5 research outputs found

    Statistical Challenges in Online Controlled Experiments: A Review of A/B Testing Methodology

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    The rise of internet-based services and products in the late 1990's brought about an unprecedented opportunity for online businesses to engage in large scale data-driven decision making. Over the past two decades, organizations such as Airbnb, Alibaba, Amazon, Baidu, Booking, Alphabet's Google, LinkedIn, Lyft, Meta's Facebook, Microsoft, Netflix, Twitter, Uber, and Yandex have invested tremendous resources in online controlled experiments (OCEs) to assess the impact of innovation on their customers and businesses. Running OCEs at scale has presented a host of challenges requiring solutions from many domains. In this paper we review challenges that require new statistical methodologies to address them. In particular, we discuss the practice and culture of online experimentation, as well as its statistics literature, placing the current methodologies within their relevant statistical lineages and providing illustrative examples of OCE applications. Our goal is to raise academic statisticians' awareness of these new research opportunities to increase collaboration between academia and the online industry

    Optimal Supersaturated Designs for Lasso Sign Recovery

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    Supersaturated designs, in which the number of factors exceeds the number of runs, are often constructed under a heuristic criterion that measures a design's proximity to an unattainable orthogonal design. Such a criterion does not directly measure a design's quality in terms of screening. To address this disconnect, we develop optimality criteria to maximize the lasso's sign recovery probability. The criteria have varying amounts of prior knowledge about the model's parameters. We show that an orthogonal design is an ideal structure when the signs of the active factors are unknown. When the signs are assumed known, we show that a design whose columns exhibit small, positive correlations are ideal. Such designs are sought after by the Var(s+)-criterion. These conclusions are based on a continuous optimization framework, which rigorously justifies the use of established heuristic criteria. From this justification, we propose a computationally-efficient design search algorithm that filters through optimal designs under different heuristic criteria to select the one that maximizes the sign recovery probability under the lasso

    Tuning Parameter Selection for Penalized Estimation via R2

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    The tuning parameter selection strategy for penalized estimation is crucial to identify a model that is both interpretable and predictive. However, popular strategies (e.g., minimizing average squared prediction error via cross-validation) tend to select models with more predictors than necessary. This paper proposes a simple, yet powerful cross-validation strategy based on maximizing squared correlations between the observed and predicted values, rather than minimizing squared error loss. The strategy can be applied to all penalized least-squares estimators and we show that, under certain conditions, the metric implicitly performs a bias adjustment. Specific attention is given to the lasso estimator, in which our strategy is closely related to the relaxed lasso estimator. We demonstrate our approach on a functional variable selection problem to identify optimal placement of surface electromyogram sensors to control a robotic hand prosthesis
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