Sequential DOE via dynamic programming

Irad Ben-Gal*, Michael Caramanis

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

The paper considers a sequential Design of Experiments (DOE) scheme. Our objective is to maximize both information and economic measures over a feasible set of experiments. Optimal DOE strategies are developed by introducing information criteria based on measures adopted from information theory. The evolution of acquired information along various stages of experimentation is analyzed for linear models with a Gaussian noise term. We show that for particular cases, although the amount of information is unbounded, the desired rate of acquiring information decreases with the number of experiments. This observation implies that at a certain point in time it is no longer efficient to continue experimenting. Accordingly, we investigate methods of stochastic dynamic programming under imperfect state information as appropriate means to obtain optimal experimentation policies. We propose cost-to-go functions that model the trade-off between the cost of additional experiments and the benefit of incremental information. We formulate a general stochastic dynamic programming framework for design of experiments and illustrate it by analytic and numerical implementation examples.

Original languageEnglish
Pages (from-to)1087-1100
Number of pages14
JournalIIE Transactions (Institute of Industrial Engineers)
Volume34
Issue number12
DOIs
StatePublished - Dec 2002

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