## Tuesday, November 18, 2014

### Blog Moving!

Following a suggestion from Yihui Xie, I moved my blog to github. Thanks Yihui!

## Thursday, October 2, 2014

### Data Driven Discovery

As I mentioned yesterday, one of the reasons I started this blog is because I thought it might help kickstart a new project that I'm very excited about. This new project is ultimately going to require some community involvement and buy-in if it is to be successful, and a blog post seems like
one good way to kick things off. So here, as promised, are more details.

As you may or may not have heard, the Gordon and Betty Moore Foundation today announced the selection of 14 new investigators in Data Driven Discovery (DDD), and I was fortunate enough to be one these. I'm really excited about this initiative, and particularly about its potential to help the sharing of information and ideas across disciplines. To give you an idea of the variety of disciplines represented, and the potential for new links to be made, I had met only one of the 13 other selectees in person before the selection process started - and yet I believe that I could have useful and interesting interactions with all of them.

My proposal had a couple of aims, but the one I want to talk about today is about Dynamic Statistical Comparisons". This aim came out of my belief that the way that we (the community) currently compare statistical methods is horribly ineffective and inefficient. And, I think we can do better by making comparisons more dynamic" - by which I mean easily update-able by adding new methods or new datasets. Here's an extract from my grant proposal:

Many new [statistical] methods are published without software implementation, and without comparisons with existing methods. Even when comparisons are made, they are usually performed by the research group that developed one of the methods, which almost inevitably favors that method. Furthermore, performing these kinds of comparisons is incredibly time-consuming, requiring careful familiarization with software implementing the methods, and the creation of pipelines and scripts for running and comparing them. And in fast-moving fields new methods or software updates appear so frequently that comparisons are out of date before they even appear. In summary, the current system results in a large amount of wasted effort, with multiple groups performing redundant and sub-optimal comparisons.

And here's a bit more of a personal story I wanted to tell, but didn't have space.

In 2009 I was working with my then-postdoc Yongtao Guan on a Bayesian approach to variable selection in large-scale regression (published here in the Annals of Applied Statistics). It seemed natural to compare our method with the regularized regression method LASSO, which also
attacks this problem. Surprisingly, even though both Bayesian sparse regression and LASSO have been around 15-20 years,  we could find not one empirical comparison of these approaches! (In the meantime some comparisons, including ours, have been published.) When we applied LASSO to our problem we were surprised how poorly it performed in our hands. Since LASSO has had a lot written about it, with few if any mentions of poor performance, we were concerned that we might be mis-applying it, or at least not making the best use of it. After all, this was the first time we had actually used LASSO in practice ourselves. So we talked to a few people with more experience than us, who gave us a variety of suggestions. However, none of these seemed to help much, and some made things considerably worse. Since we never intended our research focus to be how to get LASSO to work on this problem", we published our best attempt at a fair comparison.

But I remained concerned that our comparisons may be unfair to LASSO, or at least could be done better. So I tried a different strategy, with a Masters student (Weiling Tang). We took the paper on the "Elastic Net" (EN), by Zou and Hastie, who are experts in regularized regression, and who compared EN with LASSO under several simple simulation scenarios. After brief correspondence with the authors we were able to largely reproduce their results (boosting our confidence that we were using the methods reasonably). Then we added our Bayesian method to the comparisons. We found it generally outperformed both EN and LASSO on these simulations.  However, on reflection I now had another concern: the EN paper used 2-fold Cross-Validation (CV) to select tuning parameters for both LASSO and EN, which being the same for both methods, could be regarded as "fair", even if 2-fold CV performed less well than, say, 10-fold CV.  However, our Bayesian method does not use CV. With a different CV strategy, might EN or LASSO outperform our method? So I'm left wondering what the best CV strategy is. I feel like I can't do the comparison properly without knowing that. But at the same time that almost seems like a research question in itself, lying outside of the main thrust of my own research program.

The Solution

OK, so the obvious solution is to work together with other people, right? For example, we could have contacted Zou and Hastie and invited them to work with us on this and perhaps publish a joint paper? But although I'm certainly open to this idea, I think we can do even better. We should start by acknowledging that these types of comparisons are better done as a dynamic exercise, with the aim of steadily improving methods - not as static exercise to determine a single best method once and for all.
Indeed, I really believe these types of benchmarks and comparisons are more important for what they can help us learn about the methods - what does and does not work well in various situations - than for declaring some kind of  "winner". And I also believe this gets lost in most published comparisons, partly of course because you have to show that your method is the best to get it published....

So here's the proposal (again, excerpted from my grant text):

To address this we will create public Internet repositories that compare methods with one another in a reproducible and easily-extensible way. The repositories will provide “push-button” reproducibility of all comparisons: running a single script will run all the methods in the repository on all the data sets, and produce tables and graphs comparing performances. It will be simple to add code for a new method, or a new data set, and re-run the comparison script. These repositories will help establish which methods perform well on which data, and allow users to easily investigate how software settings or types of input data affect performance. Having code for each method available will substantially reduce the bar for others to build on and improve methods. The repositories will be under version control (git), so that the full history will be available, progress can be tracked, and citations can reference a specific version. A wiki-style forum will allow discussion or comments on results and comparisons - for example, allowing users to note why some comparisons favor certain types of methods. We envisage the repository as complementing, rather than replacing, the standard publication model: papers introducing a new method will “deposit” the method in the comparison repository, in the same way that scientific data are deposited in data repositories.

[At this point I should probably acknowledge that there are a whole bunch of examples of this kind of community-based comparisons out there, some of which I did mention elsewhere in my grant proposal, and which serve as inspiration: CASP, the Netflix prize, DREAM, GAW, Sage Bionetworks, just to start a list.]

So will it work? Obviously there are some non-trivial barriers to making this work in complete generality. In some cases there will be cross-platform compatibility issues, and data privacy issues, not to mention the problem that coming up with good benchmark criteria can be really hard for many problems. But I think that getting some simple examples up and running should really be doable quite quickly - even by a single research group working alone if we can be relieved of the burden of being sure that we have done the best possible job for every method. At that point anyone can join in to refine their favorite method, or add a method or data set to the repository.

Although it is probably already clear that I'm super-enthusiastic about this idea, I can't help but point out some of the reasons I'm enthusiastic.

First, I think it will actually make comparisons not only better, but also easier and less work! This is because everyone will only have to be responsible for getting their own method to work, and not all the others.

Second, this provides what I'm going to call a carrot for reproducibility. Usually, making your work reproducible is a lot of work, and perhaps the gain is not immediately obvious to everyone. Here, by adding your method to the repository in a reproducible way you get to exploit and take advantage of all the infrastructure that other people have helped build that runs all the other methods reproducibly.
So everyone reaps the benefits of everyone's careful work to make things reproducible!

Finally, I am hopeful that this approach might help promote collaboration through competition. It may seem like collaboration and competition do not naturally go together... but I believe that once people have competed methods against one another, they may naturally move towards collaborating. (Effectively this is what happened with the Netflix competition.) And the availability of code etc will of course facilitate this whole process.

There's a lot more to say, but this post is already a bit long, and I think it is time to post it.
I do of course welcome, and indeed actively encourage, comments and suggestions.

## Wednesday, October 1, 2014

### Welcome

"I'm thinking of starting a blog." I announce over dinner.

My family is unsure what to make of this idea.

My wife seems to be against it. She expresses concern that it may be just one more distraction. (From work? From her?).  She suggested I should think about whether I really have, or want to make, time to post regularly. I am sympathetic to this view.

My daughter tells me I should assess this decision using formal decision theory. What are the possible outcomes if I do or don't start a blog? What is my utility for these outcomes? Again I am sympathetic to the view, but it seems like more work than I was planning. I thought I would just start a blog and see how it went.

And so that is what I am doing.

But in deference to my family's opinions, I feel I should at least give some rationale, and set some expectations.

First, I'm not posting every day. Or even every week. Just when I have something to say that seems suited to the outlet. I have about six things on my mind right now that might merit a post. Maybe when I've done those this blog will just dry up? I'll have vented and it will have served its purpose. Or maybe I'll get some new ideas (stranger things have happened!) and this can become a more extended project.

Second, I'm doing this because I feel it might be useful to have a lighter-weight outlet for ideas than peer reviewed papers. At the same time I have to confess some nervousness at this. I'm generally pretty careful about what I write. For many of my papers I recall sweating over every paragraph, every sentence, every word. From start to finish. Over and over. Sure, some of my papers are written by my collaborators, and I have my name on them because I contributed to the planning or ideas to the analysis. But the papers where I play a substantive role in the writing... I can really agonize over them. I like to *think* - for a long time - before setting ideas down in writing. I'm not sure this suits me to blogging (or tweeting) so much. (And now I find myself agonizing over that last sentence, wondering whether it could offend some of my blogging tweeting colleagues.)  On the other hand, the way to get better at writing is to write... And maybe sometimes it is more important to be interesting than to be right?

Finally, I'm doing it because I have a new project that I'm super excited about, which is going to involve trying to build new communities and trying to change some of the ways that statisticians and data scientists operate - and for which I feel that, maybe, having a blog could be useful way to kickstart it. More on that tomorrow....