Title: Experimental Design via Generalized Mean Objective Cost of Uncertainty,
Abstract: The mean objective cost of uncertainty (MOCU) quantifies the performance cost
of using an operator that is optimal across an uncertainty class of systems as
opposed to using an operator that is optimal for a particular system.
MOCU-based experimental design selects an experiment to maximally reduce MOCU,
thereby gaining the greatest reduction of uncertainty impacting the operational
objective. The original formulation applied to finding optimal system
operators, where optimality is with respect to a cost function, such as
mean-square error; and the prior distribution governing the uncertainty class
relates directly to the underlying physical system. Here we provide a
generalized MOCU and the corresponding experimental design. We then demonstrate
how this new formulation includes as special cases MOCU-based experimental
design methods developed for materials science and genomic networks when there
is experimental error. Most importantly, we show that the classical Knowledge
Gradient and Efficient Global Optimization experimental design procedures are
actually implementations of MOCU-based experimental design under their modeling
assumptions.