G-optimal designs for hierarchical linear models: an equivalence theorem and a nature-inspired meta-heuristic algorithm

Abstract

Hierarchical linear models are widely used in many research disciplines and estimation issues for such models are generally well addressed. Design issues are relatively much less discussed for hierarchical linear models but there is an increasing interest as these models grow in popularity. This paper discusses the G-optimality for predicting individual parameters in such models and establishes an equivalence theorem for confirming the G-optimality of an approximate design. Because the criterion is non-differentiable and requires solving multiple nested optimization problems, it is much harder to find and study G-optimal designs analytically. We propose a nature-inspired meta-heuristic algorithm called competitive swarm optimizer (CSO) to generate G-optimal designs for linear mixed models with different means and covariance structures. We further demonstrate that CSO is flexible and generally effective for finding the widely used locally D-optimal designs for nonlinear models with multiple interacting factors and some of the random effects are correlated. Our numerical results for a few examples suggest that G and D-optimal designs may be equivalent and we establish that D and G-optimal designs for hierarchical linear models are equivalent when the models have only a random intercept only. The challenging mathematical question of whether their equivalence applies more generally to other hierarchical models remains elusive.