Adaptive sequential design for regression on multi-resolution bases

Authors:
Serge Cohen;Sébastien Déjean;Sébastien Gadat
Affiliations:
Institut de Mathématiques de Toulouse, Université Paul Sabatier, Toulouse Cedex 9, France 31062;Institut de Mathématiques de Toulouse, Université Paul Sabatier, Toulouse Cedex 9, France 31062;Institut de Mathématiques de Toulouse, Université Paul Sabatier, Toulouse Cedex 9, France 31062
Venue:
Statistics and Computing
Year:
2012

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Abstract

This work investigates the problem of construction of designs for estimation and discrimination between competing linear models. In our framework, the unknown signal is observed with the addition of a noise and only a few evaluations of the noisy signal are available. The model selection is performed in a multi-resolution setting. In this setting, the locations of discrete sequential D and A designs are precisely constraint in a small number of explicit points. Hence, an efficient stochastic algorithm can be constructed that alternately improves the design and the model. Several numerical experiments illustrate the efficiency of our method for regression. One can also use this algorithm as a preliminary step to build response surfaces for sensitivity analysis.