D-optimal designs via a cocktail algorithm
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Publication:88784
DOI10.1007/S11222-010-9183-2zbMATH Open1270.62107arXiv0911.0108OpenAlexW3105687256MaRDI QIDQ88784FDOQ88784
Publication date: 9 June 2010
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: A fast new algorithm is proposed for numerical computation of (approximate) D-optimal designs. This "cocktail algorithm" extends the well-known vertex direction method (VDM; Fedorov 1972) and the multiplicative algorithm (Silvey, Titterington and Torsney, 1978), and shares their simplicity and monotonic convergence properties. Numerical examples show that the cocktail algorithm can lead to dramatically improved speed, sometimes by orders of magnitude, relative to either the multiplicative algorithm or the vertex exchange method (a variant of VDM). Key to the improved speed is a new nearest neighbor exchange strategy, which acts locally and complements the global effect of the multiplicative algorithm. Possible extensions to related problems such as nonparametric maximum likelihood estimation are mentioned.
Full work available at URL: https://arxiv.org/abs/0911.0108
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