Ax: Setting winsorization limits

Created on 31 Aug 2020  路  2Comments  路  Source: facebook/Ax

When using the Service API, there is an option to set winsorization limits, but it's unclear what a valid value is for the limits. The documentation says:
...clip the mean values for each metric to lay within the limits provided in the config as a tuple of (lower bound percentile, upper bound percentile)...,
When I set a value of (10.0,90.0) I get an error. Are the values of the bounds supposed to be between 0~1 (i.e. quantiles, not percentiles)?

If I try setting it to (0.1, 0.9) I get the error:
AssertionError: Upper bound: 0.9 was less than the inverse of lower: 0.1
I'm not quite understanding what the problem is.

documentation fixready question

Most helpful comment

The expected values are actually the percentile to trim from each end as a float in [0,1).

So to trim 10% from lower and upper bounds you'll pass

(0.1, 0.1)

I'll clarify the docs. let me know if this works, and please post with a follow-up with your code if it doesn't.

All 2 comments

The expected values are actually the percentile to trim from each end as a float in [0,1).

So to trim 10% from lower and upper bounds you'll pass

(0.1, 0.1)

I'll clarify the docs. let me know if this works, and please post with a follow-up with your code if it doesn't.

Thank you, this allowed my code to run properly.

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