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A First-Order Algorithm for the A-Optimal Experimental Design Problem: A Mathematical Programming Approach (1311.2335v1)
Published 11 Nov 2013 in stat.CO and math.OC
Abstract: We develop and analyse a first-order algorithm for the A-optimal experimental design problem. The problem is first presented as a special case of a parametric family of optimal design problems for which duality results and optimality conditions are given. Then, two first-order (Frank-Wolfe type) algorithms are presented, accompanied by a detailed time-complexity analysis of the algorithms and computational results on various sized problems.