GSWDesign.jl

An efficient method for sampling from the Gram--Schmidt Walk Design.
Author crharshaw
Popularity
6 Stars
Updated Last
1 Year Ago
Started In
January 2020

GSWDesign.jl

GSWDesign is a Julia package which contains a fast implementation of the Gram--Schmidt Walk for balancing covariates in randomized experiments. The Gram--Schmidt Walk design allows experimenters the flexibilty to control the amount of covariate balancing. See the references below for details of the Gram--Schmidt Walk design and its analysis.

  1. Christopher Harshaw, Fredrik Sävje, Daniel Spielman, Peng Zhang. "Balancing covariates in randomized experiments using the Gram–Schmidt walk". Arxiv 1911.03071, 2019. arxiv
  2. Nikhil Bansal, Daniel Dadush, Shashwat Garg, and Shachar Lovett. "The Gram–Schmidt walk: a cure for the Banaszczyk blues". In STOC, 2018. arxiv

Installing this package

To install this package, you must first have installed the Julia programming language. If you have not done this, visit julialang.org for instructions on how to do so.

The best way to install this package is using Julia's builtin package manager, Pkg. GSWDesign is currently an unregistered package and so the command for adding it is slightly different than for registered packages. We discuss how to do this for Julia versions v1.0 and higher.

  1. At the command line, type julia to enter an interactive Julia session.
  2. Enter the package manager by pressing ].
  3. To download our GSWDesign package, enter the command add https://github.com/crharshaw/GSWDesign.jl
  4. Exit the package manager by pressing press backspace or ^C.

Now GSWDesign is installed with your version of Julia and you can use it.

How to use this package

The main functionality of this package is the function sample_gs_walk which is a fast implementation to sample from the Gram--Schmidt Walk design. The function sample_gs_walk maintains a Cholesky factorization so the runtime for producing one sample from the design scales like $O(n^2 d)$ for $n > d$, where $n$ is the number of units and $d$ is the number of covariates for each unit. Moreover, a recursive implementation is used for more efficient memory allocation.

Here is an example of how to use the function sample_gs_walk.

# import the package
using GSWDesign

# generate a random matrix of covariates
n = 20
d = 4
X = randn(n,d)

# run the Gram--Schmidt walk
lambda = 0.5
assignment_list = sample_gs_walk(X, lambda, num_samples=5)

Note that covariate matrices are n-by-d, so the covariates vectors for each unit are the rows of the matrix $X$. The return variable assignment_list is an array of size num_samples-by-n with entries in 0 and 1. The function sample_gs_walk has several other features, including the ability to set individual assignment probabilities and the option for strictly balanced assignments. A complete description of these features is available by typing ?sample_gs_walk in the interactive terminal.

For a more detailed walkthrough of how to use this package, please see the Jupyter notebook walkthrough.ipynb in the notebooks directory.

Related Packages

We also developed an R wrapper for GSWDesign, which you can find here.

Support

The development of this package was supported in part by by NSF Grant CCF-1562041, ONR Awards N00014-16-2374 and N00014-20-1-2335, a Simons Investigator Award to Daniel Spielman, and an NSF Graduate Research Fellowship (DGE1122492) awarded to Christopher Harshaw.