peeksafe 0.2.0 → 0.4.0

package/dist/plan.js

@@ -31,10 +31,9 @@
  * scores exactly its expected successes). Realised sample counts vary around
  * it.
  */
-import { baselineNullRate } from "./baseline.js";
 import { PeeksafeError, requireCounts, requireErrorRates, requireOpenProbability, requireProbability, requireRunCeiling, requireTrialGrid, requireUniqueCaseIds, } from "./errors.js";
-import { betaQuantile, ebhSoloThreshold, evidenceCeilingLogE, mcnemarSamplesForEvidence, pairPhi, sampleSizeTwoProportion, samplesForEvidence, sprtExpectedN, } from "./stats.js";
-import { DEFAULT_STOP_OPTIONS, settleLogE, shouldStop } from "./stop.js";
+import { ebhSoloThreshold, evidenceCeilingLogE, mcnemarSamplesForEvidence, pairPhi, sampleSizeTwoProportion, samplesForEvidence, } from "./stats.js";
+import { shouldStop, shouldStopPaired } from "./stop.js";
 export const DEFAULT_PLAN = {
     mde: 0.15,
     fdr: 0.05,
@@ -107,6 +106,9 @@ export function planCase(c, b, cfg, m) {
         requireCounts(b.successes, b.trials, `planCase(${c.id}).baseline`);
     requireErrorRates(cfg.alpha, cfg.beta, "planCase");
     requirePrices(cfg, "planCase");
+    // The expected bill walks the batch grid at the stopping rule's level; a zero batch never ends.
+    requireTrialGrid(cfg, "planCase");
+    requireSettleConfidence(cfg, "planCase");
     const barLogE = Math.log(ebhSoloThreshold(m, cfg.fdr));
     const trials = b?.trials ?? 0;
     const successes = b?.successes ?? 0;
@@ -132,6 +134,7 @@ export function planCase(c, b, cfg, m) {
             detectability: "IMPOSSIBLE",
             design: null,
             baselineRunsNeeded: null,
+            typicalRuns: 0,
             reason: "no baseline: nothing to compare against, record one first",
         };
     }
@@ -145,6 +148,8 @@ export function planCase(c, b, cfg, m) {
             detectability: "IMPOSSIBLE",
             design: null,
             baselineRunsNeeded: null,
+            // Undecidable, but the gate still runs it until it stops, so the expected bill pays for it.
+            typicalRuns: typicalCaseRuns(b, cfg.design ?? "unpaired", cfg, m),
             reason: `baseline rate ${(rate * 100).toFixed(0)}% cannot lose ${(cfg.mde * 100).toFixed(0)} points, ` +
                 `the effect is arithmetically impossible, not merely expensive`,
         };
@@ -202,26 +207,41 @@ export function planCase(c, b, cfg, m) {
         detectability,
         design,
         baselineRunsNeeded,
+        typicalRuns: typicalCaseRuns(b, cfg.design ?? design ?? "unpaired", cfg, m),
         reason,
     };
 }
+// Each design is counted under the rule that stops it: an unpaired case in the runs `shouldStop` takes, a paired one in the pairs `shouldStopPaired` takes.
+function typicalCaseRuns(b, design, cfg, m) {
+    if (!b || b.trials === 0)
+        return 0;
+    const rate = b.successes / b.trials;
+    return design === "paired"
+        ? 2 * expectedSettlePairs(rate, cfg.pairCoupling, cfg.mde, m, cfg)
+        : expectedStopRuns(b, rate, m, cfg);
+}
 /**
- * Expected total samples for the sequential design, priced under Wald's
- * expected sample number at a supplied "true" rate per case, and clamped into
- * the gate's own [minTrials, maxTrials] batch grid.
+ * Expected total samples for the sequential design: per case, the exact
+ * expected runs `shouldStop` takes to stop it when its candidate passes at
+ * `trueRate`, in a suite of `cases.length`, on the gate's own batch grid
+ * (`expectedStopRuns`). At the default rate this is the figure the plan bills
+ * an unpaired case at, `PlanCase.typicalRuns`.
  *
- * `makePlan` no longer bills from it: an unpaired case there is counted in
- * the runs `shouldStop` takes, which this figure misses either way (#105).
  * `samplesForEvidence`, the one behind `PlanCase.unpaired.runs`, answers a
  * different question: how many runs it takes to *certify a regression*. A case
- * that did not regress never gets there; it hits the H₀ wall in a few batches
- * and stops. Pricing every case at the certification cost over-predicts the
+ * that did not regress never gets there; it stops as futile or settled in a
+ * few batches. Pricing every case at the certification cost over-predicts the
  * bill.
  *
- * `trueRate` defaults to the case's own baseline rate, i.e. "nothing moved", * which is what almost every pull request looks like.
+ * `trueRate` defaults to the case's own baseline rate, i.e. "nothing moved",
+ * which is what almost every pull request looks like.
  */
 export function expectedSequentialSamples(cases, baseline, cfg, trueRate = (_id, b) => b.trials > 0 ? b.successes / b.trials : 0) {
     requireTrialGrid(cfg, "expectedSequentialSamples");
+    // Checked here so a bad value is refused under this name, not under the stopping rule's.
+    requireOpenProbability(cfg.mde, "mde", "expectedSequentialSamples");
+    requireOpenProbability(cfg.fdr, "fdr", "expectedSequentialSamples");
+    requireSettleConfidence(cfg, "expectedSequentialSamples");
     // A repeated id was added to `samples` once per listing but kept once in `perCase`, so the two disagreed.
     requireUniqueCaseIds(cases, "expectedSequentialSamples");
     const perCase = new Map();
@@ -230,13 +250,12 @@ export function expectedSequentialSamples(cases, baseline, cfg, trueRate = (_id,
         const b = baseline.get(c.id);
         if (!b || b.trials === 0)
             continue;
-        const p0 = baselineNullRate(b, cfg.nullQuantile);
-        const p1 = Math.max(0.005, p0 - cfg.mde);
         const p = Math.max(0, Math.min(1, trueRate(c.id, b)));
-        const raw = sprtExpectedN(p, p0, p1, cfg.alpha, cfg.beta);
-        const capped = onBatchGrid(Number.isFinite(raw) && raw > 0 ? Math.ceil(raw) : cfg.maxTrials, cfg);
-        perCase.set(c.id, capped);
-        total += capped;
+        // Wald's figure fell back to the cap on a NaN rate; the dynamic program would answer NaN.
+        requireProbability(p, "trueRate", "expectedSequentialSamples");
+        const runs = expectedStopRuns(b, p, cases.length, cfg);
+        perCase.set(c.id, runs);
+        total += runs;
     }
     return { samples: total, perCase };
 }
@@ -246,32 +265,103 @@ export function requireSettleConfidence(cfg, where) {
         requireOpenProbability(cfg.futilityConfidence, "futilityConfidence", where);
     }
 }
-// The gate only ever adds whole batches past the minimum, so a prediction is rounded onto the grid it samples on.
-function onBatchGrid(n, cfg) {
-    const clamped = Math.min(cfg.maxTrials, Math.max(cfg.minTrials, n));
-    const batched = cfg.minTrials + Math.ceil(Math.max(0, clamped - cfg.minTrials) / cfg.batchSize) * cfg.batchSize;
-    return Math.min(cfg.maxTrials, batched);
-}
+// The frontier prices the same paired cell once per baseline and screen, so a sweep would rerun one program dozens of times.
+const settlePairsMemo = new Map();
+// Every case of a suite that shares a baseline, and every planCase call makePlan makes, runs the same program.
+const stopRunsMemo = new Map();
 /**
- * Expected pairs for a paired case that did not move: the first pair count at
- * which `shouldStopPaired`'s settle e-value, on the mean trajectory at coupling
- * `rho` and `cfg.futilityConfidence` (the stopping rule's default when unset),
- * rules out a drop of `mde`, on the same batch grid as
- * `expectedSequentialSamples`, and `maxTrials` when it never does. The
- * unpaired SPRT figure knows nothing of this rule or of the coupling, which
- * sets how often an unmoved pair disagrees.
+ * Expected pairs `shouldStopPaired` takes to stop a paired case that did not
+ * move, at coupling `rho`, checked at `minTrials` and then every `batchSize`
+ * pairs up to `maxTrials`, in a suite of `suiteSize`. Exact, as
+ * `expectedStopRuns` is: the decision depends only on the worse and better
+ * counts at a given pair count, so a dynamic program carries their joint
+ * distribution from one check to the next. Rounded up to a whole pair.
  */
-export function expectedSettlePairs(rate, rho, mde, cfg) {
+export function expectedSettlePairs(rate, rho, mde, suiteSize, cfg) {
+    const key = [
+        rate,
+        rho,
+        mde,
+        suiteSize,
+        cfg.fdr,
+        cfg.futilityConfidence,
+        cfg.minTrials,
+        cfg.maxTrials,
+        cfg.batchSize,
+    ].join("|");
+    const known = settlePairsMemo.get(key);
+    if (known !== undefined)
+        return known;
+    const options = {
+        suiteSize,
+        mde,
+        fdr: cfg.fdr,
+        futilityConfidence: cfg.futilityConfidence,
+    };
     // Unmoved arms disagree each way only when uncoupled: (1 - rho) p (1 - p).
     const each = (1 - rho) * rate * (1 - rate);
-    const confidence = cfg.futilityConfidence ?? DEFAULT_STOP_OPTIONS.futilityConfidence;
-    const target = -Math.log(1 - confidence);
-    for (let n = 1; n <= cfg.maxTrials; n++) {
-        const counts = { bothPass: n * (1 - 2 * each), worse: n * each, better: n * each, bothFail: 0 };
-        if (settleLogE(counts, mde) >= target)
-            return onBatchGrid(n, cfg);
+    const same = 1 - 2 * each;
+    // live[w * (top + 1) + b]: probability of w worse and b better pairs with the case still running.
+    let live = new Float64Array([1]);
+    // Mass under 1e-18 is dropped so the square stays as small as the spread of the counts; it cannot move the rounded answer.
+    let top = 0;
+    let n = 0;
+    let expected = 0;
+    for (let step = cfg.minTrials;; step = Math.min(cfg.batchSize, cfg.maxTrials - n)) {
+        for (let i = 0; i < step; i++) {
+            const side = top + 2;
+            const next = new Float64Array(side * side);
+            for (let w = 0; w <= top; w++) {
+                for (let b = 0; b <= top; b++) {
+                    const q = live[w * (top + 1) + b];
+                    if (q === 0)
+                        continue;
+                    next[w * side + b] += q * same;
+                    next[(w + 1) * side + b] += q * each;
+                    next[w * side + b + 1] += q * each;
+                }
+            }
+            let reach = 0;
+            for (let at = 0; at < next.length; at++) {
+                if (next[at] < 1e-18)
+                    next[at] = 0;
+                else
+                    reach = Math.max(reach, Math.floor(at / side), at % side);
+            }
+            live = new Float64Array((reach + 1) * (reach + 1));
+            for (let w = 0; w <= reach; w++) {
+                for (let b = 0; b <= reach; b++)
+                    live[w * (reach + 1) + b] = next[w * side + b];
+            }
+            top = reach;
+            n++;
+        }
+        let running = 0;
+        for (let w = 0; w <= top; w++) {
+            for (let b = 0; b <= top; b++) {
+                const at = w * (top + 1) + b;
+                const q = live[at];
+                if (q === 0)
+                    continue;
+                const counts = { bothPass: n - w - b, worse: w, better: b, bothFail: 0 };
+                if (n >= cfg.maxTrials || shouldStopPaired(counts, options).stop) {
+                    expected += q * n;
+                    live[at] = 0;
+                }
+                else {
+                    running += q;
+                }
+            }
+        }
+        if (running === 0)
+            break;
     }
-    return cfg.maxTrials;
+    // Float residue must not push an exact whole number up a pair.
+    const pairs = Math.ceil(expected - 1e-9);
+    if (settlePairsMemo.size >= 1024)
+        settlePairsMemo.clear();
+    settlePairsMemo.set(key, pairs);
+    return pairs;
 }
 /**
  * Expected runs `shouldStop` takes to stop an unpaired case whose candidate
@@ -281,7 +371,22 @@ export function expectedSettlePairs(rate, rho, mde, cfg) {
  * program carries the distribution of the success count from one check to the
  * next. Rounded up to a whole run; an expectation is not a grid point.
  */
-function expectedStopRuns(baseline, rate, suiteSize, cfg) {
+export function expectedStopRuns(baseline, rate, suiteSize, cfg) {
+    const key = [
+        baseline.successes,
+        baseline.trials,
+        rate,
+        suiteSize,
+        cfg.mde,
+        cfg.fdr,
+        cfg.futilityConfidence,
+        cfg.minTrials,
+        cfg.maxTrials,
+        cfg.batchSize,
+    ].join("|");
+    const known = stopRunsMemo.get(key);
+    if (known !== undefined)
+        return known;
     const options = {
         suiteSize,
         mde: cfg.mde,
@@ -318,7 +423,11 @@ function expectedStopRuns(baseline, rate, suiteSize, cfg) {
             break;
     }
     // Float residue must not push an exact whole number up a run.
-    return Math.ceil(expected - 1e-9);
+    const runs = Math.ceil(expected - 1e-9);
+    if (stopRunsMemo.size >= 1024)
+        stopRunsMemo.clear();
+    stopRunsMemo.set(key, runs);
+    return runs;
 }
 /**
  * Plan a suite. `pilots` holds a pair table per case from a pilot run of the
@@ -384,6 +493,13 @@ export function makePlan(cases, baseline, cfg = DEFAULT_PLAN, pilots = new Map()
         (decidableAny.length > 0 && (manyPairedOnly || mostlyPaired) ? "paired" : "unpaired");
     // Per case, like `bestRuns`: one suite-wide design billed a mixed suite as if every case ran it.
     const runsPerObs = (p) => (cfg.design ?? p.design ?? recommendedDesign) === "paired" ? 2 : 1;
+    // `planCase` cannot see the suite, so a case with no design was priced unpaired there.
+    for (const p of planned) {
+        if (p.design === null && runsPerObs(p) === 2) {
+            const b = baseline.get(p.caseId);
+            p.typicalRuns = typicalCaseRuns(b, "paired", { ...cfg, pairCoupling: p.pairCoupling }, m);
+        }
+    }
     // `screenRuns` counts observations, so each case's pass costs its own design's runs.
     const screenPassRuns = planned.reduce((a, p) => a + cfg.screenRuns * runsPerObs(p), 0);
     // Screening: everything gets `screenRuns`; only the cases the screen ranks as
@@ -406,29 +522,14 @@ export function makePlan(cases, baseline, cfg = DEFAULT_PLAN, pilots = new Map()
     // set from.
     // Both counts are *observations*. A paired observation is two runs, the
     // candidate and the reference revision on the same seed, and so is a paired
-    // screening run. Each case is counted under the rule that stops it: a paired
-    // one in pairs to settle, an unpaired one in the runs `shouldStop` takes.
-    // Wald's SPRT figure, used for both before, runs a different rule, ignores
-    // the coupling and the suite size, and mispriced cases either way.
-    const stopRuns = new Map();
-    const observations = (p) => {
-        const b = baseline.get(p.caseId);
-        if (!b || b.trials === 0)
-            return 0;
-        if (runsPerObs(p) === 2) {
-            return expectedSettlePairs(p.baseline.rate, p.pairCoupling, cfg.mde, cfg);
-        }
-        const key = `${b.successes}/${b.trials}`;
-        const known = stopRuns.get(key);
-        if (known !== undefined)
-            return known;
-        const runs = expectedStopRuns(b, b.successes / b.trials, m, cfg);
-        stopRuns.set(key, runs);
-        return runs;
-    };
+    // screening run. Each case is counted under the rule that stops it
+    // (`PlanCase.typicalRuns`): a paired one in pairs to settle, an unpaired one
+    // in the runs `shouldStop` takes. Wald's SPRT figure, used for both before,
+    // runs a different rule, ignores the coupling and the suite size, and
+    // mispriced cases either way.
     const priced = planned.filter((p) => (baseline.get(p.caseId)?.trials ?? 0) > 0).length;
-    const typicalObservations = planned.reduce((a, p) => a + observations(p), 0);
-    const typicalRuns = planned.reduce((a, p) => a + observations(p) * runsPerObs(p), 0);
+    const typicalObservations = planned.reduce((a, p) => a + p.typicalRuns / runsPerObs(p), 0);
+    const typicalRuns = planned.reduce((a, p) => a + p.typicalRuns, 0);
     const runsPerObservation = typicalObservations > 0
         ? typicalRuns / typicalObservations
         : recommendedDesign === "paired"
@@ -534,9 +635,7 @@ export function makePlan(cases, baseline, cfg = DEFAULT_PLAN, pilots = new Map()
 export function affordabilityGrid(baselineRate, baselineTrials, cfg, budgetUsd, caseCounts = [20, 50, 100, 200], mdes = [0.1, 0.15, 0.25, 0.35]) {
     requireProbability(baselineRate, "baselineRate", "affordabilityGrid");
     requireErrorRates(cfg.alpha, cfg.beta, "affordabilityGrid");
-    // The typical bill below takes this quantile of the baseline posterior
-    // straight from `betaQuantile`, which answers 0 or 1 for a quantile outside
-    // (0,1) and about 0 for NaN instead of refusing. `makePlan` refuses it.
+    // `makePlan` refuses it, so one options object must not price here and fail there.
     requireOpenProbability(cfg.nullQuantile, "nullQuantile", "affordabilityGrid");
     // makePlan refuses both; unchecked, an fdr of 2 priced a grid cheaper than one at 0.05.
     requireOpenProbability(cfg.fdr, "fdr", "affordabilityGrid");
@@ -596,15 +695,10 @@ export function affordabilityGrid(baselineRate, baselineTrials, cfg, budgetUsd,
             // The ceiling above prices a pull request in which every case regressed.
             // This prices one in which nothing did, which is what a pull request
             // almost always is.
-            const p0 = betaQuantile(1 + s, 1 + baselineTrials - s, cfg.nullQuantile);
-            const p1 = Math.max(0.005, p0 - mde);
-            const rawN = sprtExpectedN(baselineRate, p0, p1, cfg.alpha, cfg.beta);
-            // A paired cell counts the pairs `shouldStopPaired` takes to settle, as `makePlan` does; the SPRT figure ignores the coupling.
+            // Each design is counted under the rule that stops it, as `makePlan` does; Wald's SPRT figure ignores the coupling and the suite size.
             const perCaseTypical = runsPerObs === 2
-                ? expectedSettlePairs(baselineRate, cfg.pairCoupling, mde, cfg)
-                : Number.isFinite(rawN) && rawN > 0
-                    ? Math.min(cfg.maxTrials, Math.max(cfg.minTrials, Math.ceil(rawN)))
-                    : cfg.maxTrials;
+                ? expectedSettlePairs(baselineRate, cfg.pairCoupling, mde, m, cfg)
+                : expectedStopRuns({ caseId: "typical", successes: s, trials: baselineTrials }, baselineRate, m, { ...cfg, mde });
             // Priced for the same design as the ceiling above (`runsPerObs`), or the
             // cell quotes an unpaired price for a plan only pairing can execute.
             const typicalRuns = Math.ceil((m * cfg.screenRuns + Math.ceil(m * 0.1) * perCaseTypical) * runsPerObs);

package/dist/plan.js.map

@@ -1 +1 @@
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package/dist/stats.d.ts

@@ -10,7 +10,7 @@ export declare function gammaP(a: number, x: number): number;
  */
 export declare function erf(x: number): number;
 /** Φ(x): standard normal CDF. */
-export declare const normalCdf: (x: number) => number;
+export declare function normalCdf(x: number): number;
 /** Φ⁻¹(p): Acklam's inverse normal CDF, refined by one Halley step. */
 export declare function normalQuantile(p: number): number;
 /** Regularized incomplete beta Iₓ(a,b) = P(Beta(a,b) ≤ x). */

package/dist/stats.d.ts.map

@@ -1 +1 @@
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