"optimization" entries

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Since 2009, I’ve been leading the optimization team at AppNexus, a real-time advertising exchange. On this exchange, advertisers participate in real-time auctions to bid on individual ad impressions. The highest bid wins the auction, and that advertiser gets to show an ad. This allows advertisers to carefully target where they advertise—maximizing the effectiveness of their advertising budget—and lets websites maximize their ad revenue.

We do these auctions often (~50 billion a day) and fast (<100 milliseconds). Not surprisingly, this creates a lot of technical challenges. One of those challenges is how to automatically maximize the value advertisers get for their marketing budgets—systematically driving consumer engagement through ad placements on particular websites, times of day, etc.—and we call this process “optimization.” The volume of data is large, and the algorithms and strategies aren’t trivial.

In order to win clients and build our business to the scale we have today, it was crucial that we build a world-class optimization system. But when I started, we didn’t have a scalable tech stack to process the terabytes of data flowing through our systems every day, and we didn't have the team to do any of the required data modeling.

People

So, we needed to hire great people fast. However, there aren’t many veterans in the advertising optimization space, and because of that, we couldn’t afford to narrow our search to only experts in Java or R or Matlab. In order to give us the largest talent pool possible to recruit from, we had to choose a tech stack that is both powerful and accessible to people with diverse experience and backgrounds. So we chose Python.

Python is easy to learn. We found that people coding in R, Matlab, Java, PHP, and even those who have never programmed before could quickly learn and get up to speed with Python. This opened us up to hiring a tremendous pool of talent who we could train in Python once they joined AppNexus. To top it off, there’s a great community for hiring engineers and the PyData community is full of programmers who specialize in modeling and automation.

Additionally, Python has great libraries for data modeling. It offers great analytical tools for analysts and quants and when combined, Pandas, IPython, and Matplotlib give you a lot of the functionality of Matlab or R. This made it easy to hire and onboard our quants and analysts who were familiar with those technologies. Even better, analysts and quants can share their analysis through the browser with IPython.

Process

Now that we had all of these wonderful employees, we needed a way to cut down the time to get them ramped up and pushing code to production.

First, we wanted to get our analysts and quants looking at and modeling data as soon as possible. We didn’t want them worrying about writing database connector code, or figuring out how to turn a cursor into a data frame. To tackle this, we built a project called Link.

Imagine you have a MySQL database. You don’t want to hardcode all of your connection information because you want to have a different config for different users, or for different environments. Link allows you to define your “environment” in a JSON config file, and then reference it in code as if it is a Python object.

 { "dbs":{
  "my_db": {
   "wrapper": "MysqlDB",
   "host": "mysql-master.123fakestreet.net",
   "password": "",
   "user": "",
   "database": ""
  }
 }}

Now, with only three lines of code you have a database connection and a data frame straight from your mysql database. This same methodology works for Vertica, Netezza, Postgres, Sqlite, etc. New “wrappers” can be added to accommodate new technologies, allowing team members to focus on modeling the data, not how to connect to all these weird data sources.

In [1]: from link import lnk
 
In [2]: my_db = lnk.dbs.my_db
 
In [3]: df = my_db.select('select * from my_table').as_dataframe()
 

Int64Index: 325 entries, 0 to 324
Data columns:
id    325 non-null values
user_id   323 non-null values
app_id   325 non-null values
name    325 non-null values
body    325 non-null values
created   324 non-null values

By having the flexibility to easily connect to new data sources and APIs, our quants were able to adapt to the evolving architectures around us, and stay focused on modeling data and creating algorithms.

Second, we wanted to minimize the amount of work it took to take an algorithm from research/prototype phase to full production scale. Luckily, with everyone working in Python, our quants, analysts, and engineers are using the same language and data processing libraries. There was no need to re-implement an R script in Java to get it out across the platform.
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