Tune up your data science process

Benjamin S. Skrainka

February 10, 2016

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The correctness problem

A lot of (data) science is unscientific:

“My code runs, so the answer must be correct”“It passed Explain Plan, so the answer is correct”“This model is too complex to have a design document”“It is impossible to unit test scientific code”“The lift from the direct mail campaign is 10%”

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Correctness matters

Bad (data) science:

Costs real money and can kill peopleWill eventually damage your reputation and careerCould expose you to litigationAn issue of basic integrity and sleeping at night

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Objectives

Today’s goals:

Introduce VV&UQ framework to evaluate correctness of scientificmodelsSurvey good habits to improve quality of your work

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Verification, Validation, & Uncertainty Quantification

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Introduction to VV&UQ

Verification, Validation, & Uncertainty Quantification providesepistemological framework to evaluate correctness of scientific models:

Evidence of correctness should accompany any predictionIn absence of evidence, assume predictions are wrongPopper: can only disprove or fail to disprove a modelVV&UQ is inductive whereas science is deductive

Reference: Verification and Validation in Scientific Computing byOberkampf & Roy

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Definitions of VV&UQ

Definitions of terms (Oberkampf & Roy):

Verification:I “solving equations right”I I.e., code implements the model correctly

Validation:I “solving right equations”I I.e., model has high fidelity to reality

Definitions of VV&UQ will vary depending on source . . .

→ Most organizations do not even practice verification. . .

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Definition of UQ

Definition of Uncertainty Quantification (Oberkampf & Roy):

Process of identifying, characterizing, and quantifying thosefactors in an analysis which could affect accuracy ofcomputational results

Do your assumptions hold? When do they fail?Does your model apply to the data/situation?Where does your model break down? What are its limits?

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Verification of code

Does your code implement the model correctly?

Unit test everything you can:I Scientific code can be unit testedI Test special casesI Test on cases with analytic solutionsI Test on synthetic data

Unit test framework will setup and tear-down fixturesShould be able to recover parameters from Monte Carlo data

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Verification of SQL

Passing Explain Plan doesn’t mean your SQL is correct:

Garbage in, garbage outCheck a simple case you can compute by handCheck join plan is correctCheck aggregate statisticsCheck answer is compatible with reality

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Unit test

import unittest2 as unittestimport assignment as problems

class TestAssignment(unittest.TestCase):

def test_zero(self):result = problems.question_zero()self.assertEqual(result, 9198)

...

if __name__ == '__main__':unittest.main()

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Unit test

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Validation of model

Check your model is a good (enough) representation of reality:

“All models are wrong but some are useful” – George Box

Run an experimentPerform specification testingTest assumptions holdBeware of endogenous features

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Approaches to experimentation

Many ways to test:

A/B testMulti-armed banditBayesian A/B testWald sequential analysis

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Uncertainty quantification

There are many types of uncertainty which affect the robustness of yourmodel:

Parameter uncertaintyStructural uncertaintyAlgorithmic uncertaintyExperimental uncertaintyInterpolation uncertainty

Classified as aleatoric (statistical) and epistemic (systematic)

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Good habits

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Act like a software engineer

Use best practices from software engineering:

Good design of codeFollow a sensible coding conventionVersion controlUse same file structure for every projectUnit testUse PEP8 or equivalentPerform code reviews

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Reproducible research

‘Document what you do and do what you document’:

Keep a journal!Data provenanceHow data was cleanedDesign documentSpecification & requirements

Do you keep a journal? You should. Fermi taught me that. –John A. Wheeler

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Follow a workflow

Use a workflow like CRISP-DM:

1 Define business question and metric2 Understand data3 Prepare data4 Build model5 Evaluate6 Deploy

Ensures you don’t forget any key steps

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Automate your data pipeline

One-touch build of your application or paper:

Automate entire workflow from raw data to final resultEnsures you perform all stepsEnsures all steps are known – no one off manual adjustmentsAvoids stupid human errorsAuto generate all tables and figuresSave time when handling new data . . . which always has subtlechanges in formatting

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Write flexible code to handle data

Use constants/macros to access data fields:

Code will clearly show what data mattersEasier to understand code and data pipelineEasier to debug data problemsEasier to handles changes in data formatting

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Python example

# Setup indicatorsix_gdp = 7...

# Load & clean datam_raw = np.recfromcsv('bea_gdp.csv')gdp = m_raw[:, ix_gdp]...

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Politics. . .

Often, there is political pressure to violate best practice:

Examples:I 80% confidence intervalsI Absurd attribution windowI Two year forecast horizon but only three months of data

Hard to do right thing vs. senior managementRecruit a high-level scientist to advocateParticularly common with forecasting:

I Often requested by management for CYAI Insist on a ‘panel of experts’ for impossible decisions

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Conclusion

Need to raise the quality of data science:

VV & UQ provides rigorous framework:I Verification: solve the equations rightI Validation: solve the right equationsI Uncertainty quantification: how robust is model to unknowns?

Adopting good habits provides huge gains for minimal effort

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