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Endpoint sensor times are D-optimal for an intercept-slope model
Example
For the linear time-response model with candidate sensor times and unit precision, the equal-weight endpoint design is D-optimal. Starting from uniform weights and using a one-update budget, the multiplicative procedure returns a positive equivalence violation instead of claiming exact optimality.
Facts & Assumptions
Given: Candidate features at , parameter dimension , unit precision, and initial approximate design in that order.
Approximate designs and linear-model optimality criteria: and D-optimality maximizes among nonsingular approximate designs.
Finite-budget multiplicative update for approximate D-optimal design: with , the update is and the returned violation is .
Finite-budget multiplicative design updates preserve the simplex and nonsingularity: each exact update preserves the approximate-design simplex and nonsingularity.
The D-equivalence violation bounds the finite-budget design's log-determinant gap: zero violation certifies D-optimality, and a positive violation bounds every nonsingular competitor's log-determinant gap.
The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t gives for . For , the logarithm is continuous on and differentiable inside, so The mean value theorem, as the case of Cauchy's: for continuous on with and differentiable on there is with gives for some . Thus is strictly increasing on .
Verification
For an arbitrary approximate design , write and . Direct multiplication gives and . Since , , so . The equal endpoint design has and determinant , so it maximizes the determinant and hence among nonsingular designs because is strictly increasing by [F5].
For , and . Thus and . One update gives ; the update is defined by [F2] and remains nonsingular by [F3].
The updated matrix is , with inverse . Therefore and . With budget , the procedure returns the updated design with status budget-exhausted and violation .
For the endpoint design , , so its sensitivities at are and its violation is zero. By [F4] this is an exact D-optimality certificate; [F4] also bounds the log-determinant gap of the one-update output by . The weights are approximate-design weights; integer run counts are a separate problem by [F1].
Depends on
- Finite-budget multiplicative update for approximate D-optimal design
- Approximate designs and linear-model optimality criteria
- Finite nonlinear observation designs, local identifiability, and weighted information
- The D-equivalence violation bounds the finite-budget design's log-determinant gap
- Finite-budget multiplicative design updates preserve the simplex and nonsingularity
- The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t
- The mean value theorem, as the case $g(x) = x$ of Cauchy's: for $f$ continuous on $[a,b]$ with $a < b$ and differentiable on $(a,b)$ there is $c \in (a,b)$ with $f(b) - f(a) = f'(c)(b-a)$
Used by
Nothing in the library uses this result yet.
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Sources
- Stephen Boyd and Lieven Vandenberghe, Convex Optimization, §7.5 (standard reference, not scraped)
- Holger Dette, Andrey Pepelyshev, and Anatoly Zhigljavsky, Improving Updating Rules in Multiplicative Algorithms for Computing D-optimal Designs, §2 (standard reference, not scraped)