Model-robust designs for nonlinear quantile regression

We construct robust designs for nonlinear quantile regression, in the presence of both a possibly misspecified nonlinear quantile function and heteroscedasticity of an unknown form. The asymptotic mean-squared error of the quantile estimate is evaluated and maximized over a neighbourhood of the fitted quantile regression model. This maximum depends on the scale function and on the design. We entertain two methods to find designs that minimize the maximum loss. The first is local - we minimize for given values of the parameters and the scale function, using a sequential approach, whereby each new design point minimizes the subsequent loss, given the current design. The second is adaptive - at each stage, the maximized loss is evaluated at quantile estimates of the parameters, and a kernel estimate of scale, and then the next design point is obtained as in the sequential method. In the context of a Michaelis-Menten response model for an estrogen/hormone study, and a variety of scale functions, we demonstrate that the adaptive approach performs as well, in large study sizes, as if the parameter values and scale function were known beforehand and the sequential method applied. When the sequential method uses an incorrectly specified scale function, the adaptive method yields an, often substantial, improvement. The performance of the adaptive designs for smaller study sizes is assessed and seen to still be very favourable, especially so since the prior information required to design sequentially is rarely available.

Experimental design in the context of Tikhonov regularized inverse problems

The method of Tikhonov regularization is commonly used to obtain regularized solutions of ill-posed linear inverse problems. We use its natural connection to optimal Bayes estimators to determine optimal experimental designs that can be used with Tikhonov regularization; they are designed to control a measure of total relative efficiency. We present an iterative/semidefinite programming hybrid method to explore the configuration space efficiently. Two examples from geophysics are used to illustrate the type of applications to which the methodology can be applied.