Efficiently Answering Durability Prediction Queries

We consider a class of queries called durability prediction queries that arise commonly in predictive analytics, where we use a given predictive model to answer questions about possible futures to inform our decisions. Examples of durability prediction queries include "what is the probability that this financial product will keep losing money over the next 12 quarters before turning in any profit?" and "what is the chance for our proposed server cluster to fail the required service-level agreement before its term ends?" We devise a general method called Multi-Level Splitting Sampling (MLSS) that can efficiently handle complex queries and complex models -- including those involving black-box functions -- as long as the models allow us to simulate possible futures step by step. Our method addresses the inefficiency of standard Monte Carlo (MC) methods by applying the idea of importance splitting to let one "promising" sample path prefix generate multiple "offspring" paths, thereby directing simulation efforts toward more promising paths. We propose practical techniques for designing splitting strategies, freeing users from manual tuning. Experiments show that our approach is able to achieve unbiased estimates and the same error guarantees as standard MC while offering an order-of-magnitude cost reduction.Comment: in SIGMOD 202

Durable Top-K Instant-Stamped Temporal Records with User-Specified Scoring Functions

A way of finding interesting or exceptional records from instant-stamped temporal data is to consider their "durability," or, intuitively speaking, how well they compare with other records that arrived earlier or later, and how long they retain their supremacy. For example, people are naturally fascinated by claims with long durability, such as: "On January 22, 2006, Kobe Bryant dropped 81 points against Toronto Raptors. Since then, this scoring record has yet to be broken." In general, given a sequence of instant-stamped records, suppose that we can rank them by a user-specified scoring function $f$, which may consider multiple attributes of a record to compute a single score for ranking. This paper studies "durable top-$k$ queries", which find records whose scores were within top-$k$ among those records within a "durability window" of given length, e.g., a 10-year window starting/ending at the timestamp of the record. The parameter $k$, the length of the durability window, and parameters of the scoring function (which capture user preference) can all be given at the query time. We illustrate why this problem formulation yields more meaningful answers in some practical situations than other similar types of queries considered previously. We propose new algorithms for solving this problem, and provide a comprehensive theoretical analysis on the complexities of the problem itself and of our algorithms. Our algorithms vastly outperform various baselines (by up to two orders of magnitude on real and synthetic datasets).Comment: in ICDE 202