Optimal design of multi-response experiments using semi-definite programming

Abstract

Optimal design of multi-response experiments for estimating the parameters of multi-response linear models is a challenging problem. The main drawback of the existing algorithms is that they require the solution of many optimization problems in the process of generating an optimal design that involve cumbersome manual operations. Furthermore, all the existing methods generate approximate design and no method for multi-response n-exact design has been cited in the literature. This paper presents a unified formulation for multi-response optimal design problem using Semi-Definite Programming (SDP) that can generate D-, A- and E-optimal designs. The proposed method alleviates the difficulties associated with the existing methods. It solves a one-shot optimization model whose solution selects the optimal design points among all possible points in the design space. We generate both approximate and n-exact designs for multi-response models by solving SDP models with integer variables. Another advantage of the proposed method lies in the amount of computation time taken to generate an optimal design for multi-response models. Several test problems have been solved using an existing interior-point based SDP solver. Numerical results show the potentials and efficiency of the proposed formulation as compared with those of other existing methods. The robustness of the generated designs with respect to the variance-covariance matrix is also investigated.