Optimal multiple testing under family-wise error control: elementary symmetric polynomials and a scalable algorithm

Abstract

Family-wise error rate control is essential when even one false rejection is costly, but distribution-free procedures do not exploit information in a specified alternative model. Existing dual theory characterises the maximum-average-power procedure under strong family-wise error control, but its optimal multipliers had been computed only up to $K = 3$. Under an exchangeable product model of independent $p$-values with a common non-increasing density under the alternative, we develop a general-$K$ statistical methodology that removes this computational barrier. An elementary-symmetric-polynomial representation yields global monotonicity of every constraint function and converts the coupled multiplier problem into monotone coordinate-wise searches. The resulting algorithm, symmetric-polynomial optimal testing (SPOT), uses bisection coordinate descent and has polynomial per-sweep cost in $K$ and the Monte Carlo size. Under stated conditions, its exact population objective values converge to the optimum and every limit point is optimal, without contraction or strong-convexity assumptions. Additional local regularity gives linear convergence of the exact population iterates, and an achieved $O_p(N^{-1/2})$ residual gives $\sqrt{N}$-consistent Monte Carlo output. In a truncated-normal scaling experiment, the relative average-power gain over Hommel's method increases from 15% at $K = 3$ to 83% at $K = 12$. Applications with up to 21 hypotheses demonstrate SPOT's practical reach.