Barycentric algorithm for computing D-optimal size- and cost-constrained designs of experiments

Abstract

In this paper, we study the problem of D-optimal experimental design under two linear constraints, which can be interpreted as simultaneous restrictions on the size and on the cost of the experiment. For computing a size- and cost-constrained approximate D-optimal design, we propose a specification of the “barycentric” multiplicative algorithm with sequential removal of redundant design points. We analytically prove convergence results for the proposed algorithm and numerically demonstrate its favorable properties compared to competing methods.