Computing optimal experimental designs with respect to a compound Bayes risk criterion
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Publication:1640941
DOI10.1016/J.SPL.2018.01.017zbMATH Open1414.62335arXiv1709.02317OpenAlexW2963403456MaRDI QIDQ1640941FDOQ1640941
Authors: Radoslav Harman, Maryna Prus 
Publication date: 14 June 2018
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: We consider the problem of computing optimal experimental design on a finite design space with respect to a compound Bayes risk criterion, which includes the linear criterion for prediction in a random coefficient regression model. We show that the problem can be restated as constrained A-optimality in an artificial model. This permits using recently developed computational tools, for instance the algorithms based on the second-order cone programming for optimal approximate design, and mixed-integer second-order cone programming for optimal exact designs. We demonstrate the use of the proposed method for the problem of computing optimal designs of a random coefficient regression model with respect to an integrated mean squared error criterion.
Full work available at URL: https://arxiv.org/abs/1709.02317
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Cited In (11)
- A Fast and Scalable Computational Framework for Large-Scale High-Dimensional Bayesian Optimal Experimental Design
- Equivalence theorems for multiple-design problems with application in mixed models
- Models of decision-making in a game with nature under conditions of probabilistic uncertainty
- Optimal designs for heteroscedastic regression models with two parameters
- Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification
- Optimal designs for prediction of random effects in two-groups models with multivariate response
- Optimal designs in multiple group random coefficient regression models
- Methods for determining optimal mixed strategies in matrix games with correlated random payoffs
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- Optimizing the allocation of trials to sub-regions in multi-environment crop variety testing
- Computational enhancements to Bayesian design of experiments using Gaussian processes
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