Application of semi-definite programming to the design of multi-response experiments

Abstract

The need to be able to design experiments with multiple responses is becoming apparent in many real-world applications. The generation of an optimal design to estimate the parameters of a multi-response model is a challenging problem. Currently available algorithms require the solution of many optimization problems in order to generate an optimal design. In this paper, the problem of multi-response D-optimal design is formulated as a semi-definite programming model and a relaxed form of it is solved using interior-point solvers. The main advantage of the proposed method lies in the amount of computation time taken to generate a D-optimal design for multi-response models. The proposed method is tested on several test problems and is shown to be very efficient with optimal designs being found very quickly in all cases. The robustness of the generated designs with respect to the variance-covariance matrix is also assessed for the test problems in order to show how a sensitivity analysis can be performed. The characteristics of the proposed method are also compared with those of other existing methods.

Keywords::

• Multi-response D-optimal designs
• semi-definite programming
• multi-response linear models