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Design of optimal multioutput sampling schedules: Computation of gradients and Hessians

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1 Author(s)
Chi-Sang Poon ; North Dakota State University, Fargo, ND, USA

The design of optimal sampling schedules in a dynamic experiment is often accomplished by maximization of a scalar function of the Fisher information matrix, using complex optimization algorithms. In this note exact analytic expressions for the gradients and Hessians of two common design criteria (D- andL-optimality) are derived. The results allow the use of a wealth of efficient gradient search techniques in such designs.

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Automatic Control, IEEE Transactions on  (Volume:31 ,  Issue: 7 )