Bayesian experimental design

If the model is linear, the prior probability density function (PDF) is homogeneous and observational errors are normally distributed, the theory simplifies to the classical optimal experimental design theory.

In numerous publications on Bayesian experimental design, it is (often implicitly) assumed that all posterior PDFs will be approximately normal. This allows for the expected utility to be calculated using linear theory, averaging over the space of model parameters, an approach reviewed in Chaloner & Verdinelli (1995). Caution must however be taken when applying this method, since approximate normality of all possible posteriors is difficult to verify, even in cases of normal observational errors and uniform prior PDF.

Recently, increased computational resources allow inference of the posterior distribution of model parameters, which can directly be used for experiment design. Vanlier et al. (2012) proposed an approach that uses the posterior predictive distribution to assess the effect of new measurements on prediction uncertainty, while Liepe et al. (2013) suggest maximizing the mutual information between parameters, predictions and potential new experiments.

Utility may be defined as the prior-posterior gain in Shannon information

${\displaystyle U(y,\xi )=\int \log(p(\theta \mid y,\xi ))\,p(\theta |y,\xi )\,d\theta -\int \log(p(\theta ))\,p(\theta )\,d\theta \,.}$

Another possibility is to define the utility as

${\displaystyle U(y,\xi )=D_{KL}(p(\theta \mid y,\xi )\|p(\theta ))\,,}$

the Kullback–Leibler divergence of the prior from the posterior distribution. Lindley (1956) noted that the expected utility will then be coordinate-independent and can be written in two forms

${\displaystyle {\begin{alignedat}{2}U(\xi )&=\int \int \log(p(\theta \mid y,\xi ))\,p(\theta ,y\mid \xi )\,d\theta \,dy-\int \log(p(\theta ))\,p(\theta )\,d\theta \\&=\int \int \log(p(y\mid \theta ,\xi ))\,p(\theta ,y\mid \xi )\,dy\,d\theta -\int \log(p(y\mid \xi ))\,p(y\mid \xi )\,dy,\end{alignedat}}\,}$

of which the latter can be evaluated without the need for evaluating individual posterior PDFs ${\displaystyle p(\theta \mid y,\xi )}$ for all possible observations ${\displaystyle y}$. It is worth noting that the first term on the second equation line will not depend on the design ${\displaystyle \xi }$, as long as the observational uncertainty doesn't. On the other hand, the integral of ${\displaystyle p(\theta )\log p(\theta )}$ in the first form is constant for all ${\displaystyle \xi }$, so if the goal is to choose the design with the highest utility, the term need not be computed at all. Several authors have considered numerical techniques for evaluating and optimizing this criterion, e.g. van den Berg, Curtis & Trampert (2003) and Ryan (2003). Note that

${\displaystyle U(\xi )=I(\theta ;y)\,,}$

the expected information gain being exactly the mutual information between the parameter θ and the observation y. An example of Bayesian design for linear dynamical model discrimination is given in Bania (2019). Since ${\displaystyle I(\theta ;y)\,,}$ was difficult to calculate, its lower bound has been used as a utility function. The lower bound is then maximized under the signal energy constraint. Proposed Bayesian design has been also compared with classical average D-optimal design. It was shown that the Bayesian design is superior to D-optimal design.

The Kelly criterion also describes such a utility function for a gambler seeking to maximize profit, which is used in gambling and information theory; Kelly's situation is identical to the foregoing, with the side information, or "private wire" taking the place of the experiment.