Experiment(
name="my_factorial_closed_loop_experiment",
search_space=search_space,
optimization_config=OptimizationConfig(
objective=Objective(metric=FactorialMetric(name="success_metric"))
),
runner=MyRunner(),
)
exp.status_quo = Arm(
parameters={"factor1": "level11", "factor2": "level21", "factor3": "level31"}
)
factorial = Models.FACTORIAL(search_space=exp.search_space)
factorial_run = factorial.gen(n=-1) # Number of arms to generate is derived from the search space.
print(len(factorial_run.arms))
24
Now we create a trial including all of these arms, so that we can collect data and evaluate the performance of each.
trial = (
exp.new_batch_trial(optimize_for_power=True)
.add_generator_run(factorial_run, multiplier=1)
)
By default, the weight of each arm in factorial_run will be 1. However, to optimize for power on the contrasts of k groups against the status quo, the status quo should be sqrt(k) larger than any of the treatment groups. Since we have 24 different arms in our search space, the status quo should be roughly five times larger. That larger weight is automatically set by Ax under the hood if optimize_for_power kwarg is set to True on new batched trial creation.
trial._status_quo_weight_override
4.795831523312719
In each iteration, we first collect data about all arms in that trial by calling trial.run() and trial.mark_complete(). Then we run Thompson Sampling, which assigns a weight to each arm that is proportional to the probability of that arm being the best. Arms whose weight exceed min_weight are added to the next trial, so that we can gather more data on their performance.
models = []
for i in range(4):
print(f"Running trial {i+1}...")
trial.run()
trial.mark_completed()
thompson = Models.THOMPSON(
experiment=exp, data=trial.fetch_data(), min_weight=0.01
)
models.append(thompson)
thompson_run = thompson.gen(n=-1)
trial = exp.new_batch_trial(optimize_for_power=True).add_generator_run(thompson_run)
Running trial 1... Running trial 2... Running trial 3... Running trial 4...
render(plot_fitted(models[0], metric="success_metric", rel=False))
The following plot below shows the mean and standard error for each arm that made it to the last trial (as well as the status quo, which appears throughout).
render(plot_fitted(models[-1], metric="success_metric", rel=False))
results = pd.DataFrame(
[
{"values": ",".join(arm.parameters.values()), "weight": weight}
for arm, weight in trial.normalized_arm_weights().items()
]
)
print(results)
values weight 0 level13,level22,level33 0.235902 1 level13,level22,level34 0.214981 2 level12,level22,level34 0.183092 3 level11,level21,level31 0.366025
We can also visualize the progression of the experience in the following rollout chart. Each bar represents a trial, and the width of the bands within a bar are proportional to the weight of the arms in that trial.
In the first trial, all arms appear with equal weight, except for the status quo. By the last trial, we have narrowed our focus to only four arms, with arm 0_22 (the arm with the highest levels) having the greatest weight.
from ax.plot.bandit_rollout import plot_bandit_rollout
from ax.utils.notebook.plotting import render
render(plot_bandit_rollout(exp))
Finally, we can examine which parameter values had the greatest effect on the overall arm value. As we see in the diagram below, arms whose parameters were assigned the lower level values (such as levell1, levell2, level31 and level32) performed worse than average, whereas arms with higher levels performed better than average.
from ax.plot.marginal_effects import plot_marginal_effects
render(plot_marginal_effects(models[0], 'success_metric'))
/home/runner/work/Ax/Ax/ax/plot/marginal_effects.py:39: FutureWarning: In a future version of pandas all arguments of concat except for the argument 'objs' will be keyword-only.
Total runtime of script: 5.74 seconds.