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A First-Order Algorithm for the A-Optimal Experimental Design Problem: A Mathematical Programming Approach

SELIN AHIPASAOGLU (ahipasaoglu***at***sutd.edu.sg)

Abstract: We develop and analyse a first-order algorithm for the A-optimal experimental design problem. The problem is first presented as a special case of a parametric family of optimal design problems for which duality results and optimality conditions are given. Then, two first-order (Frank-Wolfe type) algorithms are presented, accompanied by a detailed time-complexity analysis of the algorithms and computational results on various sized problems.

Keywords: Optimal Experimental Design, A-optimality, Frank-Wolfe Algorithm

Category 1: Applications -- Science and Engineering (Statistics )

Category 2: Convex and Nonsmooth Optimization (Convex Optimization )

Category 3: Linear, Cone and Semidefinite Programming (Semi-definite Programming )


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Entry Submitted: 11/04/2013
Entry Accepted: 11/04/2013
Entry Last Modified: 11/04/2013

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