Computing exact D-optimal designs by mixed integer second order cone programming

Please always quote using this URN: urn:nbn:de:0297-zib-41932
  • Let the design of an experiment be represented by an $s$-dimensional vector $\vec{w}$ of weights with non-negative components. Let the quality of $\vec{w}$ for the estimation of the parameters of the statistical model be measured by the criterion of $D$-optimality defined as the $m$-th root of the determinant of the information matrix $M(\vec{w})=\sum_{i=1}^s w_iA_iA_i^T$, where $A_i$, $i=1,...,s$, are known matrices with $m$ rows. In the paper, we show that the criterion of $D$-optimality is second-order cone representable. As a result, the method of second order cone programming can be used to compute an approximate $D$-optimal design with any system of linear constraints on the vector of weights. More importantly, the proposed characterization allows us to compute an \emph{exact} $D$-optimal design, which is possible thanks to high-quality branch-and-cut solvers specialized to solve mixed integer second order cone problems. We prove that some other widely used criteria are also second order cone representable, for instance the criteria of $A$-, and $G$-optimality, as well as the criteria of $D_K$- and $A_K$-optimality, which are extensions of $D$-, and $A$-optimality used in the case when only a specific system of linear combinations of parameters is of interest. We present several numerical examples demonstrating the efficiency and universality of the proposed method. We show that in many cases the mixed integer second order cone programming approach allows us to find a provably optimal exact design, while the standard heuristics systematically miss the optimum.

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Author:Guillaume Sagnol, Radoslav Harman
Document Type:ZIB-Report
Tag:D-optimality; Exact Designs; Optimal Design of Experiments; SOCP Representability
MSC-Classification:05-XX COMBINATORICS (For finite fields, see 11Txx)
62-XX STATISTICS
Date of first Publication:2013/06/08
Series (Serial Number):ZIB-Report (13-39)
ISSN:1438-0064
Published in:Appeared in: Ann. Statist. Vol. 43, Number 5 (2015), 2198-2224.
DOI:https://doi.org/10.1214/15-AOS1339