@mark1russell7/rigor-statistics 0.1.28 → 0.2.0

package/README.md

@@ -155,6 +155,36 @@ logLoss([{ p: p.a, hit: true }]);                // the probability of the obser
 
 `glicko2Update` gives the update of one player after one rating period (Glickman, 2012). A test examines the worked example of the paper: 1500, 200 and 0.06 against three opponents give 1464.06, 151.52 and 0.05999. `glicko2Idle` gives the growth of the RD for a period with no games.
 
+### A large log, an ordered replay and the next pair
+
+```ts
+import { bradleyTerrySparse, choosePair, eloReplay, fitRatings, glicko2Replay, selectRatingModel } from "@mark1russell7/rigor-statistics";
+
+const sparse = bradleyTerrySparse(10_000, picks); // the model of bradleyTerry, with memory in proportion to the pairs
+sparse.bound;                                     // a bound of the distance from the exact optimum
+eloReplay(3, picks, { k: 32 });                   // one Elo update for each pick, in the order of the log
+glicko2Replay(3, picks);                          // one Glicko-2 rating period for each pick
+const choice = selectRatingModel(3, picks);       // the model with the lowest log-loss on the last picks
+fitRatings(choice.model, 3, picks);               // the log-strengths of that model
+choosePair(pool, { seed: "duel-1" });             // the next pair of a duel, the same for each seed
+```
+
+`bradleyTerrySparse` has the model, the prior and the tie models of `bradleyTerry`. Its memory is in proportion to the items plus the distinct pairs. At 10,000 items, the Hessian of `bradleyTerry` has 800 MB. The sparse fit uses a few MB.
+
+- The fit uses Newton steps, as `bradleyTerry` does. Preconditioned conjugate gradients solve each Newton system, so the fit does not factor the Hessian. One product with the Hessian reads each pair one time.
+- The solve is loose far from the minimum and tight near it (an inexact Newton method). A line search with the Armijo rule makes the objective smaller at each step.
+- The option `start` of both fits sets the start point. A start from the fit before the last comparisons saves steps, and the optimum does not change.
+- The objective is strongly convex. Thus the norm of the gradient over the smallest prior precision is a bound of the distance from the exact optimum. The fit stops when `bound` is `tolerance` (1e-8) or less.
+- A property test compares the two fits on small logs. The strengths agree to 1e-7, and the distance is at most `bound`.
+- The standard errors are approximate. The variance of an item is `1 / (n * p) + (1 - 1 / n) / h`. Here `n` is the number of items of its connected group, `p` is the prior precision and `h` is the diagonal entry of the Hessian.
+- These errors do not include the uncertainty of the tie parameter. On a log of 20 items and 1,500 comparisons, they are within 2 percent of the errors of `bradleyTerry`.
+
+`eloReplay` and `glicko2Replay` read the log in its order, and the order changes the ratings. Each pick is one update, so each weight is 1. In `glicko2Replay`, each pick is one rating period of its two items.
+
+`selectRatingModel` fits each model on the first picks of the log. It gives the log-loss of each model on the last picks, 20 percent by default. All the models use the tie parameter of the Bradley-Terry fit of the first picks. With fewer than 30 picks, the choice is `"bradley-terry"` with no test. `fitRatings` fits one model. Above `BRADLEY_TERRY_DENSE_LIMIT` items (200), it uses `bradleyTerrySparse`.
+
+`choosePair` chooses the next pair of a duel from a pool of rated items. A draw selects the first item with the weight `1 / (1 + picks)`. The second item is the candidate with the most `pairInformation`. A recent pair loses to each pair that is not recent. The option `information` changes the value of a pair, or forbids a pair.
+
 ## The functions
 
 | Function | What it gives |
@@ -199,6 +229,11 @@ logLoss([{ p: p.a, hit: true }]);                // the probability of the obser
 | `eloExpected(ra, rb, { scale, base })`, `eloUpdate(ra, rb, score, { k, scale, base })` | The expected score of the first item, and the ratings of a pair after one result. The defaults are 400, 10 and a `k` of 32. |
 | `glicko2Update(player, games, { tau, tolerance })`, `glicko2Idle(player)` | The Glicko-2 rating, RD and volatility after one rating period, and after a period with no games. The default `tau` is 0.5. |
 | `bradleyTerry(items, comparisons, options)` | The Bradley-Terry fit of pairwise comparisons, with a normal prior and Davidson ties. It gives the strengths, the standard errors, the tie parameter, the log-likelihood, the steps and `converged`. |
+| `bradleyTerrySparse(items, comparisons, options)` | The fit of `bradleyTerry`, with memory in proportion to the distinct pairs. It also gives `bound`, `pairs` and approximate standard errors. |
+| `eloReplay(items, picks, { start, k })`, `glicko2Replay(items, picks, { start, tau })` | The ratings after one update for each pick, in the order of the log. |
+| `fitRatings(model, items, picks, options)`, `selectRatingModel(items, picks, options)` | The log-strengths of one rating model, and the model with the lowest log-loss on held-out picks. |
+| `choosePair(items, { seed, recent, candidates, information })` | The next pair of a duel. The same seed gives the same pair. |
+| `pairInformation(a, b)`, `ratingUncertainty(item)` | The expected information of a pick, `p * (1 - p) * (ua^2 + ub^2)`, and the uncertainty of one rating. |
 | `pairProbabilities(sa, sb, tie)` | The probabilities of a win of each item and of a tie, from two log-strengths and the tie parameter. |
 | `strengthToRating(strength, { center, scale, base })`, `ratingToStrength(rating, options)` | The rating of a log-strength, `center + scale * strength / ln(base)`, and the inverse. |
 | `fitResponse(data, options)` | A record of the format `response-records/1`, with one model for each measure and held-out folds. |

package/build/index.d.ts

@@ -1613,6 +1613,19 @@ interface BradleyTerryOptions {
   readonly maxIterations?: number;
   /** The fit stops when the full Newton step moves no parameter more than this value. The default is 1e-10. */
   readonly tolerance?: number;
+  /**
+   * The point where the fit starts. The default is the prior mean for each log-strength, and 1 for the tie parameter.
+   * A start near the optimum saves steps. An example is the fit of the log before its last comparisons. The optimum
+   * does not change.
+   */
+  readonly start?: BradleyTerryStart;
+}
+/** The start of a Bradley-Terry fit: a log-strength for each item, and the Davidson tie parameter. */
+interface BradleyTerryStart {
+  /** The log-strength of each item, in the order of the indexes. Each value is a finite number. */
+  readonly strengths: readonly number[];
+  /** The Davidson tie parameter, a finite number above 0. The default is 1. A fit with no Davidson tie does not use it. */
+  readonly tie?: number;
 }
 /** The result of `bradleyTerry`. The lists have one value for each item, in the order of the indexes. */
 interface BradleyTerryFit {
@@ -1638,5 +1651,192 @@ interface BradleyTerryFit {
  * outcome, a bad weight and a bad option.
  */
 export declare function bradleyTerry(items: number, comparisons: readonly PairComparison[], options?: BradleyTerryOptions): BradleyTerryFit;
-export { type BinomialSide, type BootstrapOptions, type BradleyTerryFit, type BradleyTerryOptions, type CalibrationLevel, type CategoricalDimension, type CompareOptions, type Comparison, type ContinuousDimension, type Corrected, type CountInterval, type CoverageBar, type CoverageCell, type CoverageMinSample, type CoverageReason, type CoverageStep, type Effect, type EloOptions, type EloUpdate, type Forecast, type Glicko2Game, type Glicko2Options, type Glicko2Rating, type Interval, type Kappa, type LeastSquaresFit, type LeastSquaresOptions, type MedianInterval, type ModeOptions, type NoiseOptions, type NoiseState, type NoiseVerdict, type OptionFloorOptions, type OrdinalDimension, type PairComparison, type PairOutcome, type PairProbabilities, type ParsedResponseRecord, type PermutationOptions, type PermutationResult, type Proportion, type QuantileInterval, type QuantileMethod, type RatingScale, type ResponseAbsentPoint, type ResponseBand, type ResponseCurvePoint, type ResponseData, type ResponseDimension, type ResponseDimensionBase, type ResponseFactor, type ResponseFault, type ResponseFitOptions, type ResponseFold, type ResponseFoldError, type ResponseHeldOutError, type ResponseInputValue, type ResponseMeasure, type ResponseModel, type ResponseModelBase, type ResponsePoint, type ResponseReason, type ResponseRecord, type ResponseSlice, type ResponseSliceOptions, type ResponseSlicePoint, type ResponseSurface, type ResponseSurfaceAbsentPoint, type ResponseSurfaceOptions, type ResponseSurfacePoint, type ResponseTableCell, type ResponseValue, type ResponseViewOptions, type ResponseWhen, type RidgeInput, type RidgeInputBase, type RidgeLevelInput, type RidgeNumberInput, type RidgeOptions, type RidgeRankInput, type RidgeResponseModel, type RidgeTerm, type RunningSummary, type SampleTotalOptions, type SideP, type SignFlipOptions, type SignFlipResult, type SmoothLaw, type SmoothLawScore, type SobolIndex, type SobolIndices, type SobolOptions, type Summary, type TableResponseModel, type TieModel, type TwoSamplePermutationOptions, type TwoSamplePermutationResult, type UStatisticInterval, type UStatisticMean, type UStatisticMethod, type UStatisticOptions, normalCdf, normalQuantile };
+/** The options of `bradleyTerrySparse`. The prior and the tie model are the same as in `bradleyTerry`. */
+interface BradleyTerrySparseOptions extends BradleyTerryOptions {
+  /** The largest number of Newton steps. The default is 100. */
+  readonly maxIterations?: number;
+  /**
+   * The largest distance of the parameters from the exact optimum at the stop. The default is 1e-8. The distance is the
+   * Euclidean norm over the log-strengths and the log of the tie parameter.
+   */
+  readonly tolerance?: number;
+}
+/** The result of `bradleyTerrySparse`. The lists have one value for each item, in the order of the indexes. */
+interface BradleyTerrySparseFit extends BradleyTerryFit {
+  /**
+   * The approximate standard error of each log-strength. For an item in a connected group of `n` items, the variance
+   * is `1 / (n * p) + (1 - 1 / n) / h`. Here `p` is the prior precision, and `h` is the diagonal entry of the Hessian.
+   * The first term is the variance of the mean of the group, which only the prior sets. An item with no comparison
+   * has the prior SD, as in `bradleyTerry`.
+   */
+  readonly se: number[];
+  /** The number of Newton steps. */
+  readonly iterations: number;
+  /**
+   * True when `bound` is the tolerance or less, or when the gradient is at the rounding level of floating point. At the
+   * rounding level, a step gains nothing, but a weak prior can keep `bound` above the tolerance.
+   */
+  readonly converged: boolean;
+  /**
+   * An upper bound of the distance of the parameters from the exact optimum: the norm of the gradient over the
+   * smallest prior precision. The objective is strongly convex, so this bound holds.
+   */
+  readonly bound: number;
+  /** The number of distinct pairs of items with a comparison. The memory of the fit is in proportion to it. */
+  readonly pairs: number;
+}
+/**
+ * The sparse Bradley-Terry fit of `comparisons` among `items` items. It has the model, the options and the checks of
+ * `bradleyTerry`, and its memory is in proportion to `items` plus the distinct pairs. The function does not sort or
+ * change its inputs. It throws a RangeError for a bad index, a bad outcome, a bad weight and a bad option.
+ */
+export declare function bradleyTerrySparse(items: number, comparisons: readonly PairComparison[], options?: BradleyTerrySparseOptions): BradleyTerrySparseFit;
+/** The options of `eloReplay`. */
+interface EloReplayOptions extends EloOptions {
+  /** The rating of each item before its first pick. The default is 1500. */
+  readonly start?: number;
+}
+/** The options of `glicko2Replay`. */
+interface Glicko2ReplayOptions extends Glicko2Options {
+  /** The rating of each item before its first pick. The default is the rating 1500, the RD 350 and the volatility 0.06. */
+  readonly start?: Glicko2Rating;
+}
+/**
+ * The Elo ratings of `items` items after each pick of `comparisons`, in the order of the list. Each item starts at
+ * `start`. The update of each pick is `eloUpdate` with the options. The order of the picks changes the result.
+ */
+export declare function eloReplay(items: number, comparisons: readonly PairComparison[], options?: EloReplayOptions): number[];
+/**
+ * The Glicko-2 ratings of `items` items after each pick of `comparisons`, in the order of the list. Each pick is one
+ * rating period of its two items. Each item of a pick gets `glicko2Update` against the rating of the other item before
+ * the pick. An item that is not in a pick does not change in that period. The order of the picks changes the result.
+ */
+export declare function glicko2Replay(items: number, comparisons: readonly PairComparison[], options?: Glicko2ReplayOptions): Glicko2Rating[];
+/** The rating models. */
+type RatingModel = "bradley-terry" | "elo" | "glicko2";
+/** The options of `fitRatings`. */
+interface RatingFitOptions {
+  /** The options of the Bradley-Terry fit. They go to `bradleyTerry` and to `bradleyTerrySparse`. */
+  readonly bradleyTerry?: BradleyTerryOptions;
+  /** The largest number of items for the dense fit `bradleyTerry`. A larger log uses `bradleyTerrySparse`. The default is 200. */
+  readonly denseLimit?: number;
+  /** The options of the Elo replay. Its scale also converts the ratings to log-strengths. */
+  readonly elo?: EloReplayOptions;
+  /** The options of the Glicko-2 replay. */
+  readonly glicko2?: Glicko2ReplayOptions;
+}
+/** The result of `fitRatings`. The lists have one value for each item, in the order of the indexes. */
+interface RatingFit {
+  /** The log-strength of each item. `strengthToRating` gives the rating. */
+  readonly strengths: number[];
+  /**
+   * The standard error of each log-strength. Elo has no standard error, so each value is `undefined`. For Glicko-2, it
+   * is the RD as a log-strength.
+   */
+  readonly se: (number | undefined)[];
+  /** The Davidson tie parameter of the Bradley-Terry fit, or 0 for the other models. */
+  readonly tie: number;
+}
+/** The default largest number of items of the dense Bradley-Terry fit in `fitRatings`. */
+export declare const BRADLEY_TERRY_DENSE_LIMIT = 200;
+/**
+ * The log-strengths of `items` items with one rating model. The model `"bradley-terry"` uses `bradleyTerry`, or
+ * `bradleyTerrySparse` above `denseLimit` items. The models `"elo"` and `"glicko2"` use `eloReplay` and
+ * `glicko2Replay`, and they refuse a weight other than 1. A log of 0 items gives empty lists.
+ */
+export declare function fitRatings(model: RatingModel, items: number, comparisons: readonly PairComparison[], options?: RatingFitOptions): RatingFit;
+/** The log-loss of one model on the held-out picks. */
+interface RatingModelScore {
+  readonly model: RatingModel;
+  /** The mean of `-ln(p)` over the held-out picks, with `p` the forecast of the outcome of the pick. Lower is better. */
+  readonly logLoss: number;
+}
+/** The result of `selectRatingModel`. */
+interface RatingModelChoice {
+  /** The model with the lowest log-loss, or `"bradley-terry"` when the log has too few picks for a test. */
+  readonly model: RatingModel;
+  /** The score of each model, from the best to the worst. It is empty when the log has too few picks for a test. */
+  readonly scores: RatingModelScore[];
+  /** The number of picks that the models learn from. */
+  readonly trained: number;
+  /** The number of held-out picks. */
+  readonly tested: number;
+}
+/** The options of `selectRatingModel`. */
+interface RatingModelOptions extends RatingFitOptions {
+  /** The part of the picks, at the end of the log, that the test uses. It is above 0 and below 1. The default is 0.2. */
+  readonly holdout?: number;
+  /** The fewest picks for a test. With fewer picks, the choice is `"bradley-terry"`. The default is 30. */
+  readonly minimum?: number;
+  /** The models to compare. The default is all three, in the order `"bradley-terry"`, `"elo"` and `"glicko2"`. */
+  readonly models?: readonly RatingModel[];
+}
+/**
+ * The choice of a rating model by the log-loss on held-out picks. Each model learns from the first picks of the log
+ * and forecasts the last `holdout` part. All models use the tie parameter of the Bradley-Terry fit of the first picks.
+ * Thus the strengths are the only difference. Two equal scores keep the order of `models`. Each pick has the weight 1.
+ */
+export declare function selectRatingModel(items: number, comparisons: readonly PairComparison[], options?: RatingModelOptions): RatingModelChoice;
+/**
+ * The uncertainty of an item with no standard error and no picks, in rating points. It is the first RD of Glicko-2.
+ * An item with no standard error has the uncertainty `350 / sqrt(1 + picks)`.
+ */
+export declare const RATING_START_UNCERTAINTY = 350;
+/** The largest pool of items for a full search of a pair that is not recent. */
+export declare const PAIR_FULL_SEARCH = 64;
+/** One item of a pool. The rating gives the order of the pool. */
+interface RatedItem {
+  /** The key of the item. Each key occurs one time in a pool. A second item with the same key does not count. */
+  readonly id: string;
+  /** The rating, on the Elo scale of the options. */
+  readonly rating: number;
+  /** The standard error of the rating, in rating points, or `undefined` when the model gives none. */
+  readonly se?: number | undefined;
+  /** The number of picks of the item. */
+  readonly picks: number;
+}
+/** The uncertainty of a rating, in rating points: its standard error, or `RATING_START_UNCERTAINTY / sqrt(1 + picks)`. */
+export declare function ratingUncertainty(item: Pick<RatedItem, "se" | "picks">): number;
+/**
+ * The expected information of a pick between two items: `p * (1 - p) * (ua^2 + ub^2)`. Here `p` is `eloExpected` of
+ * the two ratings, and `ua` and `ub` are the uncertainties. The value is high when the result is not sure (a `p` near
+ * 0.5) and the two ratings are not sure.
+ */
+export declare function pairInformation(a: RatedItem, b: RatedItem, options?: RatingScale): number;
+/** The options of `choosePair`. */
+interface PairChoiceOptions<T extends RatedItem = RatedItem> {
+  /** The seed of the draws. */
+  readonly seed: number | string;
+  /** The pairs of the last duels, by key, in each order. The choice takes a recent pair only when there is no other pair. */
+  readonly recent?: readonly (readonly [string, string])[];
+  /** The number of second items to examine for the first item. It is a whole number of 1 or more. The default is 24. */
+  readonly candidates?: number;
+  /**
+   * This function gives the information of a pick between two items, or `undefined` when the pair is not permitted.
+   * The value is a finite number. The default is `pairInformation` with the default scale, and it permits each pair.
+   */
+  readonly information?: (a: T, b: T) => number | undefined;
+}
+/** A pair for a duel. `a` is the left item, and `b` is the right item. */
+interface PairChoice {
+  readonly a: string;
+  readonly b: string;
+  /** The information of the pair. */
+  readonly information: number;
+}
+/**
+ * The choice of the next pair of a duel from a pool of rated items. The pool goes in the order of the ratings, from
+ * the highest. These are the steps:
+ *
+ * 1. A draw selects the first item. The weight of an item is `1 / (1 + picks)`, so the items with few picks come first.
+ *    An item with no permitted pair leaves the draw.
+ * 2. The second item is the candidate with the most information. The candidates are the neighbors of the first item in
+ *    the order, and random items, each in a permitted pair. A recent pair loses to each pair that is not recent.
+ * 3. A draw selects the left and the right side, so the side does not change the picks.
+ *
+ * In a pool of `PAIR_FULL_SEARCH` items or fewer, a recent pair comes only when each permitted pair is recent. The
+ * function gives `undefined` when there is no permitted pair. Each step has its own stream of the seed.
+ */
+export declare function choosePair<T extends RatedItem>(items: readonly T[], options: PairChoiceOptions<T>): PairChoice | undefined;
+export { type BinomialSide, type BootstrapOptions, type BradleyTerryFit, type BradleyTerryOptions, type BradleyTerrySparseFit, type BradleyTerrySparseOptions, type BradleyTerryStart, type CalibrationLevel, type CategoricalDimension, type CompareOptions, type Comparison, type ContinuousDimension, type Corrected, type CountInterval, type CoverageBar, type CoverageCell, type CoverageMinSample, type CoverageReason, type CoverageStep, type Effect, type EloOptions, type EloReplayOptions, type EloUpdate, type Forecast, type Glicko2Game, type Glicko2Options, type Glicko2Rating, type Glicko2ReplayOptions, type Interval, type Kappa, type LeastSquaresFit, type LeastSquaresOptions, type MedianInterval, type ModeOptions, type NoiseOptions, type NoiseState, type NoiseVerdict, type OptionFloorOptions, type OrdinalDimension, type PairChoice, type PairChoiceOptions, type PairComparison, type PairOutcome, type PairProbabilities, type ParsedResponseRecord, type PermutationOptions, type PermutationResult, type Proportion, type QuantileInterval, type QuantileMethod, type RatedItem, type RatingFit, type RatingFitOptions, type RatingModel, type RatingModelChoice, type RatingModelOptions, type RatingModelScore, type RatingScale, type ResponseAbsentPoint, type ResponseBand, type ResponseCurvePoint, type ResponseData, type ResponseDimension, type ResponseDimensionBase, type ResponseFactor, type ResponseFault, type ResponseFitOptions, type ResponseFold, type ResponseFoldError, type ResponseHeldOutError, type ResponseInputValue, type ResponseMeasure, type ResponseModel, type ResponseModelBase, type ResponsePoint, type ResponseReason, type ResponseRecord, type ResponseSlice, type ResponseSliceOptions, type ResponseSlicePoint, type ResponseSurface, type ResponseSurfaceAbsentPoint, type ResponseSurfaceOptions, type ResponseSurfacePoint, type ResponseTableCell, type ResponseValue, type ResponseViewOptions, type ResponseWhen, type RidgeInput, type RidgeInputBase, type RidgeLevelInput, type RidgeNumberInput, type RidgeOptions, type RidgeRankInput, type RidgeResponseModel, type RidgeTerm, type RunningSummary, type SampleTotalOptions, type SideP, type SignFlipOptions, type SignFlipResult, type SmoothLaw, type SmoothLawScore, type SobolIndex, type SobolIndices, type SobolOptions, type Summary, type TableResponseModel, type TieModel, type TwoSamplePermutationOptions, type TwoSamplePermutationResult, type UStatisticInterval, type UStatisticMean, type UStatisticMethod, type UStatisticOptions, normalCdf, normalQuantile };
 //# sourceMappingURL=index.d.ts.map

package/build/index.d.ts.map

@@ -1 +1 @@
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