Takustr. 7 Zuse Institute Berlin 14195 Berlin Germany BELMIRO P.M. DUARTE,GUILLAUME SAGNOL,WENG KEE WONG An algorithm based on Semidefinite Programming for finding minimax optimal designs ZIB Report 18-01 (December 2017) Zuse Institute Berlin Takustr. 7 14195 Berlin Germany Telephone: +49 30-84185-0 Telefax: +49 30-84185-125 E-mail:
[email protected] URL: http://www.zib.de ZIB-Report (Print) ISSN 1438-0064 ZIB-Report (Internet) ISSN 2192-7782 An algorithm based on Semidefinite Programming for finding minimax optimal designs Belmiro P.M. Duarte a,b, Guillaume Sagnolc, Weng Kee Wongd aPolytechnic Institute of Coimbra, ISEC, Department of Chemical and Biological Engineering, Portugal. bCIEPQPF, Department of Chemical Engineering, University of Coimbra, Portugal. cTechnische Universität Berlin, Institut für Mathematik, Germany. dDepartment of Biostatistics, Fielding School of Public Health, UCLA, U.S.A. Abstract An algorithm based on a delayed constraint generation method for solving semi- infinite programs for constructing minimax optimal designs for nonlinear models is proposed. The outer optimization level of the minimax optimization problem is solved using a semidefinite programming based approach that requires the de- sign space be discretized. A nonlinear programming solver is then used to solve the inner program to determine the combination of the parameters that yields the worst-case value of the design criterion. The proposed algorithm is applied to find minimax optimal designs for the logistic model, the flexible 4-parameter Hill homoscedastic model and the general nth order consecutive reaction model, and shows that it (i) produces designs that compare well with minimax D−optimal de- signs obtained from semi-infinite programming method in the literature; (ii) can be applied to semidefinite representable optimality criteria, that include the com- mon A−; E−; G−; I− and D-optimality criteria; (iii) can tackle design problems with arbitrary linear constraints on the weights; and (iv) is fast and relatively easy to use.