Adaptive grid semidefinite programming for finding optimal designs

BPM Duarte, WK Wong, H Dette - Statistics and Computing, 2018 - Springer
Statistics and Computing, 2018Springer
We find optimal designs for linear models using a novel algorithm that iteratively combines a
semidefinite programming (SDP) approach with adaptive grid techniques. The proposed
algorithm is also adapted to find locally optimal designs for nonlinear models. The search
space is first discretized, and SDP is applied to find the optimal design based on the initial
grid. The points in the next grid set are points that maximize the dispersion function of the
SDP-generated optimal design using nonlinear programming. The procedure is repeated …
Abstract
We find optimal designs for linear models using a novel algorithm that iteratively combines a semidefinite programming (SDP) approach with adaptive grid techniques. The proposed algorithm is also adapted to find locally optimal designs for nonlinear models. The search space is first discretized, and SDP is applied to find the optimal design based on the initial grid. The points in the next grid set are points that maximize the dispersion function of the SDP-generated optimal design using nonlinear programming. The procedure is repeated until a user-specified stopping rule is reached. The proposed algorithm is broadly applicable, and we demonstrate its flexibility using (i) models with one or more variables and (ii) differentiable design criteria, such as A-, D-optimality, and non-differentiable criterion like E-optimality, including the mathematically more challenging case when the minimum eigenvalue of the information matrix of the optimal design has geometric multiplicity larger than 1. Our algorithm is computationally efficient because it is based on mathematical programming tools and so optimality is assured at each stage; it also exploits the convexity of the problems whenever possible. Using several linear and nonlinear models with one or more factors, we show the proposed algorithm can efficiently find optimal designs.
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