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Totally agree. Stopping at 10% and then claiming the effect size is 10% would be silly. But seeing a giant effect and stopping is totally cool in my book. The b
by tedsanders 10y ago
Totally agree. Stopping at 10% and then claiming the effect size is 10% would be silly. But seeing a giant effect and stopping is totally cool in my book. The bigger the effect difference, the fewer samples you need to judge it. So I think it can be fine to peek and halt. Nothing forces us to use a static number of samples other than an old statistics formula.
- daveguy 10y agoThe point is, you don't know what that number is unless you do the math. It's not a matter of "judging it". It is a matter of calculating it. If you "peek and halt" without doing the math. You might as well have a random good result in the first 10 and say "look! Positive results!". You recognize that is ridiculous. So when is peeking and stopping not ridiculous? A: when the statistical power is sufficient for the observed effect. In the examples -- 1600 or 6000 for a 10% or 5% effect, respectively. And much less for a 20% or 40% effect! -- but you don't know the number required unless you do the math.
- ted_dunning 10y agoAgain, this limitation doesn't apply to good bandit approaches. You see big effects quickly and smaller effects more slowly and don't need to do any pre-computation about power at all. You can even get an economic estimate of the expected amount of value you are leaving on the table by stopping at any point.