Design of c-Optimal Experiments for High dimensional Linear Models

10/23/2020

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by   Hamid Eftekhari, et al.

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We study random designs that minimize the asymptotic variance of a de-biased lasso estimator when a large pool of unlabeled data is available but measuring the corresponding responses is costly. The optimal sampling distribution arises as the solution of a semidefinite program. The improvements in efficiency that result from these optimal designs are demonstrated via simulation experiments.