"""Section 5.1 -- personalized warfarin dosing on the PharmGKB/IWPC cohort. Paper setup (verbatim, Section 5.1 "RCB Setup"): "The total number of trials is set at T = 5528, with reward noise sigma_hat = 0.054 estimated from the true optimal dosing of warfarin after scaling. To create an online decision-making scenario, we simulate the process across 10 random permutations of patient arrivals, averaging the results over these permutations. The exploration budget eps is varied among [0.025, 0.035, 0.045]. The minimum gap tau_P0 is set at 0.005. The prior variance is defined as Sigma = [0.4, 0.6, 0.8] Id, and the prior means are beta_{2,0} = 0.05 x Id, beta_{1,0} = beta_{3,0} = 0_d." Full grid: 3 budgets x 3 prior variances x 10 permutations = 90 runs of T = 5528. """ import argparse, json, os, sys, time import numpy as np from sklearn.linear_model import LinearRegression os.chdir(os.path.abspath(os.path.join(os.path.dirname(__file__), ".."))) sys.path.insert(0, os.path.join(os.path.dirname(__file__), "..")) from rcb.core import RCB, N_eps, L_eps from rcb.env import build_warfarin PREV = None # true class prevalences p_k, filled from the data def ground_truth(X, arm, dose): """Appendix F.4 / Section 5.1 ground truth: scale the optimal dose into [0,1] (min 0, max 1); per dosage group, regress the scaled dose on the covariates to get beta_i; the true mean reward of a patient is x'beta_i for the *optimal* arm and 0 for every counterfactual arm.""" s = (dose - dose.min()) / (dose.max() - dose.min()) betas = [] for i in range(3): m = arm == i lr = LinearRegression(fit_intercept=False).fit(X[m], s[m]) betas.append(lr.coef_) betas = np.array(betas) mu_opt = np.einsum("ij,ij->i", X, betas[arm]) # x'beta_{optimal arm} sigma_hat = float(np.std(s)) return betas, mu_opt, s, sigma_hat def weighted_risk_score(correct, arm, prev): """Section 5.1: Score = sum_k p_k ( I(Correct|k) - I(Incorrect|k) ) = sum_k p_k (2 a_k - 1).""" sc = 0.0 for k in range(3): m = arm == k a = correct[m].mean() if m.sum() else 0.0 sc += prev[k] * (2 * a - 1) return sc def effective_phi0(X): """Assumption 3 requires lambda_min(E[xx']) >= phi0 > 0. On the IWPC design this eigenvalue is exactly 0 (the dummy encoding is rank deficient), so we substitute the smallest *positive* eigenvalue -- the tightest value for which the assumption is not vacuous. This substitution is reported in the logbook.""" ev = np.linalg.eigvalsh(X.T @ X / len(X)) return float(ev[ev > 1e-8].min()) def run_one(X, arm, mu_opt, sigma, eps, prior_var, seed, tau_P0=0.005, rho_P0=0.95, C_N=None, gamma_const=4.0, phi0=None, use_empirical_EF=True, reward="continuous", rng_noise=None, N_override=None): rng = np.random.default_rng(seed) n, d = X.shape K = 3 order = rng.permutation(n) beta0 = [np.zeros(d), 0.05 * np.ones(d), np.zeros(d)] # Medium arm is prior-best Sigma0 = [prior_var * np.eye(d) for _ in range(K)] if phi0 is None: phi0 = effective_phi0(X) N = N_eps(K, d, sigma, eps, tau_P0, phi0, C=C_N) if N_override is None else float(N_override) L = L_eps(eps, tau_P0, rho_P0) algo = RCB(K, d, sigma, beta0, Sigma0, N=max(1, N), L=L, offset=0.0, phi0=phi0, trust_mode="linear", trust_rate=1.0, gamma_const=gamma_const, use_empirical_EF=use_empirical_EF, rng=rng) regret = np.empty(n); gains = np.empty(n); correct = np.empty(n, bool) rec_by_patient = np.empty(n, int) cum = 0.0 for t, idx in enumerate(order): x = X[idx] rec, info = algo.recommend(x) rec_by_patient[idx] = rec gains[t] = algo.dbic_gain_expected(x, algo.rec_kernel(x, info)) ok = rec == arm[idx] correct[t] = ok # mu(x, i) = x'beta_i for the optimal arm, 0 for counterfactuals cum += mu_opt[idx] - (mu_opt[idx] if ok else 0.0) regret[t] = cum if reward == "binary": y = 1.0 if ok else 0.0 else: # y_t = mu(x_t, a_t) + eta_t, mu = x'beta_i for the optimal arm and 0 # for counterfactual arms (Section 5.1 "Ground Truth"), eta ~ N(0, sigma^2) y = (mu_opt[idx] if ok else 0.0) + sigma * rng.standard_normal() algo.update(x, rec, y, info) return dict(regret=regret, gain=gains, correct=correct, order=order, rec_by_patient=rec_by_patient, Tcold=algo.Tcold if algo.Tcold else n, N=N, L=L, phi0=phi0) def main(): ap = argparse.ArgumentParser() ap.add_argument("--data", default="data/iwpc_warfarin_5528.csv") ap.add_argument("--out", default="outputs/warfarin.json") ap.add_argument("--perms", type=int, default=10) ap.add_argument("--C_N", type=float, default=None, required=True, help="implementation constant multiplying Theorem 1's N(eps)") ap.add_argument("--N", type=int, default=None, help="explicit per-arm cold-start size (overrides C_N * Theorem 1)") ap.add_argument("--reward", default="binary", choices=["binary", "continuous"], help="Section 5.1 states y_t = 1{correct arm} (binary); the " "'Ground Truth' paragraph instead implies y = x'beta_opt.") ap.add_argument("--EF", default="theory", choices=["theory", "empirical"], help="source of E_{F,delta}(|T_{m-1}|) in Algorithm 2 line 10") ap.add_argument("--phi0", type=float, default=1.0, help="Assumption 3 lambda_min(E[xx']); <=0 means use the smallest " "positive eigenvalue of the empirical design") args = ap.parse_args() X, arm, dose, cols = build_warfarin(args.data) betas, mu_opt, s, sigma_hat = ground_truth(X, arm, dose) n, d = X.shape prev = np.bincount(arm, minlength=3) / n phi0 = args.phi0 if args.phi0 > 0 else effective_phi0(X) print(f"patients={n} features={d} sigma_hat={sigma_hat:.3f} prevalence={prev.round(3)}") print(f"reward={args.reward} EF={args.EF} phi0={phi0:.6g}") # Physician baseline: always Medium phys_correct = (arm == 1) phys_score = weighted_risk_score(phys_correct, arm, prev) print(f"physician weighted risk score = {phys_score:.3f} (paper: 0.20)") # Offline full-information ceiling for the paper's own oracle class (per-arm # ridge on ALL 5528 patients). No online policy using this oracle can beat it. lam = 1e-2 bh = [] for i in range(3): yv = (arm == i).astype(float) if args.reward == "binary" else np.where(arm == i, mu_opt, 0.0) bh.append(np.linalg.solve(X.T @ X + lam * np.eye(d), X.T @ yv)) pred = (X @ np.array(bh).T).argmax(1) ceil_cm = np.array([[float((pred[arm == k] == j).mean()) for j in range(3)] for k in range(3)]) print(f"offline oracle ceiling: err={1 - (pred == arm).mean():.4f} " f"score={weighted_risk_score(pred == arm, arm, prev):+.4f}") # Theorem 1's own requirement at this scale, with C = 1 (no fudge factor). N_thm1 = {e: N_eps(3, d, sigma_hat, e, 0.005, phi0, C=1.0) for e in [0.025, 0.035, 0.045]} print("Theorem 1 required N(eps) at C=1: " + " ".join(f"{e}:{v:.0f}" for e, v in N_thm1.items()) + f" (T = {n})") res = {"meta": dict(n=n, d=d, sigma_hat=sigma_hat, prevalence=prev.tolist(), physician_score=phys_score, physician_error=float(1 - phys_correct.mean()), C_N=args.C_N, reward=args.reward, EF=args.EF, phi0=phi0, ceiling_error=float(1 - (pred == arm).mean()), ceiling_score=weighted_risk_score(pred == arm, arm, prev), ceiling_confusion=ceil_cm.tolist(), N_theorem1_C1={str(k): v for k, v in N_thm1.items()}, columns=cols), "runs": []} t0 = time.time() for eps in [0.025, 0.035, 0.045]: for pv in [0.4, 0.6, 0.8]: regs, errs, gns, scores, conf, tcolds = [], [], [], [], [], [] for p in range(args.perms): r = run_one(X, arm, mu_opt, sigma_hat, eps, pv, seed=1000 * p + 7, C_N=args.C_N, reward=args.reward, phi0=phi0, use_empirical_EF=(args.EF == "empirical"), N_override=args.N) regs.append(r["regret"]); gns.append(r["gain"]) errs.append(1 - np.cumsum(r["correct"]) / np.arange(1, n + 1)) rp = r["rec_by_patient"] scores.append(weighted_risk_score(rp == arm, arm, prev)) # Table 2: rows = true dosage stratum, cols = RCB assigned dosage cm = np.zeros((3, 3)) for k in range(3): m = arm == k for j in range(3): cm[k, j] = (rp[m] == j).mean() conf.append(cm) tcolds.append(r["Tcold"]) entry = dict(eps=eps, prior_var=pv, regret_mean=float(np.mean([g[-1] for g in regs])), regret_curve=np.mean(regs, 0)[::20].tolist(), error_final=float(np.mean([e[-1] for e in errs])), error_curve=np.mean(errs, 0)[::20].tolist(), gain_curve=np.mean(gns, 0)[::20].tolist(), gain_min=float(np.min(np.mean(gns, 0))), frac_gain_below_negeps=float(np.mean(np.mean(gns, 0) < -eps)), score=float(np.mean(scores)), score_sd=float(np.std(scores)), confusion=np.mean(conf, 0).tolist(), Tcold=float(np.mean(tcolds)), N=r["N"], L=r["L"]) res["runs"].append(entry) print(f"eps={eps} Sigma={pv}I | N={r['N']:.1f} L={r['L']:.1f} " f"Tcold={np.mean(tcolds):.0f} | err={entry['error_final']:.3f} " f"score={entry['score']:.3f} regret={entry['regret_mean']:.0f} " f"min-gain={entry['gain_min']:+.4f}") res["physician_confusion"] = [[0, 1, 0], [0, 1, 0], [0, 1, 0]] res["wall_clock_s"] = time.time() - t0 os.makedirs(os.path.dirname(args.out), exist_ok=True) json.dump(res, open(args.out, "w")) print(f"wrote {args.out} in {res['wall_clock_s']:.0f}s") if __name__ == "__main__": main()