A New Characterization of Elfving's Method for High Dimensional Computation

Details A New Characterization of Elfving's Method for High Dimensional Computation A New Characterization of Elfving's Method for High Dimensional Computation

2011-10-30

arxiv.org/abs/1110.6623v1

Mathematics

Statistics Theory

2 figures

Scientific paper

We give a new characterization of Elfving's (1952) method for computing c-optimal designs in k dimensions which gives explicit formulae for the k unknown optimal weights and k unknown signs in Elfving's characterization. This eliminates the need to search over these parameters to compute c-optimal designs, and thus reduces the computational burden from solving a family of optimization problems to solving a single optimization problem for the optimal finite support set. We give two illustrative examples: a high dimensional polynomial regression model and a logistic regression model, the latter showing that the method can be used for locally optimal designs in nonlinear models as well.

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