A Maximin $Φ_{p}$-Efficient Design for Multivariate GLM

Abstract

Experimental designs for a generalized linear model (GLM) often depend on the specification of the model, including the link function, the predictors, and unknown parameters, such as the regression coefficients. To deal with uncertainties of these model specifications, it is important to construct optimal designs with high efficiency under such uncertainties. Existing methods such as Bayesian experimental designs often use prior distributions of model specifications to incorporate model uncertainties into the design criterion. Alternatively, one can obtain the design by optimizing the worst-case design efficiency with respect to uncertainties of model specifications. In this work, we propose a new Maximin Φp-Efficient (or Mm-Φp for short) design which aims at maximizing the minimum Φp-efficiency under model uncertainties. Based on the theoretical properties of the proposed criterion, we develop an efficient algorithm with sound convergence properties to construct the Mm-Φp design. The performance of the proposed Mm-Φp design is assessed through several numerical examples.