In this paper some new properties and computational tools for finding KL-optimum designs are provided. KL-optimality is a general criterion useful to select the best experimental conditions to discriminate between statistical models. A KL-optimum design is obtained from a minimax optimization problem, which is defined on a infinite-dimensional space. In particular, continuity of the KL-optimality criterion is proved under mild conditions; as a consequence, the first-order algorithm converges to the set of KL-optimum designs for a large class of models. It is also shown that KL-optimum designs are invariant to any scale-position transformation. Some examples are given and discussed, together with some practical implications for numerical computation purposes.
KL-optimum designs : theoretical properties and practical computation / G. Aletti, C. May, C. Tommasi. - In: STATISTICS AND COMPUTING. - ISSN 0960-3174. - 26:1(2016 Jan), pp. 107-117. [10.1007/s11222-014-9515-8]
KL-optimum designs : theoretical properties and practical computation
G. AlettiPrimo
;C. TommasiUltimo
2016
Abstract
In this paper some new properties and computational tools for finding KL-optimum designs are provided. KL-optimality is a general criterion useful to select the best experimental conditions to discriminate between statistical models. A KL-optimum design is obtained from a minimax optimization problem, which is defined on a infinite-dimensional space. In particular, continuity of the KL-optimality criterion is proved under mild conditions; as a consequence, the first-order algorithm converges to the set of KL-optimum designs for a large class of models. It is also shown that KL-optimum designs are invariant to any scale-position transformation. Some examples are given and discussed, together with some practical implications for numerical computation purposes.File | Dimensione | Formato | |
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