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A new monotonic algorithm for the E-optimal experiment design problem

Nitesh Sahu and Prabhu Babu

Statistics & Probability Letters, 2021, vol. 174, issue C

Abstract: In this paper, we develop a new monotonic algorithm for the E-optimal design problem, for which no simple monotonic algorithm is known to exist, using the idea of majorization–minimization. The available algorithms in the literature have no simple closed update equations whereas the proposed new algorithm has simple closed form update equations. The new algorithm is illustrated through numerical examples, and is shown to be competitive compared with the interior point method and existing state-of-the-art algorithm.

Keywords: E-optimal design criterion; majorization–minimization; Multiplicative algorithm; Experiment design (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109097

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