Sequential Supersaturated Screening Experiments

Abstract

Supersaturated screening experiments study many candidate factors with few runs. The experimenter must first identify the active factors, then optimize the response. One-shot regularized regression tends to select many factors, and the second-order response surface model in the selected factors is then large and needs many further runs to fit. We propose Sequential Supersaturated Screening ($S^3$), a two-stage framework for supersaturated designs. $S^3$ builds each screening round by coordinate exchange under a new positive-cone design criterion that uses no practitioner-chosen Welch calibration constant. It then removes low-importance factors one round at a time, using a graduated quantile rule. The criterion scores a design by how far its column correlations sit above the Welch lower bound, and it adapts to the current number of runs and candidate factors. We give a round-by-round bound on the probability that a noise factor is ever fixed, under conditions on noise survival and commitment at each round, together with an explicit upper bound on the total number of Stage 1 runs. Across simulated screening problems and the Borehole benchmark, $S^3$ achieves lower Type I error and higher $F_1$ scores than one-shot cross-validated Lasso (LassoCV). It also improves optimization quality in most settings and runs faster.