A numerical approach to sequential multi-hypothesis testing for Bernoulli model
From MaRDI portal
Abstract: In this paper we deal with the problem of sequential testing of multiple hypotheses. The main goal is minimizing the expected sample size (ESS) under restrictions on the error probabilities. We take, as a criterion of minimization, a weighted sum of the ESS's evaluated at some points of interest in the parameter space aiming at its minimization under restrictions on the error probabilities. We use a variant of the method of Lagrange multipliers which is based on the minimization of an auxiliary objective function (called Lagrangian) combining the objective function with the restrictions, taken with some constants called multipliers. Subsequently, the multipliers are used to make the solution comply with the restrictions. We develop a computer-oriented method of minimization of the Lagrangian function, that provides, depending on the specific choice of the parameter points, optimal tests in different concrete settings, like in Bayesian, Kiefer-Weiss and other settings. To exemplify the proposed methods for the particular case of sampling from a Bernoulli population we develop a set of computer algorithms for designing sequential tests that minimize the Lagrangian function and for the numerical evaluation of test characteristics like the error probabilities and the ESS, and other related. We implement the algorithms in the R programming language. The program code is available in a public GitHub repository. For the Bernoulli model, we made a series of computer evaluations related to the optimality of sequential multi-hypothesis tests, in a particular case of three hypotheses. A numerical comparison with the matrix sequential probability ratio test is carried out. A method of solution of the multi-hypothesis Kiefer-Weiss is proposed, and is applied for a particular case of three hypotheses in the Bernoulli model.
Cites work
- A sequential procedure for multihypothesis testing
- A Simplex Method for Function Minimization
- An improved method for deriving optimal one-sided group sequential tests
- Design and performance evaluation in Kiefer-Weiss problems when sampling from discrete exponential families
- scientific article; zbMATH DE number 3607222 (Why is no real title available?)
- scientific article; zbMATH DE number 6303356 (Why is no real title available?)
- scientific article; zbMATH DE number 3369559 (Why is no real title available?)
- scientific article; zbMATH DE number 3057677 (Why is no real title available?)
- scientific article; zbMATH DE number 3090557 (Why is no real title available?)
- On Sequential Tests Which Minimize the Maximum Expected Sample Size
- Operating Characteristic and Average Sample Number of Binary and Multi-Hypothesis Sequential Probability Ratio Test
- Optimal sequential multiple hypothesis tests
- Optimum Character of the Sequential Probability Ratio Test
- Sequential multiple hypothesis testing in presence of control variables
- Some Properties of Generalized Sequential Probability Ratio Tests
- Structure of sequential tests minimizing an expected sample size
Cited in
(3)
This page was built for publication: A numerical approach to sequential multi-hypothesis testing for Bernoulli model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6113029)
