Created
June 5, 2014 00:46
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AB Test per Evan Miller & Sean Harnett see: https://news.ycombinator.com/reply?id=7848208
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object ABTest extends App{ | |
case class Rate(successes:Int, failures:Int) { | |
override def toString = "[Successes: %d, Failures: %d]".format(successes, failures) | |
} | |
def BbeatsA(a:Rate, b:Rate) = { | |
val mu = Beta(1 + a.successes, 1 + a.failures).mean - Beta(1 + a.failures, 1 + b.failures).mean | |
val sigma = math.pow(Beta(1 + a.successes, 1 + a.failures).variance + Beta(1 + b.successes, 1 + b.failures).variance, 0.5) | |
100.0 * Gaussian.cdf(0, mu, sigma) | |
} | |
for(i<- 30 to 70) { | |
val a = Rate(successes = i, failures = 100 - i) | |
val b = Rate(successes = 100 - i, failures = i) | |
val odds = BbeatsA(a,b) | |
val msg = if (odds > 50) "A %s, B %s, B beats A with odds: %.3f %s".format(a,b,odds, "%") | |
else "A %s, B %s, A beats B with odds: %.3f %s".format(a,b, 100 - odds, "%") | |
println(msg) | |
} | |
} | |
case class Beta(a:Double, b:Double) { | |
def mean = a/(a+b) | |
def variance = a*b/(math.pow(a+b,2)*(a+b+1)) | |
} | |
object Gaussian { | |
// standard Gaussian pdf | |
def pdf(x:Double) = math.exp(-x*x / 2) / math.sqrt(2 * math.Pi) | |
// standard Gaussian cdf using Taylor approximation | |
def cdf(z:Double):Double = { | |
if (z < -8.0) 0.0 | |
else if (z > 8.0) 1.0 | |
else { | |
var sum = 0.0 | |
var term = z | |
var i = 3 | |
while( sum + term != sum) { | |
sum = sum + term | |
term = term * z * z / i | |
i += 2 | |
} | |
0.5 + sum * pdf(z) | |
} | |
} | |
// Gaussian cdf with mean mu and stddev sigma | |
def cdf(z:Double, mu:Double, sigma:Double):Double = cdf((z - mu) / sigma) | |
} |
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$ scala ABTest | |
A [Successes: 30, Failures: 70], B [Successes: 70, Failures: 30], B beats A with odds: 100.000 % | |
A [Successes: 31, Failures: 69], B [Successes: 69, Failures: 31], B beats A with odds: 100.000 % | |
A [Successes: 32, Failures: 68], B [Successes: 68, Failures: 32], B beats A with odds: 100.000 % | |
A [Successes: 33, Failures: 67], B [Successes: 67, Failures: 33], B beats A with odds: 100.000 % | |
A [Successes: 34, Failures: 66], B [Successes: 66, Failures: 34], B beats A with odds: 100.000 % | |
A [Successes: 35, Failures: 65], B [Successes: 65, Failures: 35], B beats A with odds: 99.999 % | |
A [Successes: 36, Failures: 64], B [Successes: 64, Failures: 36], B beats A with odds: 99.998 % | |
A [Successes: 37, Failures: 63], B [Successes: 63, Failures: 37], B beats A with odds: 99.992 % | |
A [Successes: 38, Failures: 62], B [Successes: 62, Failures: 38], B beats A with odds: 99.974 % | |
A [Successes: 39, Failures: 61], B [Successes: 61, Failures: 39], B beats A with odds: 99.924 % | |
A [Successes: 40, Failures: 60], B [Successes: 60, Failures: 40], B beats A with odds: 99.795 % | |
A [Successes: 41, Failures: 59], B [Successes: 59, Failures: 41], B beats A with odds: 99.496 % | |
A [Successes: 42, Failures: 58], B [Successes: 58, Failures: 42], B beats A with odds: 98.869 % | |
A [Successes: 43, Failures: 57], B [Successes: 57, Failures: 43], B beats A with odds: 97.664 % | |
A [Successes: 44, Failures: 56], B [Successes: 56, Failures: 44], B beats A with odds: 95.547 % | |
A [Successes: 45, Failures: 55], B [Successes: 55, Failures: 45], B beats A with odds: 92.131 % | |
A [Successes: 46, Failures: 54], B [Successes: 54, Failures: 46], B beats A with odds: 87.059 % | |
A [Successes: 47, Failures: 53], B [Successes: 53, Failures: 47], B beats A with odds: 80.115 % | |
A [Successes: 48, Failures: 52], B [Successes: 52, Failures: 48], B beats A with odds: 71.338 % | |
A [Successes: 49, Failures: 51], B [Successes: 51, Failures: 49], B beats A with odds: 61.083 % | |
A [Successes: 50, Failures: 50], B [Successes: 50, Failures: 50], A beats B with odds: 50.000 % | |
A [Successes: 51, Failures: 49], B [Successes: 49, Failures: 51], A beats B with odds: 61.083 % | |
A [Successes: 52, Failures: 48], B [Successes: 48, Failures: 52], A beats B with odds: 71.338 % | |
A [Successes: 53, Failures: 47], B [Successes: 47, Failures: 53], A beats B with odds: 80.115 % | |
A [Successes: 54, Failures: 46], B [Successes: 46, Failures: 54], A beats B with odds: 87.059 % | |
A [Successes: 55, Failures: 45], B [Successes: 45, Failures: 55], A beats B with odds: 92.131 % | |
A [Successes: 56, Failures: 44], B [Successes: 44, Failures: 56], A beats B with odds: 95.547 % | |
A [Successes: 57, Failures: 43], B [Successes: 43, Failures: 57], A beats B with odds: 97.664 % | |
A [Successes: 58, Failures: 42], B [Successes: 42, Failures: 58], A beats B with odds: 98.869 % | |
A [Successes: 59, Failures: 41], B [Successes: 41, Failures: 59], A beats B with odds: 99.496 % | |
A [Successes: 60, Failures: 40], B [Successes: 40, Failures: 60], A beats B with odds: 99.795 % | |
A [Successes: 61, Failures: 39], B [Successes: 39, Failures: 61], A beats B with odds: 99.924 % | |
A [Successes: 62, Failures: 38], B [Successes: 38, Failures: 62], A beats B with odds: 99.974 % | |
A [Successes: 63, Failures: 37], B [Successes: 37, Failures: 63], A beats B with odds: 99.992 % | |
A [Successes: 64, Failures: 36], B [Successes: 36, Failures: 64], A beats B with odds: 99.998 % | |
A [Successes: 65, Failures: 35], B [Successes: 35, Failures: 65], A beats B with odds: 99.999 % | |
A [Successes: 66, Failures: 34], B [Successes: 34, Failures: 66], A beats B with odds: 100.000 % | |
A [Successes: 67, Failures: 33], B [Successes: 33, Failures: 67], A beats B with odds: 100.000 % | |
A [Successes: 68, Failures: 32], B [Successes: 32, Failures: 68], A beats B with odds: 100.000 % | |
A [Successes: 69, Failures: 31], B [Successes: 31, Failures: 69], A beats B with odds: 100.000 % | |
A [Successes: 70, Failures: 30], B [Successes: 30, Failures: 70], A beats B with odds: 100.000 % |
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This is flawed. If you run the calculation with RateA = Rate(10, 90), RateB = Rate(10, 90) it gives 100% chance that B beats A