Monotonic convergence of a general algorithm for computing optimal designs
The Annals of Statistics · 2010 · Volume 38 · Issue 3
Abstract
Monotonic convergence is established for a general class of multiplicative algorithms introduced by Silvey, Titterington and Torsney [Comm. Statist. Theory Methods 14 (1978) 1379–1389] for computing optimal designs. A conjecture of Titterington [Appl. Stat. 27 (1978) 227–234] is confirmed as a consequence. Optimal designs for logistic regression are used as an illustration.
Keywords
62K05, A-optimality, auxiliary variables, c-optimality, D-optimality, Experimental design, generalized linear models, multiplicative algorithm
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