E-optimal designs for second-order response surface models

DOI10.1214/14-AOS1241MaRDI QIDQ464200zbMATHFDO

Authors Holger Dette, Yuri Grigoriev

Publication date 17 October 2014

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.3805

zbMATH Keywords

duality\(E\)-optimalityoptimal designsresponse surface modelsextremal polynomialnonlinear Chebyshev approximation

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Response surface designs (62K20) Best approximation, Chebyshev systems (41A50)

Abstract: $E$-optimal experimental designs for a second-order response surface model with $kgeq1$ predictors are investigated. If the design space is the $k$-dimensional unit cube, Galil and Kiefer [J. Statist. Plann. Inference 1 (1977a) 121-132] determined optimal designs in a restricted class of designs (defined by the multiplicity of the minimal eigenvalue) and stated their universal optimality as a conjecture. In this paper, we prove this claim and show that these designs are in fact $E$-optimal in the class of all approximate designs. Moreover, if the design space is the unit ball, $E$-optimal designs have not been found so far and we also provide a complete solution to this optimal design problem. The main difficulty in the construction of $E$-optimal designs for the second-order response surface model consists in the fact that for the multiplicity of the minimum eigenvalue of the "optimal information matrix" is larger than one (in contrast to the case $k=1$) and as a consequence the corresponding optimality criterion is not differentiable at the optimal solution. These difficulties are solved by considering nonlinear Chebyshev approximation problems, which arise from a corresponding equivalence theorem. The extremal polynomials which solve these Chebyshev problems are constructed explicitly leading to a complete solution of the corresponding $E$-optimal design problems.

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Cited in

(10)

• Approximate \(I\)-optimal designs for polynomial models over the unit ball
• Efficient response surface designs for the second-order multivariate polynomial model robust to missing observation
• Adaptive grid semidefinite programming for finding optimal designs
• Optimal designs for non-competitive enzyme inhibition kinetic models
• Design admissibility and de la Garza phenomenon in multifactor experiments
• Algorithmic construction of \(R\)-optimal designs for second-order response surface models
• D-optimal designs based on the second-order least squares estimator
• Least squares polynomial chaos expansion: a review of sampling strategies
• Removal of the points that do not support an \(E\)-optimal experimental design
• Optimal designs for spline wavelet regression models

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