# Examples from Optimal Experimental Design¶

Optimal experimental design is a theory at the interface of statistics and optimization, which studies how to allocate some statistical trials within a set of available design points. The goal is to allow for the best possible estimation of an unknown parameter . In what follows, we assume the standard linear model with multiresponse experiments: a trial in the design point gives a multidimensional observation that can be written as , where is of dimension , is a matrix, and the error vectors are i.i.d. with a unit variance.

Several optimization criteria exist, leading to different SDP, SOCP and LP formulations. As such, optimal experimental design problens are natural examples for problems in conic optimization. For a review of the different formulations and more references, see [1].

The code below initializes the data used in all the examples of this page. It should be run prior to any of the codes presented in this page.

```
import cvxopt as cvx
import picos as pic
#---------------------------------#
# First generate some data : #
# _ a list of 8 matrices A #
# _ a vector c #
#---------------------------------#
A=[ cvx.matrix([[1,0,0,0,0],
[0,3,0,0,0],
[0,0,1,0,0]]),
cvx.matrix([[0,0,2,0,0],
[0,1,0,0,0],
[0,0,0,1,0]]),
cvx.matrix([[0,0,0,2,0],
[4,0,0,0,0],
[0,0,1,0,0]]),
cvx.matrix([[1,0,0,0,0],
[0,0,2,0,0],
[0,0,0,0,4]]),
cvx.matrix([[1,0,2,0,0],
[0,3,0,1,2],
[0,0,1,2,0]]),
cvx.matrix([[0,1,1,1,0],
[0,3,0,1,0],
[0,0,2,2,0]]),
cvx.matrix([[1,2,0,0,0],
[0,3,3,0,5],
[1,0,0,2,0]]),
cvx.matrix([[1,0,3,0,1],
[0,3,2,0,0],
[1,0,0,2,0]])
]
c = cvx.matrix([1,2,3,4,5])
```

## c-optimality, multi-response: SOCP¶

We compute the c-optimal design (`c=[1,2,3,4,5]`

)
for the observation matrices `A[i].T`

from the variable `A`

defined above.
The results below suggest that we should allocate 12.8% of the
experimental effort on design point #5, and 87.2% on the design point #7.

### Primal Problem¶

The SOCP for multiresponse c-optimal design is:

```
#create the problem, variables and params
prob_primal_c=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
z=[prob_primal_c.add_variable('z['+str(i)+']',AA[i].size[1]) for i in range(s)]
mu=prob_primal_c.add_variable('mu',s)
#define the constraints and objective function
prob_primal_c.add_list_of_constraints(
[abs(z[i])<mu[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_primal_c.add_constraint(
pic.sum(
[AA[i]*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== cc )
prob_primal_c.set_objective('min',1|mu)
#solve the problem and retrieve the optimal weights of the optimal design.
print(prob_primal_c)
prob_primal_c.solve(verbose=0,solver='cvxopt')
mu=mu.value
w=mu/sum(mu) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

Generated output:

```
---------------------
optimization problem (SOCP):
32 variables, 5 affine constraints, 32 vars in 8 SO cones
mu : (8, 1), continuous
z : list of 8 variables, (3, 1), continuous
minimize ⟨[1], mu⟩
such that
‖z[i]‖ ≤ mu[i] ∀ i ∈ [0…7]
∑(A[i]·z[i] : i ∈ [0…7]) = c
---------------------
The optimal design is:
[...]
[...]
[...]
[...]
[ 1.28e-01]
[...]
[ 8.72e-01]
[...]
```

The `[...]`

above indicate a numerical zero entry
(*i.e., which can be something like 2.84e-10*).
We use the ellipsis `...`

instead for clarity and compatibility with **doctest**.

### Dual Problem¶

This is only to check that we obtain the same solution with the dual problem, and to provide one additional example in this doc:

```
#create the problem, variables and params
prob_dual_c=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
u=prob_dual_c.add_variable('u',c.size)
#define the constraints and objective function
prob_dual_c.add_list_of_constraints(
[abs(AA[i].T*u)<1 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_dual_c.set_objective('max', cc|u)
#solve the problem and retrieve the weights of the optimal design
print(prob_dual_c)
prob_dual_c.solve(verbose=0,solver='cvxopt')
mu = [cons.dual[0] for cons in prob_dual_c.get_constraint((0,))] #Lagrangian duals of the SOC constraints
mu = cvx.matrix(mu)
w=mu/sum(mu) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

Generated output:

```
---------------------
optimization problem (SOCP):
5 variables, 0 affine constraints, 32 vars in 8 SO cones
u : (5, 1), continuous
maximize ⟨c, u⟩
such that
‖A[i]ᵀ·u‖ ≤ 1 ∀ i ∈ [0…7]
---------------------
The optimal design is:
[...]
[...]
[...]
[...]
[ 1.28e-01]
[...]
[ 8.72e-01]
[...]
```

## c-optimality, single-response: LP¶

When the observation matrices are row vectors (single-response framework),
the SOCP above reduces to a simple LP, because the variables
are scalar.
We solve below the LP for the case where there are 11
available design points, corresponding to the columns of the matrices
`A[4]`

, `A[5]`

, `A[6]`

, and `A[7][:,:-1]`

defined in the preambule.

The optimal design allocates 3.37% to point #5 (2nd column of `A[5]`

),
27.9% to point #7 (1st column of `A[6]`

),
11.8% to point #8 (2nd column of `A[6]`

),
27.6% to point #9 (3rd column of `A[6]`

),
and 29.3% to point #11 (2nd column of `A[7]`

).

```
#create the problem, variables and params
prob_LP=pic.Problem()
AA=[cvx.sparse(a[:,i],tc='d') for i in range(3) for a in A[4:]] #12 column vectors
AA=AA[:-1] #remove the last design point (it is the same as the last-but-one)
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
z=[prob_LP.add_variable('z['+str(i)+']',1) for i in range(s)]
mu=prob_LP.add_variable('mu',s)
#define the constraints and objective function
prob_LP.add_list_of_constraints(
[abs(z[i])<mu[i] for i in range(s)], #constraints handled as -mu_i < z_i< mu_i
'i', #index
'[s]' #set to which the index belongs
)
prob_LP.add_constraint(
pic.sum(
[AA[i]*z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== cc )
prob_LP.set_objective('min',1|mu)
#solve the problem and retrieve the weights of the optimal design
print(prob_LP)
prob_LP.solve(verbose=0,solver='cvxopt')
mu=mu.value
w=mu/sum(mu) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

Note that there are no cone constraints, because the constraints of the form are handled as two inequalities when is scalar, so the problem is a LP indeed:

```
---------------------
optimization problem (LP):
22 variables, 27 affine constraints
mu : (11, 1), continuous
z : list of 11 variables, (1, 1), continuous
minimize ⟨[1], mu⟩
such that
|z[i]| ≤ mu[i] ∀ i ∈ [0…10]
∑(A[i]·z[i] : i ∈ [0…10]) = c
---------------------
The optimal design is:
[...]
[...]
[...]
[...]
[ 3.37e-02]
[...]
[ 2.79e-01]
[ 1.18e-01]
[ 2.76e-01]
[...]
[ 2.93e-01]
```

## SDP formulation of the c-optimal design problem¶

We give below the SDP for c-optimality, in primal and dual form. You can observe that we obtain the same results as with the SOCP presented earlier: 12.8% on design point #5, and 87.2% on design point #7.

### Primal Problem¶

The SDP formulation of the c-optimal design problem is:

```
#create the problem, variables and params
prob_SDP_c_primal=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
mu=prob_SDP_c_primal.add_variable('mu',s)
#define the constraints and objective function
prob_SDP_c_primal.add_constraint(
pic.sum(
[mu[i]*AA[i]*AA[i].T for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
>> cc*cc.T )
prob_SDP_c_primal.add_constraint(mu>0)
prob_SDP_c_primal.set_objective('min',1|mu)
#solve the problem and retrieve the weights of the optimal design
print(prob_SDP_c_primal)
prob_SDP_c_primal.solve(verbose=0,solver='cvxopt')
w=mu.value
w=w/sum(w) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

```
---------------------
optimization problem (SDP):
8 variables, 8 affine constraints, 15 vars in 1 SD cones
mu : (8, 1), continuous
minimize ⟨[1], mu⟩
such that
∑(mu[i]·A[i]·A[i]ᵀ : i ∈ [0…7]) ≽ c·cᵀ
mu ≥ 0
---------------------
The optimal design is:
[...]
[...]
[...]
[...]
[ 1.28e-01]
[...]
[ 8.72e-01]
[...]
```

### Dual Problem¶

This is only to check that we obtain the same solution with the dual problem, and to provide one additional example in this doc:

```
#create the problem, variables and params
prob_SDP_c_dual=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
m =c.size[0]
X=prob_SDP_c_dual.add_variable('X',(m,m),vtype='symmetric')
#define the constraints and objective function
prob_SDP_c_dual.add_list_of_constraints(
[(AA[i]*AA[i].T | X ) <1 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_SDP_c_dual.add_constraint(X>>0)
prob_SDP_c_dual.set_objective('max', cc.T*X*cc)
#solve the problem and retrieve the weights of the optimal design
print(prob_SDP_c_dual)
prob_SDP_c_dual.solve(verbose=0,solver='cvxopt')
mu = [cons.dual for cons in prob_SDP_c_dual.get_constraint((0,))] #Lagrangian duals of the SOC constraints
mu = cvx.matrix(mu)
w=mu/sum(mu) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
print('and the optimal positive semidefinite matrix X is')
print(X)
```

```
---------------------
optimization problem (SDP):
15 variables, 8 affine constraints, 15 vars in 1 SD cones
X : (5, 5), symmetric
maximize cᵀ·X·c
such that
⟨A[i]·A[i]ᵀ, X⟩ ≤ 1 ∀ i ∈ [0…7]
X ≽ 0
---------------------
The optimal design is:
[...]
[...]
[...]
[...]
[ 1.28e-01]
[...]
[ 8.72e-01]
[...]
and the optimal positive semidefinite matrix X is
[ 5.92e-03 8.98e-03 2.82e-03 -3.48e-02 -1.43e-02]
[ 8.98e-03 1.36e-02 4.27e-03 -5.28e-02 -2.17e-02]
[ 2.82e-03 4.27e-03 1.34e-03 -1.66e-02 -6.79e-03]
[-3.48e-02 -5.28e-02 -1.66e-02 2.05e-01 8.39e-02]
[-1.43e-02 -2.17e-02 -6.79e-03 8.39e-02 3.44e-02]
```

## A-optimality: SOCP¶

We compute the A-optimal design
for the observation matrices `A[i].T`

defined in the preambule.
The optimal design allocates
24.9% on design point #3,
14.2% on point #4,
8.51% on point #5,
12.1% on point #6,
13.2% on point #7,
and 27.0% on point #8.

### Primal Problem¶

The SOCP for the A-optimal design problem is:

```
#create the problem, variables and params
prob_primal_A=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
AA=pic.new_param('A',AA)
Z=[prob_primal_A.add_variable('Z['+str(i)+']',AA[i].T.size) for i in range(s)]
mu=prob_primal_A.add_variable('mu',s)
#define the constraints and objective function
prob_primal_A.add_list_of_constraints(
[abs(Z[i])<mu[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_primal_A.add_constraint(
pic.sum(
[AA[i]*Z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== 'I' )
prob_primal_A.set_objective('min',1|mu)
#solve the problem and retrieve the weights of the optimal design
print(prob_primal_A)
prob_primal_A.solve(verbose=0,solver='cvxopt')
w=mu.value
w=w/sum(w) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

```
---------------------
optimization problem (SOCP):
128 variables, 25 affine constraints, 128 vars in 8 SO cones
Z : list of 8 variables, (3, 5), continuous
mu : (8, 1), continuous
minimize ⟨[1], mu⟩
such that
‖Z[i]‖ ≤ mu[i] ∀ i ∈ [0…7]
∑(A[i]·Z[i] : i ∈ [0…7]) = I
---------------------
The optimal design is:
[...]
[...]
[ 2.49e-01]
[ 1.42e-01]
[ 8.51e-02]
[ 1.21e-01]
[ 1.32e-01]
[ 2.70e-01]
```

### Dual Problem¶

This is only to check that we obtain the same solution with the dual problem, and to provide one additional example in this doc:

```
#create the problem, variables and params
prob_dual_A=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
m=AA[0].size[0]
AA=pic.new_param('A',AA)
U=prob_dual_A.add_variable('U',(m,m))
#define the constraints and objective function
prob_dual_A.add_list_of_constraints(
[abs(AA[i].T*U)<1 for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_dual_A.set_objective('max', 'I'|U)
#solve the problem and retrieve the weights of the optimal design
print(prob_dual_A)
prob_dual_A.solve(verbose = 0,solver='cvxopt')
mu = [cons.dual[0] for cons in prob_dual_A.get_constraint((0,))] #Lagrangian duals of the SOC constraints
mu = cvx.matrix(mu)
w=mu/sum(mu) #normalize mu to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

```
---------------------
optimization problem (SOCP):
25 variables, 0 affine constraints, 128 vars in 8 SO cones
U : (5, 5), continuous
maximize trace(U)
such that
‖A[i]ᵀ·U‖ ≤ 1 ∀ i ∈ [0…7]
---------------------
The optimal design is:
[...]
[...]
[ 2.49e-01]
[ 1.42e-01]
[ 8.51e-02]
[ 1.21e-01]
[ 1.32e-01]
[ 2.70e-01]
```

## A-optimality with multiple constraints: SOCP¶

A-optimal designs can also be computed by SOCP when the vector of weights is subject to several linear constraints. To give an example, we compute the A-optimal design for the observation matrices given in the preambule, when the weights must satisfy: and . This problem has the following SOCP formulation:

The optimal solution allocates 29.7% and 20.3% to the design points #3 and #4, and respectively 6.54%, 11.9%, 9.02% and 22.5% to the design points #5 to #8:

```
#create the problem, variables and params
prob_A_multiconstraints=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
AA=pic.new_param('A',AA)
mu=prob_A_multiconstraints.add_variable('mu',s)
w =prob_A_multiconstraints.add_variable('w',s)
Z=[prob_A_multiconstraints.add_variable('Z['+str(i)+']',AA[i].T.size) for i in range(s)]
#define the constraints and objective function
prob_A_multiconstraints.add_constraint(
pic.sum(
[AA[i]*Z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== 'I' )
prob_A_multiconstraints.add_constraint( (1|w[:4]) < 0.5)
prob_A_multiconstraints.add_constraint( (1|w[4:]) < 0.5)
prob_A_multiconstraints.add_list_of_constraints(
[abs(Z[i])**2<mu[i]*w[i]
for i in range(s)],'i','[s]')
prob_A_multiconstraints.set_objective('min',1|mu)
#solve the problem and retrieve the weights of the optimal design
print(prob_A_multiconstraints)
prob_A_multiconstraints.solve(verbose=0,solver='cvxopt')
w=w.value
w=w/sum(w) #normalize w to get the optimal weights
print()
print('The optimal design is:')
print(w)
```

```
---------------------
optimization problem (SOCP):
136 variables, 27 affine constraints, 136 vars in 8 SO cones
Z : list of 8 variables, (3, 5), continuous
mu : (8, 1), continuous
w : (8, 1), continuous
minimize ⟨[1], mu⟩
such that
∑(A[i]·Z[i] : i ∈ [0…7]) = I
⟨[1], w[:4]⟩ ≤ 0.5
⟨[1], w[4:]⟩ ≤ 0.5
‖Z[i]‖² ≤ mu[i]·w[i] ∀ i ∈ [0…7]
---------------------
The optimal design is:
[...]
[...]
[ 2.97e-01]
[ 2.03e-01]
[ 6.54e-02]
[ 1.19e-01]
[ 9.02e-02]
[ 2.25e-01]
```

## Exact A-optimal design: MISOCP¶

In the exact version of A-optimality, a number of trials is given, and the goal is to find the optimal number of times that a trial on design point #i should be performed, with .

The SOCP formulation of A-optimality for constrained designs also accept integer constraints, which results in a MISOCP for exact A-optimality:

The exact optimal design is :

```
#create the problem, variables and params
prob_exact_A=pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
m=AA[0].size[0]
AA=pic.new_param('A',AA)
cc=pic.new_param('c',c)
N =pic.new_param('N',20) #number of trials allowed
I =pic.new_param('I',cvx.spmatrix([1]*m,range(m),range(m),(m,m))) #identity matrix
Z=[prob_exact_A.add_variable('Z['+str(i)+']',AA[i].T.size) for i in range(s)]
n=prob_exact_A.add_variable('n',s, vtype='integer')
t=prob_exact_A.add_variable('t',s)
#define the constraints and objective function
prob_exact_A.add_list_of_constraints(
[abs(Z[i])**2<n[i]*t[i] for i in range(s)], #constraints
'i', #index
'[s]' #set to which the index belongs
)
prob_exact_A.add_constraint(
pic.sum(
[AA[i]*Z[i] for i in range(s)], #summands
'i', #index
'[s]' #set to which the index belongs
)
== I )
prob_exact_A.add_constraint( 1|n < N )
prob_exact_A.set_objective('min',1|t)
#solve the problem and display the optimal design
print(prob_exact_A)
prob_exact_A.solve(verbose = 0)
print(n)
```

```
---------------------
optimization problem (MISOCP):
136 variables, 26 affine constraints, 136 vars in 8 SO cones
Z : list of 8 variables, (3, 5), continuous
n : (8, 1), integer
t : (8, 1), continuous
minimize ⟨[1], t⟩
such that
‖Z[i]‖² ≤ n[i]·t[i] ∀ i ∈ [0…7]
∑(A[i]·Z[i] : i ∈ [0…7]) = I
⟨[1], n⟩ ≤ N
---------------------
[...]
[...]
[ 5.00e+00]
[ 3.00e+00]
[ 2.00e+00]
[ 2.00e+00]
[ 3.00e+00]
[ 5.00e+00]
```

## approximate and exact D-optimal design: (MI)SOCP¶

The D-optimal design problem has a SOCP formulation involving a geometric mean in the objective function:

By introducing a new variable such that
, we can pass
this problem to PICOS with the function `picos.geomean()`

,
which reformulates the geometric mean inequality as a set of equivalent second order cone
constraints.
The example below allocates respectively 22.7%, 3.38%, 1.65%, 5.44%, 31.8% and 35.1%
to the design points #3 to #8.

```
#create the problem, variables and params
prob_D = pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
m=AA[0].size[0]
AA=pic.new_param('A',AA)
mm=pic.new_param('m',m)
L=prob_D.add_variable('L',(m,m))
V=[prob_D.add_variable('V['+str(i)+']',AA[i].T.size) for i in range(s)]
w=prob_D.add_variable('w',s)
#additional variable to handle the geometric mean in the objective function
t= prob_D.add_variable('t',1)
#define the constraints and objective function
prob_D.add_constraint(
pic.sum([AA[i]*V[i]
for i in range(s)],'i','[s]')
== L)
#L is lower triangular
prob_D.add_list_of_constraints( [L[i,j] == 0
for i in range(m)
for j in range(i+1,m)],['i','j'],'upper triangle')
prob_D.add_list_of_constraints([abs(V[i])<(mm**0.5)*w[i]
for i in range(s)],'i','[s]')
prob_D.add_constraint(1|w<1)
prob_D.add_constraint(t<pic.geomean(pic.diag_vect(L)))
prob_D.set_objective('max',t)
#solve the problem and display the optimal design
print(prob_D)
prob_D.solve(verbose=0,solver='cvxopt')
print(w)
```

```
---------------------
optimization problem (SOCP):
159 variables, 36 affine constraints, 146 vars in 14 SO cones
L : (5, 5), continuous
V : list of 8 variables, (3, 5), continuous
t : (1, 1), continuous
w : (8, 1), continuous
maximize t
such that
L = ∑(A[i]·V[i] : i ∈ [0…7])
L[i,j] = 0 ∀ (i,j) ∈ zip([0,0,…,2,3],[1,2,…,4,4])
‖V[i]‖ ≤ m^0.5·w[i] ∀ i ∈ [0…7]
⟨[1], w⟩ ≤ 1
t ≤ geomean(diag(L))
---------------------
[...]
[...]
[ 2.27e-01]
[ 3.38e-02]
[ 1.65e-02]
[ 5.44e-02]
[ 3.18e-01]
[ 3.51e-01]
```

As for the A-optimal problem, there is an alternative SOCP formulation of D-optimality [2], in which integer constraints may be added. This allows us to formulate the exact D-optimal problem as a MISOCP. For , we obtain the following N-exact D-optimal design: :

```
#create the problem, variables and params
prob_exact_D = pic.Problem()
L=prob_exact_D.add_variable('L',(m,m))
V=[prob_exact_D.add_variable('V['+str(i)+']',AA[i].T.size) for i in range(s)]
T=prob_exact_D.add_variable('T',(s,m))
n=prob_exact_D.add_variable('n',s,'integer')
N = pic.new_param('N',20)
#additional variable to handle the geomean inequality
t = prob_exact_D.add_variable('t',1)
#define the constraints and objective function
prob_exact_D.add_constraint(
pic.sum([AA[i]*V[i]
for i in range(s)],'i','[s]')
== L)
#L is lower triangular
prob_exact_D.add_list_of_constraints( [L[i,j] == 0
for i in range(m)
for j in range(i+1,m)],['i','j'],'upper triangle')
prob_exact_D.add_list_of_constraints([abs(V[i][:,k])**2<n[i]/N*T[i,k]
for i in range(s) for k in range(m)],['i','k'])
prob_exact_D.add_list_of_constraints([(1|T[:,k])<1
for k in range(m)],'k')
prob_exact_D.add_constraint(1|n<N)
prob_exact_D.add_constraint(t<pic.geomean( pic.diag_vect(L)))
prob_exact_D.set_objective('max',t)
#solve the problem and display the optimal design
print(prob_exact_D)
prob_exact_D.solve(verbose=0)
print(n)
```

```
---------------------
optimization problem (MISOCP):
199 variables, 41 affine constraints, 218 vars in 46 SO cones
L : (5, 5), continuous
T : (8, 5), continuous
V : list of 8 variables, (3, 5), continuous
n : (8, 1), integer
t : (1, 1), continuous
maximize t
such that
L = ∑(A[i]·V[i] : i ∈ [0…7])
L[i,j] = 0 ∀ (i,j) ∈ zip([0,0,…,2,3],[1,2,…,4,4])
‖V[i][:,j]‖^2 ≤ (n[i]/N)·T[i,k] ∀ (i,j) ∈ ???
⟨[1], T[:,i]⟩ ≤ 1 ∀ i ∈ ???
⟨[1], n⟩ ≤ N
t ≤ geomean(diag(L))
---------------------
[...]
[...]
[ 5.00e+00]
[ 1.00e+00]
[...]
[ 1.00e+00]
[ 6.00e+00]
[ 7.00e+00]
```

## Former MAXDET formulation of the D-optimal design: SDP¶

A so-called MAXDET Programming formulation of the D-optimal design
has been known since the late 90’s [3], and
can be reformulated as a SDP thanks to the `detrootn()`

function.
The following code finds the same design as the SOCP approach presented above.

```
#problem, variables and parameters
prob_D = pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
m=AA[0].size[0]
AA=pic.new_param('A',AA)
w = prob_D.add_variable('w',s,lower=0)
t = prob_D.add_variable('t',1)
#constraint and objective
prob_D.add_constraint(1|w < 1)
Mw = pic.sum([w[i]*AA[i]*AA[i].T for i in range(s)],'i')
prob_D.add_constraint(t < pic.detrootn(Mw))
prob_D.set_objective('max',t)
#solve and display
print(prob_D)
prob_D.solve(verbose=0,solver='cvxopt')
print(w)
```

```
---------------------
optimization problem (Conic Program):
29 variables, 1 affine constraints, 18 vars in 6 SO cones, 55 vars in 1 SD cones
t : (1, 1), continuous
w : (8, 1), continuous, nonnegative
maximize t
such that
⟨[1], w⟩ ≤ 1
det(∑(w[i]·A[i]·A[i]ᵀ : i ∈ [0…7]))^(1/5) ≥ t
---------------------
[ ...]
[ ...]
[ 2.27e-01]
[ 3.38e-02]
[ 1.65e-02]
[ 5.44e-02]
[ 3.18e-01]
[ 3.51e-01]
```

## General Phi_p optimal design Problem: SDP¶

The A- and D-optimal design problems presented above can be obtained as special cases of the general Kiefer optimal design problem, where is a real in :

These problems are easy to enter in PICOS, thanks to the `tracepow()`

function,
that automatically replaces inequalities involving trace of matrix powers as a set of equivalent linear matrix
inequalities (SDP) (cf. [4] ). Below are two examples with and ,
allocating respectively (20.6%, 0.0%, 0.0%, 0.92%, 40.8%, 37.7%), and
(24.8%, 16.6%, 10.8%, 14.1%, 7.84%, 26.0%) of the trials to the design points 3 to 8.

```
#problems, variables and parameters
prob_0dot2 = pic.Problem()
probminus3 = pic.Problem()
AA=[cvx.sparse(a,tc='d') for a in A] #each AA[i].T is a 3 x 5 observation matrix
s=len(AA)
m=AA[0].size[0]
AA=pic.new_param('A',AA)
w02 = prob_0dot2.add_variable('w',s,lower=0)
wm3 = probminus3.add_variable('w',s,lower=0)
t02 = prob_0dot2.add_variable('t',1)
tm3 = probminus3.add_variable('t',1)
#constraint and objective
prob_0dot2.add_constraint(1|w02 < 1)
probminus3.add_constraint(1|wm3 < 1)
Mw02 = pic.sum([w02[i]*AA[i]*AA[i].T for i in range(s)],'i')
prob_0dot2.add_constraint(t02 < pic.tracepow(Mw02,0.2))
prob_0dot2.set_objective('max',t02)
Mwm3 = pic.sum([wm3[i]*AA[i]*AA[i].T for i in range(s)],'i')
probminus3.add_constraint(tm3 > pic.tracepow(Mwm3,-3))
probminus3.set_objective('min',tm3)
#solve and display
prob_0dot2.solve(verbose=0,solver='cvxopt')
probminus3.solve(verbose=0,solver='cvxopt')
print('*** p=0.2 ***')
print(prob_0dot2)
print(w02)
print('*** p= -3 ***')
print(probminus3)
print(wm3)
```

```
*** p=0.2 ***
---------------------
optimization problem (SDP):
54 variables, 2 affine constraints, 165 vars in 3 SD cones
t : (1, 1), continuous
w : (8, 1), continuous, nonnegative
maximize t
such that
⟨[1], w⟩ ≤ 1
trace(∑(w[i]·A[i]·A[i]ᵀ : i ∈ [0…7])^(1/5)) ≥ t
---------------------
[ ...]
[ ...]
[ 2.06e-01]
[ ...]
[ ...]
[ 9.21e-03]
[ 4.08e-01]
[ 3.77e-01]
*** p= -3 ***
---------------------
optimization problem (SDP):
39 variables, 2 affine constraints, 110 vars in 2 SD cones
t : (1, 1), continuous
w : (8, 1), continuous, nonnegative
minimize t
such that
⟨[1], w⟩ ≤ 1
trace(∑(w[i]·A[i]·A[i]ᵀ : i ∈ [0…7])^-3) ≤ t
---------------------
[ ...]
[ ...]
[ 2.48e-01]
[ 1.66e-01]
[ 1.08e-01]
[ 1.41e-01]
[ 7.83e-02]
[ 2.60e-01]
```

## References¶

- “Computing Optimal Designs of multiresponse Experiments reduces to Second-Order Cone Programming”, G. Sagnol,
Journal of Statistical Planning and Inference, 141(5), p.1684-1708, 2011.- “Computing exact D-optimal designs by mixed integer second order cone programming”, G. Sagnol and R. Harman, Submitted: arXiv:1307.4953.
- “Determinant maximization with linear matrix inequality constraints”, L. Vandenberghe, S. Boyd and S.P. Wu,
SIAM journal on matrix analysis and applications, 19(2), 499-533, 1998.- “On the semidefinite representations of real functions applied to symmetric matrices”, G. Sagnol,
Linear Algebra and its Applications, 439(10), p.2829-2843, 2013.