Sequential online subsampling for thinning experimental designs
نویسندگان
چکیده
We consider a design problem where experimental conditions (design points Xi) are presented in the form of sequence i.i.d. random variables, generated with an unknown probability measure ?, and only given proportion ??(0,1) can be selected. The objective is to select good candidates Xi on fly maximize concave function ? corresponding information matrix. optimal solution corresponds construction bounded ???????, difficulty that ? ??? must constructed online. proposed relies definition threshold ? directional derivative at current matrix, value being fixed by certain quantile distribution this derivative. Combination recursive estimation yields nonlinear two-time-scale stochastic approximation method. It applied very long sequences since matrix estimated need stored. Convergence optimum proved. Various illustrative examples presented.
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2021
ISSN: ['1873-1171', '0378-3758']
DOI: https://doi.org/10.1016/j.jspi.2020.08.001