Sparse Recovery With Multiple Data Streams: A Sequential Adaptive Testing Approach

Abstract: Multistage design has been used in a wide range of scientific fields. By allocating sensing resources adaptively, one can effectively eliminate null locations and localize signals with a smaller study budget. We formulate a decision-theoretic framework for simultaneous multi-stage adaptive testing and study how to minimize the total number of measurements while meeting pre-specified constraints on both the false positive rate (FPR) and missed discovery rate (MDR). The new procedure, which effectively pools information across individual tests using a simultaneous multistage adaptive ranking and thresholding (SMART) approach, controls the error rates and leads to great savings in total study costs. Numerical studies confirm the effectiveness of SMART. The SMART procedure is illustrated through the analysis of large-scale A/B tests, high-throughput screening and image analysis.