Optimal Subsampling Designs Under Measurement Constraints

Doktorsavhandling, 2023

We consider the problem of optimal subsample selection in an experiment setting where observing, or utilising, the full dataset for statistical analysis is practically unfeasible. This may be due to, e.g., computational, economic, or even ethical cost-constraints. As a result, statistical analyses must be restricted to a subset of data. Choosing this subset in a manner that captures as much information as possible is essential.

In this thesis we present a theory and framework for optimal design in general subsampling problems. The methodology is applicable to a wide range of settings and inference problems, including regression modelling, parametric density estimation, and finite population inference. We discuss the use of auxiliary information and sequential optimal design for the implementation of optimal subsampling methods in practice and study the asymptotic properties of the resulting estimators.

The proposed methods are illustrated and evaluated on three problem areas: on subsample selection for optimal prediction in active machine learning (Paper I), optimal control sampling in analysis of safety critical events in naturalistic driving studies (Paper II), and optimal subsampling in a scenario generation context for virtual safety assessment of an advanced driver assistance system (Paper III). In Paper IV we present a unified theory that encompasses and generalises the methods of Paper I–III and introduce a class of expected-distance-minimising designs with good theoretical and practical properties.

In Paper I–III we demonstrate a sample size reduction of 10–50% with the proposed methods compared to simple random sampling and traditional importance sampling methods, for the same level of performance. We propose a novel class of invariant linear optimality criteria, which in Paper IV are shown to reach 90–99% D-efficiency with 90–95% lower computational demand.