D-optimal designs via a cocktail algorithm |
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Authors: | Yaming Yu |
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Institution: | (1) School of Pharmacy, University of Otago, 56, Dunedin, New Zealand; |
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Abstract: | A fast new algorithm is proposed for numerical computation of (approximate) D-optimal designs. This cocktail algorithm extends the well-known vertex direction method (VDM; Fedorov in Theory of Optimal Experiments, 1972) and the multiplicative algorithm (Silvey et al. in Commun. Stat. Theory Methods 14:1379–1389, 1978), and shares their simplicity and monotonic convergence properties. Numerical examples show that the cocktail algorithm can
lead to dramatically improved speed, sometimes by orders of magnitude, relative to either the multiplicative algorithm or
the vertex exchange method (a variant of VDM). Key to the improved speed is a new nearest neighbor exchange strategy, which
acts locally and complements the global effect of the multiplicative algorithm. Possible extensions to related problems such
as nonparametric maximum likelihood estimation are mentioned. |
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Keywords: | |
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