T-optimality: a stopping rule for a first order algorithm

Jesus LOPEZ Fidalgo (), Chiara Tommasi () and Paula Camelia Trandafir ()

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: In the optimal design theory, the T-optimality criterion is useful for the discrimination between two competitive models. This criterion has an interesting statistical interpretation as the power of a test for the fit of a second model when the first one is true. Usually there is not a closed form for the T-optimum design and it must be computed through an iterative procedure. In this short note a stopping rule for a first order algorithm is provided. The proposed stopping rule has the interesting feature that the algorithm will always stop at a design which reaches a minimum fixed efficiency. In other words, the algorithm stops when it reaches a design efficiency (with respect to the unknown T-optimum design) as good as wanted.

Keywords: optimal design; discrimination models (search for similar items in EconPapers)
JEL-codes: C90 (search for similar items in EconPapers)
Date: 2004-01-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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