[SPARK-3147] [MLLIB] [STREAMING] Streaming 2-sample statistical signi…

…ficance testing

Implementation of significance testing using Streaming API.

Author: Feynman Liang <[email protected]>
Author: Feynman Liang <[email protected]>

Closes #4716 from feynmanliang/ab_testing.

examples/src/main/scala/org/apache/spark/examples/mllib/StreamingTestExample.scala

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+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.examples.mllib
+
+import org.apache.spark.SparkConf
+import org.apache.spark.mllib.stat.test.StreamingTest
+import org.apache.spark.streaming.{Seconds, StreamingContext}
+import org.apache.spark.util.Utils
+
+/**
+ * Perform streaming testing using Welch's 2-sample t-test on a stream of data, where the data
+ * stream arrives as text files in a directory. Stops when the two groups are statistically
+ * significant (p-value < 0.05) or after a user-specified timeout in number of batches is exceeded.
+ *
+ * The rows of the text files must be in the form `Boolean, Double`. For example:
+ *   false, -3.92
+ *   true, 99.32
+ *
+ * Usage:
+ *   StreamingTestExample <dataDir> <batchDuration> <numBatchesTimeout>
+ *
+ * To run on your local machine using the directory `dataDir` with 5 seconds between each batch and
+ * a timeout after 100 insignificant batches, call:
+ *    $ bin/run-example mllib.StreamingTestExample dataDir 5 100
+ *
+ * As you add text files to `dataDir` the significance test wil continually update every
+ * `batchDuration` seconds until the test becomes significant (p-value < 0.05) or the number of
+ * batches processed exceeds `numBatchesTimeout`.
+ */
+object StreamingTestExample {
+
+  def main(args: Array[String]) {
+    if (args.length != 3) {
+      // scalastyle:off println
+      System.err.println(
+        "Usage: StreamingTestExample " +
+          "<dataDir> <batchDuration> <numBatchesTimeout>")
+      // scalastyle:on println
+      System.exit(1)
+    }
+    val dataDir = args(0)
+    val batchDuration = Seconds(args(1).toLong)
+    val numBatchesTimeout = args(2).toInt
+
+    val conf = new SparkConf().setMaster("local").setAppName("StreamingTestExample")
+    val ssc = new StreamingContext(conf, batchDuration)
+    ssc.checkpoint({
+      val dir = Utils.createTempDir()
+      dir.toString
+    })
+
+    val data = ssc.textFileStream(dataDir).map(line => line.split(",") match {
+      case Array(label, value) => (label.toBoolean, value.toDouble)
+    })
+
+    val streamingTest = new StreamingTest()
+      .setPeacePeriod(0)
+      .setWindowSize(0)
+      .setTestMethod("welch")
+
+    val out = streamingTest.registerStream(data)
+    out.print()
+
+    // Stop processing if test becomes significant or we time out
+    var timeoutCounter = numBatchesTimeout
+    out.foreachRDD { rdd =>
+      timeoutCounter -= 1
+      val anySignificant = rdd.map(_.pValue < 0.05).fold(false)(_ || _)
+      if (timeoutCounter == 0 || anySignificant) rdd.context.stop()
+    }
+
+    ssc.start()
+    ssc.awaitTermination()
+  }
+}

mllib/src/main/scala/org/apache/spark/mllib/stat/test/StreamingTest.scala

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+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *    http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.spark.mllib.stat.test
+
+import org.apache.spark.Logging
+import org.apache.spark.annotation.{Experimental, Since}
+import org.apache.spark.rdd.RDD
+import org.apache.spark.streaming.dstream.DStream
+import org.apache.spark.util.StatCounter
+
+/**
+ * :: Experimental ::
+ * Performs online 2-sample significance testing for a stream of (Boolean, Double) pairs. The
+ * Boolean identifies which sample each observation comes from, and the Double is the numeric value
+ * of the observation.
+ *
+ * To address novelty affects, the `peacePeriod` specifies a set number of initial
+ * [[org.apache.spark.rdd.RDD]] batches of the [[DStream]] to be dropped from significance testing.
+ *
+ * The `windowSize` sets the number of batches each significance test is to be performed over. The
+ * window is sliding with a stride length of 1 batch. Setting windowSize to 0 will perform
+ * cumulative processing, using all batches seen so far.
+ *
+ * Different tests may be used for assessing statistical significance depending on assumptions
+ * satisfied by data. For more details, see [[StreamingTestMethod]]. The `testMethod` specifies
+ * which test will be used.
+ *
+ * Use a builder pattern to construct a streaming test in an application, for example:
+ * {{{
+ *   val model = new StreamingTest()
+ *     .setPeacePeriod(10)
+ *     .setWindowSize(0)
+ *     .setTestMethod("welch")
+ *     .registerStream(DStream)
+ * }}}
+ */
+@Experimental
+@Since("1.6.0")
+class StreamingTest @Since("1.6.0") () extends Logging with Serializable {
+  private var peacePeriod: Int = 0
+  private var windowSize: Int = 0
+  private var testMethod: StreamingTestMethod = WelchTTest
+
+  /** Set the number of initial batches to ignore. Default: 0. */
+  @Since("1.6.0")
+  def setPeacePeriod(peacePeriod: Int): this.type = {
+    this.peacePeriod = peacePeriod
+    this
+  }
+
+  /**
+   * Set the number of batches to compute significance tests over. Default: 0.
+   * A value of 0 will use all batches seen so far.
+   */
+  @Since("1.6.0")
+  def setWindowSize(windowSize: Int): this.type = {
+    this.windowSize = windowSize
+    this
+  }
+
+  /** Set the statistical method used for significance testing. Default: "welch" */
+  @Since("1.6.0")
+  def setTestMethod(method: String): this.type = {
+    this.testMethod = StreamingTestMethod.getTestMethodFromName(method)
+    this
+  }
+
+  /**
+   * Register a [[DStream]] of values for significance testing.
+   *
+   * @param data stream of (key,value) pairs where the key denotes group membership (true =
+   *             experiment, false = control) and the value is the numerical metric to test for
+   *             significance
+   * @return stream of significance testing results
+   */
+  @Since("1.6.0")
+  def registerStream(data: DStream[(Boolean, Double)]): DStream[StreamingTestResult] = {
+    val dataAfterPeacePeriod = dropPeacePeriod(data)
+    val summarizedData = summarizeByKeyAndWindow(dataAfterPeacePeriod)
+    val pairedSummaries = pairSummaries(summarizedData)
+
+    testMethod.doTest(pairedSummaries)
+  }
+
+  /** Drop all batches inside the peace period. */
+  private[stat] def dropPeacePeriod(
+      data: DStream[(Boolean, Double)]): DStream[(Boolean, Double)] = {
+    data.transform { (rdd, time) =>
+      if (time.milliseconds > data.slideDuration.milliseconds * peacePeriod) {
+        rdd
+      } else {
+        data.context.sparkContext.parallelize(Seq())
+      }
+    }
+  }
+
+  /** Compute summary statistics over each key and the specified test window size. */
+  private[stat] def summarizeByKeyAndWindow(
+      data: DStream[(Boolean, Double)]): DStream[(Boolean, StatCounter)] = {
+    if (this.windowSize == 0) {
+      data.updateStateByKey[StatCounter](
+        (newValues: Seq[Double], oldSummary: Option[StatCounter]) => {
+          val newSummary = oldSummary.getOrElse(new StatCounter())
+          newSummary.merge(newValues)
+          Some(newSummary)
+        })
+    } else {
+      val windowDuration = data.slideDuration * this.windowSize
+      data
+        .groupByKeyAndWindow(windowDuration)
+        .mapValues { values =>
+          val summary = new StatCounter()
+          values.foreach(value => summary.merge(value))
+          summary
+        }
+    }
+  }
+
+  /**
+   * Transform a stream of summaries into pairs representing summary statistics for control group
+   * and experiment group up to this batch.
+   */
+  private[stat] def pairSummaries(summarizedData: DStream[(Boolean, StatCounter)])
+      : DStream[(StatCounter, StatCounter)] = {
+    summarizedData
+      .map[(Int, StatCounter)](x => (0, x._2))
+      .groupByKey()  // should be length two (control/experiment group)
+      .map(x => (x._2.head, x._2.last))
+  }
+}