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Endpoint sensor times are D-optimal for an intercept-slope model

Example

For the linear time-response model Ft(θ)=θ0+θ1t with candidate sensor times t∈{0,1,2} 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 ft=(1,t)T at t=0,1,2, parameter dimension p=2, unit precision, and initial approximate design ξ(0)=(1/3,1/3,1/3) in that order.

[F1]

Approximate designs and linear-model optimality criteria: M(ξ)=∑tξtftftT and D-optimality maximizes log⁡det⁡M(ξ) among nonsingular approximate designs.

[F2]

Finite-budget multiplicative update for approximate D-optimal design: with st=ftTM−1ft, the update is ξt+=ξtst/p and the returned violation is max⁡tst−p.

[F3]

Finite-budget multiplicative design updates preserve the simplex and nonsingularity: each exact update preserves the approximate-design simplex and nonsingularity.

[F4]

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.

[F5]

The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t gives log⁡′(x)=1/x>0 for x>0. For 0<a<b, the logarithm is continuous on [a,b] and differentiable inside, so 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∈(a,b) with f(b)−f(a)=f′(c)(b−a) gives log⁡b−log⁡a=(b−a)/c>0 for some c∈(a,b). Thus log⁡ is strictly increasing on (0,∞).

Verification

1.1givenF1F5algebra

For an arbitrary approximate design ξ, write μ=∑tξtt and ν=∑tξtt2. Direct multiplication gives M(ξ)=[1μμν] and det⁡M(ξ)=ν−μ2. Since 0≤t≤2, (t−1)2≤1, so ν−μ2=∑tξt(t−1)2−(μ−1)2≤1. The equal endpoint design ξ∗=(1/2,0,1/2) has M(ξ∗)=[1112] and determinant 1, so it maximizes the determinant and hence log⁡det⁡M among nonsingular designs because log⁡ is strictly increasing by [F5].

1.2givenF2F3algebra

For ξ(0), M0=[1115/3] and M0−1=[5/2−3/2−3/23/2]. Thus (s0,s1,s2)=(5/2,1,5/2) and v0=1/2. One update gives ξ(1)=(5/12,1/6,5/12); the update is defined by [F2] and remains nonsingular by [F3].

2.1step 1.2F2F3algebra

The updated matrix is M1=[11111/6], with inverse M1−1=[11/5−6/5−6/56/5]. Therefore (s0,s1,s2)=(11/5,1,11/5) and v1=11/5−2=1/5. With budget N=1, the procedure returns the updated design with status budget-exhausted and violation 1/5.

3.1step 1.1step 2.1F1F4algebra∎

For the endpoint design ξ∗, M(ξ∗)−1=[2−1−11], so its sensitivities at 0,1,2 are 2,1,2 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 1/5. The weights are approximate-design weights; integer run counts are a separate problem by [F1].

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