论文标题
计算对数确定梯度流量有限集的最佳实验设计
Computing optimal experimental designs on finite sets by log-determinant gradient flow
论文作者
论文摘要
最佳实验设计是具有有限支持的概率度量，可享有最小二乘估计器的最佳属性。我们提出了一种用于根据所谓的信息矩阵对数确定的梯度流的长期渐近流量计算有限集上最佳设计的算法。我们证明了所提出的算法的收敛性，并对其收敛速度进行了清晰的估计。使用新的MATLAB软件包OptimAldesignComputation对几个测试用例进行数值实验。
Optimal experimental designs are probability measures with finite support enjoying an optimality property for the computation of least squares estimators. We present an algorithm for computing optimal designs on finite sets based on the long-time asymptotics of the gradient flow of the log-determinant of the so called information matrix. We prove the convergence of the proposed algorithm, and provide a sharp estimate on the rate its convergence. Numerical experiments are performed on few test cases using the new matlab package OptimalDesignComputation.
