Efficient computational algorithm for optimal allocation in regression models

DOI10.1016/J.CAM.2013.10.040MaRDI QIDQ390453zbMATH OpenOpenAlexFDO

Authors Wei Gao, Ping Shing Chan, Hon Keung Tony Ng, Xiaolei Lü

Publication date 8 January 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.0877

zbMATH Keywords

D-optimalitymaximum likelihood estimatorsMonte Carlo methodA-optimalityaccelerated life-testing

Mathematics Subject Classification ID

Linear inference, regression (62J99) Reliability and life testing (62N05) Monte Carlo methods (65C05) Optimal statistical designs (62K05)

Abstract: In this article, we discuss the optimal allocation problem in an experiment when a regression model is used for statistical analysis. Monotonic convergence for a general class of multiplicative algorithms for $D$-optimality has been discussed in the literature. Here, we provide an alternate proof of the monotonic convergence for $D$-criterion with a simple computational algorithm and furthermore show it converges to the $D$-optimality. We also discuss an algorithm as well as a conjecture of the monotonic convergence for $A$-criterion. Monte Carlo simulations are used to demonstrate the reliability, efficiency and usefulness of the proposed algorithms.

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Cited in

(4)

• Efficient computational algorithms for approximate optimal designs
• Efficient computational algorithm for optimal continuous experimental designs
• Monotonic convergence of a general algorithm for computing optimal designs
• Combined algorithm to compute D-optimal designs

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