A Graphical Comparison of Screening Designs using Support Recovery Probabilities

A screening experiment attempts to identify a subset of important effects using a relatively small number of experimental runs. Given the limited run size and a large number of possible effects, penalized regression is a popular tool used to analyze screening designs. In particular, an automated implementation of the Gauss-Dantzig selector has been widely recommended to compare screening design construction methods. Here, we illustrate potential reproducibility issues that arise when comparing screening designs via simulation, and recommend a graphical method, based on screening probabilities, which compares designs by evaluating them along the penalized regression solution path. This method can be implemented using simulation, or, in the case of lasso, by using exact local lasso sign recovery probabilities. Our approach circumvents the need to specify tuning parameters associated with regularization methods, leading to more reliable design comparisons. This article contains supplementary materials including code to implement the proposed methods.