JSM 2005 - Toronto

Abstract #303944

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Activity Number: 135
Type: Contributed
Date/Time: Monday, August 8, 2005 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #303944
Title: Sequential Plans and Risk Evaluation
Author(s): Claudia Schmegner*+ and Michael Baron
Companies: DePaul University and The University of Texas Southwestern Medical Center at Dallas
Address: 2320 N Kenmore Ave, Chicago, IL, 60614, United States
Keywords: cost ; risk ; sequential plan ; sequentially planned probability ratio test
Abstract:

Introduced in the 1990s, sequential plans generalize and optimize the classical sequential procedures allowing sampling in groups of variables sizes. Sequential plans are preferred to pure sequential procedures when the cost function is nonlinear so each observed group implies an additional fixed cost. Optimal plans minimize the risk, a weighted sum of the expected loss, cost of observations, and cost of groups. Although risk evaluation is a challenging problem in sequential planning, risk functions of sequentially planned probability ratio tests (SPPRT) can be obtained as roots of certain functional equations. Explicit solutions are derived for SPPRT on a lattice, allowing practitioners to compare exact risks and choose an optimal procedure.

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Revised March 2005