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

Jesus LOPEZ Fidalgo (fidalgo@usal.es), Chiara Tommasi (chiara.tommasi@unimi.it) and Paula Camelia Trandafir (cami_tran@yahoo.com)

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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