Journal of Statistical Planning and Inference 141 (2011) 17641773

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Journal of Statistical Planning and Inference

journal homepage: www.elsevier.com/locate/jspi

Central composite designs for estimating the optimum conditions for

a second-order model
R.L.J. Coetzer a,, L.M. Haines b, L.P. Fatti c
a
b
c

Sasol Technology, PO Box 1, Sasolburg 1947, South Africa

University of Cape Town, Private Bag X3, Cape Town, Rondebosch 7701, South Africa
University of the Witwatersrand, PO Wits, Johannesburg 2050, South Africa

a r t i c l e in fo

abstract

Article history:
Received 1 July 2009
Received in revised form
17 November 2010
Accepted 22 November 2010
Available online 1 December 2010

Central composite designs which maximize both the precision and the accuracy of
estimates of the extremal point of a second-order response surface for xed values of
the model parameters are constructed. Two optimality criteria are developed, the one
relating to precision and based on the sum of the rst-order approximations to the
asymptotic variances and the other to accuracy and based on the sum of squares of the
second-order approximations to the asymptotic biases of the estimates of the coordinates
of the extremal point. Exact and continuous central composite designs are introduced and
in particular designs which place no restriction on the pattern of the weights, termed
benchmark designs, and designs which comprise equally weighted factorial and equally
weighted axial points, termed axial-factorial designs, are explored. Algebraic results
proved somewhat elusive and the requisite designs are obtained by a mix of algebra and
numeric calculation or simply numerically. An illustrative example is presented and some
interesting features which emerge from that example are discussed.
& 2010 Elsevier B.V. All rights reserved.

Keywords:
Variance
Bias
Optimal design
Response surface methodology

1. Introduction
Second-order models are used extensively in response surface methodology, in particular to investigate the nature and
location of the optimum in the nal phase of a full canonical analysis (Box and Wilson, 1951; Myers and Montgomery, 2002).
Within this context, and indeed more generally, there has been much research into the construction of optimal designs which
are based on both sequential and non-sequential procedures for the precise estimation of the model parameters (Myers,
1999; Myers et al., 2004; Atkinson et al., 2007). There has, however, been only sporadic interest in designs which in some
sense optimize properties associated with the estimates of the location of the extremal point. A problem pertaining to the
construction of such designs is that the location of the extremal point depends on the unknown parameters of the secondorder model and thus techniques developed primarily for the construction of optimal designs for nonlinear regression models
have necessarily to be invoked. In fact researchers have tended to restrict their investigations to the construction of designs
for non-sequential procedures with optimality criteria based on the determinant of the asymptotic variance matrix of the
estimates of the extremal location and with support points that are permitted to fall anywhere within design regions which
are hypercubic or hyperspherical. Examples of such studies for multifactor experiments include those of Pronzato and Walter
(1993), on locally optimal designs, by Mandal (1989) and Pronzato and Walter (1993) on designs optimizing a Bayesian
criterion and by Mandal and Heiligers (1992) on minimax designs.

 Corresponding author. Tel.: + 27 16 960 3888; fax: + 27 11 522 3425.

E-mail addresses: roelof.coetzer@sasol.com (R.L.J. Coetzer), linda.haines@uct.ac.za (L.M. Haines), paulfatti@gmail.com (L.P. Fatti).
0378-3758/$ - see front matter & 2010 Elsevier B.V. All rights reserved.
doi:10.1016/j.jspi.2010.11.026

R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

1765

Central composite designs are arguably the most widely used designs within the context of second-order response
surfaces models (Myers and Montgomery, 2002). The designs are extremely exible and exhibit a wide range of attractive
properties, in particular in relation to rotatability and to alphabetic optimality criteria. However, their performance in terms
of the properties of the estimates of the location of the extremum has not been actively explored. The main aim of the present
study is therefore to investigate the construction of designs which have support points coinciding with those of a central
composite design and which at the same time maximize the precision and the accuracy of the estimates of the location of the
extremal point. Attention is given to the multi-variable second-order model, to designs for non-sequential procedures, and to
optimality criteria based on those developed by Coetzer and Fatti (2010) for the quadratic model in a single explanatory
variable.
The paper is organized as follows. First the second-order response surface model is introduced and associated exact and
continuous designs are discussed. Appropriate optimality criteria for the precise and accurate estimation of the location of the
extremum are then developed and their application within the context of central composite designs is explored. The ideas
emerging from the study are illustrated by means of an example involving two explanatory variables taken from the book by
Myers and Montgomery (2002). Finally some broad conclusions and pointers for future research are given.
2. Preliminaries
Consider the second-order response surface model in k explanatory variables x1, y, xk. Then the response y at the setting
x x1 , . . . ,xk has expected value
Ey b0

k
X

bi xi

i1

k
X
i1

bii x2i

k X
k
X

bij xi xj ,

i 1 j4i

where b0 , bi , bii and bij are unknown parameters, the variance of y is assumed to be a constant, s2 , and observations from the
model are taken to be independent. For compactness, the regression parameters are assembled as b b0 , b1 , . . . , bk ,
b11 ; . . . ; bkk , b12 , . . . , bk1,k and this representation is used throughout the present paper.
Suppose now that an experiment comprising n observations is conducted at r distinct settings of the explanatory variables,
P
with nu observations allocated to the uth setting x u for u= 1, y, r and ru 1 nu n. Then the resultant design can be neatly
summarized as xn fx u ,nu gru 1 and the associated information matrix for b is given by Mn xn X T Wn X where X is the design
matrix with uth row (1, xu1, y, xuk, x2u1, y, x2uk, xu1 xu2, y, xu,k  1 xuk) and Wn is a diagonal matrix with diagonal entries nu, u =
1, y, r. Furthermore the variance matrix of the least squares estimate of the parameter vector b , written b^ , is given by
Varb^ s2 X T Wn X1 s2 Mn1 xn .
Suppose further that the constraint that the proportion of observations allocated to the point x u in the exact design xn be
specied by the ratio of integers nnu for u = 1, y, r is relaxed. Then the continuous design counterpart to the design xn can
P
immediately be formulated as x fx u ,pu gru 1 where pu is a weight such that 0 r pu r 1 with ru 1 pu 1. The information
T
matrix for b at the continuous design x can then be specied on a per point basis as Mx X WX where W is a diagonal matrix
with diagonal entries pu, u = 1, y, r, and the associated variance matrix of the parameter estimate b^ , again on a per point basis,
is given by s2 M 1 x. Both exact and continuous designs will be considered in the present study.
3. Optimality criteria
The quadratic response surface specied in (1) has an optimum, that is a maximum or a minimum, provided the matrix B,
with elements Bii bii and Bij Bji 12 bij for i,j= 1, y, k and iaj, has eigenvalues which are all negative or all positive,
respectively. Otherwise the surface exhibits a saddle point or a ridge (Box and Draper, 2007). In the present study the
condition for an optimum to exist is assumed to hold and attention focuses on the location of that optimum, that is on the
point
x o x o b 12B1 b
where b b1 , . . . , bk . Thus x o is nonlinear in the parameters of the model and more specically its elements comprise ratios
of sums of terms which involve products of those parameters. The least squares estimate of x o is obtained by invoking the
plug-in principle and can be expressed succinctly as x^ o x^ o1 , . . . , x^ ok x 0 b^ .
Designs which are in some sense optimal for the estimation of x o are now sought. The approach adopted here follows that
used for example by Buonaccorsi and Iyer (1986) and Chaloner (1989) for the quadratic model in one explanatory variable
and invokes design criteria based on the asymptotic bias and variance of x^ o . Specically, the estimate of the ith element of x o ,
that is x^ oi , can be expanded in a second-order Taylor series about the true parameter value b as
x~ oi b^ xoi g i b T b^ b 12b^ b T Di b b^ b

for i= 1, y, k, where g i b is the vector of rst-order derivatives and Di b the matrix of second-order derivatives of xoi with
respect to the parameters b evaluated at the true value of those parameters. Expressions for g i b and Di b in terms of the
vector x o and the matrix B  1 are readily derived and are summarized in Appendix A. This formulation can now be used to
build suitable optimal design criteria. It should be emphasized, however, that the criteria so developed depend on the

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R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

unknown values of the parameters and that there are a number of ways in which this problem can be addressed (Atkinson and
Haines, 1996). The approach taken here is to adopt a best guess for the value of b and to construct designs which are locally
optimal in the sense of Chernoff (1953). Note that for the sake of brevity the criteria and results introduced in this section are
presented in terms of continuous designs but, except where stated otherwise, also hold for exact designs.
3.1. Variance optimality
It follows immediately from the expression for x~ oi b^ given in (2) that the rst-order approximation to the asymptotic
variance of x^ oi for a design x is given by s2 g i b T M 1 x g i b  for i=1, y, k. An optimality criterion incorporating all the
elements of the vector x^ o , that is all x^ oi , can then be formulated as the sum of these approximate asymptotic variances and
thus, explicitly, as

CL x, b s2

k
X
i1

g i b T M 1 x g i b s2 trM 1 x Gb 

P
where Gb ki 1 g i b g i b T . This criterion is L-optimal for xed b and is referred to here as Lb -optimality. In addition the
Lb -efficiency of a design x1 relative to a design x2 is dened as
EL x1 , x2 ; b

CL x2 , b
CL x1 , b :

Note that emphasis in the present study is placed on the properties of the individual elements of x^ o , in particular with respect
to bias as well as to variance, and thus that the summed variance criterion CL x, b is introduced in preference to the
generalized variance criterion, that is the determinant of the variance matrix of x^ o , invoked in the related studies of for

example Fedorov and Muller

(1997), Cheng et al. (2001) and Melas et al. (2003).
Certain properties of the approximate variance criterion CL x, b are of particular interest. First the criterion clearly
depends on the relative scales of the corresponding explanatory variables xi, i=1, y, k. In the context of response surfaces,
however, this lack of invariance is not of immediate concern since the explanatory variables are coded and are comparable in
terms of scale. Second since the criterion is L-optimal all the advantages associated with that family of criteria accrue
(Atkinson et al., 2007, Section 10.5). It thus follows that the directional derivative of CL x, b for xed b at a single point design
x is proportional to
dL x, x; b trM 1 x Gb trM 1 x Gb M 1 x Mx
and, in the case of continuous designs, the associated Equivalence Theorem follows immediately. Specically a continuous
Lb -optimal design minimizes the maximum of the term trM 1 x Gb M 1 x Mx over the design space, with minima
attained at the points of support of that design. The Equivalence Theorem provides a valuable tool in the algorithmic
construction of candidate Lb -optimal designs and more particularly in conrming the global optimality or otherwise of
candidate continuous designs.
3.2. Bias optimality
Since b^ , the least squares estimate of b , is unbiased, it follows immediately from expression (2) that the rst-order
approximation to the bias in x^ o is zero for i= 1, y, k. Recourse is therefore made here to the second-order approximation to the
bias in x^ o and thus to s2 =2trM 1 xDi b . An optimality criterion can now be formulated as the sum of the squared
approximate biases and dened formally as

CB x, b

k
s2 2 X
ftrM 1 xDi b g2 :
4 i1

Attention is again restricted to locally optimal designs and thus to designs minimizing the criterion CB x, b for xed b . Such
designs are conveniently termed Bb -optimal. A denition of efciency relating to the squared bias criterion is not straightforward
since optimal designs may well have a criterion value of zero. It is possible to dene efciency in terms of a suitable function of the
criterion such as expCB x, b  but this would seem to be a rather articial construction. In the present study therefore designs are
compared directly, but not strictly quantitatively, in terms of bias by using the criterion value CB x, b itself.
Certain properties of the squared bias criterion CB x, b are of immediate interest. In particular the criterion depends on
the scale of the explanatory variables xi, i= 1, y, k, as is the case for the variance criterion CL x, b , but the problem can again
be addressed by using coded units. More importantly, however, the Bb -criterion is not as algebraically tractable as its
Lb -optimal counterpart. Specically the function CB x, b is not convex on the set of information matrices of the form Mx and
as a consequence it is not possible to formulate an Equivalence Theorem relating to the Bb -optimality of continuous designs.
In addition there may well be a multiplicity of designs for which the criterion CB x, b attains the optimal or a
near-optimal value. Finally, and in a broader context, it should be noted that designs constructed in order to minimize
the squared bias in parameter estimates often perform badly, if not disastrously, with respect to more widely used criteria
such as D-optimality and must therefore be treated with some caution (Box and Draper, 2007).

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1767

3.3. A compound criterion

It is tempting to consider a compound optimality criterion which incorporates both the variance and the squared bias
criteria and which has the form

CC x, b ; o oCL x, b 1oCB x, b
for some value of o where 0 r o r1. Designs minimizing this criterion for a xed value of b can be readily constructed, at least
numerically, and are termed Cb -optimal designs. However, the criterion inherits the properties of both CL x, b and CB x, b and is
not particularly tractable algebraically. Furthermore the terms comprising CL x, b represent rst-order approximations to
variances, whereas the terms in CB x, b represent second-order approximations to squared biases. This incompatibility in the order
of approximations of the compounded criteria implies that the interpretation of CC x, b ; o for a particular o as a mean square error
is essentially inappropriate. Second-order approximations to the asymptotic variances of the estimates of location of the extremal
point can of course be derived and incorporated into the compound criterion but the resultant expressions are complicated and
detract from the relative simplicity and wide use of the rst-order approximation for variance.
An alternative interpretation of the compound criterion CC x, b ; o is thus invoked in the present study following
arguments introduced in Cook and Wong (1992). Specically designs minimizing CC x, b ; o are equivalent to designs
minimizing the squared bias criterion CB x, b subject to a constraint on the variance criterion of the form CL x, b r co
where co is some function of o. This interpretation is useful in cases for which a multiplicity of designs minimizing CB x, b
exist and some mechanism for distinguishing between them based on CL x, b is sought. The idea is explored a little further in
the example presented later in this paper.
4. Optimal central composite designs
Designs, both exact and continuous, which are based on the support points of a central composite design and which
minimize the variance, the squared bias and the compound criteria for the second-order response model (1) are now sought.
In particular two classes of designs are considered.
(1) Designs which place no restriction on the number or proportion of observations allocated to each of the factorial, axial and
centre points. These designs are termed benchmark designs and are identied with a subscript BM.
(2) Designs which mirror the central composite designs commonly used in practice and which allocate an equal number or
proportion of observations to each of the 2k factorial points, an equal number or proportion of observations to each of the
2k axial points and the balance of observations to the centre point. These designs are termed axial-factorial designs and
are identied with a subscript AF.

4.1. Benchmark designs

The information matrix for b at a benchmark design does not exhibit a simple general pattern. The variance, bias and
compound criteria are therefore not algebraically tractable, at least in general, and minimization of these criteria over the
class of benchmark designs must be performed numerically.
Consider rst exact designs, that is designs which allocate an exact number of observations nu to the uth support point x u of the
P
central composite design, where u=1,y, T with Tu 1 nu n and T=2k +2k + 1. Note that there are n T1 Cn such allocations and
that certain of these allocations correspond to singular designs. If the total number of observations n is small, it is possible to
completely enumerate the allocations and thus to identify unequivocally those designs which minimize the criterion of interest.
However, as n increases, complete enumeration rapidly becomes infeasible and recourse must be made to heuristic algorithms, in
particular exchange algorithms, which do not guarantee to nd the globally optimal design (Atkinson et al., 2007, Chapter 12).
Consider now continuous designs which place weight pu on the uth support point x u of the central composite design,
P
where 0 r pu r 1, u = 1, y, T and Tu 1 pu 1. Then it is straightforward to construct designs of this form which minimize the
variance, the squared bias and the compound criteria numerically using a suitable constrained nonlinear optimization
routine. Furthermore, in the case of the variance criterion, the Equivalence Theorem specied in the previous section, with the
design space restricted to the set of factorial, axial and centre points, holds and the theorem can thus be invoked, albeit
numerically, to conrm the global optimality or otherwise of a candidate design.
4.2. Axial-factorial designs
Consider an exact axial-factorial design which allocates a total of nf observations equally across the factorial points, a total
of na observations equally across the axial points and thus proportions pf nf =n and pa na =n to the sets of factorial and axial
points, respectively. The balance of nc =n nf na observations are allocated to the centre point. Then continuous designs can
be accommodated by allowing pf and pa to represent weights varying over the interval [0,1] with 0 r pf pa r 1. The results
given here are again presented in terms of continuous designs but, except where stated otherwise, also hold for exact designs.

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R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

The second- and fourth-order moments of the explanatory variables for an axial-factorial design, expressed in the usual
notation on a per point basis, simplify to

a2

m2 pf

pa ,

m4 pf

a4
k

pa ,

m22 pf

and all odd moments are zero. Thus the information matrix for b at the axial-factorial design xAF , denoted MxAF , is quasidiagonal. Note, however, that MxAF , and hence the design xp
AFitself, is singular if and only if the design comprises only axial or
only factorial points or the design is spherical with radius k and has no centre points (Box and Hunter, 1957; Farrell et al.,
1967; Myers and Montgomery, 2002, p. 332).
It is straightforward to derive the inverse of the information matrix MxAF and hence to obtain expressions for the variance
and squared bias criteria for an axial-factorial design. Specically, suppose that the parameter vector is partitioned as
b b0 , b L , b Q , b C where b L , b Q and b C represent vectors of parameters of the form bi , bii and bij with iaj, respectively. Then
the Lb -optimality criterion CL xAF , b , with the constant multiplier s2 omitted, can be expressed as
trGLL

m2

trGCC

m22

m22 m22 1 T GQQ 1

trGQQ

m4 m22 m4 m22 m4 m22 km22 m22 

where GLL, GQQ and GCC represent the block diagonal sub-matrices of Gb corresponding to the parameter sub-vectors b L , b Q
and b C , respectively. A curious result arises immediately from the fact that rst-order approximations to the variances are
being invoked. Thus, for x o 0 the only non-zero elements of the vectors g i b ,i 1, . . . ,k, correspond to the parameter

LL
subvector b L , the Lb -criterion reduces to trG
singular in the context of model (1).
m2 and designs minimizing this expression are
p
p
Specically
for
a
4
k
the
criterion
is
minimized
by
taking
only
factorial
points,
for
a
o
k by taking only axial points and for
p
p
a k by taking a spherical design with radius a k and no centre points.
The components of the squared bias criterion are given by trM 1 xDi b , for i= 1, y, k, and have a particularly simple
form, namely that of (3) with Gb replaced by Di b and with the leading term omitted. However, the criterion itself
comprises the sum of squares of these components and cannot be expressed straightforwardly. Also note that if x o 0 the
bias criterion is zero and all designs are trivially optimal. The compound criterion CC x, b ; o which comprises both the
variance and the bias criteria is necessarily somewhat complicated and algebraically intractable in form.
Exact optimal axial-factorial designs are readily obtained by complete enumeration. Specically, central composite
designs with integer values nf and na such that nf na r n are sought and for practical choices of n and k the number of such
designs is not large. Continuous axial-factorial designs which are Lb -optimal for xed values of the regression parameters b
and the axial distance a can be constructed by minimizing the criterion CL xAF , b with respect to the weights pf and pa directly
using a constrained nonlinear optimization routine. The Equivalence Theorem for Lb -optimality does not hold in this case,
however, since the weights on the factorial points are constrained to be equal as are those on the axial points. In fact a compact
numeric approach to constructing globally Lb -optimal continuous designs is available, at least in principle. Specically, values
of pf and pa minimizing the Lb -criterion satisfy the simultaneous equations

@CL xAF , b
@pf

and

@CL xAF , b
@pa

0:

Note that in certain cases feasible solutions to these polynomials do not exist and optimal values of pf and pa, which occur on
the boundaries specied by the constraints, must be identied numerically. In general, however, the above equations can be
reformulated as two polynomials in the weights pf and pa of degree 6, feasible solutions, unique or otherwise, can be found
numerically and solutions associated with the variance-optimal designs identied. Furthermore, if the constraint that
weights on each of the factorial and the axial points are equal is imposed, then the optimal value of the common weight can be
found as a solution to a quadratic. Continuous Bb - and Cb -optimal designs can also be obtained in a similar manner to the
Lb -optimal designs by solving equations which are low-order polynomials in the weights pf and pa.
5. An example
An example from Myers and Montgomery (2002, Example 6.4) is now introduced in order to illustrate the ideas of the
previous sections. The example relates to the yield of a chemical process which depends on two variables, temperature and
reaction time, and which is modelled as a second-order response surface in those variables, expressed in coded units.
Specically,
the 22 factorial points, (  1,  1), (  1,1), (1,  1) and (1,1), the four axial
pa central
p composite
p design comprising
p
points,  2,0, 2,0,0, 2, and 0, 2, and three observations at the centre point, (0,0), was used in the original
experiment and a second-order response model of the form (1) with k=2 was tted to the data. The parameter estimates were
found to be

b^ 0 90:79, b^ 1 1:095, b^ 2 1:045, b^ 11 2:781,

b^ 22 2:524, b^ 12 0:775,
the tted surface has a maximum at x^ o1 0:1717 and x^ o2 0:1806 and the mean square error is given by s2 = 3.13075.

R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

1769

The aim here is to redesign the original experiment in order to accommodate the variance and squared bias criteria.
Parameter estimates are used as best guesses for the parameter values, optimality criteria are evaluated using a s2 value
equal to the mean square error s2 to comply with the experimental setting
pand, unless otherwise stated, the support points are
taken to be those of the original design with an axial distance of a 2. Emphasis is on the construction of exact designs
which are necessarily used in practice and in order to expand the scope of the study 22-and 44-point designs as well as
11-point designs are considered.
The expressions for the rst- and second-order derivatives of x o with respect to b given in Appendix A simplify neatly in
the present case and the results are summarized in Appendix B. Note that it follows from these expressions that the designs
presented in this section are independent of the value adopted for b0 and hold for any quadratic response surface with the
same optimum location and the same parameter ratios g b^ =b^ and g b^ =b^ . Since the parameter vector b is
11

11

12

22

22

12

assumed to be xed throughout the example, it is omitted from the notation specifying the criteria.
5.1. Benchmark designs
For n = 11 there are 75,582 exact benchmark designs and it is therefore computationally feasible to completely enumerate
these designs and hence to unequivocally identify designs which are globally optimal. However, for n = 22 and 44 there are
5,852,925 and 752,538,150 exact benchmark designs, respectively, and designs which are near, but not necessarily globally,
optimal were therefore constructed using a simple exchange algorithm. Exact 11-, 22- and 44-point benchmark designs
minimizing the variance criterion, together with the original 11-point design, are summarized in Table 1(a). In order to
appraise the efciency of these exact designs the corresponding continuous Lb -optimal design was constructed numerically
and its global optimality conrmed by invoking the attendant Equivalence Theorem, again numerically. The design is
specied as
(
)
p
p
p
p
1,1 1,1 1,1 1,1  2,0 2,0 0, 2 0, 2
0,0
xBM
0:0930 0:1039 0:1005 0:0
0:1721 0:0933 0:2020 0:1048 0:1304


with CL xBM 0:31424 and CB xBM 0:032814. Percentage efciencies relative to this continuous design, together with
values for the squared bias criterion expressed on a per observation basis, are also included in Table 1(a). It is interesting to
observe that the variance-optimal designs allocate most weight to points closest to the maximum of the response surface at
x^ o 0:1717,0:1806
pand in addition reect the slight asymmetry in the location of the maximum with a shift in weight
towards the point 0, 2. Furthermore the Lb -efficiencies of the exact variance-optimal benchmark designs relative to their
continuous counterpart are reassuringly high and indeed are very much greater than that attained by the original design.
Also, and as expected, the Lb -efficiencies of the optimal designs increase with increasing numbers of observations.
It is interesting at this point to consider locally optimal designs which minimize the determinant of the asymptotic
variance matrix of x^ o over a cubic or a spherical design region and which can be readily constructed following the work of
Cheng et al. (2001) and Melas et al. (2003), respectively. Such designs are Ds-optimal
(Atkinson et al., 2007). In the present
p
example, if the support points are allowed to fall anywhere in a circle of radius 2 centred at the origin, then the Ds-optimal
design comprises four equally weighted points, (  0.9744,  1.0249), (  1.2354, 0.6883), (0.7498,  1.1991) and (0.4888,
Table 1
Benchmark designs: Note that n denotes the total number of observations with nf1 ,nf2 ,nf3 ,nf4 ,na1 ,na2 ,na3 ,na4 and nc denoting the numbers allocated to the
p
p
p
p
points 1,1,1,1,1,1,1,1, 2,0, 2,0,0, 2,0, 2 and 0,0, respectively, that xMM denotes the original 11-point design and that EL x

denotes the percentage efciency relative to the continuous benchmark design xBM .
Design

nf 1

nf 2

nf 3

nf4

na1

na 2

na 3

na 4

nc

EL x

CB x

1
1
3
6

1
1
3
7

1
1
3
7

1
0
1
3

1
2
3
5

1
1
1
1

1
2
4
7

1
1
1
2

3
2
3
6

79.29
97.95
99.41
99.86

0.0607
0.0157
0.0208
0.0309

11
11

1
1

1
2

1
2

1
0

1
0

1
0

1
2

1
1

3
3

79.29
66.51

0.0607

11

55.39

11
22

0
4

1
0

4
0

0
0

2
7

0
3

2
4

1
1

1
3

68.62
69.21

o 104
0.0001

22

49.72

o 104

22

77.65

o 104

44

11

79.71

o 104

44

12

57.85

o 104

44

91.40

o 104

(a) Variance-optimal
11
Optimal
11
Optimal
22
Optimal
44

xMM

(b) Bias-optimal

xMM
Optimal

Optimal

Optimal

o 104

o 104

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Table 2

22-point CC -optimal or near CC -optimal benchmark designs. The term EL x denotes percentage efciency relative to the continuous benchmark design xBM .

o
0.0
0.01
0.02
0.03
0.05
0.075

CB x

CL x

CC x; o

EL x

o 10  4
o 10  4
0.0014
0.0033
0.0084
0.0208

0.4540
0.3433
0.3361
0.3319
0.3253
0.3161

o 10  4
0.0035
0.0081
0.0132
0.0242
0.3161

69.21
91.53
93.51
94.67
96.59
99.41

0.5141). This design is clearly very different in form to the central composite designs of the present study and, in addition, is
singular with respect to the full second-order model.
In constructing exact 11-, 22- and 44-point Bb -optimal benchmark designs, several designs with very small values of the
squared bias criterion but with Lb -efficiencies which varied widely from high to low were obtained. Selected designs of this
type, together with the original 11-point design, are summarized in Table 1(b). Note that the designs do not exhibit any
common underlying pattern. The results for these exact designs were reinforced by the construction of continuous biasoptimal benchmark designs. Specically different continuous central composite designs with the value of the squared bias
criterion equal to zero, at least to machine accuracy, were readily generated by using random weights as initial values in the
nonlinear optimization routine used in the construction. Overall therefore it is clear that the Bb -optimal or near Bb -optimal
designs presented here are somewhat erratic in form and in performance relative to the Lb -optimal designs, an observation in
accord with results reported in other related studies on squared bias criteria (Box and Draper, 2007).
It is thus of interest to invoke the compound criterion CC x; o in order to search for exact compromise designs with small,
but not necessarily minimum, squared bias and with high Lb -efficiency. To this end, 22-point Cb -optimal or near-Cb -optimal
designs for a range of weightings of the variance and squared bias criteria, that is for a range of o values, were constructed,
again using a simple exchange algorithm, and these designs are presented in Table 2. Note that small values of o must be used
to accommodate the fact that values of the variance criterion are necessarily very much larger than those of the squared bias
criterion and further that the design with o 0:075 coincides with that for o 1 and is thus Lb -optimal. It is clear from the
results presented in Table 2 that the practitioner can select compromise designs which provide a requisite balance between
the variance and squared bias criteria.

5.2. Axial-factorial designs

There is only one feasible axial-factorial design with 11 points, namely the one used in the original experiment. It is
therefore of interest to focus on axial-factorial designs with 22 and 44 points. Note that these designs can be enumerated.
Specically there are 10 possible axial-factorial designs with 22 observations and these are summarized, together with the
associated criterion values, in Table 3(a). In the case of the 44-point
axial-factorial designs, there are 45 designs which are
p
non-singular and 10 with no centre points which, since a 2, are singular. The three 44-point designs with the highest
Lb -efficiency and the three with the smallest squared bias are presented in Table 3(b). Note that all the Lb -efficiencies
reported in the present example, including those for the axial-factorial designs, are taken relative to the continuous optimal

benchmark design, xBM , so that comparisons between, as well as within, the sets of benchmark and axial-factorial designs can
be readily made.
It follows from Table 3(a) that the variance-optimal 22-point axial-factorial design allocates 8, 12 and 2 observations to the
sets of factorial, axial and the centre points, respectively, while the corresponding bias-optimal design coincides with the
original design of Myers and Montgomery (2002), repeated twice. Furthermore, as shown in Table 3(b), the variance- and
bias-optimal 44-point axial-factorial designs comprise the corresponding 22-point optimal designs repeated twice. It is
interesting to observe that the variance- and bias-optimal designs are again somewhat different in form, with the biasoptimal designs allocating more weight to the centre point.
The designs in Table 3 clearly do not perform as well as their benchmark counterparts. Thus, in order to gauge their
efciency better and in context, continuous axial-factorial designs were also constructed. Specically continuous Lb -optimal
axial-factorial designs were readily obtained, in the case of pf apa by solving two polynomials in pf and pa of degree 4 and in
the case of pf pa 12 p by solving a quadratic in p, to give unique, feasible solutions. Similarly unique continuous axialfactorial designs minimizing the squared bias criterion were readily obtained, in the case of pf apa by solving two
polynomials in pf and pa of degree 7 and of pf pa 12 p by solving a cubic in p. The problem of optimal weights falling on the
boundaries dened by the constraints on the weights was not encountered. These continuous optimal designs, together with
the design used in the original experiment, are summarized in Table 4.
It is clear from Tables 3 and 4 that the exact axial-factorial designs perform well when compared with their continuous
counterparts. Overall, however, it is also clear that while axial-factorial designs with reasonably high Lb -efficiencies can be
constructed, axial-factorial designs with values of the squared bias criterion close to zero cannot be obtained.

R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

1771

Table 3
Exact axial-factorial designs: Note that nf, na and nc denote the numbers of observations allocated to the factorial, axial and centre points, respectively, and

that EL x denotes the percentage efciency again relative to the continuous benchmark design xBM .
nf

na

nc

CL x

EL x

CB x

(a) All 22-point designs

4
4
4
4
8
8
8
12
12
16

4
8
12
16
4
8
12
4
8
4

14
10
6
2
10
6
2
6
2
2

0.7618
0.5149
0.4020
0.3696
0.5268
0.3963
0.3595
0.4178
0.3635
0.3874

41.25
61.03
78.17
85.02
59.66
79.29
87.41
75.21
86.46
81.12

0.1355
0.0798
0.0772
0.1742
0.0924
0.0607
0.1390
0.0939
0.1444
0.2023

(b) Best 44-point designs

Lb -optimal

Bb -optimal

nf

na

nc

CL x

EL x

CB x

16
20
12
16
12
12

24
20
28
16
20
16

4
4
4
12
12
16

0.3595
0.3601
0.3618
0.3963
0.3959
0.4442

87.41
87.26
86.85
79.29
79.38
70.74

0.1390
0.1383
0.1479
0.0607
0.0624
0.0626

Table 4


Continuous axial-factorial designs: Note that xAF denotes an optimal design with pf apa and xAFp an optimal design with pf =pa. The percentage efciency


EL x is evaluated relative to the continuous benchmark design xBM .

pf

pa

pc

CL x

EL x

C B x

xAF
xAFp
xMM

0.373706
0.438739

0.503647
0.438739

0.122647
0.122522

0.3551
0.3558

88.49
88.31

0.0991
0.0993

0.363636

0.363636

0.272728

0.3963

79.29

0.0607

design, x

pf

pa

pc

CB x

EL x

CL x

0.323671
0.381449

0.378953
0.381449

0.297376
0.237102

0.0599
0.0604

77.17
77.09

0.4072
0.4076

0.363636

0.363636

0.272728

0.0607

79.29

0.3963

Design
(a) Variance-optimal

(b) Bias-optimal

xAF
xAFp
xMM

The nature of exact and continuous Lb -optimal central composite designs over a range of values of the axial distance a was
also investigated. In all cases the value of the variance criterion was found to decrease with increasing a but the Lb -efficiencies
relative to the corresponding benchmark designs for the specic a remained roughly the same.
6. Conclusions
The main aim of this paper has been to investigate the construction of exact and continuous central composite designs
which maximize both the precision and the accuracy of estimates of the extremal point of a second-order response surface for
xed values of the model parameters. Two optimality criteria are developed, the one relating to precision through variance
and the other to accuracy through bias and in addition a compound criterion comprising a convex sum of the variance and
squared bias criteria is also introduced. Central composite designs that place no restriction on the pattern of the weights
associated with the support points, termed benchmark designs, are rst considered. These designs proved to be algebraically
intractable and must necessarily be constructed numerically. Central composite designs which comprise equally weighted
factorial and equally weighted axial points, termed axial-factorial designs, are also introduced. These designs are more
algebraically tractable than their benchmark counterparts and can be readily constructed, in the case of exact designs by
complete enumeration and in the case of continuous designs by simultaneously solving low-order polynomials. Finally it is
interesting to note that the central composite designs reported here, while not optimal over a continuous design space, do
have an immediate practical appeal, particularly in the context of response surface methodology, and in addition are nonsingular or can be readily adapted to be non-singular.

1772

R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

A number of interesting features emerge from the worked example. In particular the Lb -efficiencies of the exact varianceoptimal benchmark designs are reassuringly high. At the same time a number of bias-optimal benchmark designs with small
values of the squared bias criterion but with varying efciencies in terms of the variance criterion are available. However, by
invoking the compound criterion, unique compromise designs with high Lb -efficiencies and small squared bias can be
constructed. For the axial-factorial designs, the efciencies in relation to the variance criterion are reasonably high but
designs, both exact and continuous, with small values of the squared bias criterion cannot be constructed. Overall the results
indicate that it may well be worthwhile to relax the idea of using an equal allocation of points to each of the factorial and,
separately, to each of the axial points. Rather it would seem preferable to permit a free allocation of observations across the
support of the central composite design, that is to use benchmark designs. In this way good gains in efciency can be achieved
and at the same time the sequential avour of the central composite design is not lost. Furthermore, if the researcher is
constrained to using axial-factorial designs, then the loss in efciency by further constraining the axial and factorial points to
be equally weighted is not great. Finally it is interesting to note that the central composite designs reported here, while not
optimal over a continuous design space, do have an immediate practical appeal, particularly in the context of response surface
methodology, and in addition are non-singular or can be readily adapted to be non-singular.
There is scope for further research. Only criteria which are locally optimal in the sense of Chernoff (1953) and which
depend on best guesses of the parameters have been used in the present study. It would thus be interesting to examine
criteria which accommodate uncertainty in the parameter values, as for example by constructing Bayesian-optimal, maximin
or sequential designs based on the variance and squared bias criteria. Furthermore designs optimal with respect to the
precision and the accuracy of the estimates of the extremal point are valuable as benchmarks but are, in a broader sense, of
limited use. Box and Draper (1975), and more recently Myers (1999), have emphasized the importance of adopting a multicriterion approach to response surface design and the designs presented here could well be incorporated into such a setting.

Acknowledgements
Linda Haines would like to thank the University of Cape Town, the National Research Foundation and Sasol, South Africa,
for nancial support.

Appendix A. Derivatives of x o with respect to b

Consider introducing the k  1 indicator vector e i with ith element equal to 1 and all other elements 0. Then the ith
element of x o can be conveniently expressed as
x0i 12e Ti B1 b
for i= 1, y, k. Furthermore it follows from some well-known results relating to vector and matrix differentiation, as given for
example in Harville (1997, Chapter 15), that @b=@br e r and that
@B1
@B 1
1
B1
B  B1 e r e Ts e s e Tr B1
@brs
2
@brs
for r, s = 1, y, k. Thus the rst and second-order derivatives of x0i with respect to b can be obtained by repeated application of
the above results and are summarized concisely as follows. For all r,s =1, y, k,
@xoi
1
 B1 ir
2
@br

and

@xoi
1
 B1 is xor B1 ir xos 
2
@brs

and for all r,s,t,u = 1, y, k,

@2 xoi
0,
@br @bs

@2 xoi
1
B1 ir B1 st B1 is B1 rt 
4
@brs @bt

and
@2 xoi
1
fB1 it B1 sv B1 iv B1 st xor B1 it B1 rv B1 iv B1 rt xos
4
@brs @btv
B1 ir B1 sv B1 is B1 rv xot B1 ir B1 st B1 is B1 rt xov g
Appendix B. Derivatives of x 0 with respect to b for k= 2
2

Observe that xo1 b2 b12 2b1 b22 =4b11 b22 b12 and that xo2 b1 b12 2b2 b11 =4b11 b22 b12 for b12 a4b11 b22 . Thus
g 1 b

b12
0,2g22 ,1,4g22 xo1 ,2xo2 ,xo1 2g22 xo2
D

R.L.J. Coetzer et al. / Journal of Statistical Planning and Inference 141 (2011) 17641773

1773

where D 4b11 b22 b12 , g11 b11 =b12 and g22 b22 =b12 . The partial rst-order derivative g2 b @xo2 =@b has a similar form.
Also dene b L b1 , b2 T and b Q b11 , b22 , b12 T . Then
c
2
3
0T
0T
0
2
6
7
@ xo1
0
D1,LQ c 7
D1 b
6
40
5
@b @b T
0 DT1,LQ c D1,Qc Qc
T

where D1,LQ c @2 xo1 =@b L @b Q is given by

c
#

 "
2
4g22
b12 2 8g222
,
4g22 4g11 1 4g11 g22
D
T

D2 b @2 xo2 =@b @b has a similar form and D1,QQ @2 xo1 =@b Q @b Q is given by
c
c
2
3
32g222 xo1
4xo1 2xo2 g22
4g22 3xo1 2xo2 g22

2
b12 6
16g11 xo2
4g11 xo1 1 2g11 g22 xo2  7
4xo1 2xo2 g22
4
5:
D
4g22 3xo1 2xo2 g22 4g11 xo1 1 2g11 g22 xo2  21 4g11 g22 xo1 4g22 xo2 
Note that all the above expressions involving b12 are only valid provided b12 a0. Also note that attempts to further simplify
the derivatives were not successful.
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