RESPONSE SURFACE DESIGNS FOR IRREGULARLY-SHAPED REGIONS - PART 1 G.F. Piepel, C.M. Anderson, P.E. Redgate G.F. Piepel, Battelle, Pacific Northwest Laboratories, P.O. Box 999, Richland, WA 99352 SEE ALSO PARTS 2 AND 3. Key Words: Bias Dispersion Graph, Central Composite Analogue Design, Layered ‘Design, Mean Squared Error, Mixture Experiment, Optimal Design, Variance Dispersion Graph, ABSTRACT ‘Widely used response surface designs such as the factorial, fractional factorial, central composite, Box-Behnken, and Plackett-Burman are intended for ‘where the experimental region can be scaled to a sphere or cube. Similarly, mixture experiment designs such as the simplex-latice and simplex-centroid are intended for applications where the experimental region can be scaled to a regular simplex. In practice, however, irregular experi- ‘mental regions are offen encountered and response surface designs for spheres, cubes, or simplexes are usually not an appropriate choice. Five approaches for constructing designs on irregular experimental regions (involving mixture variables, nonmixture variables, or both) are considered: (1) model-based optimal design using variance-based criteria (e.g., G- and D-optimality), (2) model-based optimal design using criteria that account for potential bias in the assumed model (@g., average mean-square-error), (3) central ‘composite design analogues, (4) "layered" designs [e., designs with points on the boundary of the region and one or more interior subregions (layers) of the experimental region], and (5) distance-based optimal design. Each approach is described and available software to implement it is mentioned. The five approaches for constructing designs for irregular experimental regions are applied to each of three real examples. Bias and variance dispersion graphs as well as several one-number summaries of Gesign properties are used to compare the designs generated by the five approaches for each example. Conclusions and recommendations for constructing response surface designs for irregular experimental regions (involving mixture or nonmixture variables, or both) are made. 1.0 INTRODUCTION Response surface designs such as the factorial, fractional factorial, central composite, Box-Behnken, and Plackett-Burman are appropriate when the experimental regions can be scaled to a sphere or ‘cube. Similarly, mixture experiment designs such as the simplex-lattice and simplex-centroid designs are appropriate when the experimental region can be sealed toa regular simplex. Irregularly-shaped polyhedral experimental regions often occur in 205 mixture experiments in which components are restricted by lower and upper bounds or in any experiment in which the independent variables are restricted by ratio or linear combination constraints. ‘These constraints can be written in the general form: A, + Am +o. + Arty + Ae 2 0, o constraint. For mixture experiments, two additional constraints are employed: OS <1 and + y+ ..4x,= 10 where %, i=1,2..q are the proportions of the mixture components. For the methods discussed in this paper, the number of mixture components can be 0 or any’ value up to the total number of design variables k ([.c., the experiment can involve mixture components, nonmixture variables, or both). ‘Classical response surface designs and simplex mixture designs are usually not an appropriate choice for problems with irregular experimental regions. Five approaches for constructing designs on such experimental regions are discussed in Section 2. One-number metrics, Bias Dispersion Graphs (BDGs), and Variance Dispersion Graphs (VDGs) that are useful in summarizing and comparing design properties are overviewed in Section 3. Each of the five design approaches are applied to three real examples with irregular experimental regions in Sections 4, 5, and 6. Conclusions and recommend- 2.0 FIVE APPROACHES FOR DESIGNING EXPERIMENTS ON IRREGULARLY- SHAPED EXPERIMENTAL REGIONS Each of five approaches for constructing designs on irregular experimental regions is describ- ed in the following subsections. Three of the five approaches have been discussed in the literature, but two of them are not widely used. The remaining two approaches are new ones not previously discuss- cd in the literature. The intent of this section is to give an understandable overview of the approaches, not detailed descriptions of algorithms necessary 10 implement them. References are_ given for those wishing more detail. Software packages that imple~ ‘ment one or more of the approaches are mentioned. 2.1 Variance Optimal Design Approach ‘The Variance Optimal Design (VOD) approach involves selecting design points to minimize a one-number summary of the variance properties of an experimental design for a model form (expected to adequately approximate the true unknown response surface). ‘The term "optimal design” is used because the goal isto find the design (with a given number of points) that minimizes (.e., is optimal for) the selected one-number variance-based criterion. ‘The most commonly used one-number variance- ‘based optimal design criteria are listed and briefly described below. In these descriptions, X denotes the design matrix expanded in the assumed model form, x denotes point in the experimental region, and {(x) is s point in the experimental region expanded in the assumed model form. D-Optimality-Minimize the determinant of the parameter estimates" covariance matrix, |(X"X)"|. G-Optimality-Minimize the maximum variance of the estimated response, max{f(x)" (X°X)" f()}. In practice, the maximum ¥ is usually ‘determined over a set of candidate design points x rather than over the experimental region. V-Optimality--Minimize the variance of the estimated response 6)" (X'X)! fle, avenged over the experimental region. In practice, the variance is usually averaged over a set of candidate design points x rather than over the whole experimental region. [The Gosset software (Hardin and Sloane 1992) used to produce some of our examples in Sections 4-6 refers to this criterion as I-optimality.]. Note that the D-optimality criterion involves the variances of the fitted model parameters, while the G- and V-optimality criteria involve the Variances of predictions made with the fitted model, Also note that the o* was dropped from the variance and covariance matrix expressions above, because it is not included in optimality criteria expressions. ‘Nominally, each of the above criteria are to be minimized over the whole experimental region. If the experimental region is continuous, the usual practice has been to minimize the criterion only over 4 set of candidate design points because of the difficultly of minimizing over a continuous region. However, recently the Gosset software (Hardin and 1992) has become available and provides for ‘minimizing over a continuous experimental region. Still, if the main goal is to obtain "a good design using optimal design methods" rather than “the ‘optimal design”, minimizing over an appropriate set of candidate design points is sufficient. Constructing designs using the VOD approach requires the use of software with variance-based optimal design capabilities. Options of software packages differ, but typically the user must: 1) specify or select an assumed model form, 2) select the optimality criterion (if more than one option is provided), 3) specify the desired number of design points, and 4) specify or provide the desired set of candidate points from which the design will be selected. Software packages that have the capabili to generate VODs include ACED (Welch 587), Design-Expert (Stat-Ease 1992), ECHIP (ECHIP 1993), Gosset (Hardin and Sloane 1992), JMP/JMP Design (SAS 1992), MIXSOFT (Piepel 1992), RS- Discover (BBN 1992), and SAS (SAS 1990). ‘As will be seen in the examples later, designs resulting from the VOD approach can depend heavily ‘on the form of the model assumed and the set of candidate points from which the design is selected. 2.2. Biss/MSE Optimal Design Approach ‘The Bias/Mean-Squared-Error Optimal Design (BMOD) approach is similar to the VOD approach, except. optimality criteria that account for the possibility that the assumed model form may not be adequate (.e., biased) are used. Historically, two classes of such criteria have been used: bias criteria, which consider squared bias, and mean-squared- error (MSE) criteria, which ‘consider the sum of variance and squared bias. For both classes of criteria, the interest is usually in minimizing the average (or maximum) bias (or MSE) over the experimental region of interest. Nearly all (if not all) of the work in the literature is for a sphere, cube, or regular simplex (in the case of mixture cexpetiments) as the region of interest. ‘Two methods have been used in the literature to address the nature of potential model bias. The first method involves choosing a model form assumed to be adequate (¢.g., a second-degree polynomial), but then assuming that an extended form of the assumed" model (¢.g., a third-degree polynomial) the true model. The additional terms in the extended” model then represent the bias in the assumed" model. This method was used by Box ‘and Draper (1959) and has been used by many others since (e.g., Draper and Lawrence (1965), Vining and ‘Myers (1991)]. The method can be used in bias or MBE criteria. ‘The second method, presented by Welch (1983), involves assuming a value for the worst model ‘bias that may occur over the experimental region. Welch implemented this method using a MSE-type criterion referred to as J**-optimality, which involves minimizing the quantity 2 es ee where V is the average prediction variance over a set of candidate points, r is the number of candidate points, and B is the average squared bias over the set of candidate points for the biases at each candidate point represented by the vector 2 = (215 Zz) «+» 2)- Tf Zu, denotes the worst bias assumed to occur at any candidate point, then the sum (E) in (2) is over the 2 worst bias possibilities 2 = (Zax Zeus «++ £24.) that might exist at the r candidate points. AS Za increases from 0 to oo, the J**-criterion goes ote (2) 206from an all-variance criterion to an all-bias criterion. In practice, there is usually little, or no change in ‘designs fOF Za, larger than 5-100. The interested reader should see Welch (1983) for more details. “To the best of our knowledge, the only software commercially available that implements any type of BMOD approach is ACED (Welch 1987), which implements the method of Welch (1983). We used ‘ACED to produce the BMOD examples given later in Sections 4, 5, and 6. 2.3: Central Composite e Design Approa ‘The Central Composite Analogue Design (CCAD) approach involves selecting an appropriate subset of the vertices (or all of them if there aren't too many) on a shrunken version of the polyhedral ‘experimental region (polyhedron for short), and axial points on the boundary of the polyhedron that we Shall refer to as “effect direction endpoints” (Gxplained below), This desriton of CCAD design assumes that no experiments outside the polyhedron are to be performed. If this is not the fase, then the vertices can be taken on the boundary of the polyhedron, and the axial points can be extensions" of the “effect direction endpoints" ‘beyond the polyhedron's boundary. ‘We now explain the "effect direction endpoints” terminology. In the classical CCD, the axial points are one-at-a-time variations of each factor from the center point of the design. For each factor there are ‘two axial points, one where the factor's value is higher than at the center point, and the other where it is lower. The values of the other factors remain fixed at their levels in the center point. The axial points for a factor can be thought of as defining a Girection through the center point of the design along ‘which the effect of the factor on a response can be estimated. This direction is orthogonal to the space spanned by the other factors for the usual CCD, and will be referred to as the "orthogonal direction”. It is not possible to estimate the effect of mixture component by varying that component and hholding the others fixed. Piepel (1982) discussed three possible methods for estimating the effects of mixture components corresponding to different directions through a constrained experimental regio ‘The most popular of the three (and the one used in this paper) is referred to as "Cox's direction”, and involves offsetting an increase or decrease in the Value of a mixture component at a reference mixture (e-g., the center point of the design or experimental region) with decreases or increases, respectively, in the other components such that their relative proportions remain fixed. The two points where "Cox's direction” for a given component intersects the boundary of the polyhedron are then the "effect direction endpoints" (and thus the two axial points in ‘4. CCAD) for that component. ‘When the experimental factors do not include ‘mixture components but the experimental region is 207 irregular in shape, it is possible to use the 01 direction” to obtain "effect direction endpoints” (and thus axial points for a CCAD) for each factor. However, it may be desirable to select Girections that account for the polyhedron's shape. Finally, in constructing a CCAD the experi- menter must decide how far the “vertices portion” of the design should be shrunk from the boundary of the polyhedron. This is analogous to the choice of axial point distance in an ordinary CCD, except that ‘we've chosen to consider the polyhedral region as elimiting the experimental region. In our case, the axial points lie on the boundary of the polyhedron and the vertices portion must lie on a "shrunken version" of the polyhedron. 2.4 Layered Design Approach Layered designs (LDs) are merely designs with points on one or more shrunken versions (layers) of the polyhedral experimental region. The boundary of the polyhedron is a layer (no shrinkage) as is the center point of the polyhedron (complete shrinkage). Thus, layered designs can include points on the boundary or at the center of the polyhedron as well 1s on shrunken versions of the polyhedron. Con- ceptually, layered designs are just generalizations of CCADs, which in turn are generalizations of CCDs. ‘We limit attention in this paper to layered designs with at most two layers of design points (not counting a design center point), where one of the layers is the boundary of the polyhedron. | We propose constructing such designs using VOD methodology as follows: 1. Force the center point of the polyhedron into the design. The average of the vertices of the polyhedron is usually an adequate center point. 2. Specify a model form assumed to adequately represent the relationship(s) between the design variables and the response(s) of interest. For simplicity we discuss only polynomial models in this Paper, but any model form linear in the parameters could'be specified. 3. Select a VOD criterion (see Section 2.1). 4. Construct an appropriate set of candidate points fon the boundary of the polyhedron. These may include vertices and/or centroids or other points on the various dimensional faces of the polyhedron. '5. Select the "shrinkage factor” for the inner layer of the design and construct an appropriate set of candidate points on the inner layer. One option is to ‘use the shrinkage factor to shrink an appropriate set of candidate points on the boundary of the polyhedron (could be the same or different as the set Of candidate points in Step 4) toward the center point of the design. This can be written as: s=e+f(x-0 where ¢ is the design center point to be shrunk towards @) , x is a candidate , fis the shrinkage