Kullback-Leibler information function and the sequential selection of experiments to discriminate among several linear models
A sequential adaptive experimental design procedure for a related problem is studied. It is assumed that a finite set of potential linear models relating certain controlled variables to an observed variable is postulated, and that exactly one of these models is correct. The problem is to sequentially design most informative experiments so that the correct model equation can be determined with as little experimentation as possible. Discussion includes: structure of the linear models; prerequisite distribution theory; entropy functions and the Kullback-Leibler information function; the sequential decision procedure; and computer simulation results. An example of application is given.