Adaptive Monte Carlo Multiple Testing via MultiArmed Bandits
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Proceedings of the 36th International Conference on Machine Learning, PMLR 97:75127522, 2019.
Abstract
Monte Carlo (MC) permutation test is considered the gold standard for statistical hypothesis testing, especially when standard parametric assumptions are not clear or likely to fail. However, in modern data science settings where a large number of hypothesis tests need to be performed simultaneously, it is rarely used due to its prohibitive computational cost. In genomewide association studies, for example, the number of hypothesis tests $m$ is around $10^6$ while the number of MC samples $n$ for each test could be greater than $10^8$, totaling more than $nm$=$10^{14}$ samples. In this paper, we propose \texttt{A}daptive \texttt{M}C multiple \texttt{T}esting (\texttt{AMT}) to estimate MC pvalues and control false discovery rate in multiple testing. The algorithm outputs the same result as the standard full MC approach with high probability while requiring only $\tilde{O}(\sqrt{n}m)$ samples. This sample complexity is shown to be optimal. On a Parkinson GWAS dataset, the algorithm reduces the running time from 2 months for full MC to an hour. The \texttt{AMT} algorithm is derived based on the theory of multiarmed bandits.
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