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

Abstract

Let the design of an experiment be represented by an $s$-dimensional vector $\mathbf {w}$ of weights with nonnegative components. Let the quality of $\mathbf {w}$ 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 $M(\mathbf {w})=\sum_{i=1}^sw_iA_iA_i^T$, where $A_i,i=1,\ldots,s$ are known matrices with $m$ rows. In this 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 exact $D$-optimal design, which is possible thanks to high-quality branch-and-cut solvers specialized to solve mixed integer second-order cone programming problems. Our results extend to the case of the criterion of $D_K$-optimality, which measures the quality of $\mathbf {w}$ for the estimation of a linear parameter subsystem defined by a full-rank coefficient matrix $K$. We prove that some other widely used criteria are also second-order cone representable, for instance, the criteria of $A$-, $A_K$-, $G$- and $I$-optimality. We present several numerical examples demonstrating the efficiency and general applicability 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.Comment: Published at http://dx.doi.org/10.1214/15-AOS1339 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org