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Sequential Monte Carlo for Bayesian sequentially designed experiments for discrete data


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  • Drovandi, Christopher C.
  • McGree, James M.
  • Pettitt, Anthony N.
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    In this paper we present a sequential Monte Carlo algorithm for Bayesian sequential experimental design applied to generalised non-linear models for discrete data. The approach is computationally convenient in that the information of newly observed data can be incorporated through a simple re-weighting step. We also consider a flexible parametric model for the stimulus–response relationship together with a newly developed hybrid design utility that can produce more robust estimates of the target stimulus in the presence of substantial model and parameter uncertainty. The algorithm is applied to hypothetical clinical trial or bioassay scenarios. In the discussion, potential generalisations of the algorithm are suggested to possibly extend its applicability to a wide variety of scenarios.

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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 57 (2013)
    Issue (Month): 1 ()
    Pages: 320-335

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    Handle: RePEc:eee:csdana:v:57:y:2013:i:1:p:320-335

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    Keywords: Clinical trials; Generalised linear model; Generalised non-linear model; Sequential design; Sequential Monte Carlo; Target stimulus;


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    1. Nicolas Chopin, 2000. "A Sequential Particle Filter Method for Static Models," Working Papers 2000-45, Centre de Recherche en Economie et Statistique.
    2. Stefanie Biedermann & David C. Woods, 2011. "Optimal designs for generalized non‐linear models with application to second‐harmonic generation experiments," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 60(2), pages 281-299, 03.
    3. N. Friel & A. N. Pettitt, 2008. "Marginal likelihood estimation via power posteriors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(3), pages 589-607.
    4. Dror, Hovav A. & Steinberg, David M., 2008. "Sequential Experimental Designs for Generalized Linear Models," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 288-298, March.
    5. Pierre Del Moral & Arnaud Doucet & Ajay Jasra, 2006. "Sequential Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 411-436.
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    Cited by:
    1. Ryan, Elizabeth G. & Drovandi, Christopher C. & Thompson, M. Helen & Pettitt, Anthony N., 2014. "Towards Bayesian experimental design for nonlinear models that require a large number of sampling times," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 45-60.
    2. Abebe, Haftom T. & Tan, Frans E.S. & Van Breukelen, Gerard J.P. & Berger, Martijn P.F., 2014. "Bayesian D-optimal designs for the two parameter logistic mixed effects model," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 1066-1076.
    3. Azriel, David, 2014. "Optimal sequential designs in phase I studies," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 288-297.


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