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An algorithm based on semidefinite programming for finding minimax optimal designs

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  • Duarte, Belmiro P.M.
  • Sagnol, Guillaume
  • Wong, Weng Kee

Abstract

An algorithm based on a delayed constraint generation method for solving semi-infinite programs for constructing minimax optimal designs for nonlinear models is proposed. The outer optimization level of the minimax optimization problem is solved using a semidefinite programming based approach that requires the design space be discretized. A nonlinear programming solver is then used to solve the inner program to determine the combination of the parameters that yields the worst-case value of the design criterion. The proposed algorithm is applied to find minimax optimal designs for the logistic model, the flexible 4-parameter Hill homoscedastic model and the general nth order consecutive reaction model, and shows that it (i) produces designs that compare well with minimax D−optimal designs obtained from semi-infinite programming method in the literature; (ii) can be applied to semidefinite representable optimality criteria, that include the common A−,E−,G−,I− and D-optimality criteria; (iii) can tackle design problems with arbitrary linear constraints on the weights; and (iv) is fast and relatively easy to use.

Suggested Citation

  • Duarte, Belmiro P.M. & Sagnol, Guillaume & Wong, Weng Kee, 2018. "An algorithm based on semidefinite programming for finding minimax optimal designs," Computational Statistics & Data Analysis, Elsevier, vol. 119(C), pages 99-117.
    • Handle: RePEc:eee:csdana:v:119:y:2018:i:c:p:99-117
    DOI: 10.1016/j.csda.2017.09.008
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    References listed on IDEAS

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    1. Arne Stolbjerg Drud, 1994. "CONOPT—A Large-Scale GRG Code," INFORMS Journal on Computing, INFORMS, vol. 6(2), pages 207-216, May.
    2. Lopez, Marco & Still, Georg, 2007. "Semi-infinite programming," European Journal of Operational Research, Elsevier, vol. 180(2), pages 491-518, July.
    3. Belmiro P. M. Duarte & Weng Kee Wong, 2015. "Finding Bayesian Optimal Designs for Nonlinear Models: A Semidefinite Programming-Based Approach," International Statistical Review, International Statistical Institute, vol. 83(2), pages 239-262, August.
    4. Masoudi, Ehsan & Holling, Heinz & Wong, Weng Kee, 2017. "Application of imperialist competitive algorithm to find minimax and standardized maximin optimal designs," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 330-345.
    5. Duarte, Belmiro P.M. & Wong, Weng Kee & Atkinson, Anthony C., 2015. "A Semi-Infinite Programming based algorithm for determining T-optimum designs for model discrimination," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 11-24.
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    Cited by:

    1. Víctor Casero-Alonso & Andrey Pepelyshev & Weng K. Wong, 2018. "A web-based tool for designing experimental studies to detect hormesis and estimate the threshold dose," Statistical Papers, Springer, vol. 59(4), pages 1307-1324, December.
    2. Sahu, Nitesh & Babu, Prabhu, 2021. "A new monotonic algorithm for the E-optimal experiment design problem," Statistics & Probability Letters, Elsevier, vol. 174(C).

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