BAYESIAN EXPERIMENTAL-DESIGN - A REVIEW

This paper reviews the literature on Bayesian experimental design. A u nified view of this topic is presented, based on a decision-theoretic approach. This framework casts criteria from the Bayesian literature o f design as part of a single coherent approach. The decision-theoretic structure incorporates both linear and nonlinear design problems and it suggests possible new directions to the experimental design problem , motivated by the use of new utility functions. We show that, in some special cases of linear design problems, Bayesian solutions change in a sensible way when the prior distribution and the utility function a re modified to allow for the specific structure of the experiment. The decision-theoretic approach also gives a mathematical justification f or selecting the appropriate optimality criterion.