Design of Experiments with Imputable Feature Data

Selection of experiments to estimate an underlying model is an innate task across various fields. Since experiments have costs associated with them, selecting statistically significant experiments becomes necessary. Classic linear experimental design deals with experiment selection so as to minimize (functions of) variance in estimation of regression parameter. Typically, standard algorithms for solving this problem assume that data associated with each experiment is fully known. This is not often true since missing data is a common problem. Hence experiment selection under such scenarios is a widespread but challenging task. Standard design of experiments is an NP hard problem, and the additional objective of imputing for missing data amplifies the computational complexity. In this paper, we propose a maximum-entropy-principle based framework that simultaneously addresses the problem of design of experiments as well as the imputation of missing data. Our algorithm exploits homotopy from a suitably chosen convex function to the non-convex cost function; hence avoiding poor local minima. Further, our proposed framework is flexible to incorporate application specific constraints. Simulations on various datasets show improvement in the cost value by over 60% in comparison to benchmark algorithms applied sequentially to the imputation and experiment selection problems.