What’s Best? Comparing Model Outputs

10 Mar

Let’s assume that you have a large portfolio of messages: n messages of k types. And say that there are n models, built by different teams, that estimate how relevant each message is to the user on a particular surface at a particular time. How would you rank order the messages by relevance, understood as the probability a person will click on the relevant substance of the message?

Isn’t the answer: use the max. operator as a service? Just using the max. operator can be a problem because of:

a) Miscalibrated probabilities: the probabilities being output from non-linear models are not always calibrated. A probability of .9 doesn’t mean that there is a 90% chance that people will click it.

b) Prediction uncertainty: prediction uncertainty for an observation is a function of the uncertainty in the betas and distance from the bulk of the points we have observed. If you were to randomly draw a 1,000 samples each from the estimated distribution of p, a different ordering may dominate than the one we get when we compare the means.

This isn’t the end of the problems. It could be that the models are built on data that doesn’t match the data in the real world. (To discover that, you would need to compare expected error rate to actual error rate.) And the only way to fix the issue is to collect new data and build new models of it.

Comparing messages based on propensity to be clicked is unsatisfactory. A smarter comparison would take optimize for profit, ideally over the long term. Moving from clicks to profits requires reframing. Profits need not only come from clicks. People don’t always need to click on a message to be influenced by a message. They may choose to follow-up at a later time. And the message may influence more than the person clicking on the message. To estimate profits, thus, you cannot rely on observational data. To estimate the payoff for showing a message, which is equal to the estimated winning minus the estimated cost, you need to learn it over an experiment. And to compare payoffs of different messages, e.g., encourage people to use a product more, encourage people to share the product with another person, etc., you need to distill the payoffs to the same currency—ideally, cash.