Untitled

QUALITY IMPROVEMENT WITH DESIGN OF EXPERIMENTS
TOPICS IN SAFETY, RISK, RELIABILITY AND QUALITY

VOLUME7
Editor
A.Z. Keller, Department of Industrial Technology and Management,
University of Bradford, U.K.
Editorial Advisory Board

P. Sander, Technical University of Eindhoven, The Netherlands
D.C. Barrie, Lakehead University, Ontario, Canada
A.V. Gheorghe, Swiss Federal Institute ofTechnology, Zürich, Switzerland
R. Leitch, Royal Military College of Science (Cranfield), Shriverham, U.K.
Aims and Scope. Fundamentalquestions which are being asked these days of all products,
processes and services with ever increasing frequency are:
What is the risk?
How safe is it?
How reliable is it?
How good is the quality?
How much does it cost?
This is particularly true as the govemment, industry, public, customers and society
become increasingly informed and articulate.
In practice none of the three topics can be considered in isolation as they all interact and
interrelate in very complex and subtle ways and require a range of disciplines for their
description and application; they encompass the social, engineering and physical sciences
and quantitative disciplines including mathematics, probability theory and statistics.
The major objective of the series is to provide a series of authoritative texts suitable for
academic taught courses, reference purposes, post graduate and other research and
practitioners generally working or strongly associated with areas such as:
Safety Assessment and Management
Emergency Planning
Risk Management
Reliability Analysis and Assessment
Quality Assurance and Management
Special emphasis is placed on texts with regard to readability, relevance, clarity, ap-
plicability, rigour and generally sound quantitative content.
The titles published in this series are listed at the end of this volume.
Quality Improvement with
Design of Experiments
A Response Surface Approach
by
IVAN N. VUCHKOV
University of Chemical Technology and Metallurgy,
Sofia, Bulgaria
and
LIDIA N. BOYADJIEVA
University of Chemical Technology and Metallurgy,
Sofia, Bulgaria
....
''
SPRINGER-SCIENCE+BUSINESS MEDIA, B.V.
A C.I.P. Catalogue record for this book is available from the Library of Congress.
ISBN 978-1-4020-0392-9 ISBN 978-94-009-0009-7 (eBook)

DOI 10.1007/978-94-009-0009-7
Printedon acid-free paper
All Rights Reserved

© 2001 Springer Science+Business Media Dordrecht
Originally published by Kluwer Academic Publishers in 2001
Softcoverreprint ofthe hardcover1st edition 2001
No part of the material protected by this copyright notice may be reproduced or
utilized in any form or by any means, electronic or mechanical,
including photocopying, recording or hy any information storage and
retrieval system, without written permission from the copyright owner.
To
Irina, Maria, Ivan
and
Ilia, Boyan, Kamen

Vll
CONTENTS
1. INTRODUCTION TO QUALITY IMPROVEMENT 1

1.1. Why do deviations occur? 1
1.2. Random variations 2
1.3. On-line and off-line quality control 4
1.4. Performance characteristics, product parameters and noises 7
1.5. Design of experiments and data analysis 8
1.6. Model-based robust engineering design 12
2. STATISTICAL METHODS FOR DATA ANALYSIS 14

2.1. Analysis ofvariance 15
2.1.1. ONE WAY CLASSIFICATION 15
Main results 15
Simplified formulae 18
Computational procedure 19
2.1.2. ANOV A: MULTIPLE CLASSIFICATION 22
2.2. Introduction to design of experiments 31
2.2.1. PROBLEM FORMULATION 31
2.2.2. COMPLETELY RANDOMIZED DESIGNS 31
2.2.3. RANDOMIZED BLOCK DESIGNS 32
2.2.4. LATIN SQUARES 34
2.2.5. GRAEKO-LATIN AND HYPER GRAEKO-LATIN SQUARES 36
2.2.6. OTHER DESIGNS 38
2.3. Regression analysis 39
2.3.1. DEFINING THE PROBLEM 39
2.3.2. F ACTORS AND REGIONS OF INTEREST 40
2.3.3. REGRESSION MODELS 42
2.3.4. ASSUMPTIONS OF LINEAR REGRESSION ANALYSIS 44
2.3.5. LEAST SQUARES METROD 45
2.3.6. CONFIDENCE INTERV ALS AND SIGNIFICANCE OF
REGRESSION COEFFICIENTS 53
2.3.7. LACK OF FIT TESTS 56
Defining the problern 56
Analysis ofvariance for testing model adequacy 57
Lack of fit tests based on repeated observations 59
Multiple correlation coefficient 61
2.3.8. STEPWISE REGRESSION AND ALL POSSffiLE REGRESSIONS 66
2.3.9. GRAPHICAL TOOLS FOR RESIDUAL ANALYSIS 73
Vlll
Introduction 73
Residualplots 74
Normaland half-normal plots 77
2.3.10. TRANSFORMATIONS OF VARIABLES 80
2.3.11. WEIGHTED LEAST SQUARES 82
2.4. Bibliography 84
Appendix A.2.1. Basic equation ofthe analysis ofvariance 84
Appendix A.2.2. Derivation of the simplified formulae (2.1 0) and (2.11) 85
Appendix A.2.3. Basic properties ofleast squares estimates 86
Appendix A.2.4. Sums ofsquares for tests for lack offit 88
Appendix A.2.5. Properties ofthe residuals 90
3. DESIGN OF REGRESSION EXPERIMENTS 96

3.1. Introduction 96
3.2. Variance-optimality of response surface designs 98
3.3. Two Ievel full factorial designs 106
3.3.1. DEFINITIONS AND CONSTRUCTION 106
3.3.2. PROPERTIES OF TWO LEVEL FULL FACTORIAL DESIGNS 109
3.3.3. REGRESSION ANALYSIS OF DAT A OBT AlNED THROUGH
TWO LEVEL FULL F ACTORIAL DESIGNS 113
Parameter estimation 113
Effects of factors and interactions 116
Statistical analysis of individual effects and test for lack of fit 118
3.4. Two Ievel fractional factorial designs 123
3.4.1. CONSTRUCTION OF FRACTIONAL F ACTORIAL DESIGNS 123
3.4.2. FITTING EQUATIONS TO DATA OBTAlNED BY FRACTIONAL
F ACTORIAL DESIGNS 130
3.5. Bloclung 133
3.6. Steepest ascent 135
3.7. Second order designs 142
3.7.1. INTRODUCTION 142
3.7.2. COMPOSITE DESIGNS 144
Rotatable central composite designs 145
D-optimal composite designs 146
Hartley' s designs 146
3.7.3. OTHER THREE LEVEL SECOND ORDER DESIGNS 147
3.7.4. STATISTICAL ANALYSIS OF DAT A OBT AlNED THROUGH
SYMMETRIC SECOND ORDER DESIGNS 148
3.8. Sequential generation of D-optimal designs 153
3.8.1. PROCEDURES FOR SEQUENTIAL GENERATION OF
D-OPTIMAL DESIGNS 153
3.8.2. ASYMMETRICAL SECOND ORDER D-OPTIMAL DESIGNS 156
3.8.3. SYMMETRICAL SECOND ORDER D-OPTIMAL DESIGNS 158
3.9. Dependence of the variance-optimal designs on the assumptions
ix
about the model aod the region of interest 159

3.9.1. MODEL-DEPENDENCE 159
3.9.2. DEPENDENCE ON THE SIZE AND SHAPE OF THE REGION
OF INTEREST 162
3.10. Interpreting models 168
3.10.1. OPTIMIZATIONPROCEDURES AND GRAPIDCAL TOOLS FOR
MODEL INTERPRETATION 168
3.1 0.2. CANONICAL REPRESENT ATION OF SECOND ORDER MODELS 175
3.10.3. CONFIDENCE REGION ON THE LOCATION OF THE
STATIONARY POINT 182
Appendix A.3 .1. Proof of formula (3 .24) 184
Appendix A.3.2. Sequential generation ofD-optimal designs 185
Appendix A.3.3. Derivation of canonical form B 186
Appendix A.3.4. Covariance matrix of o = b+2Bx 188
4. TAGUCHI'S APPROACH TO QUALITY IMPROVEMENT 190

4.2. Loss function 190
4.3. Stages of product design 193
4.4. Parameter design 194
4.5. Orthogonal arrays 196
4.6. Split plot designs 200
4.7. Linear graphs 201
4.8. Signal-to-noise ratio 202
4.9. Data analysis and decision making 204
4.10. Some practical problems 210
4.10.1. CHOICE OF EXPERIMENT AL CONDITION AND FACTOR
LEVELS 210
4.10.2. REPEATED OBSERVATIONS 211
4.10.3. CONFIRMATORYEXPERIMENTS 212
4.10.4. COMPUTER SIMULATIONS 212
4.11. Tolerance design 212
4.12. Taguchi method: summary 213
4.13. Advantages and disadvantages of the Taguchi method 213
4.14. Examples 216
Appendix A. 4 .1. Loss function 23 5
Appendix A.4.2. Expected loss 235
5. QUALITY IMPROVEMENT THROUGH REDUCTION OF THE

ERRORS TRANSMITTED FROM THE FACTORS TO
THE RESPONSE 237
X
5.1. Transmission of errors from product parameters to the response 237

5.2. Models of the mean value and the variance in mass production 238
5.2.2. MODELS OF MEAN VALUE AND VARIANCE FORA PRODUCT
WITH TWO PARAMETERS 239
5.2.3. GENERALIZATIONS 243
Models of mean value and variance in mass production based on second and
third order polynomials 243
Models ofthe mean value and the variance in matrix notations 247
5.3. Estimation of noise distribution parameters 251
5.3.1. ESTIMATION OF ERROR DISTRIBUTION MOMENTS THROUGH
OBSERVATIONS 250
5.3.2. VARIANCE ESTIMATION USING TOLERANCE INTERVALS 254
5.4. Further generalizations 256
5.5. Accuracy of the predicted mean value and variance in mass
production 260
5.5.1. INFLUENCE OF THE REGRESSION MODEL STRUCTURE 260
5.5.2. INFLUENCE OF HIGH ORDER ERROR DISTRIBUTION MOMENTS
AND HIGH ORDER TERMS ON THE VARIANCE MODEL 262
5.5.3. INFLUENCE OF THE INACCURACY OF ESTIMATION 265
Appendix A. 5 .1. Derivation of mean value and variance models for second
order polynomials with m factors 275
Appendix A.5.2. Unbiased estimation ofvariance in mass production 280
Appendix A.5.3. Derivation ofmatrix 'I' for a full second order polynomial
model 283
6. OPTIMIZATION PROCEDURES FOR ROBUST DESIGN OF
PRODUCTS AND PROCESSES WITH ERRORS IN THE FACTORS 287
6.2. Optimality criteria for robust process and product design 288
6.2.1. LOSS FUNCTION MlNIMIZATION 288
6.2.2. CONDITIONAL MlNIMIZATION OF THE VARIANCE 290
6.2.3. MAXIMIZATION OF SIGNAL-TO NOISE RATIO 291
6.3. Robustness against errors in product parameters: the larger the better
and the smaller the better cases 292
6.3.2. A SIMPLE CASE: SINGLEPARAMETER PRODUCT 294
6.3.3. MULTIVARIABLE ANALYTICAL SOLUTION 297
6.4. Model-based product design in cases when a specific target value
is best 300
6.4.1. ANALYTICAL SOLUTION FOR SECOND REGRESSION MODELS 300
6.4.2. A SPECIAL CASE: ERROR FREE PRODUCT PARAMETERS 305
6.5. Model based decision making in quality improvement 311
6.5.1. PRODUCTS WITH SEVERAL PERFORMANCE
Xl
CHARACTERISTICS 311
6.5.2.USE OF NUMERICAL OPTIMIZATION PROCEDURES 315
6.5.3.PRACTICALPROBLEMS 318
6.6. Model based tolerance design 325
6. 7. Summary of the model based approach to quality
improvement through reduction of the transmitted error 328
6.8. Friction welding example 328
Appendix A.6.1. Development ofthe algorithm of subsection 6.4.1 338
Appendix A.6.2. Development ofthe algorithm ofsubsection 6.4.2 342
7. ROBUSTNESS AGAINST BOrn ERRORS IN PRODUCT

PARAMETERSAND EXTERNAL NOISE FACTORS 344
7.2. Design of experiments 346
7.3. Model building 349
7.3.1. MODELS OF MEAN VALUE AND VARIANCE IN MASS
PRODUCTION BASEDON SECOND ORDER MODELS 349
7.3.2. MODELS WITHERRORFREEPRODUCTPARAMETERS 352
7.3.3. GENERAL SECOND ORDER MODELS REVISITED 363
7.4. Optimization procedures 367
7.4.1. PROBLEM FORMULATION 367
7.4.2. OPTIMIZATION BY LAGRANGE MULTIPLIERS 369
Introduction 369
Unconstrained optimization by Lagrangemultipliers 369
Constrained optimization by Lagrange multipliers in a spherical region
of interest 374
7.4.3. NUMERICAL OPTIMIZATION PROCEDURES 375
Appendix A. 7 .1. Development of models for mean value and variance with both
errors in product parameters and external noise factors 381
Appendix A. 7.2. Derivation of algorithm for unconstrained optimization by
Lagrangemultipliers 385
8. QUALITY IMPROVEMENT mROUGH MECHANISTIC MODELS 388

8.2. Computing performance characteristic's mean value and
variance using mechanistic models 390
8.2.1. CASE WITHERRORS ONLYINPRODUCTPARAMETERS 390
8.2.2 PERFORMANCE CHARACTERISTIC'S VARIATIONS DUE
TO BOTH ERRORS IN FACTORS AND EXTERNAL NOISES 397
8.3. Mixed models for mean value and variance 399
8.4. Response surface approach based on polynomial approximations 404
8.5. Other methods for quality improvement based on mechanistic
Xll
models 408
8.5.1. USING COMBINED ARRAYS AND OPTIMIZING LOSS
ST ATISTICS VIA MODELLING THE UNDERLYING RESPONSE 408
8.5.2. MONTE CARLO EXPERIMENTS 409
8.5.3. USE OF TAGUCHI METROD WITH MECHANISTIC MODELS 409
8.6. Specific problems of quality improvement based on
mechanistic models 409
Appendix A.8.1. Derivation offormulae (8.4) and (8.6) 412
Appendix A.8.2. Development offormulae (8.11) and (8.12) 416
Appendix A.8.3. Derivation ofmean and variance models for third order
polynomials 419
9. QUALITY IMPROVEMENT OF PRODUCTS DEPENDING ON

BOTH QUALITATIVE AND QUANTITATIVE FACTORS 422
9.2. Models of performance characteristics depending on both
qualitative and quantitative factors 423
9.2.1. DUMMYVARIABLES 423
9.2.2. REGRESSION MODELS WITH BOTH QUALITATIVE AND
QUANTITATIVE FACTORS 423
Models without extemal noise factors 424
Models with extemal noise factors 427
9.3. Design and analysis of experiments with both qualitative and
quantitative factors 430
9.4. Models of mean value and variance in mass production and
use of the product 431
9.5. Optimization procedures 433
9.5.2. ANAL YTICAL SOLUTIONS OF THE OPTIMIZATION PROBLEM
IN CASES WHEN ONL Y THE ERRORS IN PRODUCT
PARAMETERS ARE T AKEN INTO ACCOUNT 433
The smaller the better and the larger the better cases 433
A specific target value is best 434
9.6. Other optimization problems 435
9.7. Examples 436
10. OTHER METHODS FOR MODEL BASED QUALITY

IMPROVEMENT 453
10 .1. Introduction 453
10.2. Model building based on replicated observations 454
10.2.1. PROBLEM STATEMENT 454
10.2.2. REGRESSION MODELS FOR THE MEAN VALUE
X111
AND V ARIANCE 454

10.2.3. VARIANCEESTIMATES BASED ONRESIDUALS 456
10.2.4. GRAPHICAL TOOLS FOR STUDYING LOCATION AND
DISPERSSION EFFECTS 462
10.3. Location and dispersion effects from non-replicated observations 466
10.4. More about the optimization procedures for robust product design 473
10.5. Parameter estimation in the case with errors in factor Ievels 474
10.5.2. WEIGHTED LEAST SQUARES ESTIMATION BASEDON
REPEATED OBSERVATIONS 475
10.5.3. WEIGHTED LEAST SQUARES: UNREPLICATED CASE 476
10.6 Response surface approach to robust design of signal-dependent
systems 477
BffiLIOGRAPHY 482
SUBJECT INDEX 500
AUTHOR INDEX 503

XV
PREFACE
This book is devoted to the problern of quality improvement of products and processes
through robust engineering design. Taguchi was a pioneer in this field and his
methodology became popular among the engineers and statisticians. Many successful
applications were reported. While Taguchi's engineering ideas were widely recognized,
many statisticians expressed criticism with respect to his statistical procedures. This
inspired development ofan alternative to Taguchi's approach based on response surface
methodology.
High quality of a product can be achieved when the mean values of its performance
characteristics are close to given targets, while the variations are as ·small as possible.
The fundamental idea behind this book is to use models to this end. Experiments have to
be carried out in order to collect information for model building. Response surface
methodology provides a variety of economical designs that can be used for quality
improvement. Two models can be obtained on the basis of observations - one for mean
value and another for variance of product's performance characteristic. With these
models optirnization procedures can be used to find product parameters that rninimize
performance characteristic' s variance while keeping the mean value on a target.
The book integrates design of experiments, model building and optimization techniques
for robust product or process design. The first chapter is introductory and gives a
general idea for model-based robust engineering design.
In order to make the book self-contained the basic ideas of the response surface
methodology are given in chapters 2 and 3. Chapter 2 presents statistical methods for
data analysis. Analysis of variance and some important combinatorial experimental
designs are considered. They are used in Chapter 4, where Taguchi's methodology for
quality improvement is presented. In Chapter 2 are also given basic principles of the
regression analysis. This is the main model-building tool used in the response surface
methodology.
In Chapter 3 we consider some important response surface designs. Methods for
interpretation of the models obtained through regression experiments are also discussed.
This is a basis for understanding the material given in Chapters 5 to 10.
Chapter 4 presents the main ideas and tools for quality improvement through design of
experiments proposed by Taguchi. On this basis a model-based approach to this problern
was developed, which is an attempt to combine the engineering ideas of Taguchi with
response surface methods for model building and optimization.
As it was noted, model-based robust engineering design requires two models: one for the
mean value and another for the variance. They take into account two sources of
variation: errors in product parameters and extemal noise factors. In the next chapters is
shown that the models reflecting the errors in product parameters and the extemal noise
factors have different properties. In Chapter 5 models of the mean value and variance
xvi
induced by the errors in product parameters are considered. The mechanism of error
transmission from the product parameters to the response is studied. An analysis of the
accuracy ofthese models is also presented.
Chapter 6 proposes optimization procedures for robust design based on models of
products or processes with errors in parameters. Optimization criteria are discussed.
Analytical and numerical optimization methods are considered, model-based decision
making and tolerance design procedures are proposed.
Chapter 7 deals with methods for design of experiments, model building and
optimization for products and processes, which are subject to both errors in parameters
and external noise factors.
Models of mean value and variance of the performance characteristics induced on the
basis of mechanistic models of products or processes are considered in Chapter 8. If
there are errors only in product parameters these models can be obtained without
experiments or simulations of noises. Methods for incorporating experimental data in the
mean and variance models are given in this chapter.
Models for quality improvement of products and/or processes with qualitative and
quantitative factors are proposed in Chapter 9. Optimization procedures are given as
weil.
Methods for building mean and variance models based on repeated observations in the
design points and their modifications for unreplicated observations are considered in
chapter 10. Graphical tools for studying location and dispersion effects are given.
Parameter estimation in cases with errors in factor Ievels is briefly presented. At the end
of this chapter attention is paid to a model-based approach to robust design of signal-
dependent systems.
The book has been written for engineers and statisticians working in the field of quality
improvement and for senior and graduate students in engineering. Previous versions of
the text have been used as a textbook for students and in industrial short courses.
lt is assumed that the readers possess knowledge of basic statistical methods and matrix
algebra. Through all chapters the main ideas are presented avoiding complicated
mathematical proofs. They are explained through many real and constructed examples.
For readers who want to go in details the proofs are given in appendices to most of the
chapters. Additional reading in the end of each chapter and an extensive bibliography in
the end of the book are provided.
The idea ofwriting the book came to us from a short course organized by Dr. E. Walter
for industrial engineers in SUPELEC, Paris where we presented the main ideas of
model-based quality improvement. We would like to thank Prof. Henry Wynn, Dr. Eric
Walterand Dr. Luc Pronzato for their helpful discussions during the research activities
that Iead to the development of this book. The authors very much appreciate the editorial
assistance ofMrs. Milena Todorova, who greatly improved the readability ofthe book.
We are most grateful to our families for their continuous encouragement of our research
and teaching activities that made possible the appearance oftbis book.
Ivan Vuchkov Sofia, Bulgaria

Lidia Boyadjieva August, 2000
CHAPTER 1
INTRODUCTION TO QUALITY IMPROVEMENT
In a production process technology, machines, and workers are the same for each
product. It is expected products to be the same too, but they are not. Some behave
perfectly when used, others need adjustment or repair and some are unusable at all.
Why does this happen? How to find the causes of the variations in product's
performance characteristics and now to eliminate or at least decrease them?
Answering these questions will Iead to high quality production of goods.
Product's quality can be regarded as a totality of specific features and
characteristics which need to be estimated in order to answer the question whether the
product conforms to its purpose.
Each product has specific functional characteristics, also called performance
characteristics. Their desired values are known from specifications or standards.
Deviations from these target values may cause Iosses to the society. These Iosses can be
financial or could involve customer's dissatisfaction, loss due to a company's bad
reputation, losing market share in long term, etc.
1.1. Why do deviations occur?
Causes of deviations from the desired values can be grouped into following categories:
i) Manufacturing imperfections, for example
Human errors,
Raw material variability,
Poor operation of the machines,
Measurement errors.
ii) Environmental influences. They can occur both in the manufacturing process
and in the usage of the product. Such influences can be the environmental temperature,
dust, humidity, vibrations, improper use ofthe product, etc.
iii) Product deterioration. Product' s performance characteristics often become
worse with time.
Take as an example the truck tyre production. The truck tyre is a complex
product, consisting of several rubber layers (protector, carcass, breaker, etc.) with
different functions and composition. Each of the layers consists of a !arge number of
components (often more than 10). After the preparation of rubber mixtures and their
preliminary treatment the elements of the tyre are stuck tagether in a given manner. Then
the tyre is put in a press where it is shaped and vulcanized under given pressure and
curing temperature.
2 CHAPTER I
Consider the different sources of performance characteristics variations in this

example.
Manufacturing imperfections.
• Human errors. Human errors are one of the causes of variations. Considerable
deviations from the prescribed amounts of the components can appear when the dose
fixing is manually controlled. It depends on the skills and discipline of the personnet A
worsening of the quality can occur due to incorrect sticking of the layers to each other.
An irregular disposition of the cord threads can be a reason for occurrence of areas of
low tensile strength. In the exploitation this could cause a puncture of the tyre. The
asymmetry of the rubber layers causes disbalance and a wobbling of the tyre can appear
in its usage. Then the protector of the tyre will be irregularly worn out and the
amortization ofthe tyre and ofthe car bearings will be accelerated.
During the vulcanization process the decreasing of curing temperature below the
prescribed Ievel can Iead to a drastic worsening of the performance characteristics of the
tyre and to shorten its normal operating period.
• Raw material variability. It is very important for the quality of a tyre that the
raw materials (natural and synthetic rubbers, soot, oil, sulphur, accelerators, etc.) possess
constant properties/(show consistency in their properties). If they vary, the mechanical
and physical characteristics ofthe tyre will vary too.
• Poor operation of the machines can be illustrated by the example of the
vulcanization process. The steam pressure in the curing process depends on the technical
condition of the presses. Usually several presses are connected to the same source of
steam and the steam pressure in each of them depends on the technical condition of the
others.
• Wrong measurements could Iead to wrong decisions in the process control. The
final decision about the product quality can also be wrong. If the measurements taken
during the fixing of component doses are incorrect the really implemented rubber
formulation would not correspond to the prescription and consequently, the performance
characteristics of the tyre could be below the desired standard.
Environmental influences.
In this example the technical condition of the car, the pressure in the inner tubes,
the driver' s skills, the environmental temperature, etc can be considered as environmental
conditions.
Product deterioration.
Usually rubber characteristics are worsening with time. This can be prevented by
special components such as zinc oxide and some others.
1.2. Random variations.
The product performance characteristics are subject to random variations. Denote the
performance characteristic by y. It can be regarded as consisting of two parts: a non
random part "1 and a random disturbance denoted by e:
INTRODUCTION TO QUALITY IMPROVEMENT 3
y = 17+ 6.
Usually 6 is a normally distributed random variable with zero mean and

variancecr;. However, it can happen that the distribution of 6 is not normal.
The probability density functionf(y) of a normally distributed random variable y is
shown on Figure 1. 1.
f(y)
f1+3cr y
Figure 1.1. Probability density function for a normally distributed random variable
It is weil known that 99.7% of all normally distributed observations fall within the
interval 1]± 3 a, where a is the standard deviation ofy.
Having a sample of n observations on y one can compute the estimates of the
mean value
1 n
y=-LYu
n u=I
and the variance
- 1 ~(y.-Y-)2 .
s 2 --L.J
n u=I
Denote by USL the upper specification Iimit and by LSL the lower specification
Iimit for y. Figure 1.2 shows several dispositions of the probability density function with
respect to the specification Iimits. The target value of the performance characteristic is
denoted by r.
4 CHAPTER 1
f(y) j(y) j(y)
LSE r USL LSE 71 r USL y LSE r 11 USL y

y
a) b) c)
Figure 1.2. Comparison ofthe target value to the specification limits
Figure 1.2a shows a weil-centred process with small enough vanat1on. All
performance characteristic's values are within the specification Iimits and there is also
some tolerance which makes it possible to expect that the performance characteristic will
remain within the specification Iimits even when small changes in the production
conditions occur.
One can see that the mean value 1J of the characteristic shown on Figure 1.2b is
shifted to the left of the target value r: That means that a part of the production will be
defective because its performance characteristic is below LSL. On Figure 1.2c one can
see a distribution for which the performance characteristic's variance is too !arge and
both LSL and USL are violated.
Even if the product' s pieces with performance characteristic outside the
specification Iimits are removed, the quality shownon Figure 1.2b is still worse than for
Figure 1.2a, because a !arger part of customers will get a product that has performance
characteristic nearer to LSL than to the target value r. In addition, the removal of the
defectives Ieads to financiallosses to the producer.
1.3. On-line and off-line quality control
To provide a high quality product an engineer must take countermeasures against the
sources of variation. This can be done in all stages of the production process and usage
of the product. In the worst case, a fraction of non-conforming products will reach the
customer. Obviously this will darnage company's reputation and its market share in long
term, and will increase enormously after-sales service costs. This can be avoided through
a strict final inspection. A strict final inspection on its own would not be sufficient,
because it can detect the defectives but not the causes for their occurrence. The defective
products will come again and again from the product lines and this will cause loss to the
company.
Far better solution is to detect the causes for variations and to remove them.
Traditional statistical methods for quality control are applied at the manufacturing stage
in an attempt to reduce the manufacturing imperfections in the product. They are called
on-line quality control methods. The most used ofthem are:
• Cause and effect diagrams,
• Control sheets,
• Histograms,
• Pareto diagrams,
• Scatter diagrams,
• Control charts,
• Stratification.
Manufacturing engineers are aware that the cost of detection and correction of
manufacturing imperfections increases rapidly as the product moves · along the
manufacturing line. Most inexpensive is to correct the manufacturing imperfections
immediately after they occur.
The following question arises:
Js it possible to prevent the appearance of manujacturing imperfections,
environmental noises or product deterioration or at least to decrease their injluence on
product performance characteristic?
The answer is yes and this can be achieved in many ways. For example, the
production process can be considerably improved and stabilized by introducing
automatic control systems. This is a good but rather expensive way of quality
improvement.
Another approach would be to make the product robust (insensitive) to
manufacturing imperfections and environmental variables.
We can illustrate this opportunity through the truck tyre example. Suppose we
are interested to obtain tensile strength y of a rubber composition equal to a given target
value r. It depends on certain parameter p used in the formulation (Figure 1.3).
Figure 1.3. Optimalparameter selection

6 CHAPTER 1
Two values of p can ensure the desired value of the tensile strength: p 1 and p 2 .
Which one is better?
Suppose that the performance characteristic of the natural rubber varies within
some interval araund p 1 or p 2 . This will result in variations in the tensile strength of the
rubber composition y. They can be decreased in two different ways:
i) By tightening the tolerance interval for p. That means to purchase high quality
natural rubber which is expensive.
ii) By shifting the operating point from p 2 to p 1 . One can see that the same
variation of p will cause less variation of y if the operating point was chosen at p 1 rather
than at p 2 . This is a eheaper solution than tightening the tolerance intervals.
In other words high quality products can be produced even if the raw materials
are not perfect.
In a sirnilar way by proper choice of the performance characteristics of a product
or a process it can be made robust against manufacturing imperfections, environmental
noises, etc. The methods for robust product or process design do not differ in all these
cases. That is why for the sake of brevity we will often speak of robust product design,
remembering that all discussions are also applicable to robust process design.
The example of Figure 1.3 is simplified. Usually the performance characteristics
depend on many parameters and to obtain a high quality product we need to consider
several performance characteristics. The idea illustrated by Figure 1.3 can be applied for
any number of parameters and performance characteristics. Forthis purpose systematic
methodology is needed. An attempt to develop such methodology was undertaken by the
Japanese Professor Genichi Taguchi who called this approachoff-line quality control.
Off-line quality control activities are conducted at the product or process design
stage and are aimed at making them robust against manufacturing imperfections,
environmental noises and product deterioration. They can ensure high quality production
at a low cost.
The life of a product starts with the product and process design, the next step is
manufacturing and at the end the customers use the product. To get a new product one
should invest in research which will make the product robust against manufacturing
imperfections and environmental variable variations. If this has not been done the
product performance characteristics variations can be too high and this may lead to many
defectives at the manufacturing stage. The cost for elirninating these effects is higher
because adjustment or repair is needed for any particular fraction of defective product. If
this opportunity is rnissed again and the defective products reach the market, the loss for
the society is much higher because the customers do not posses the necessary specialized
knowledge, skills and equipment to repair the product. They must use special services
and this is expensive.
In this book we consider only off-line quality control methods.
1.4. Performance characteristics, product parameters and noises
Consider a product or process shown on Figure 1.4. Denote by 'I the perforrnance
characteristic of interest (for example, tensile strength, viscosity, output voltage, etc.).
We consider 'I as a deterministic function of m product/process parameters (for example,
temperature, pressure, concentration, input voltage, etc. ).
PJ -J--..-J
Product y
P2-~J--~
(Process)
Figure 1.4. Performance characteristics, product parameters and noises
There are 3 groups of random disturbances:
i) Errors in productlprocess parameters. In mass production the product/process

parameters are often subject to random variations due to deviations from the nominal
values of raw material's or element's characteristics within some tolerance Iimits,
manufacturing imperfections, etc.
Take for example, an electronic circuit, with output valtage depending on two
resistances: p 1 with nominal value 1 k!l and p 2 with nominal 5 k!l. It can not be
expected that all resistors used in mass production will be exactly equal to l k!l or 5
k!l. They usually vary in some tolerance intervals, say from.0.9 k!l to 1.1 k!l and from
4.8 k!l to 5.2 k!l, respectively. These variations reflect in the response 'I and cause
random deviations of the product's perforrnance characteristics from theit nominals in
mass production.
Denote the errors in product parameters by epe 2 , ... em. The real values of the
product parameters in mass production are
Z; = P; +e;,
i = 1,2, ... ,m.
Supposedly product's parameters can be controlled in an experiment, but they

can not be strictly fixed in mass production.
ii) Extemal noise factors: n1 , n2 , ... , nq. Usually these are environmental influences
which may occur bothin manufacturing and in product's usage. For example, for an
electronic circuit extemal noise factors could be environmental temperature, humidity
8 CHAPTER 1
and vibrations during the product's usage. In an antibiotic production, for examp1e, the
environmental temperature during the production process can be considered as an
influential external noise factor.
1t is expected that the external noise factors can be set on given values during an
experiment, but it is not possible to keep them fixed in the mass production or in usage
when they vary randomly within certain intervals.
iii) Random outpul noise &. It incorporates all random influences that are not
taken into account by the errors in factors eP e2 , ... em or by the external noise factors
n1 ,n2 , ... ,nq.
Consequently, the real value of the performance characteristic of the product in
usage is the following:
1.5. Design of experiments and data analysis
Looking at Figure 1.3 one can draw the conclusion that the mean value and the variation
of the output characteristics depend on
i) The parameter values (the operating points),
ii) The statistical characteristics of the noises (the errors in product parameters,
the external noise factors and the output noise).
To find the best values of the parameters which minimize the performance
characteristic's variability, while keeping its mean value on a target r one can conduct an
experiment for different combinations of the product parameters and the noises. Then
one can see which combination provides the desired value T of the performance
characteristics and minimizes the output variance.
Very important question is how to organize the experiments. They must be
designed in such a way that will provide the engineer with information necessary for
making decisions. There is no computational method able to extract information that is
not contained (at least implicitly) in the primary data.
A Iist ofthe values offactor combinations (product parameters and noise factors)
to be carried out during the experimentation phase is called design of experiments.
Confusion can arise with the term engineering design which is entirely different thing.
Therefore, one must be careful using these terms.
Having the results of the experiments one can try to analyze them. It is
convenient to use models for this purpose. They are relationships connecting the
performance characteristic (often called also response) with the factors. lt is also
necessary to check how good is the model that fits the data. This procedure is called
goodness-oj -fit lest.
At the end specific optimization procedures must be applied to help. the engineer
in making decisions.
Ideally teamwork will help very much solving an engineering problem. The team
must incorporate people with different skills and knowledge:
a) Person(s) authorized to make decisions about the product (process),
b) Specialist(s) in the technology ofthe product or process under consideration,
c) Specialist(s) in the design and analysis of experiments who has deep statistical
knowledge and is able to use specialized statistical software.
It is possible that the above three specialists are the same person.
In this book we deal with the most important aspects of the experimental design,
model building, testing goodness of fit and optimization procedures aimed at product or
process improvement. Different approaches for solving these problems are possible. We
consider the so-called Taguchi method and a model-based approach using the results of
the response surjace methodology.
The response surface methodology is an approach to product and process
optirnization which is based on representation of the performance characteristic as a
function of some factors. These factors can be product parameters p 1 , p 2 , ... p m and/or
extemal noise factors n1 , n 2 , ... , nq. This model is obtained through an experiment.
Further on we will use the notation x; for factors expressed in natural measuring scale.
In Chapter 2 we introduce coding of factors which is convenient in the design and
analysis of experiments. The vector of coded factors is denoted x = (x1 x 2 . . . xJr .
For example, consider a problern arising in the production of inner tubes for car
tyres. The rnixture formulation consists of eight components, but in the case under
consideration the engineers are interested to see how the elongation y (%) depends on
two factors: the proportion of synthetic butadiene ruhher (SBR), denoted by x;
and
measured in weight parts (w.p.) and the proportion of soot x~ (w.p.). During the
experiments these proportians are varied within the following intervals:
20:::; x;:::; 60,
while all other components are kept constant.

An experimental design called optimal composite design is shown in Table 1.1.
The observed elongation values are given in the last column ofthis table.
In this chapter we do not go into details of methods for experimental design,
model building, statistical data analysis and optirnization. They are dealt with in the next
chapters of this book.
Using a procedure called regression analysis one can derive from the data given in
Table 1 following model of elongation:
y = 617.46- 3.0292x; + 4.1148x~ + 0.00917 x;x~ + 0.05041x~- 0.07259x~ 2 . (1.1)

10 CHAPTER 1
A test for Iack of fit shows that this is an adequate model for the elongation.
T ABLE 1. 1 Experimental design and Observations

No. SBR Soot Elongation
x;(w.p.) x~(w.p. ) y(%)
I 60 50 670
2 60 20 679
3 20 50 613
4 20 20 633
5 60 35 693
6 20 35 637
7 40 50 616
8 40 20 641
9 40 35 645
Equation ( 1. 1) can predict the value of elongation y for any combination of SBR
( x;) and soot ( x~) within the variation intervals defined above. The relationship between
the response y and the factors x; and x~ can be graphically presented through a response
surjace which is shown on Figure I. 5. The response surface is a locus of points that
satisty equation (I. I).
Elongation
7
60
20 20
Figure 1.5. Response surface: elongationy as function ofthe amount ofSBR, x; and soot, x;
A two dimensional projection of the response surface on the plane defined by the
coordinate axes x; and x~ is called contour plot. Each contour of this plot corresponds
to a constant value of the response. Contour plot for the elongation of the inner tube is
shownon Figure 1.6.Careful exploration ofthe contour plot can reveal many interesting
properties of the performance characteristic. An interesting point on Figurel.6 is so
INTRODUCTION TO QUALITY IMPROVEMENT II
called stationary point which can be obtained by Setting the firstderivatives of y to zero.
The coordinates of the stationary point are x;, = 27.3079 w.p. and x~. = 30.0667 w.p.
When the response surface Iooks as a saddle like in Figure I. S the stationary point is
called saddle point. By moving the operating point to the left or to the right of the saddle
point on Figure I. 6 the elongation is increased, while the movement along the coordinate
axis x~ Ieads to its reduction. Using the contour plots one can make decisions about the
optimal parameter values. For example, suppose that the elongation should not be less
than 660 %. The values of factors can be chosen to fall within the region on the right of
the contour corresponding to y = 660. The final decision should be made on the basis of
studying other performance characteristics and taking into account the prices of mixture
components.
Figure 1.6. Elongation contour plot
Often the number offactors is more than two. In this case the decision can not be
made merely on the basis of contour plots and more sophisticated optimization
procedures should be employed.
The totality of methods for experimental design, model building, statistical
analysis of models and exploration of response surfaces is called response surjace
methodology (RSM). The models used in RSM are usually regression equations. There
are many different kinds of designs. Some of them are not used in RSM. The response
surjace designs are only a subset ofthe designs ofexperiments.
The response surface methodology provides powernd tools for product or
process improvement. They are useful for choosing optimal parameter values that
provide performance characteristics satisfying customer requirements, while keeping the
product price low. As we already noted, efforts of people with different skills and
knowledge are needed for a successful application ofthe response surface methodology.
12 CHAPTER 1
1.6. Model based robust engineering design
In this book we extend the applications of response surface methodology to quality

improvement problems. High quality of a product can be achieved when the mean values
of its performance characteristics are close to some targets, while the variations are as
small as possible. The minimization of response variations can be done by proper choice
of product parameter values which makes the product robust to component and
environment variations. Therefore, for model based quality improvement one needs two
models describing the behavior of the performance characteristic in mass production and
usage of the product. One of them predicts the mean value, the other - the variance of
the performance characteristic. Using these models the engineer can choose product or
process parameters that minimize the variance, while keeping the mean value on target.
Consider again the inner tube example from Section 1.5. Suppose that during the
production process the amounts of synthetic rubber and soot can not be strictly fixed on
their nominal values and vary within intervals ±I w. p. araund them. These variations
cause changes of the mean and variance of the elongation. Using the methods given in
Chapter 5 one can see that for this particular case the changes of the model of mean
value are very small compared to .Y (I. I) - only the intercept slightly changes, while the
other coefficients are the same as for .Y (LI). For the case under consideration the bias
in the intercept is negligible. Hence one can consider ( 1.1) as model of the mean value in
mass production and Figure 1.5 and 1.6 can be used for exploration of the mean
response surface.
A model of elongation variance in mass production is:
s2 = I7.407- 0.059x{- 0.139x~ -0.00009x{~ +0.00114x{ 2 +0.00235x~ 2 . (1.2)
The variance surface corresponding to (1.2) is shown in Figure 1.7. A contour

plot ofvariance is given in Figure 1.8.
Variance
17
16
15
14
50
60
40
20 20 --~I
XI
Figure 1. 7. Elongation variance surface
30 40 50 60
XI
~
Figure 1.8. Elongation variance contour plot
A simultaneaus exploration of mean and variance surfaces can be very helpful in

choosing the amounts of synthetic rubber and soot. The first interesting conclusion is
that the stationary points of the mean and variance surfaces coincide. We discuss this
property in detail in Chapter 6. If the task is to obtain elongation more than 660%, the
variance can not be reduced below approximately 15.1 (%) 2 . Figure 1.6 shows that
elongation !arger than 660% can be obtained if SBR is more than 48.3 w. p. and for wide
range of amounts of soot. However, a simultaneaus consideration of Figure 1.6 and
Figure 1.8 shows that !arge amounts of soot (x~) increase the variance. Minimum of
variance can be obtained for x~ approximately equal to 31.2 w.p. The optimal amount of
SBR ( x{) depends on the desired mean value of elongation and can be chosen from
Figure 1.5.
If the task is to obtain minimum variance, one can choose the stationary point of
J
both response and variance surfaces. The variance in it is s} (x = 14.5 (%) 2 but the
elongationfalls down to y(xJ= 637.96 %.
CHAPTER2
STATISTICAL METHODS FOR DATA ANALYSIS
A product or production process can be improved by studying the causes of deviations

from prescribed values for the performance characteristics. Very often they are not
obvious and observations or experiments are needed to reveal them.
For example, consider the tensile strength of a truck tyre protector. Assurne that
it is not high enough and therefore, the life ofthe tyre is short. The low strength might be
due to inappropriate rubber formulation, or the processes of forming and curing. The
tensile strength depends on many factors such as the proportians of mixture components
(natural rubber, two or three types of synthetic rubbers, soot, oil, accelerators, sulfur,
etc. ), curing temperature and curing time. These factors influence many other
performance characteristics of the tyre which are also considered important. A weil
organized experiment, followed by a thorough data analysis would be very helpful in this
situation. It can provide answers to the following important questions:
• Which are the most important factors affecting the performance characteristics,
• How do the performance characteristics change, when the factors are varied,
• What is the joint influence of factors on the performance characteristics,
• Which is the optimal combination of factor values.
In an experiment the factors are set to some given values or conditions called
factor Ievels. We consider two groups of factors: quantitative and qualitative.
Quantitative factors are these, whose Ievels are measured in some continuous scale. For
instance proportians of the mixture components, curing time, curing temperature are
quantitative factors. Factars with Ievels that can only be named or numbered, but not
measured in a continuous scale are qualitative factors. Examples of qualitative factors
are type of synthetic ruhher used in the formulation, type of soot, operator working with
the presses, etc.
U sually the data obtained through observations is random and statistical methods
are the most appropriate tools for its analysis. In this chapter we focus our attention on
data analysis techniques which are most used in the robust product design. First the
Analysis ofVariance (ANOVA) is introduced which is used for data analysis by Taguchi
in bis approach to quality improvement. This method is also referred to in Chapter 4.
Regression Analysis is then discussed which is the main tool for data analysis used in the
remaining chapters of the book. In Chapters 3 and 5 regression models are used for
modeling the mean values and variances of the performance characteristic in mass
production. Metbads for mean and variance exploration and optimization are based on
regression models as discussed in the consecutive chapters oftbis book.
14
STATISTICAL METHODS FOR DATA ANALYSIS 15
Basic knowledge of elementary probability, simple statistical data analysis

techniques and matrix calculations is essential to understand this material.
2.1. Analysis ofvariance
Analysis oj Variance (ANOVA) is a method for examining the effect of one or more
factors on a given process or product. It can be used to analyze data from experiments
with both quantitative and qualitative factors.
Subsection 2.1.1 explains the idea of the analysis of variance in a simple case
when only one factor is considered to influence the results of experiments. lt is
generalized for multiple factors in the next subsections.
2.1.1. ONE WAY CLASSIFICATION
Main results
Consider the following example. Three operators are working in shifts producing the
same product and using the same equipment, raw materials, and technology. There are
differences in the product's performance characteristic and the process manager needs to
know whether the operators (their skills and discipline) cause them. The influence of a
three-level factor (operator) on the performance characteristics has to be therefore
studied.
Let a factor B has k Ievels B(11B(2l ... ,B(k). An experiment is conducted and r
observations for all factor Ievels of the variable y are made. The total number of
observations is N = rk and the results are given in Table 2.1.
The expectations of the i-th factor Ievel observation are denoted E(yi) = f.Ji , i =
1,2, ... ,k.
Consider a statistical hypothesis H 0 :p1 = f-1 2 =... = f-lk. If it is true then factor B
has no significant effect on the observations. H 0 is usually called null hypothesis.
TABLE21 0 ne-way ayout

No. B(l) B(2) ... B(i) ... B(k)
I yll Y2I ... Yi! ... Yk1
2 YI2 y22 ... Yj2 ... Yk2
... ... ... ... ... ... ...
j Y11 Y21 ... yij ... ykj
... ... ... ... ... ... ...
r Yir Y2r ... Yir ... Ykr
YI Y2 ... Yi ... Yk
16 CHAPTER2
To test the null hypothesis the estimates of the expectations J.ii are first computed
as follows:
1 r
.Y, =-_Lyij, i = 1,2, ... ,k.
r J=I
The total mean of all observations is
1 k r
y=-k_L_Lyij.
r i=I J=I
r
It is easy to see that LYi1 = ryi and
j=l
1 k
y=-k_Ly;. (2.1)
j=l
Assurne that the observations are non-random. Then y; = J.ii and y = E(y) = f.1 .
Wehave from (2.1)
(2.2)
Additionally assume that the null hypothesis H 0 is true and p 1 = p 2 =... = J.ik =c. Then
(2.2) is transformed to:
1 k
p=-,Lc=c.
k j=l
This result means that if a factor is not influencing the observations, then their mean
values for all of the factor Ievels and the total mean are equal.
In real life the Observations are random and y and j/1, j/2 , ... , yk are never equal
even if the null hypothesis it true. In spite of this we will compare y with .YP j/2,... ,Yk
and if the differences are small enough the null hypothesis will be accepted.
There are two sources of variation that cause the observations to deviate from the
total mean:
• Variation due to the factor,
• Variation due to other sources. It is called residual variation.
To study the variation Iet' s consider the total sum of squares:
(2.3)
It can be split into two parts (see Appendix A.2.1) :
(2.4)
where
(2.5)
and
k r
QR = LL(yif- yif. (2.6)

i~l }~I
The sum Q8 takes into account the variation due to the factor, because it shows
the difference between the means y; and the total mean y . If the factor is insignificant
then the deviations y; - y and the sum Q8 are small. Therefore, Q8 characterizes the
variation between the groups of observations, corresponding to the factor Ievels.
The sum QR is formed by the deviations yif - y; caused by the residual variation
which is also called variation within the groups of observations.
Let us compute following variance estimates:
(2.7)
and
(2.8)
with
and
VR = k(r - 1) = kr - k.
degrees offreedom correspondingly.

The number ofthe degrees offreedom for the total sum ofsquares is
v=kr-1.
and therefore,
18 CHAPTER2
The variance s~ shows the variation explained by the factor, while s;

shows the
unexplained variation. One can compare these variances using the following ratio:
(2.9)
lf the Observations are normally distributed the F-ratio has a Fisher-Snedecor

distribution with v8 and vR degrees offreedom. That is why one can use the F-test for
comparison of the variations caused by the factor as weil as by the random error.
Simplified jormulae
Simplified formulae for Q, Q8 and QR can be derived, to reduce the computations. They
are also used for explanation of results in the next chapters. The proofs are given in
Appendix A.2.2.
Denote N = kr and Iet Y. be one ofthe observations, u = 1,2, ... ,N. Denote also
2
1( N
K=- LY. )
N u=l
and
r
Bi= LYij"
J=l
As it is shown in Appendix A.2.2 if the number of observations for all factor

Ievels is the same then Q, Q8 and QR can be computed as follows:
Q= LY~-K, (2.10)
u=l
1 k
QB=- LBi2-K (2.11)
r i=l
and
QR= Q- QB. (2.12)
If the number of the observations for each factor Ievel is different - 'i , r2 , ... , rk,
then Q8 can be computed using the formula:
(2.13)
Computational procedure
The procedure is as follows:
1. Compute
r
Bi= LYij> (2.14)

j=I
Bii = LY~ (2.15)

j=I
and
N k
_Ly;=_LBii.
u=l i=l
2. Compute
where N = 1j + r2+. .. +rk.

3. Compute Q, QB and QR using (2.10), (2.11) and (2.12) and v1, v2, vR as
follows:
v= N -1,
and
VR =N -k. (2.17)
4. Compute s! ands; using (2.7) and (2.8).

5. Compute Fby (2.9).
6. Find the critical value ofthe F-distribution from tables for a given significance
Ievel a and vB = k -1, vR = N- k degrees offreedom. Denote it Fr = F(a, vB, vR ).
7. Make one ofthe following conclusions:
• if F ~ Fr then the factor B is insignificant;
• if F > Fr then the factor B is significant.
Usually the results are presented in a form shown in Table 2.2.
20 CHAPTER2
T ABLE 2.. 2 ANOVA table

Source of variation Sum of squares Degrees of freedom Variance
Factor B QB VB s2B
Residual (error) QR VR s2R
Total {! V
Example 2.1. The effect of silicon over cement strength

Suppose we want to study the effect of the silicon over the cement strength
y [(NI m2 1o-s] for three cement types. Six experiments (r = 6) are conducted for each
J
type of cement (k = 3). The data is given in Table 2.3.
Computations are carried out as follows:
1. Total mean:
I
y = 3( 0.49 + 0.47 + 0.63) = 0.53.
TABLE 2.3. Cement strength data

Factor B : silicon content
j B(I) B(2) B(3)
I 0.46 0.49 0.72
2 0.48 0.52 0.64
3 0.45 0.41 0.58
4 0.53 0.48 0.54
5 0.44 0.50 0.62
6 0.58 0.42 0.68
Y; 0.49 0.47 0.63
B; 2.94 2.82 3.78
B;; 1.4554 1.3354 2.4028
2. Equations (2.I4) and (2.I5) are used to calculate B; and Bw For example
BI= 0.46+0.48+0.45+0.53+0.44+0.58 = 2.94,
The total number of observations is N = kr = 3 x 6 = 18. The coefficient K can be

computed using (2.16) as follows:
I ( ) 2 9.54 2
K=-
I8 2.94+282+378
. . = -I8- = 50562
. .
3. Use (2.1 0) to compute the total sum of squares:

STATISTICAL METHODS FOR DATA ANALYSIS 2I
:~:>= = B11 + B22 + B33 = 5.1936

u::::l
and
N
Q = :~:):- K = 5.I936- 5.0562 = O.I374,

u::::l
From (2.II) we obtain also
The residual sum of squares is
QR = Q- QB= 0.I374- 0.09I2 = 0.0462.
The degrees of freedom are
v=N-I=I8-I=I7,
VB= k -I = 3 - I = 2,
and
VR =k{r-I)=3(6-I)= I5.
4. The ANOVA tableis given below.
T ABLE 2.4. ANOVA table for cement strength data

Source of variation Sum of squares Degrees of freedom Variance estimates
Type of cement 0.0912 2 0.0456
Residual 0.0462 15 0.0031
Total 0.1374 17
5. The F-ratio is:

F = 0.0456 = I 4 . 7 .
0.003I
6. Choose significance Ievel a = 0.05. With vB = k -I = 2 and v R = k(r -I)=

= 3(6- I) = I5 the critical value of Fisher distribution is Fr = F(a, v B, v R ) = 3. 59.
Therefore, the considered factor has significant effect on the cement strength because
F > F(a, vB,vR).
•
22 CHAPTER2
2.1.2. ANOVA: MULTIPLE CLASSIFICATION
Often the product performance characteristic depends on more than one factor.
Therefore, we need a version of ANOVA which is appropriate for analysis of
experimental data with several factors. Multiple and one way classification do not differ
too much. Suppose there are m factors of interest without interactions between them.
Then the total sum of squares Q can be resolved into m+ 1 sums as follows:
Interactions between two factors can be studied assuming that they are not
aliased with other effects. Effects are aliased if they can not be separately estimated.
More details on aliasins are given in Chapters 3 and 4. In this case the total sum of
squares can be presented as follows
(2.18)
where QA,Q8 , ... ,QM aresums ofsquares due to main effects offactors, QA8 ,QAc•··· are
sums of squares due to interaction effects and QR is the residual sum of squares.
Consider first the case with repeated Observations. Denote n the number of
different experimental trials and Iet r be the number of repetitions which is one and the
same for each trial. The total number of Observations is N = nr.
Total sum of squares can be computed as follows:
(2.19)
i=l j=l i=l j=l
where
_ 1 n r
y=-:L:~:>ij
nr i=I j=I
is the total mean of the observation, and the correction factor is
nr
The degrees of freedom for Q are v = nr - 1.

Sums of squares for the main effects can be computed as follows. Assurne that
the factor A has k a Ievels. Depending on the design of experiments each of these Ievels
can be repeated different number of times. Denote 'ia, r2a, ... , rka the number of repetitions
for the corresponding Ievels of factor A. The number of different experimental trials is
n = 'ia + r2a+... +rka. The sum of squares due to factor A can be computed as follows:
k. A2 A2 A2
"' {~ -)2 =-+-+
QA=rL....rtavz-Y I - -K,
2 ... +ka (2.20)
1=1 Tlja ~a rrka
where y1 , I= 1, 2, ... , k a is the arithmetic mean of all 11ja Observations for 1-th Ievel of
factor A, while A1 denotes the sum ofthese observations.
The degrees offreedom for QA are vA = ka -1.
If the effect of a given interaction, for instance AB, is not aliased with other
effects, it can be studied by computing the following sum of squares:
where y11 is the arithmetic mean of all Tlj1 observations obtained for combination of Ievels
A = I and B = t, I= 1, 2, ... , ka, t = 1, 2, ... , kb, while A1B1 is the sum of these Observations.
Thedegreesoffreedomfor QAB are vAB =(ka -1Xkb -1).
Formulae (2.20) and (2.21) can be derived similarly as for the single factor case.
For more detai1s see Logothetis and Wynn (1989).
If there are repeated observations the residual sum of squares can be resolved
into two parts:
(2.22)
where QR1 represents the error between different experimental conditions (the error
between experiments), and QR 2 is the sum of square due to the errors within experiments
(the error among replications).
The sum QR 1 can be computed in the following way. Consider the "experimental
trial" as a new factor with n Ievels. The sum of squares due to this factor can be
computed similarly to (2.20):
24 CHAPTER2
QIT = rf{yj- .YY, (2.23)

i=l
where
- 1~ . 12 , ... n.
Y;=-"-'yii' z=,
r i=J
The sum Q17 takes into account the effects of all factors and interactions L Q.1 ,
and the effect ofthe error between the experimental conditions QR 1. Hence:
where
The degrees of freedom for Q17 are V17 = n- 1.

The sum of squares QR 1 can be computed using the formula
and the corresponding degrees of freedom are
where v.1 are the degrees of freedom for the effects.

Clearly the computation of QR 1 is possible only if vRJ > 0, i.e. only if
(2.24)
The sum of squares due to replication error is
QR2 = ft{yij- Y;Y (2.25)

i=l j=l
with vR 2 = n(r - 1) degrees of freedom.
The variance estimates for the errors between the experimental trials and among
the replications are
5Rl2 == QRI and 5R2

z == QRz
VRI VR2
respectively.
By testing s;1 against s; 2 one decides on the significance of the inter-
experimental error. Following ratios are used for this purpose:
or
Denote the critical values of the F-test for significance Ievel a as follows:
F;RI == F(a, v RI, v Rz) and F,;
1 == F(a, v R2 , v RI). Therefore:
•lf F';1 :::; F;RI or F;; :::; F;; 1 then the inter-experimental error is insignificant, it is
pooled together with the replication error and the source influence is tested for
significance against the residual variance s; .
•lf F; 1 > F;RI then the influence of factors and interactions is tested against the
variance ofthe inter-experimental error s; 1 •
The results are usually presented as shown in Table 2.5.
TABLE 2..
5 ANOVA : muI. I compansons
tlple
Source Sumof Degrees of Variance F-ratio
squares freedom
A QA VA szA FA
B QB VB szB FB
... ... ... ... .. .
AB QAB VAB s~e FAB
... ... ... ... .. .
Residual! QRI VRI s;I
2
Residual2 QR2 VR2 SR2
Residual QR VR szR
Total Q V
Resolution of QR into two parts according to (2.22) is impossible in the following

cases:
26 CHAPTER2
i) Repeated observations are not available. In this case r = 1 and

vR 2 = n(r -1) = 0. QR 2 is also equal to zero because if r = 1 then yii in (2.25) must be
replaced by Y; and Y; = Y;. Therefore, Q = Qtr and QR = QR1.
ii) The number of factors is 2 and the effects of factors and their interaction are
significant. If all possible combinations among the factor Ievels are used in the design
then n = kakb, VA= ka -1, VB= kb -1 and vAB = (ka -1Xkb -1). The sum of degrees of
freedom for the effects is
LV•f =VA +VB +VAB =

=ka-1+kb -1+(ka -1Xkb -1)=kakb -1=n-1.
Consequently, the condition (2.24) is not satisfied and QR can not be resolved
into two parts according to (2.22).
The analysis of variance in the case without repeated observations is carried out
as follows. First the total sum of squares is computed using the formula
i~J i~J
where
)2
LY;
n
(
1
LY; and K = ....o...':.....:·~J_____..e._
n
y =-
n ;~ 1 n
The degrees of freedom for Q are v =n- 1. Making r =1 one can compute the
sums of squares due to the effects of factors and interactions by formulae (2.20) and
(2.2l).The residual sum ofsquares is
with vR =n- 1- L v.1 degrees offreedom.

The effects are tested for significance by comparing the corresponding variances
with the residual variance. For example, for the effect of factor A the following ratio is
computed
where
The effect of factor A is significant if F > F(a, v A, v R), where F(a, v A, vR) is
the critical value of F -distribution for Ievel of significance a and degrees of freedom
VA and VR.
Example 2.2. Water treatment example

Consider a waste water treatment process. There are two factors of interest:
water treatment set (factor A) having ka =4 Ievels A(l~ A(2), A(3), A(4) and chemical
agent B with kb = 3 Ievels: B(1 ~ B(2) and B(3). The performance characteristic y is the
percent ofthe residual contamination ofthe water. Three observations are taken for each
combination of the Ievels of A and B and hence r = 3. They are denoted Y;Ju, i = 1, 2, 3, 4
andj,u = 1, 2, 3 and given in Table 2.6.
T ABLE 2..
6 Water treatment data
No. A B Y;i Ai
I I I 3.6 3.8 4.3
2 I 2 3.0 3.2 3.4 AI =30.0
3 I 3 2.8 2.6 3.3
4 2 I 4.3 3.9 4.I
5 2 2 3.2 2.8 3.3 ~ =32.4
6 2 3 3.8 3.4 3.6
7 3 I 3.8 3.4 3.6
8 3 2 3.7 3.8 3.6 ~ =31.5
9 3 3 3.I 3.0 3.5
10 4 I 3.6 3.2 3.4
11 4 2 3.3 3.9 3.6 A4 =32.I
I2 4 3 3.4 3.9 3.8
36
LY; =126
i=l
Sums of all observations for a given factor Ievel are shown in the table. For
example
3 3
AI= LLYiju = 3.6 + 3.8 + 4.3 + 3.0 + 3.2 + 3.4 + 2.8 + 2.6 + 3.3 = 30.0,
j;I u;I
4 3
B2 = LLYi2u = 3.0 + 3.2 + 3.4 + 3.2 + 2.8 + 3.3 + 3.7 + 3.8 + 3.6 + 3.3 +
i;I u;I
+ 3.9 + 3.6 = 40.8.
The values of A1 are given in Table 2.6, while ~ =45.0 and~ =40.2 are
computed in a similar way.
28 CHAPTER2
The total nurober of observations is N = 4 x 3 x3 = 36. To find the correction

coefficient K one first need to compute
36 12 3 4 3
~>I= :L:~:>ij =:LA;= LBi =45.0+40.8+40.2= 126.

1=1 i=1 j=1 i=1
The correction coefficient is
1 ( LYI ) =-=441.
36 2 2
K=- 126
N 1=1 36
In order to find the total sum of squares one first computes the following sum:
36 12 3
LY!
1=1
= LLY~ = 446.56.
i=1 j=1
The total sum of squares is calcu1ated by (2.19) as follows:
Q = 446.56- 441 = 5.56,
V= N- 1 = 36- 1 = 35.
Compute QA and Q8 by (2.20). In this case r = 3, ra = 3 and 1i, = 4. Hence for

each Ievel of factor A a total of "a
= 9 values of the residual contamination have been
observed, while for the factor B they were rrb = 12. Therefore:
Q8 = _!_(45 2 + 40.8 2 + 40.2 2 ) - 441 = 442.14-441 = 1.14,

12
V8 = kb -1 = 3-1 = 2.
QAB can be found using (2.21) where the sums A;Bi correspond to each
combination of the Ievels of A and B. For example,
Similarly one can compute
A1B1 = 11. 7, A2 B1 = 12.3, Aß1 = 10.8, A4 B1 = 10.2,

A1B2 = 9.6, Aß2 = 9.3, ~B2 = 11.1, A4 B2 = 10.8,
A1B3 = 8.7, A2 B3 = 10.8, A3 B3 = 9.6, A4 B3 = 11.1.
In Table 2.6 each combination of factor levels appears only once and
1j 1 = r12 = ... = rka.kb = 1. The number of the repeated observations for each combination is
r = 3 . Therefore, the number of experiments for each factor level combination is
rAB = 3 x 1 = 3. Using (2.21) we obtain
+11.1 2 + 9.6 2 + 10.2 2 + 10.8 2 + 11.2 2 ) - 0.38-1.14-441 = 2.5.
The residual sum of squares is:
QR = Q-QA -QB -QAB= 5.56-0.38- 1.14-2.5 = 1.54.
while
The variance estimates used in the analysis are found to be:
s~ = QA = 0 · 38 =0.1267,
VA 3
s~ = Q8 = 1· 14 = 0.5700,
V8 2
S~B = QAB = ~ = 0.4167,

VAB 6
s~ = QR = 1·54 = 0.0642.
VR 24
30 CHAPTER2
The F-ratios for A, B and AB are:
F = s~ = 0.1267 = 1. 97
A s~ 0.0642 '
F
8
=s;s~ =~=8.88
0.0642 '
F = s~8 = 0.4167 = 6 .49 .

AB S~ 0.0642
The results of computations are shown in Table 2. 7
TABLE 2..
7 ANOVA table fior water treatment exampJe
Source Sum of squares Degreesof Variance F- ratio
freedom
A 0.3800 3 0.1267 1.97
B 1.1400 2 0.5700 8.88
AB 2.5000 6 0.4167 6.49
Residual 1.5733 24 0.0642
Total 5.5600 35
The Fisher distribution critical values are taken from F-distribution tables using
significance Ievel a = 0. 05:
FTA = F(0.05;3;24)= 3.01,
FTB = F(0.05;2;24) = 3.4,
FTAB = F(0.05;6;24)= 2.51
Our conclusion is that factor A (water treatment set) is insignificant because

FA <FrA. However, F8 > Fr8 and FA8 > FrAB and consequently, the chemical agent and
its interaction with the water purification set have significant effects on the residual
contarnination.
•
2.2 Introduction to design of experiments
2.2.1. PROBLEM FORMULATION
So far we considered analysis of variance based on data obtained from an experiment but
we did not explain how the data were collected. The design of experiments is a very
important problern because:
• If the experiment is not properly prepared the data may not contain sufficient
information for making conclusions,
• The number of experimental runs could be too large and the obtained
information not precise,
• A proper set of experiments would enable the use of simple and standardized
data processing procedures.
There are also other benefits that will be explained later, when discussing various
procedures for design of experiments.
A design of experiments is a table (matrix) which defines the values of factor
Ievels in a set of elementary experiments (runs). It is usually prepared in advance except
the so-called sequential procedures for design of experiments in which the conditions for
each run are selected upon the results of the preceding experiments.
There are many different types of designs of experiments which are appropriate
for different conditions of experimentation and data processing schemes. We start with
some simple designs that are used to collect data for analysis of variance.
If during the experiment all possible combinations of the factor Ievels are fulfilled
this design is called Juli jactorial design. If only a fraction of the full factorial design is
conducted then we have ajractionaljactorial design.
The number of all possible factor Ievel combinations in a full factorial design is
N = k1k 2 ••• km, where k; is the number ofthe i-th factor's Ievels, while m is the number of
factors. With the increase of m the number of runs rapidly increases. For example, if
m=6 and k 1 =k2 =... =km=10, the number of runs is N=10 6 runs. This is an
inconceivably large number of experiments. That is why fractional designs are very often
used instead of full factorial ones. The problern is how to choose the fraction.
Typical designs used with the ANOVA procedure are considered in the next
section.
2.2.2. COMPLETELY RANDOMIZED DESIGNS
In these designs all Ievels of a factor are combined with the Ievels of other factors in a
completely random manner. This is herewith demonstrated by the following example.
32 CHAPTER2
Example 2.3.
Let y(%) is the yield of a substance from a chemical reaction. Suppose it depends
on three factors: Type oj catalyst with Ievels A, B, C and D; Temperature with Ievels I
(100°C), II (120°C), III (140°C) and IV (160°C); Pressure with Ievels 1, 2, 3 and 4
which correspond to 1, 1.2, 1.4 and 1.6 atm.
To study the effect of the catalyst on the yield, one can use a completely
randomized design. It can be constructed by casting lots or by use of random numbers.
Suchdesign is shown in Table 2.8.
TABLE 2.8. Completely randomized design for studying the catalyst

. ld
eftiect on YJ.e
Pressure Temperature
I II III IV
1 B(45) C(59) B(39) D(60)
2 C(65) D(71) B(51) A(87)
3 A(82) D(68) D(59) B(55)
4 C(56) C(72) A(78) A(85)
The values of the yield y are given in the brackets in percentages. One way
ANOVA scheme is used to analyze the data (see subsection 2.1.2). The results are given
in Table 2.9.
TABLE 29 . I reactJ.on expenment: one way cIassifi1cauon

.. ANOVA table tior chenuca .
Source Sum of squares Degreesof Variances
freedom
Type of catalyst 2534 3 844.67
Residual 448 12 37.33
Total 2982 15
The F-ratio is
F = 844.67 = 22.63.
A 37.33
The critical point of the F-distribution for significance Ievel of a =0.05 and
vA = 3 and vR = 12 degrees offreedom is FrA= F(a,v A•vR)= 3.49. The conclusion is
that the type of catalyst has a significant effect on the yield because FA > FrA .
•
2.2.3. RANDOMIZED BLOCK DESIGNS
The design considered in subsection 2.2.2 does not provide homogeneaus conditions for
all types of catalyst. The yield depends al~o on the temperature but the Ievels of this
factor are not uniformly arranged trough all experiments. For instance catalyst C has
been combined with temperature II two times but not a single time with temperatures III
and IV, as weil as catalyst D has been combined twice with II and not with I, etc. To
avoid such disarrangement certain restrictions on the randomization become necessary.
Such restriction can be a rule allowing for each temperature only one experiment to be
conducted with each catalyst. Such design is shown in Table 2.1 0. It is called
randomized block design. The four blocks in Table 2.10 correspond to each of the
temperature Ievels. Experiments are randomized within the blocks.
Iymg the cataJyst effiect on t he )'le

TABLE 2 10 Random1ze d bl ockdes1gn fior stud. . ld
I II III IV
I B(55) C(72) C(56) D(60)
2 C(65) B(5l) B(39) C(59)
3 A(87) D(68) D(59) B(45)
4 D(7l) A(85) A(78) A(82)
Example 2.4.
Two-way ANOV A is applied to the data in Table 2.10 in order to study the
effects of two factors: type of catalyst and temperature. Interactions between factors, if
any, are not taken into account. Using the earlier discussed method (subsection 2.1.3)
results shown in Table 2.11 are obtained.
T ABLE 2.11. ANOVA table for the chemical reaction example:

.
two-way cI ass1.fiIcation
Source Sum of squares Degrees of Variances
freedom
Temperature 386 3 128.67
Residual 62 9 6.89
Total 2982 15
It is worth mentioning that the residual sum of squares, which is equal to 448 in
Table 2.9, is now divided into two parts. One accounts for the variation due to the factor
temperature and is equal to 386 and the other- for all other noise effects and is equal to
62.
Compute two F-ratios:
~ = s~ = 844.67 = 122 .59

SR 6.89
and
Fa= s~ = 128.67 = 18.67.
SR 6.89
34 CHAPTER2
The critical point of the F-distribution for a = 0.05, vA = vB = 3 and v. =9 is

FrA= FrB = 3.86. Since FA> FTA and FB > FTB• both factors are significant.
•
2.2.4. LATIN SQUARES
In the randornized block design the Ievels of the third factor (the pressure) are still non-
uniformly distributed amongst the experiments. For example, in Table 2.10 the catalyst C
is combined twice with each of pressures 1 and 2 and never with 3 and 4. Other sirnilar
examples are also shown in Table 2.1 0. To avoid this another restriction on the
randornization can be introduced imposing the rule that experiments using each catalyst
at each temperature for each Ievel of the pressure will be carried out. Such design is
called Latin square. Table 2.12 illustrates it as being applied to the chernical reaction
example.
. ~uare or stud"
T ABLE 2.12. L atm . 1d
1ymg t he catalJyst effiect on t he Yie
I II III IV
1 B(55) C(72) D(59) A(82)
2 C(65) D(68) A(78) B(45)
3 A(87) B(51) C(56) D(60)
4 D(71) A(85) B(39) C(59)
A k X k Latin square is a square table of e

elements in which each element is
written only once in each row and in each colurnn. Usually Latin letters denote the
e1ements of the square.
Latin squares are designs with three factors and equal number of Ievels for each
factor. For a given number of Ievels k there are more than one Latin squares. For
example, if k = 2 there are two possible Latin squares:
AB and BA
BA AB.
The number P of different Latin squares rapidly increases with k.

Table 2.13 shows P for several values of k.
T ABLE 2.13. The number of different Latin s uares P for k from 2 to 6

2 3 4 5 6
2 12 576 161 280 812 851 200
One of these Latin squares can be chosen randomly using a simple procedure. It
is demonstrated for the Latin square ofTable 2.12 with k = 4.
1. Construct a standard Latin Square. In the first row put the Latin letters in
alphabetical order:
ABCD
BCDA
CDAB
DABC
Each successive row caQ be obtained from its predecessor by shifting the first
Ietter to the last posit1on in the row and all other letters - one position left.
2. Two random sequences of integer numbers from 1 to k are formed for
example, using tables of random numbers or by casting lots. For k=4, the following
random sequences were chosen:
2,3,4,1
1,2,4,3.
3. The order of columns in the standard Latin square is changed according to the
first random sequence. For our example first take the second column, followed by the
third, the fourth and then the first:
BCDA
CDAB
DABC
ABCD
4. The order ofthe rows in the obtained Latin square is changed according to the
second random sequence as shown in Table 2.12.
Examp1e 2.5.
The results of the three-way ANOVA are shown in Table 2.14.
TABLE 2.14. ANOVA tab1e for the chemical reaction examp1e:

three wayc1assification
Source Sum of squares Degrees of freedom Variances
Temperature 386 3 128.67
Pressure 34 3 11.33
Residual 28 6 4.67
Total 2982 15
The F-ratios for the three factors ofinterest are

36 CHAPTER2
F. = 844.67 =180.87 F. = 128.67 =27.55 F. = 11.33 =2.43.

I 4.67 ' 2 4.67 ' 3 4.67
The critical value ofthe F-criterion for a =0.05, v1 = v2 = v3 = 3 and vR =6 is
Fn = F;-2 = F;-3 = 4.76. Consequently, the factors type of catalyst and temperature are
significant, while the pressure is not.
•
2.2.5. GRAEKO-LATIN AND HYPER GRAEKO-LATIN SQUARES
Latin squares are three factor designs. Similar designs for four factors are called Graeko-
Latin squares. They can be obtained by superimposing two orthogonal Latin squares.
Two Latin squares are orthogonal if after their superimposing each pair of letters is
written only once in the new square. Usually Latin letters are used in one of the squares
and Greek letters in the other.
Consider for instance two 3 x 3 orthogonal Latin squares shown below:
ABC aßy
BC A yaß
C AB ßra
Superimposing these Latin squares we obtain a Graeko-Latin square which is

given in Table 2.15.
TABLE 2.1 5. 3 X 3 Graeko-La.tm square

I II III
I Aa Bß Cy
2 By Ca Aß
3 Cß Ar Ba
In a Graeko-Latin square each Greek or Latin Ietter is written only once in each
row and column. Each combination of Greek and Latin letters appears only once in the
square. Fisher and Yates (1963) give tables oforthogonal Latin squares that can be used
to construct Graeko-Latin squares. In some cases construction of Graeko-Latin squares
is impossible. For example, 6 x 6 orthogonal Latin squares do not exist.
The data obtained through a Graeko-Latin square can be analyzed by multi- way
ANOVA procedure. If the number of factors is greater than four then three or more
Latin squares must be superimposed. As a result a design of experiments called hyper
Graeko-Latin square is obtained. This is shown by an example.
Example 2.6. A study of the viscosity of early slags

We are interested in the logarithm of viscosity log 77(Ns Im 2 ) of the early slags in
a blast fumace. Five factors are varied during an experiment as follows: temperature
T eq and concentrations (%) of the following substances: FeO,MnO,BaO,MgO.

Concentrations of other substances are kept constant. The factor Ievels are shown in
Table 2.16.
TABLE216 . Factor 1eve1s fior ear1y_

1 s1ag expenments
Factors Levels
FeO I (22%) 11(17%) III(l2%) IV(7%) V(2%)
MnO l( 2%) 2(7%) 3(12%) 4(17%) 5(22%)
BaO A(2%) B(4%) C(6%) D(8%) E(IO%)
MgO a(2%) ß(4%) y(6%) 8(8%) &(10%)
T a (l350°C) b (l325°C} c (l300°C} d (1275°C} e (l250°C}
A hyper Graeko-Latin square is used in this experiment. Three orthogonal 5 x 5

Latin squares are chosen as follows:
A B c
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
2 3 4 5 1 4 5 1 2 3 3 4 5 1 2
3 4 5 1 2 2 3 4 5 1 5 1 2 3 4
4 5 12 3 5 1 2 3 4 2 3 4 5 1
5 1 2 3 4 3 4 5 1 2 4 5 1 2 3
. Choosing the Ievels of the factor BaO according to the square A, these of the
factor Mg() - according to B and the Ievels of the temperature T - according to C we
obtain a hyper Graeko-Latin square which is shown in Table 2.17. The Ievels of the
factor FeO are denoted by Roman numbers: I, II, III, IV and V and the Ievels of the
factor MnO- by Arabic numbers: 1, 2, 3, 4, 5. The logarithmic values ofthe viscosity are
given in the brackets. lt was shown that their distribution is approximately normal.
TABLE2.17. 5 X 5 hyper Graeko-Latm square for early slag experiments

I II III IV V
1 Aaa Bbp Ccy Dd8 Ee&
{_-1.146}_ (-0.6731 (-0.365) (0.24~ (0.726)
2 Bdy Cet5 Da& Eba Acß
_{_-0.916}_ _{_-0.5141 (-1.Q93) (-0.870) (-0.139)
3 Cbe Dca Edß Aey Baö
(-1.645) (-1.532) (-0.869) (-0.242) (0.313)
4 Deß Eay Abö Be& Cda
(-1.041) (-1.532) (-1.118) (-0.965) (-0.330)
5 Ecö Ade Bea Caß Dby
(-1.732) (-1.146) (-0.960) (-1.262) (-0.849)
38 CHAPTER2
The critical value of F-distribution for a = 0.05 and v1=... = v5 = vR = 4 is

Fr = 6. 39. That is why the factors FeO, MnO and T are significant, while the influence
of BaO and MgO on the viscosity is negligible. Strongest influence on the viscosity has
FeO followed by MnO and T.
The ANOVA table is given below.
I sIags expenments
TABLE 2.I8. AN0 VA tabie fior earty
Source Surnof Degreesof Variance F-ratio
squares freedom
FeO 4.582 4 1.1456 25.3I5
MnO 2.547 4 0.6367 I4.072
BaO O.I64 4 0.0410 0.906
MgO 0.425 4 O,I062 2.348
T 1.442 4 0:3605 7.967
Residual O.I8I 4 0.04525 -
Total 9.34I 24 - -
•
2.2.6. ÖTHER DESIGNS
Incomp/ete randomized b/ock designs can be obtained ftom a randomized block design
by omitting some of the experiments. They are called balanced if each pair of elements
appears same number of times. Table 2.19 shows a design with two factors where the
first ofthem has Ievels I, II, III, IV and the second one- 1, 2, 3, 4. Combinations ofthe
factor Ievels for which experiments are conducted appear as asterisks (*) and the ones
with no observations- as dashes (-).
T ABLE 2.I9. Balanced incompiete biock design

I II III IV
I * - * *
2 - * * *
3 * * * -
4 * * - *
In this design each pair of elements appears two times. For example, Ievels II and
III of the first factor appear only in combination with the Ievels 2 and 3 of the second
factor, Ievels I and II ofthe first factor- with Ievels 3 and 4 ofthe second factor, etc.
If the number of the Ievels of one factor is less than for the other then Youden
squares can /be used. They can be obtained ftom a Latin square omitting one row or one
column (see for example Table 2.20).
STATISTICAL METHODS FORDATA ANALYSIS 39
TABLE220 Y0 uden square

I 11 111
1 A B c
2 B c D
3 c D A
4 D A B
Detailed discussion of the balanced incornplete block designs and Youden

squares is given in Cochran and Cox (1957), Box, Hunter and Hunter (1978) and
Logothetis and Wynn (1989). Orthogonal arrays are oftenused for quality irnprovernent.
They are discussed in Chapter 4.
2.3. Regression analysis
2.3.1. DEFINING THE PROBLEM
Regression analysis is a powerfiJl rnethod for rnodel building. It provides quantitative

relationship between product perforrnance characteristic and factors. This relationship
allows to explore the perforrnance characteristic's changes under variation of product
pararneters in sorne intervals and to find the best cornbination of factor-values.
Let us consider a product (or process) perforrnance characteristic that is to be
studied using experimental data. Two types of factors can be varied during the
Pmr and
r.
experirnent : product pararneters p = (p1 p2 . .• external noise factors
n= (n n
1 2 •. . nq For convenience they are cornbined into a single vector, called
vector offactors and denoted:
x-(x
- I
where I = m+q. We are interested to obtain a rnodel of the perforrnance characteristic

11 = 71(x1 , x2 , ... , xz) which allows to predict the values of 11 for any cornbination of the
factors within a given region of interest.
In this chapter we assurne that during the experirnent there is no noise in the
factors x = (x1 x2 . . . x1 Y. However, there is noise in the actually rneasured
perforrnance characteristic of the product or process which is y = q+ & with & being
randorn noise. As a result we can not obtain the "true" equation 11 = q(x1 , x 2 , ... , x1 ) but
only the predicted value
40 CHAPTER2
This equation is usually called regression model. The aim of the regression
analysis is to find the regression model in an explicit form.
2.3.2. FACTORS AND REGION OF INTEREST
In this chapter we use a geometric interpretation of the regression model. Consider a I

dimensional factor space in which the vector x corresponds to a point denoted by M
Figure 2 .. I shows this vector for I = 2.
x' 2
X' IM x' 1
Figure 2.1. Two dimensional vector of factors.
Factors x;,i= 1,2, ... ,1 are measured in some physical scales which are often
different for each of them. During the experiments the factors are changed within some
intervals
(2.26)
They are shown in Figure 2 .. 2.
0) 0)
I
----+-~----1-------+-----,>• x'
x'
lffiUI
x'iO x' I
Figure 2. 2. Interval of variation
We call x;min lower Ievel, x;max- upper Ievel and
is the basic Ievel of the factor x; . Denote the half-interval of factors' variation by
ST ATISTICAL METHODS FOR DAT A ANALYSIS 41
So called coded jactors x; will be often used. They are dimensionless and vary in
the same intervals:
-1 ~ x, ~ 1, i = 1, 2, ... , I . (2.27)
They can be obtained from (2.26) using the following formula for coding the
factors:
(2.28)
The inequalities (2.27) form an /-dimensional cubic region of interest (Figure

2 .. 3). The region ofinterest can have other shapes, for example a sphere.
Figure 2. 3. Three dimensional cubical region of interest
The performance characteristic of a product or a process is often called response

in the statistical literature, because y can be considered as a response of the process
(product) to the factors' change. Consider a space in which one of the variables is the
response and the others are the factors (Figure 2.4). Assurne that the response is a
continuous function of the factors. By changing factors we also move the corresponding
point in the space. The locus of points obtained by variation of factors in the region of
interest is called response surjace. Often it is convenient to represent the response
surface through contours obtained by having the response equal to constant values
(Figure 2.4).
42 CHAPTER2
Figure 2. 4. Response surface and contour plot
2.3.3. REGRESSION MODELS
To find optimal parameter values one needs the function 17(x1 ,x2 , ... ,xJ Usually it is
unknown and must be obtained through experiments. We do not know which are the best
values of the parameters and that is why we start with an arbitrarily chosen operating
point x 0 . Taking into account that 17 is a continuous function we can describe it locally
araund the point x 0 by a Taylor series expansion as follows:
I o 217(x)
+~ - xJ 0 )+
1-I I
~-
~ ~20 0 I {x - x 0 'Ii1\.x
X=Xo I I J
i=I J=i+I X; Xi
The point x 0 is chosen to be the centre of coordinate system( x 0 = 0). Denote

The Taylor expansion can be rewritten in the form:
I 1-1 I I
71(x)= ßo + "f.ß;x; + L "f.ß;JX;X1 + "f.ßiiX; 2 + ... (2.29)
i=l
Consequently, a polynomial model can describe any continuous steady-state

relationship.
The polynomials are most frequently used but not unique. Other linear or non-
linear in parameters models can also be used. In this chapter we restriet ourselves to
linear regression analysis. It employs models that are linear in parameters and can be
written in the form:
k
71(x)= "f.BJ;, (2.30)

i=l
where /; = ./;(x) are known functions of the factors not comprising unknown
coefficients.
One can see that (2.29) is a special case of (2.30) with /; defined as follows:
and coefficients
The model coefficients can be estimated on the basis of experiments. Assurne N

experiments are conducted. The obtained data are shown in Table 2.21.
As the response is a random variable (y = 77+ e) we can obtain only estimates Oj
of the coefficients B; . Then a predicted value y is obtained instead of 71 and the model
becomes
.Y = 'L B;J; = fl r,
k A A
(2.31)
i=l
44 CHAPTER2
. analJVSlS
TABLE221 E~xpenmenta!data fior regress1on .
Design matrix Vector of observations
No XI x2 ... XI y
1 Xn x2I ... XII YI
2 XI2 X22 ... xl2 y2
... ... ... ... ... ...
u xlu x2u ... X Iu Yu
... ... ... ... ... ...
N XIN x2N ... XIN YN
ll
Usually equation (2.31) is called regression model. We also introduce an
extended design matrix, called also matrix of regressors:
... f2k
... ftk = [r~:f2
!Nk f~
Each row of this matrix contains values of the functions ft , / 2 , ••• , fk for a given
experimental run. The predicted response vector y = {Y1 y2 ... yN Ycan be written
as follows:
y=FB. (2.32)
2.3.4. ASSUMPTIONS OF LINEAR REGRESSION ANALYSIS
Regression analysis is a procedure that allows to estimate the regression model

coefficients and to check the assumptions about the model structure on the basis of
experimental data. It comprises two stages:
• Estimation ofregression coefficients 0 = (01 02 ... Ok r.
• Statistical analysis of the model.
There are many modifications of the regression analysis procedure. W e consider
only the classical linear regression analysis procedure, based on the following
assumptions:
1. The output random noise & is normally distributed. It has zero expectation
(E(e) = 0) , its variance is constant and its values are independent for different runs.
Taking into account that y = 7]+ & one can write
E(y)= 77,
cov{y. ,yJ = cov(&. ,&J = 0 for u ;t: v.
2. The factors x;.,i = 1,2, .. . ,I; u = 1,2, ... , N are measured without errors durlog
the experiment.
3. Fis non-random matrix offull rank (rank F = k).
4. There are no constraints on the possible values of the model parameter
estimates.
2.3.5. LEAST SQUARES METROD
The regression coefficients must be estimated so that the predicted response y. is as

close as possible to the observed one Y•. That means that the so called residuals
&. =Y.- ß., u = 1,2, ... ,N
must be as small as possible. As a characteristic of the regression model quality we use

the so called residual sum of squares:
QR=:L(y.-ß.Y. (2.33)
u=l
Putting into (2.33) the value of ß. from (2.31) we obtain
Model coefficients must be chosen to minimize QR . For this purpose the first
derivatives of QR are put equal to zero and the following system of linear equations is
obtained:
46 CHAPTER2
(2.34)
Removing the brackets we rewrite this system as follows:
N
~ "" 2
~k...J;.
•=I 11=1 u=l •=I
~ N N
+... +8kLh.fku= L.h.Y•.

•=I •=I •=I •=I
11=1 u=l u=l
lt can also be written in the form
(2.35)
where
N
gij =gji =Lf:Jju. (2.36)

•=I
gii = "f..J;;,
u=l
(/); = LhuYu· (2.37)

u=l
The relationships (2.35) are called normal equations.

As }; are known functions of the factors it is not difficult to compute g;; , g;1 and
'P;. then to solve the system (2.35) and to obtain the regression coefficients
B= (BI B2 .. . Bk).
It is convenient to write down the normal equations in matrix form. For this
purpose we use the vectors B = (B1 B 2 .•• Bk fand rp = (rp1 rp 2 .. . rpk Y and the
matrix
Ku ... glkl
[ ... g2k
G= ~-2·1
gkl gkk
G is called information matrix. According to (2.36) it is symmetric.

Using the matrix notations one can write the normal equations (2.35) as follows:
GO= rp. (2.38)
Often another form of (2.38) is used which is based on the matrix F defined in
2.3.3. By direct computations one can see that G = FrF and rp= Fr y. With these
notations the normal equations can be rewritten in the form
(2.39)
The solution of this system of simultaneaus equations is

48 CHAPTER2
(2.40)
Under the assumptions of Section 2.3.4 the estimates (} have the following
properties:
1. They are unbiased: E(B)= (}. That means that the method of estimation does
not introduce systematic error in the estimates.
2. The estimates (} are consistent. That means that they tend to the true values of
parameters (} when the number of observations N tends to infinity.
3. The estimates ~ are efficient which means that their variance is not larger than
the variance of any other estimate Y; :
The proofs ofthese properties are given in Plackett (1960), Rao (1973), Seher (1977).
The variances and covariances of the estimates ~ are elements of so called
I
covariance matrix
o- 2 (8
cov(~,oJ
1)
cov(~P~klj
v(o )= cov(B B o- \B
2, 1)
2
2) cov(02 , (}k
cov(ok,BJ cov(ok,Bz) a2 (8J

In Appendix A.2.3 we show that under the assumptions of Section 2.3.4
following relationship exists
(2.41)
Consequently, the variances and covariances ofthe regression model coefficients are
(2.42)
and
(2.43)
STATISTICAL .METHODS FOR DATA ANALYSIS 49
where c;; and cif are diagonal and off-diagonal elements of C, correspondingly. As the
estimate () in (2.40) is a linear transformation of the normally distributed vector y it has
normal distribution with mean () and covariance matrix ca;.
The variance of the predicted response is
(2.44)
The proofofthis formula is given in Appendix A.2.3.
Example 2. 7.
Let us consider an example based on simulated data. Suppose we want to study
the concentration y (%) of a substance in a chemical reactor as a function of two
parameters: reaction time, t (hours) and temperature r eq. During the experiment
these factors vary within the intervals
I h. :::; t:::; 6 h.,
70°C:::; r:::;I45°C.
An optimal composite design (see Chapter 3) is used and the data are shown in Table
2.22.
T ABLE 2 22 Simu1ated data

No. t (h) XI r(oC) x2 y(%)
I 6 I I45 I 67
2 6 I 70 -I 56
3 I -I I45 I 57
4 I -1 70 -I 56
5 3.5 0 107.5 0 59
6 3.5 0 I45 I 68
7 6 I 107.5 0 59
8 3.5 0 70 -I 60
9 1 -1 107.5 0 53
One can work with the original factors but the normal equations are much simpler
if coded factors are used. The values of the coded factors can be obtained using formula
(2.28). For the first factor x{0 = 10 = 3. 5 h and w 1= 2.5 h and for the second factor
x~ 0 = r0 = I 07. 5 oc and w2 = 3 7. 5 oc. The coded values of the factors are computed by
the formulae
50 CHAPTER2
X1 = (t- 3.5)/2.5
and
x2 = (r -107.5)/37.5.
Let us estimate the coefficients ofthe following second order polynomial model:
Substitute J; = 1,/2 = x1 , .h = x 2 , /4 = x1x 2 , fs = x{ ,/6 = xi and 01 = ßo, 02 = ßJ>

03 = ß2 , 04 = ß12 , 05 = ß11 , 06 = ß22 . With these notations the model can be written in the
form (2.30). Computing /;. for the rows ofTable 2.22 we obtain following matrix
1
-1 -1
-1 -1
-1 -1 1
F= 0 0 0 0 0
0 1 0 0 1
1 0 0 0
0 -1 0 0 1
-1 0 0 0
To obtain the transposed matrix we exchange the rows and the columns ofF:
1 1 1
-1 -1 0 0 0 -1
-1 -1 0 0 -1 0
Fr=
-1 -1 0 0 0 0 0
0 0 1 0 1
0 1 0 0
The 6 x 6 information matrix is

9 0 0 0 6 6
0 6 0 0 0 0
0 0 6 0 0 0
G =FrF =
0 0 0 4 0 0
6 0 0 0 6 4
6 0 0 0 4 6
Multiplying Fr by the vector y which is given in the last column of Table 2.22 we obtain
the right hand side ofthe normal equations:
Fr y = (535 16 20 10 348 364f.
The normal equations can be written as follows:
901 + 605 + 606 = 535

602 = 16
603 = 20
404 = 10
601 + 605 +406 = 348
6~ +405 +606 =364
Compute the inverse of FrF. We need it for both parameter estimation and
statistical analysis. It is easy to calculate
1/1.8 0 0 0 -113 -113

0 116 0 0 0 0
0 0 1/6 0 0 0
C=(FrFt =
0 0 0 114 0 0
-1/3 0 0 0 1/2 0
-1/3 0 0 0 0 112
Putting this matrix in (2.40):

52 CHAPTER2
we obtain the regression coefficients. For instance
1 1 1
BI =-535--348--364= 59.89
A
1.8 3 3 '
A 1
82 = -16 = 2.67
6
and so on. The following model is obtained:
The variances and covariances of the regression coefficient estimates can be

obtained by use of (2.41) and (2.43) if 0: is known. An estimate of this variance is
computed on the basis of r = 10 additional observations in the point x1 = x2 = 0 or
t=3.54 h and r = 107.5 °C. The results ofthese Observations Y.a (%) are given in Table
2.23.
TABLE 2.23. Additionalobservations in the point x 1 = x 2 = 0.

1 2 3 4 5 6 7 8 9 10
60.5 59.0 60.0 62.1 59.5 62.0 60.5 58.9 60.2 61.0
The variance estimate is
where
-ry; =11.041,
r r
Qe = L(yua- YJ 2
= LY~a
i=l •=I
Ya = ~ LYua = 60.37,
i=l
v. = r -1 = 10- 1 = 9
and
s 2 = Q. = 11. 041 = 1 22
• v. 9 . .
Using (2.42) and (2.43) compute the variances and covariances of the regression
coefficients as follows:
2 (' ) 1 0.677,
S \{)I =-X 1.22 =
1.8
S \{)2 = S 2f')
2f') 1
\{)3 =-X 1.22 = 0.203,
6
2f' ) =-X
S \{)4
1 1.22 = 0.305,
4
\()5 = s 2f')
s 2f') \()6 =-1 x 1.22 = 0.61,
2
All other covariances are equal to zero.

•
2.3.6. CONFIDENCE INTERV ALS AND SIGNIFICANCE OF REGRESSION
COEFFICIENTS
As shown in subsection 2.3.5 the estimates B; are normally distributed with mean value
B; and variance c;; 0:. Therefore, the statistics
54 CHAPTER2
has Student's distribution with ve degrees of freedom. An estimate s; can be obtained

from rindependent observations as in subsection 2.3.5 andin this case ve = r -1. Other
u;
methods for estimation of are considered in subsection 2.3. 7.
We can obtain a 100(1- a)% confidence interval for ~ as follows:
where tr = t( a I 2, ve) is the critical point of Student's distribution for significance Ievel
a and vedegrees offreedom.
Some software packages provide significance tests based on individual
confidence intervals. The null hypothesis is H0 :B; = 0. Therefore, if
~ is insignificant.
This test is not quite reliable, because it does not take into account the
covariances among regression coefficients' estimates. A better method for model
structure selection is the method of best possible regression which is also available in
most statistical software packages.
Simultaneaus confidence intervals can also be found. As shown in many books on
regression analysis (Draper and Smith (1981), Seher (1977), Myers (1990)) a joint
confidence region is defined by the inequality
where k is the number of regression coefficients, and Fr = F( a , k, ve) is the critical

value ofF-distribution for Ievel ofsignificance a and k and ve degrees offreedom.
A 1OO( 1- a) % confidence interval on the mean value of the response at a point
X = ( X1 X 2 •. . xJT is
where tr = t(a I 2, vs} is the critical point of Student's distribution with ve degrees of
freedom. An estimate of the standard deviation of the predicted response is obtained
from (2.44) as follows:
where the elements of f are computed for point x of the factor space.
Note that the confidence interval on the mean response depends on the
experimental design through the matrix F.
Example 2.8.
Compute the individual confidence interval on B2 from Example 2.7. We found
s;
that the least squares estimate of B2 is 02 =2.67 and that = 1.22 with vs = 9 degrees
of freedom. The critical point of Student's distribution for a = 0.05 and vs = 9 is
tT = t(0.025,9) = 2.262. The second diagonal element ofC is c22 = 1/6. Therefore
or
2.67- 2.262.J1.22 I 6:::;; B2 :::;; 2.67 + 2.262.J1.22 I 6
and 95% confidence interval on B2 is
1.65:::;; ()2:::;; 7.85.
Let us also compute the confidence interval of the mean value for time 6 hours
and temperature 107.5 °C. In terms of coded variables x2 =0 and the vector f for this
combination of factors is f =(1 1 0 0 1 0Y. Putting x 1 =1 and x2 = 0 in the
regression model, we obtain y =59.89 + 2.67-4.33 =58.23. The standard deviation for
the predicted response is
s(y) = Se ~fT (FTF) -I f = .J1.22 x 0.55555 =0.8233.
For its computation we used {FTFt from Example 2.7. Hence the confidence interval
on the mean value is
58.23-2.262 X 0.8233:::;; 7]:::;; 58.23 + 2.262 X 0.8233

or
56.37:::;; 7]:::;; 60.09.
•
56 CHAPTER2
2.3.7. LACK OF FIT TESTS
Defining the problem

The least squares rnethod rrunumzes discrepancies between observed and predicted
response values for a given rnodel structure. Unfortunately this does not necessarily
rnean that this rnodel fits the data well. Experirnenters have to choose the rnodel
structure before the experirnent or at least before starting the estirnation procedure.
However, usually they don't have sufficient information for solving this problern in
advance. That is why the experirnenters start trying rnodels with different structures and
stop when one which fits the data well is found. The problern can be explained by Figure
2.5 where data of an experirnent with one factor x are shown. Dots denote the
observations.
"
y,y
"(I) "(I) "(.1)

y= 8+8 X
0 I
"(2) "{)) "{)) "{2) 2

y = e+e x+ tJ x
0 I 2
X
Figure 2.5. Fitting linear and quadratic models to data
lf the experimenter uses a linear model
to fit the rnodel to these data then the accuracy is unsatisfactory and the residual surn of
squares QR is too !arge.
U sing a second order polynomial
would be rnuch better in this case and the residuals Yu - y~2 ) would be smaller.
Statistical procedures based on analysis of variance are used for testing whether
the rnodel is well chosen. They are called testsjor Iack ojfit.
STATISTICAL .METHODS FOR DATA ANALYSIS 57
Analysis of variance jor testing model adequacy

The analysis ofvariance for testing adequacy of a regression model follows in general the
same pattern as ANOVA procedure described in Section 2.1. The total variation is split
into two parts - one that can be explained by the regression and another which can not be
explained by it.
Consider the total sum of squares
Q= L(y· -.YY, (2.45)

u=l
where
I N
y= NLYu·
u::::;J
It can also be computed by formula (2.10):
As shown in Appendix A.2.4 the total sum of squares can be presented as follows:
(2.46)
where
N
QM=L(Y.-.YY (2.47)
u=1
is due to variation explained by the regression model and
(2.48)
u=l
which shows the variation not explained by the model. lt is called residual sum of
squares.
These formulae can also be presented as follows:
QM = LY~-K (2.49)
u=l
and
58 CHAPTER2
N N
QR =LY= -LY= .
u=l u=l
(2.50)
They are convenient for computations but are more sensitive to computational
errors than (2.47) and (2.48). The reason is that both terms in the right band side of
(2.49) and (2.50) usually differ only in the last digits. We demoostrate this by example
2.10.
The residual sum of squares takes into account the random variation and the
variation due to significant functions .h which are not included in the regression.
Therefore, if the model structure is well chosen then QR will explain only the random
error.
The degrees offreedom for Q, QM and QR are
v=N -1,
VM=k-1,
where k is the number of regression coefficients. It takes into account k linear links
between the observations that appear in QM and QR through .Y•. The predicted response
t
.Y. is a function of k estirnates 0 =(Fr F Fr y which are linear transformations of the
Observations y.
It is easy to check that the following equation is true:
The lack offit test is based on comparison between the following mean squares:
S2 _ QM (2.51)
M-
VM
which is due to the model and
(2.52)
which takes into account the variation not explained by the regression.
These results are presented in Table 2.24.
TABLE 2 24 ANOVA table for test of Iack of fit

Source Sum of squares Degrees of freedom Variance
N
s2 _ QM
Model QM=:L{Y.-yY VM =k-I M-
u=l VM
N
=:L.Y; -K
u=l
N
s2 _ QR
Residual QR = L(yu- yJ2 VR =N -k R-
u=l VR
N N
=:Ly;- :L.Y;
u-1 u-1
N
Total Q= :L(y. -JIY= v=N-1

•=I
N
=Ly;-K
u-1
l.Ack offit tests based on repeated observations

Lack of fit test consists in comparing the residual variance to an estimate of the so-called
pure error variance based on repeated runs. These Observations need to be subject to all
errors typical for the experiment. Say we are interested in the strength of plastic material
plates produced in a chemical plant. To estimate the pure error variance it is not
sufficient to take samples only from one plate because such observations take into
account only the heterogeneity of the plate but not the errors in preparation of the
mixtures and the manufacturing errors.
As shown in Appendix A.2.5 if the postulated model is true, the expectation of
the residual variance is equal to the response error variance (E(si)= u;). Hence ifthe
hypothesis for equality of residual and error variances is accepted, we can accept that the
regression model is adequate. This gives rise to the following procedure for adequacy
testing.
If the assumptions of the classical regression analysis are met then an estimate of
the error variance can be calculated from r additional independent observations
y 1a,Y2a, ... ,y,a obtained for fixed values of all factors: xa =(x1a,x2a, ... ,xtaY. These
observations are not used for model coefficient estimation. The pure error variance is
estimated by the formula
(
r )2
I r I r LYua
s&2 =-""' - )2 =-
I L... (y ua - Ya ""'
L...Yua2 - ->..:•:....:.=I_____"_
, (2.53)
r- •=I r - 1 •=I r
60 CHAPTER2
where vE = r -l is the number of the degrees of freedom for s; and
- 1 r
Ya =- LYua·
r u=!
The following procedure can be defined for Iack of fit test:

1. Compute s;and s;
by (2.52) and (2.53) and find the ratio:
(2.54)
J
2. Find the critical value of F-distribution Fr = F(a, v R, v for a given Ievel of
significance a and vR = N- k, vE = r -l.
3. Compare F and F., and make one of the following conclusions:
• If F ~ Fr the model fits the data weil. In this case s; and s; do not differ too
much and the model structure is correctly chosen.
• If F > Fr the difference between s; and s; can not be explained only by the
random character ofthe observations and the model does not fit the data weil enough. In
this case another model should be used, for instance higher order polynomial.
This procedure is not often used because it needs additional independent
observations. When there are replicated runs in a design of experiments the model
adequacy can be tested without additional independent observations. Suppose that the
design has h different points and there are r; observations at each point, i = l,2, ... ,h.
The residual sum of squares can be resolved into two parts:
(2.55)
where
h
QL = L:ri{Yi- Y;Y
j::::}
is the Iack of fit sum of squares,
is the pure error sum of squares, and Y; is the arithmetic mean of the observations in i-th
design point.
The corresponding degrees of freedom are
h
VR =N-k= ~); -k,
i=l
Vc = ~:>; -h,
i=l
and
If the observations are independent and normally distributed the following

procedure is used to test the adequacy of the regression model:
1. Compute consecutively
Q sz
s2&
=-" and F =___b_2 .
v" s"
2. Campare F to the critical value of F-distribution Fr = F(a, v L, v .). If F <Fr>

the model is adequate. When F > Fr the model is inadequate. In this case the data can be
analyzed for the cause of inadequacy. Residual analysis is an appropriate tool for this
purpose (see Section 2.3.8). It can suggest ways for improving the model.
Multiple correlation coefficient

One can judge about the quality of a model on the basis on so called multiple correlation
coefficient which is defined as follows:
(2.56)
If the model fits accurately the data and there are not random errors then QR = 0,
Q = QM and R = 1. If the model has nothing in common with the data then QM = 0,
Q = QR and R = 0. Consequently, the value of R is within the interval 0 :<=:: R :<=:: 1.
In reality R rarely obtains its Iimit values 0 and 1. It is desirable the values of R to
be near to 1 but this is not sufficient to judge if the model fits the data weil. Even high
values ofthe multiple correlation coefficient may be insignificant. To test the significance
of R the following F-ratio has tobe computed
(2.57)
62 CHAPTER2
Taking into account (2.51 ), (2.52) and (2.56) we can write
Putting this result in (2.57) we obtain
(2.58)
The F-ratio given by (2.58) has an F-distribution with vM = k -1 and vR = N- k

degrees of freedom.
The following algorithm is used to test the significance of the multiple correlation
coefficient:
1. ComputeR and Fby formulae (2.56) and (2.58).
2. Choose the critical value Fr= F(a,vM,vR) ofF-distribution for a given Ievel
of significance a and vM= k - 1, vR = N- k degrees of freedom.
3. Compare F with Fr = F(a, vM, v R) and make one of the following
conclusions:
• If F !5: Fr, then R is insignificant. Therefore, the model can not explain the
variation ofthe observations around the mean value and needs improvements.
• If F > Fr the multiple correlation coefficient is significant and the regression fits
the data well.
Insignificance of R means that the model structure is wrong or important factors
are not included in it.
Box and Wetz (1973) suggest the F-ratio computed by (2.58) to be chosen at
least four times the critical value Fr . Box and Draper ( 1987) propose even more strong
inequality: F> 10F;..
As shown in Chapter 5 the quality of the regression model is vital for quality
improvement problems. That is why the Iack offit test should be conducted carefully.
Example 2.9.
Consider two multiple correlation coefficients:
• R = 0.95 for a model with k=3 coefficients which have been estimated on the
basis of N = 5 Observations.
• R = 0. 5 for a model with k = 9 coefficients and N = 109.
Let us test the significance of these multiple correlation coefficients using the
algorithm given above. For the first one we compute
The critical value of the F-distribution for a = 0. 05, vM = 2 and vR = 2 ts

FT = 19. The multiple correlation coefficient is insignificant because F < FT.
F or the second value of R we obtain
In this case the critical value ofF-distribution for a = 0.05, vM = 8 and vR = 100
is FT = 2. 03. As F > FT the multiple correlation coefficient R = 0. 5 is significant in spite
ofthe fact that it is much smaller than 0.95.
•
Example 2.10. Statistkaianalysis of a regression model
Consider the statistical analysis ofthe model obtained in Section 2.3.5. We use
the data ofTable 2.22.
Let us start with the analysis of variance. First compute the correction K:
(
LYu
N )2
K= u=I = _!_(67+56+ ... +60+53Y =_!_535 2 =31802.78.
N 9 9
The total sum of squares is
Q = LY;- K =(67 2 + 56 2 + ... + 60 2 + 53 2 ) - K

N
= 32005-31802.78 = 202.22.
u=l
For the computation of QR and QM we have to find the predicted responses for
the design points. Forthis purpose we put the values of xi and x2 from Table 2.21 in the
model which was obtained in Section 2.3.5:
For instance for u=2 we see from the second row ofTable 2.21 that xi = 1 and x 2 = -1.
Putting them into the model we obtain
64 CHAPTER2
.Y2 = 59.89+2.67- 3.33-2.50-4.33+3.67 = 56.07.
All predicted response values are computed similarly:
y1 = 67.73,y2 = 56.o7,y3 = 57.39,y4 = 55.73,y5 =59.89,
y6 = 66.89,y7 = 58.23,y8 = 60.23,y9 = 52.89.

Using these values and formulae (2.49) and (2.50} we can find
N N
QR = LY:- LY: = 32005- 32007.465 =- 2.465,
u=l u=l
LY: -K = 32007.465-31802.78
N
QM = = 204.685.
u=l
It is surprising that QR has a negative value. This can only be a result ofrounding error.
For comparison we compute the same sums using formulae (2.47) and (2.48).
First we calculate
1 N 535
.Y=-LY.
N u=l
=-=59.44.
9
Using (2.47) and (2.48} we obtain
QM = L{Yu-
u=l
YY = 198.744
and
N
QR = L(y·- .Y.Y = 3.445.

u=l
One can see that the accumulation of errors has made substantial difference in the
computation of QM and QR by formulae (2.48) and (2.49).
The total sum of squares is
N
Q = L(y·- .YY = 202.19.
u=l
The degrees of freedom are

V= N -1 = 9-1 = 8,
VM = k -1 = 6- 1 = 5,
The mean squares are computed using (2.51} and (2.52):
s~ = QM = 198.74 = 39.748,
VM 5
s~ = QR = 3.45 = 1.15.
VR 3
These results are summarized in Table 2.25.
TABLE 2.25. ANOVA table tior testing Iack offit

Source Sum ofsquares De_g_rees of freedom Variances
Regression 198.74 5 39.75
Residual 3.45 3 1.15
Total 202.19 8
The multiple correlation coefficient can be computed using (2.56) as follows:
R=~QM = 198.74 =0.991.

Q 202.19
For the significance test we use (2.57):
F= s~2 = 39.75 = 34 . 56 .
SR 1.15
The critical value of the F-distribution for a = 0.05, vM = 5, vR = 3 is Fr= 9.01.

The multiple correlation coefficient is significant because F > Fr.
The lack of fit test can also be done through an independent error variance
estimate. In Section 2.3.5 we found that s~ = 1.22 with vs = 9 degrees of freedom. In
our case s~ < s; . Therefore, we can expect that the model is adequate. However this
inequality may also be a result of computational mistake. To check this we define the null
66 CHAPTER2
hypothesis H 0 : ciR = 0:. Compute the F -ratio putting in the numerator the !arger
estimate, s;
= 1. 22
F= s;
2
= 1. 22 = 1. 06 .
SR 1.15
The critical value ofthe F-ratio for a = 0.05, V 8 = 9, vR = 6 is Fr= 8.81. As F <Fr the
null hypothesis can not be rejected. We conclude that the model fits the data weil
enough.
•
2.3.8. STEPWISE REGRESSION AND ALL POSSffiLE REGRESSIONS
One of the complicated problems with regression analysis is the choice of model. Draper
and Smith (1981) show that a model with nuisance coefficients increases the variance of
the estimates. If significant functions are omitted in the regression it becomes inadequate
and the multiple correlation coefficient is insignificant. If the number of observations is
not very high the deletion of the insignificant effects from the model will increase the
number of the degrees of freedom which is always desirable.
In the beginning of the research program the experimenter usually has a vague
idea ( or has no idea) about the model structure. That is why a set of functions J; which
are supposed to fit the data weil, can be chosen. For example, ifthere are two factors x1
and x2 and the experimenter supposes that the model might contain first, second and
third order effects he/she can use all the functions in a third order polynomial as follows:
The stepwise regression is designed to answer the question which functions of

this set can be eliminated in the final version of the model. Some of these functions can
be ignored either because they have no effect on the observed results or because they are
strongly correlated with other regressors and there is no need to take them into account
independently.
Consider a model
(2.59)
Extending this equation with d new terms we obtain the following alternative model:
(2.60)
where k2 = k1 +d.
The residual sums of squares corresponding to these models are
Ql = L(y·- )\.Y
u=l
and
N
Q2 = L(y·- Ji2.Y
u=l
with v1 = N- k.. and v2 = N- k2 degrees of freedom, respectively.

The sum Qd = Q1 - Q2 shows the variation explained by the additional terms in
ji2•. The degrees of freedom for Qd are vd = V1 - V2 = k2- k1 = d and the corresponding
mean square is
Comparing it with the residual mean square for the second model
s2 _ _ß_
2 - N-k2
we obtain so called partial F-ratio
Using (2.56) one can express FP via the multiple correlation coefficients R,2 and R; for
models (2.59) and (2.60), correspondingly, as follows:
Comparing FP with the critical value ofthe F-distribution Fr= F(a,d,N -k 2 )

we can make one ofthe following decisions:
• If FP ~Fr then the variation explained by the additional terms in (2.60) is
insignificant and the simpler model (2.59) should be used.
• If FP > Fr then model (2.60) is better than (2.59).
68 CHAPTER2
The stepwise regression procedure uses the so-called partial correlation

coefficient, defined as follows:
It shows the correlation between the response y and the regressors

h+1'h+2 , ... ,f't 2 provided that J;,h, ... ,h1 arealready in the model.
More on partial correlation coefficient can be found in Kleinbaum et al (1988),
Draper and Smith (1981), Kendall and Stuart (1973).
The stepwise regression procedure works as follows. First it is supposed that the
model consists only of a free term. The partial correlation coefficients of y with each of
the regressors J; are computed. For the regressor with the highest partial correlation
coefficient the corresponding partial F-ratio is tested and if its contribution is significant
then the regressor is included in the model. Then the contribution of the next largest
partial correlation coefficient is tested and so on. As the regressors are included one by
one, usually d = 1. At each step the partial F-ratio is computed for the regressors already
included in the previous steps in order to eliminate those whose contributions has
become insignificant. The critical value for selection of new regressors is never less than
the critical value for elimination of regressors. Usually they are equal. The procedure
ends when there are no more regressors with significant contributions which can be
included in the model.
There is standard software for stepwise regression. Usually a set of different
models is obtained and experimenters can choose one of them. This choice can not be
made only on the basis of the multiple correlation coefficient R. The addition of new
terms in the model will always decrease the residual sum of squares QR and according to
(2.56) R will always increase. To avoid this the so called adjusted multiple correlation
coefficient is often used. lt is defined as follows:
Radidoes not always increase with the growth of the number of terms in the regression.
Another criterion for the choice of a model is the difference between F and F;. .
Usually the model for which F- F;. is largest is preferred.
Many statistical packages compute also the so-called prediction error sum of
squares (PRESS), proposed by Allen (1971,1974). To calculate PRESS statistic one
observation (say yJ is deleted and a regression model is fitted on the basis of the
remairring N -1 observations. Aso called prediction error (or PRESS residual) for the u-
th point i(u) = Yu - Y(u) is calculated where Y(u) is the predicted value for the u-th
observation computed on the basis of the regression model. The sum of squares of the
prediction errors 8(. l for u = 1, 2, ... , N is called PRESS-statistic:
N
PRESS= LB(:).
u=l
The PRESS-statistic can also be computed as follows:
PRESS=L ~
N ( A )2 ,
•=I 1-m••
t
where m•• = r: (FrF r., and &. are the ordinary residuals: &. = Y. - y•. Therefore, the
PRESS-statistic can be computed using a single regression model.
The PRESS-residual shows how influential the observation is. An observation
with great difference between &. and 8(•) has a great influence on the regression. The
prediction is more precise when PRESS-statistic is smaller.
Efficient procedures have also been developed for computing all possible
regressions and they are available in many statistical packages. They fit models consisting
of all possible combinations of regressors. More on the computational procedures is
written by Kleinbaum et al. (1988), Draper and Smith (1981), Seber (1977). The
selection of the final model can be based on the same criteria as in stepwise regression.
It should be noted that there might be more than one regression models from
which to choose. The regressors are often correlated. That is why several models with
different structures may be almost equally good.
Example 2.11.
The heat generation y eq of a breaker formulation for truck tyres .is studied. It
depends on four factors: x 1 - soot, x 2 - oil, x 3 - accelerator and x 4 - sulphur. All amounts
are measured in weight parts (w.p.). The correspondence between coded and natural
values ofthe factors is shown in Table 2.26.
TABLE 2 26 Coded and natural values of the factors

Coded values Natural va1ues
x'I x'2 x'3 x'4
-1 50 0 0.4 2
0 55 2 0.6 2.75
1 60 4 0.8 3.5
A sequentially generated design is used (see Chapter 3) and 20 runs are

conducted. The data are shown in Table 2.27.
70 CHAPTER2
TABLE 2.27. Data for heat generation

studly of a breaker formulation
No. xl Xz x3 x4 y
1 -1 1 1 1 14
2 1 -1 1 1 22
3 1 1 -1 1 29
4 1 1 -1 -1 33
5 1 -1 1 -1 26
6 -1 -1 -1 1 25
7 -1 -1 -1 -1 31
8 0 1 1 -1 22
9 -1 0 1 -1 21
10 -1 1 0 -1 26
11 1 -1 -1 0 30
12 -1 1 -1 0 24
13 -1 -1 1 0 23
14 1 1 1 0 25
15 0 0 0 0 31
16 0 1 -1 1 30
17 1 1 0 1 26
18 1 0 1 1 22
19 0 -1 1 1 28
20 1 -1 -1 1 25
W e assume that a second order polynomial model contains the full set of
necessary functions:
The chosen set of regressors contains 15 functions.

The program starts working under the hypothesis that the model contains only an
intercept (j/ = b0 ) and the next steps are selection and e1imination of regressors. The
significance Ievel is the same for both procedures: a = 0.01. The computations are
terminated after 12 steps.
At each step information about the obtained regression mode1 is given. For
examp1e, consider step 9.
Step 9.
Mean value of the response 25.65
Standarddeviation ofthe response 4.44
Standard deviation of the residua1s 1.5561
Multiple correlation coefficient 0.9671
F-ratio 16.08
Constant term b0 31.19
Standard deviation of b0 1.127
The regressors in the equation are given in Table 2.28, while the regressors out of
the equation are shown in Table 2.29.
T ABLE 2.28. Stepwise regression: regressors in the equation for step 9

St. dev. Squared partial
J; Mean Standard Coeffi- ofthe Partial corre1ation
deviation cient coeffi- F-ratio coefficient
cient
x, 1.00 0.9119 1.893 0.4083 21.50 0.6862
x2 0.05 0.9445 -1.371 0.4016 11.66 0.5383
x3 0.05 0.9445 -3.331 0.3971 70.36 0.8756
x4 0.15 0.8751 -2.039 0.4288 22.62 0.6935
x2I 0.80 0.4104 -3.912 0.9123 18.39 0.6478
x1x2 0.00 0.8584 1.506 0.4233 12.65 0.5586
x2x3 -0.05 0.8870 -1.094 0.4120 7.05 0.4136
x23 0.85 0.3663 -2.438 1.0300 5.60 0.3590
x3x4 -0.05 0.8256 0.794 0.4535 3.06 0.2345
TABLE 2.29. Stepwise regression: regressors out ofthe equation for step 9
J; Mean Standard Partial Squared partial corre1ation coefficient

deviation F-ratio
x1x3 0.00 0.8584 0.1543 0.0169
x1x4 0.20 0.7678 0.0001 0.0000
x22 0.85 0.3663 0.0071 0.0008
x2x4 -0.05 0.8256 0.3559 0.0380
x24 0.75 0.4443 0.6589 0.0682
Table 2.30 shows the analysis ofvariance for the equation obtained at step 9.
TABLE 2 30 ANOVA tab1e fior step 9 .

Source Sum of squares Degrees of freedom Variances
Regression 350.335 9 38.926
Residual 24.215 10 2.4215
Total 347.55 19
This kind of information has been obtained at each of the 12 steps. Finally the
equation at step 9 with k = 10 coefficients was chosen. As we already noticed the
72 CHAPTER2
multiple correlation coefficient for it is R = 0.9671 and the corresponding F-ratio is F =

16.08. The critical value ofF-distribution for a = 0.05, vM = 9, vR = 10 is Fr= 3.02. As
F > Fr the conclusion is that the multiple correlation coefficient is significant and the
regression model fits the data weil. This was achieved with 9 instead of 15 initially
chosen functions. The final model is:
y = 31.19 + 1.893x1 -1.371x2 - 3.331x3 - 2.039x4 -

2 2 .
-3. 912x1 + 1. 506x1x2 -1. 094x2 x3 - 2.438x3 + 0. 794x3 x4
Table 2.31 shows the values of multiple correlation coefficient R and F-ratio for
all 12 steps of the procedure. Though R increases when new regressors are included in
the model this does not mean that a model with maximal number of regressors is the
best. The difference between the computed and the critical values of the F-ratio is
greatest and the adjusted multiple correlation coefficient is highest for step 9.
T ABLE 2.31. Mu1"

ttple correlation coefficient and F-ratio
Step Multiple Adjusted Regression Residual Com- Critical
No. correla- multiple degrees of degrees of puted value of F-
tion correlation freedom freedom F-ratio distribution
coeffi- coefficient VM VR F for a= 0.05 : Rr
cient R Radj
1 0.6231 0.5952 1 18 11.43 4.41

2 0.6970 0.6522 2 17 8.03 3.59
3 0.7625 0.7092 3 16 7.41 3.24
4 0.8426 0.7954 4 15 9.18 3.06
5 0.8813 0.8348 5 14 9.74 2.96
6 0.9097 0.8648 6 13 10.40 2.92
7 0.9353 0.8594 7 12 11.97 2.91
8 0.9568 0.9241 8 11 14.91 2.95
9 0.9671 0.9365 9 10 16.08 3.02
10 0.9694 0.9342 10 9 14.04 3.14
11 0.9705 0.9284 11 8 11.77 3.30
12 0.9710 0.9192 12 7 9.62 3.57
So far we considered a model with coded factors. Models with factors presented
in their natural measurement scales can also be estimated. In this case the coded factors
in Table 2.27 are replaced by the corresponding natural values and stepwise regression is
estimated. The following regression model is obtained at step 9:
y=18.8-7.162x; +54.3x; -0.00144(x;Y +0.155x;x; +

+0.315x;x; -3.309x;x; -73.85(x;Y +2.953x;x~ -0.761(x~Y.
The multiple correlation coefficient for this model is R = 0.9076 and the
corresponding F -ratio is F = 5.19 . Therefore, the model with coded factors provides
more precise prediction than the model with factors in natural measurement scales. They
differ in structure because the correlation between factors depends on their measurement
scales.
There are several advantages in using models with coded factors rather than those
•
with natural ones. When the factors are written in natural measurement scales their
magnitudes can differ too much and this usually causes numerical problems in parameter
estimation procedures. The model coefficients depend on the measuring scales and they
can not be used for comparing the effects of factors. The rounding errors in the
coefficients can strongly affect the prediction especially if the absolute values of the
factors are !arge.
2.3.9. GRAPHICAL TOOLS FOR RESIDUAL ANALYSIS
Introduc/ion
In this section we consider some simple graphical tools for analysis of residuals. They are
useful for testing the assumptions of linear regression analysis listed in subsection 2.3.4
and for model structure selection.
Given N observations
(2.61)
one can fit a regression model
The predicted response Yu is an estimate for 1Ju (x 1", X 2" , ... ,x1J. Putting it in
(2.61) we obtain the residuals
s"=y"-y", u=1,2, . . ,N,
which can be considered as estimates of the noise s".

As shown in Appendix A.2.5, the residuals have zero expectation and are
correlated even when the observations are uncorrelated. They are correlated with the
observed responses Yu as weil, but arenot correlated with the predicted ones Yu. lf the
Observations are normally distributed the residuals have normal distribution with zero
expectation and N x N covariance matrix H = I - M = I - F(Fr F t Fr . The diagonal
74 CHAPTER2
elements m•• ofthe matrix M = F(FrFtFr are called leverages and can be computed
as follows:
T{
m•• =fu \F F
T )-I
r. =a 2 \.Yu
{ :. ) 2
Ia&,
where r. is the vector of regressors for the u-th observation.

The leverages are always non-negative and vary within the interval 0 :s; m•• :s; I.
Detailed discussions on residual properties are given by Draper and Smith ( 1981 ),
Atlcinson (1986), Cook and Weisberg (1989).
Residualplots
The residuals can be plotted against:
• predicted responses .Y.,
• factors X;,
• time
These plots are helpful in revealing violations of the regression analysis
assumptions, detecting outliers, time trends, and Iack offit.
The so-called unit normal deviates E:. I sR are often used, where s~ is the residual
variance. It is known that any normally distributed random variable & falls within the
intervals:
(-a.,a.} with probability 0.68,

(- 2a<,2a.) with probability 0.95,
(- 3a ,3a
& & ) with probability 0. 99
around its expectation.

Therefore, one can expect that &. I sR will be within the interval (-3,3) with
probability 0.99. If a residual falls far outside this interval as in Figure 2.6 the
corresponding observation is considered as outlier. It can occur due to a rough mistake
or to indicate special circumstance of the experiment. The outlier must be carefully
examined considering the specific technology and if there is a strong evidence that the
outlier is due to a mistake it must be discarded, because it can significantly affect model
parameter estimates and change the conclusions from the experiment. Though this
procedure is not completely accurate it is satisfactory for most practical problems
(Draper and Smith (1981), p. 144).
1\
Eu
SR · outher
3
2
1
o o I o
. ·.
....
.
• I • I
-1 . .
0 0 0 I I 0
1
•• f •
-2
-3
Figure 2. 6. Detection of outliers
The existence of a linear or curvilinear tendency in the residual plots shows that
some important linear or curvilinear terms are rnissing in the model or are incorrectly
calculated. For example, Figure 2.7a shows that a second order term is missing. lf the
residuals are plotted against factor xj the conclusion from Figure 2. 7a is that the term
()jjxj2 has to be included in the model. The plot on Figure 2. 7b indicates that some of the
linear terms are missing or rniscalculated.
3 3
. ·.: ..··
...
... . . .- .
.: . . -: .
-3 -3
a) b)
~u ~
SR SR
3 3
2
1
.
. . .. . . -1
Y-'iu) -2
Y-'iu)
-3 -3
c) d)
Figure 2. 7. Residualplots (a) second order term is missing. (b) linear term is missing.
(c) response error variance depends either on the predicted response or on the factor xi Yu
(d) violations ofthe assumptions or inadequate model structure not observed.
76 CHAPTER2
The pattern shown in Figure 7c is observed when the variance of & depends on
the response .Y. or the factor X;. In this case observations are heteroscedastic and a
better model can be obtained by using transformations or refitting data by weighted least
squares method (see subsections 2.3.10 and 2.3.11).
If the regression analysis assumptions listed in subsection 2.3.4 arenot violated
the residual plot Iooks as in Figure 2.7d. The points are concentrated around the
horizontal axis and their density decreases with the distance from it.
. . . ..
. . ·:·:·: .
time time
a) b)
Figure 2.8. Residuals arranged by the time ofthe Observations: (a) linear trend
(b) negative correlation
Interesting conclusions can be drawn from residual plots with time on the
horizontal axis. In this case the residuals are ordered according to the time of conducting
experiments. For instance the plot in Figure 2.8a shows that there isalinear time trend,
while Figure 2.8b indicates a negative correlation ofthe Observations.
Often the so called standardized residuals are used instead of the unit normal
deviates &. I sR" They are defined as follows:
where huu and muu arediagonal elements ofH and M, respectively.

The standardized residuals c:
are preferred to su
I sn for the following reason.
The residuals s" are not independent and have different variances equal to a.J1- muu
even if the random values &" are independent and have the same distribution. The
c:
denominator of is an estimate of the variance of su .
The standardized residuals have approximately Student's distribution with N - k
degrees of freedom.
In some statistical books C: are called studentized residuals [Cook (1974), Cook
and Weisberg (1989), Kleinbaum et al. (1988)]. We prefer the term standardized
residuals because it is also used in some weil known statistical packages, for example
MINITAB [see MINITAB reference manual (1994), Chapter 9, pp. 8-9].
The so-called deleted residuals (Atkinson (1986)) or jack-knife residuals

[Logothetis and Wynn (1989) and Kleinbaum et al. (1988)] are often used for
diagnostics of unusual observations. They are obtained in the same way as the
standardized ones with the only difference that u-th observation is deleted when the
residual variance s~ is computed. In this case N- 1 residuals are used and s~ is with
vR = N- k - 1 degrees of freedom.
Standardized and jack-knife residuals do not depend on measuring scale. They
are preferable when the number of the degrees of freedom for s~ is small or the values of
the functions are not uniformly distributed.
Example 2.12.
Figure 2.9 shows a plot ofthe standardized residuals for the breaker formulation
data of example 2.10 obtained with MINITAB software. Only two of the standardized
residuals are out of the interval ( -2, 2) and are very close to its borders. There are not
indications for heterogeneity of variance, outliers or model inadequacies.
2 0
0 0
0
0 0
e'u 0 00 0
0
0 oOO
-1 0 0
0 0
-2
0
15 2i/\
y
Figure 2. 9. Standardized residuals for break.er formulation data
•
Normaland half-normal plots
The assumption about normality of a random variable can be tested using the so called
normal or half-normal plots.
Consider a random variable Y. The probability of observing Y smaller or equal to
a giveny is called cumulative density .function (c.d.f):
F(y)= P(Y ~ y).
The cumulative density function has the following properties:

78 CHAPTER2
• F(y) tends to zero for infinitely small values of y and to one for infinitely !arge
values ofy.
• F(y) is non-decreasing function.
Assurne that y is normally distributed random variable with expectation 17 and
variance er. The following transformed variable
y-17
U=--
0'
is called normal score. It has zero expectation and unit variance and its distribution is
called unit normal distribution. Figure 2.10a shows the c.d.f ofunit normal distribution.
F(u) or F(y)
0.9
0.8
0.5
0.2
0.1
0.01
-3 -2 -1 0 2 3 u -3 -2 -1 0 2 3 u
TJ-cr Tl T]+cr
a) b)
Figure 2.10. Cumulative density function ofunit normal distribution. (a) unifonn scale on the axes (b)
nonnal probability paper
The scale on the vertical axis can be chosen so that c.d.f of the unit normal
distribution is a straight line as shown in Figure 2.10b. This way the so called normal
probability paper is obtained. The cumulative distribution function F(y) has the same
form as F(u) but the horizontal axis is rescaled replacing u by y = 17 + ua.
Suppose we have N Observations yPy2, ... ,yN. Fitting a regression we can
compute the residuals e;
=Y; - Y; and order them according to their magnitude, say
Cl~ C2 ~ ... ~ CN.
David (1970, pp. 64-67 and 161-163) shows that if e; has approximately unit
normal distribution, then
F[E(e;)]= P(e; < &):= i -0. 5 . (2.62)

N
Therefore, the value (i- 0.5)/ N can be considered as an estimate of the probability
P(&; <c;).
Two types of normal probabi/ity p/ots are used:
i)Points with coordinates [F(e;1s;] are plottedonnormal probability paper.
u;
ii) Using the unit normaldistributionanormal score is found so that
(
Pus;.u; ) = i-3/8 or P\us;.u;
{ ) i-05
=--·-.
N+1/4 N
In order to obtain a normal probability plot the residuals B; are plotted against u;.
If the residuals are normally distributed, the points roughly lie on a straight line. The
outliers fall far from the straight line in the lower left and the upper right comers of the
plot. For non-normally distributed random variables, great deviations from the straight
line occur not only in the comers.
The points are not exactly on the straight line because of the random fluctuations.
Another reason for departures from straight line is that the normal plots are applicable
for uncorrelated observations, while the residuals are correlated as we mentioned in this
subsection. Nevertheless the normal plots of the residuals are useful for qualitative
conclusions about normality of observations and outliers.
One can see from Figure 2.1 Oa that F(- u) is a mirror image of F(u) and
F(O)= 0.5. Therefore, if c.d.f. is plotted against the absolute values of u then
F~ul)~ 0.5. In case of zero mean distributions, the normal probability paper can be
rescaled so that the values of c.d.f. are larger than 0.5. Arranging the absolute values of
the residuals in order of their magnitude, computing
and putting F~e; I) against I&; I on normal probability paper, we obtain the so called half-
normal probability plots ofthe residuals. They can be interpreted as the normal plots.
Example 2.13.
Using MINITAB two types of normal plots of the standardized residuals c' are
obtained for the breaker formulation data of example 2.10. They are shown in Figure
2.11. As the standardized residuals roughly lie on a straight line we conclude that they
are normally distributed. This confirms our conclusions obtained on the basis of residual
plots in example 2.11.
80 CHAPTER2
Normal Probability Plot
Probabilitf---.,....---.---......- -_,....--.....--. I I
I I
999 ----- ----------:----------:----------:--------- -~ ---

' ' ' '
99 ----- ----------:----------:----------:----------:--- -
95
.80
.50
I I I I
----- .• ..J.---------'------- -- -'--- ---- ---L---

-~---------+------- -+ ----- ----~---
1 I I I
01 ----- --------
' I I I
001 ----- --------- ~-- ------- ~--- -------:--------- -~ ---
I I I I
-2 -1 0
Stand. residuals
a)
0
2-
0 0
1- 00
oO
~>' 00
u 0 ooo
oOO
-1 oo
0 0
-2
0
-2 -1 0
Normal scores u'
b)
Figure 2.11. Normalprobability plots for the breaker formulation data (a) standardized residuals against
normal scores (b) probability against standardized residuals
•
2.3.10. TRANSFORMATIONS OF VARIABLES
The initially chosen metrics of variables may not be the most suitable for fitting a
polynomial equation to data. Sometimes non-linear transformation of the response or
factors, or both, can considerably simplify and improve the model. For example, while in
the original metrics a response can be adequately fitted by second order polynomial, a
first order polynomial may be a good model after transforming the response and/or the
factors.
STATISTICAL METHODS FORDATA ANALYSIS 81
Consider first transformations of the responses. Difficulties often arise if for some
runs the recorded response is too !arge, while for others it is too small. In this case a
non-linear transformation of the observed response Y (for example, y = log 10 Y)
contracts the scale in the region of !arge responses. The model for the transformed
response y is often much simpler than for the original one.
The transformations are also useful for stabilizing the variance and for obtaining
distributions close to the normal one. Variance stabilization can be achieved when it is
known that standard deviation of a response is functionally dependent on its mean value.
For example, Iet the differences between the observed responsein various runs are !arge
and the standard deviation of the response is proportional to its mean value. In this case
the efficiency of the ordinary least squares estimates is low because the assumption for
constant variances is not met. A logarithmic transformation of the response contracts the
scale in the region where the standard deviations are great and results in stabilizing the
variance over the whole region of interest.
Sometimes the distribution of the response Y in the original metrics is not normal,
while after some non-linear transformation it becomes approximately normal. It is
known, for example Hahn and Shapiro (1967), that the size ofparticles obtained through
fractionating of some material in a mill follows log normal distribution. Therefore, if we
want to build a model of the particle size as function of some factors we should take the
logarithm of size as a response.
Simple power transformations of the form y = ya are useful in many cases. Most
frequently used are the square root (a = 0.5), the inverse square root (a = -0.5) and the
reciprocal transformation ( a = -1). The logarithmic and the square root transformations
are applicable only if the response is positive.
A farnily of transformations, depending on a parameter A., is proposed by Box
and Cox (1964):
In this relationship Y is the geometric mean of the observations in original metrics which
can be computed from the formula
. J n
lnY =- :LinJ;..
n u=l
The parameter A. is chosen to minimize the residual sum of squares QR(A.) for a
set of A. values. Forthis purpose the model is fitted for each value of A. and In QR (A.) is
plotted against A. The value i that produces minimum of In QR (A.) is the maximum
likelihood estimate of A.
82 CHAPTER2
An approximate confidence interval on A. can be found by determining the two

values of A, for which
where a is a given significance Ievel, %2 (a,1) is the corresponding upper critical point of
% 2 -distribution with one degree of freedom, and vR is the number of residual degrees of
freedom.
Non-linear transformations of factors x1 , x2 , ... , x1 are also useful in some cases.
They do not affect the distribution of the response. These transformations can be chosen
empirically or on the basis of some theoretical knowledge about the model.
For more information about transformations see Box and Cox (1964), Box and
Draper (1987), Logothetis and Wynn (1989) and Box and Tydwell (1962).
2.3.11. WEIGHTED LEAST SQUARES
Due to non-linear transformation of errors (see Fig. 1.3) it is possible to minimize the
performance characteristic's variability. Hence the response variance depends on the
factors and the observations are heteroscedastic.
Two types of experiments are used in quality improvement problems:
• Experiments without errors in factors. Usually in this case the classical
regression analysis assumptions are satisfied and the ordinary least squares can be used
to fit equations.
• Experiments with errors in factors. Responses obtained from such experiments
are heteroscedastic random variables and the first assumption of the classical regression
analysis does not hold. In this case the ordinary least squares give biased and inefficient
estimates ofthe regression coefficients (Vuchkov and Boyadjieva (1981)). Unbiased and
efficient estimates based on heteroscedastic Observations can be provided by weighted
least squares.
Let us introduce some weights w; such that the contributions of Observations in
the residual sum of squares are small when their variance is large:
QR = Lw•{y•- .Y.Y · (2.63)

•=1
For heteroscedastic Observations the weights are chosen equal to the inverses of
their variances:
w. =110:, u=1,2, ... ,N. (2.64)

Taking into account (2.31) we rewrite the residual sum of squares in the form
(2.65)
Denote
and
Equation (2.65) becomes
QR = ±&•• -OJui• - Odu2• - ···- Okfuk• J·

u=l
Minimizing this sum as in Section 2.3.4 we obtain the normal equations:
T T
F. F.B= F. y., (2.66)
A
where
I
F. = W 2 F,
and W is N x N diagonal matrix with elements w 1 , w 2 , ... , wN.

If the weights are chosen according to (2.64) then W = :E-\ where :E is the
variance matrix ofthe observations:
In these notations the weighted estimates of the regression coefficients are
(2.67)
84 CHAPTER2
2.4. Bibliography
There are a Iot of introductory books to probability and statistics. An appropriate

introduction to the methods presented in this book is Box, Hunterand Hunter (1987).
Other sources written for engineers are Mendenhall and Sincich (1992), Bury (1975),
Chatfield (1978), Kirkpatrick (1974), Volk (1969).
Introduction to analysis of variance and design of experiments for ANOVA can
be found in Hicks (1972) and Cochran and Cox (1957). Logothetis and Wynn (1989)
give some specific ANOVA procedures that are useful for solving quality improvement
problems. Scheffe (1959) presents the theoretical background ofthe analysis ofvariance.
A book on regression analysis for beginners and people involved in applications is
Chaterjee and Price (1977). The books by Draper and Smith (1981), Belsley, Kuh and
Welsch (1980), Cook and Weisberg (1989) and Vuchkov, Boyadjieva and Solakov
(1987) are oriented to applications, providing also theoretical background for the most
important regression analysis techniques. Daniel (1976) and Atkinson (1986) describe
useful graphical tools for regression diagnostics. The book by Carroll and Ruppert
(1988) presents weighted least squares estimation and methods for data transformations.
The theory ofthe regression analysis is given by Plackett (1960), Rao (1973) and Seher
(1977).
Standard software is widely used in the applications of ANOVA and regression
analysis. An example is MINIT AB, initially designed for education purposes, but it can
also be used for solving real engineering problems. All professional statistical packages
like SAS, STATISTICA, SPSS, GENSTAT, BMDP, S-PLUS and many others contain
ANOVA and regression analysis programs.
Appendix A.2.1. Basic equation of the analysis of variance
We will prove equation (2.4):
(2.4)
where
(2.3)
(2.5)
i=l j=l i=l
and
(2.6)
Proof Rewrite (2.3) in the form:

or
i=l j=l i=l j=l i=l j=l
The last term in (A.2.1.1) can also be written as follows:
k r
D = 2LL(yij- yiXJ;i- y)=
i=l j=l
(A.2.1.2)
i=l j=l i=l
where
k k
B= L(yi- y)=LYi -liy. (A.2.1.3)
i=l i=l
Taking into account that

1 k
.Y=-kLy;, (2.1)
j=l
one can see that B = 0. Hence, D is also equal to zero and (A. 2. 1. 1) can be presented in
the form of (2.4).
•
Appendix A.2.2. Derivation ofthe simplified formulae (2.10) and (2.11)
Denote N = kr . We can present the total sum of squares in the form
Q= L(y.- YY.
•=I
Removing the brackets one obtains:
N N
Q = ~>:- 2YLY. + NY 2 (A.2.2.1)
u=l u=l

86 CHAPTER2
1 N
.Y= N~Y.
(A.2.2.1) can be rewritten as follows:
N N
Q= 1>; -2Ny2 +NY2 = LY; -Ny2. (A.2.2.2)
u=l u=l
This can also be presented in the form:
(2.10)
where
Sirnilarly one can prove (2.11).

•
Appendix A.2.3. Basic properties of least squares estimates
1. Under the assumptions of Section 2.3.4 the least squares estimates are
unbiased: E(B)
= () .
Proof Putting E(y) = 77 =F () in (2.40) we obtain:
•
2. The covariance matrix of least squares estimates is
v(o)= ca;, (2.41)
where C = (Fr F t. Denote by c;; and c,1 the diagonal and the off-diagonal elements of
C respectively. The variances and covariances ofleast square estimates are:
(2.42)
(2.43)
Proof The covariance matrix ofleast squares estimates is:
v(o)= E[(o -(} Xo -(} Y] (A.2.3.1)
or
CT 2 (oi )= E[ (oi - ()i YJ

and
cov(BoBJ= E[(oi -BJB, -BJ],
we can rewrite v(o) in the following form:
(A.2.3.2)
As t t
B= (FrF Fr y and () = (FrF Fr 17, we can rewrite equation (A.2.3 .I) as follows:
v(o)=E[(o-BXo-Br] = E{[(FrFtFr(y-ry)iFrFtFr{y-ry)J} =
= (FrFtFr E((y- 11XY- T7J f(FrFt · (A.2.3.3)

88 CHAPTER2
In the last equation we take into account that Fis non-random and (FrF t is symmetric
matrix. E[(y -17 )(y -qY] is the covariance matrix of observations and according to the
assumptions ofSection 2.3.4 is v(y)=a;I. Substituting a;1 for E[(y-q)(y-qy] in
(A.2.3.3) we obtain (2.41). Equations (2.42) and (2.43) follow immediately from (2.41) .
•
3. The variance oj the predicted response is
(2.44)
Proof By definition
Denote y =(/ f . If the postulated model is true then
E(Y)= E(orr )= E(or ~ = orr = 11

and
a 2 {Y)= E[(Y -q:(y -q))=
= E[rr(o -{} Xo -or f J= rr E[(o -oXo -or]r. (A.2.3.4)
From (2.41) and (A.2.3.1) we know that
Substituting this result in (A.2.3.4) we obtain (2.44).

•
Appendix A.2.4. Sums of squares for tests for Iack of fit
We will prove equation (2.46):
(2.46)
where
ST ATISTICAL METHODS FOR DAT A ANALYSIS 89
(2.45)
u:::l
QM = IcY.- .YY'
u:::J
(2.47)
and
(2.48)
u=l
Proof Taking into account (A.2.2.2) we rewrite (2.45) in the form:
Q= LY: -J\}'2 (A.2.4.1)

u=I
The sum QM can be written similarly to (A.2.4.1) as follows:
(A.2.4.2)
u::;::}
we see that the first ofthe normal equations (2.34) can be written as follows:
L(yu -y.)=O,
u=I
because fu 1 = 1. Hence,
-IN IN~~
Yu = NLYu = NLYu =Yu·
u=l u=l
Substituting .Y. = Yu into (A.2.4.2) we obtain
LY:- J\}'2=Vy- J\}'2 = (!Fry- Ny2

N
QM = (A.2.4.3)
u=l
The residual sum of squares can also be written in the following matrix form:
90 CHAPTER2
QR = i:Cv.- .Y.Y
u=l
= ~-For~-FO)=
The normal equations are FrFO= Fr y and yrFO is a scalar, i.e.
Therefore, (A.2.4.4) can be presented in the form:
(A.2.4.5)
Taking into account (A.2.4.1), (A.2.4.3) and (A.2.4.5) we obtain:
QM +QR = (1Fry-Ny2+yry- (!Fry =
Substituting y = FO in this equation we can write
(A.2.4.6)
According to the normal equatiöns the last term of(A.2.4.6) is equal to zero and
= YT y- NY 2 =LY: - NY2 .
N
QM + QR (A.2.4.7)
u=l
Using (A.2.4.1) and (A.2.4.7) we obtain (2.46).

•
Appendix A.2.5. Properties of the residuals
Consider a regression model
~ ~
L OJ;= iff'
k
ji =
i=l
obtained on the basis of N observations using the normal equations FrFB= Fr y. Denote
the N - vector of residuals by 8 = y - y. The following properties of the residuals hold
under the assumptions ofthe linear regression analysis listed in Section 2.3.4:
1. E(e) = 0, provided that the postulated model is true.
Proof If the postulated model is true then 71 = FB and under the assumptions of
Section 2.3.4, the model coefficient estimates are unbiased: E(o)= B. Therefore,
E(e)= E(y -y)= E~ -FO)= E(y)-FE(O)= 77-FB = 0.

•
2. The residuals are cross-co"elated and their covariance matrix is
v(&)=Ha;, (A.2.5.1)
where
(A.2.5.2)
Prooj The residuals are
(A.2.5.3)
and their covariance matrix is
According to the assumptions accepted in Section 2.3.4 the Observations are not
)=
correlated and with equal variances. Therefore, E&yr a;I and
(A.2.5.4)
It is easy to verify that H and M = F(FrFtFr are idempotent matric~s, i.e.

H = H 2 = HH and M = M 2 = MM. Actually,
and
H 2 =HH=(I-MXI-M)=I-2M+M 2 =1-M=H.
92 CHAPTER2
Taking into account that (FrFt is a symmetric matrix we can write the off-diagonal
elements ofH as follows:
T(
h.i =f. F F
T )-I fi =fi T( T
F F
)-1 f. =hiu.
Hence, His symmetric and H = Hr. Using in (A.2.5.4) the fact that HHr = HH= H we
obtain the result (A. 2. 5 .1).
•
3. The leverages m•• take values within the interval 0 ::;; m•• ::;; I.
The diagonal elements ofthe matrix M = F(FrFtFr are
m•• =fr(FrFtr
and they arenon negative because (FrFy 1 isanon negative definite matrix. H = H 2 is
non negative definite matrix and h•• = 1-m•• are also non negative. Hence, 0 ::;; m•• ::;; 1.
•
4. The residuals have a multivariable normal distribution with expectation
E(&) =0 and covariance matrix V(&)= Her;.
e
The normality follows from (A.2.5.3) because = Hy isalinear transformation
of a normally distributed vector y. The expectation and the · covariance matrix of the
residuals are according to properties I and 3.
•
5. The residuals e are correlated with the observed response y and not
correlated with the predicted one y.
Proof.
(i)The covariance matrix of eand y is
In this equation FO is a non-random vector and E[&(FO) ]= (FO) E(&) = 0. Hence,
The residuals are correlated with the observed responses because H is a non-diagonal
matrix.
(ii) The covariance matrix of E: and y is
V(&,y)= Efj -171&- E(&)f }, (A.2.5.5)
where 17 = E(Y) = E(F B) = FE(B) = F (} .

Taking into account that 17 is non-random and E(&)= 0 one can rewrite (A.2.5.5) as
follows:
Substitute E: = Hy from (A.2.5.3) in this equation:
V(s,y)= E~yrHr )= E(FByrHr )= E~(FrFtFr yyrHr )=
= E(MyyrHr )= ME(yyr )Hr. (A.2.5.6)
According to the assumptions of linear repression analysis introduced in Section 2.3.4

the observations are not correlated, i.e. E\yyr )=
0:1 and (A.2.5.6) can be rewritten as
follows:
(A.2.5.7)
The last equality follows from the symmetry of H and M. As M is idempotent matrix we
can present (A.2.5.7) in the form:
Consequently, E: and y arenot correlated.

•
6. lf the postulated model is true then E( s~) =a; where
(2.52)
Proof If the postulated model is true E(y) = 17 =F(}. According to (2.52) and
(A.2.5.3) we can write
94 CHAPTER2
(A.2.5.8)
It was shown that His idempotent matrix (H = HTH). Therefore,
(A.2.5.9)
The expectation of QR is
However, yTH77 = 77THy because the transposition does not change these scalar values.
Taking expectation we obtain
(A.2.5.11)
Putting (A.2.5.11) into (A.2.5.10) we can write
r
E(yTHy) = E[(y-7] H(y -77) + 77TH11)
= E~r(y -qYJ -TJf n]+ 17TH17. (A.2.5.12)
Und er the assumptions of subsection 2. 3. 4 we have
where IN is N x N identity matrix.
Substituting this result into (A.2.5.12) we obtain
(A.2.5.13)
The trace ofH can be obtained from (A.2.5.2) as follows:
The second term in the right hand side of (A. 2. 5. 13) is

77 rH77 = orFr[I-F(FrFtFr]Fo =
= orFr[F-F(FrFtFrF]o = orFr(F-F)o = o. (A.2.5.15)
Putting (A.2.5.14) and (A.2.5.15) into (A.2.5.13) we obtain
E(yrHy) = (N- k)u:. (A.2.5.16)
From (A.2.5.8), (A.2.5.9) and (A.2.5.16) we have
E(QR) = E((N- k)s~) = E(yrHy) =(N- k)u:,

or
E(s~) = U:.
•
CHAPTER3
DESIGN OF REGRESSION EXPERIMENTS
3.1. Introduction
Organizing the experiments is of great importance to the regression models quality. In

this chapter we consider often used methods for regression experiments design. F or more
details see Box, Hunterand Hunter (1978), Box and Draper (1987), Khuri and Comeil
(1987), Myers and Montgomery (1995).
In the beginning of a research program engineers know little about the process or
product. That is why some important characteristics of the problern under consideration
are matter of experimenter's judgment Such are the choice of factors and their intervals
of variation, the choice of the metrics of the variables and their eventual transformation,
the choice of the model and the design, etc. The decisions about these characteristics
depend on research team members' knowledge and experience.
Initial experiments can improve experimenter's knowledge and the problern could
be defined more precisely. For example, after an initial group of experimental runs some
new factors can be included in the design, others can be excluded, new region of interest
can be chosen, etc. Therefore, this initial group of experimental runs can be considered
as a part of a sequence of trials. This sequentia/ nature of experimentation allows initial
uncertainties to be decreased and poor initial choices to be improved.
W e consider several important aspects of the experimental investigation. They
are:
• Defining the problem. Defining the problern precisely is decisive for the final
result. The response should be useful for the engineering problern and it should give a
possibility for subsequent data analysis. Methods of measuring data for all possible
combinations offactor Ievels must be clear.
• Choice of factors. The nurober of experiments depends on the nurober of
factors. Sometimes it is too large. There is not much sense in including all factors in a
research program because usually only some of them are important, while the effects of
the others can be considered as random variation. In order to select the "vital ones" and
to discard "the trivial ones" one can use weil known methods ofbrainstorming or cause-
and-effect diagrams. Special screening experiments can be organized as weil. Neglected
factors can be:
i) kept constant during the experiment. In this case they may not be taken into
account in the model but the obtained results will be true for the chosen constant values
of these factors.
96
DESIGN OF REGRESSION EXPERIMENTS 97
ii) left to vary during the experiment. In this case their effects are considered as
random and this increases the response variance.
During experiments factors must be set to given Ievels and measured accurately.
Sometimes the factors can not be kept precisely on their preliminary given Ievels. Then it
is important to write down the real factor values and to carry out the regression analysis
with them.
• Region of operability and region of interest. Factars can be varied over an
extensive area in the factor space called operability region. It is usually unknown or
poorly known and modelling the performance characteristic in it is impossible or very
difficult. However, experimenteis can locally approximate the response by a polynomial
regression in the neighbourhood of a point x0 which is initially supposed to be the best.
This model is adequate in a much smaller region of interest. Analyzing the regression
model investigators can decide to conduct new experiments within another region of
interest in order to improve the process or product performance characteristics. Applying
this procedure several times researchers can reach operating conditions far from the
initially chosen point in the Operability region.
Often the region of interest is defined by an initial point x0 and by the intervals of
factors araund it. They must be chosen so that the response is measurable for all possible
combinations of the factor Ievels. For example, consider an experiment designed for
studying the eroshing strength of concrete as a function of its components which are
cement, gravel, sand and water. If the variation intervals of all components are chosen
between 0 % and 100 %, combinations of Ievels such as I 00 % water and 0 % of the
other components might be in the design. It is clear that the eroshing strength of the
water can not be measured. In this case realistic factors intervals must be chosen for
which the eroshing strength can be measured (though it may not be optimal or even high
enough). Sometimes the wrang choice offactor Ievels can be dangerous. For example, in
an oxidation process the growth of the oxygen amount can considerably increase the
yield of a chemical reaction. However, too much oxygen could make the reaction so fast
that it could cause an explosion and destroy the installation. Therefore, good engineering
knowledge is crocial for the choice offactors and their Ievels.
• Design of experiments. Same a priori information about the order of polynomial
model could be very useful for a good choice of the experimental design. If such a priori
information is not available, it is recommended to start with a low order polynomial
model. After conducting the experiments and building the model a test for Iack of fit is
carried out. If the model is adequate it can be used for optimization or response surface
exploration. If not - then the design is augmented with new points so that a higher order
model to be fitted.
The most important requirements for the response surface designs are:
i) Designs should ensure that the fitted value y(x) is as close as possible to the
troe value 17(x).
ii) Designs should not require very high number of rons. Designs with too many
rons are irrelevant when the experiments are expensive or time consuming.
98 CHAPTER3
iii) They should provide good detectability of Iack of fit and a possibility to check
the assumptions ofthe regression analysis.
iv) Designs of experiments should not require an impractically high number of
factor Ievels. This could be inconvenient from engineering point ofview.
v) Designs should provide an intemal estimate ofthe output error.
vi) Augmentation with new design points should be possible to allow models of
increasing ordertobe built ifnecessary.
Box and Draper (1987) Iist other requirements to designs. Sometimes they
contradict each other and the weight, which should be put on each of them, depends on
the specific situation. Weights are matter of judgment and therefore, different
experimenters may make different choices in identical situations.
An appealing design property is the so called orthogonality. A design is
orthogonal if its information matrix FrF is diagonal. The orthogonality provides
independent model coefficient estimates and consequently, a possibility to interpret
independently the effects of factors and their interactions.
• Implementation of the experiments. We consider the steady state of the
processes and that is why the measurements of the response must be conducted after the
transient processes are terminated. The dead time must also be taken into account. This
is especially very important for slow processes that are for example typical for chemical
industry.
It is advisable to conduct experiments in a randomly chosen sequence.
Randomization allows to decrease the effect of heterogeneities in the raw materials or in
energy supplies.
• Data processing. Regression analysis is used to build models. A test for Iack of
fit is obligatory and testing the regression analysis assumptions through analysis of the
residuals is recommended. Transformations of the response and/or the factors can be
useful in many cases.
• Making engineering decisions. Models can help engineers to make decisions
about the product or process. Analyzing the effects of factors and their interactions,
using optimization procedures, contour plots and canonical analysis of the model
engineers can make a good decision taking into account the economic aspects of the
problem. The optimal solution must be checked through a confirmatory experiment.
In Chapter 2 we have shown that the regression model can be considered as
Taylor series expansion of a continuous function. For many engineering problems first
and second order models are satisfactory. Further on in this chapter we consider first and
second order designs.
3.2. Variance-optimality of response surface designs
One ofthe requirements listed in Section 3.1 is closeness ofthe predicted response y(x)
to the true value 77(x). As y(x) is an unbiased estimate of 77(x) this requirement means
that the variance ofthe predicted response should be minimal. From (2.44) we know that
this variance is
It is different across the region of interest because f depends on the coordinates

of the point of observation x.
The variance of prediction is inversely proportional to the information. Therefore,
the requirement for satisfactoty distribution of information throughout the region of
interest is connected with the accuracy of the prediction. This distribution depends on the
extended design matrix F and is affected by the design choice. According to Box and
Wilson (1959) the design can be chosen so that cr 2 {Y) to be constant at all points on
equal distance from the center. Such designs are called rotatable. They generate
spherical distribution of the information. Figure 3. 1 shows the variance contours for a
two factor rotatable design. Under a priori uncertainty about the behaviour of the factors
the spherical distribution of the information puts them in equivalent conditions.
Figure 3.1. Variance contours for a two-factor rotatable design
The closer the estimates of regression coefficients ~ to their true values the
higher the accuracy. One can judge about the closeness of () to () on the basis of the
confidence ellipsoid which is defined by the relationship
The parameters characterizing this ellipsoid such as length of axes and volume
depend on the information matrix FrF, or equivalently on the covariance matrix of
100 CHAPTER3
estimates v(o)=(FrFta; =Ca;. Kiefer (1959) defined several optimality criteria

based on the characteristics of v{o ). One of them is D-optimality. A design with
extended matrix F is called D-optimal if it maxirnizes the deterrninant of the information
matrix IFrFI. A D-optimal design rninimizes the volume of the confidence ellipsoid which
is inversely proportional to IFrFI (Fedorov (1972)). Therefore, the larger JFrFJ the
nearer () to the true regression coefficients.
Figure 3.2 shows a confidence ellipse for a model with two coefficients: ß1 and
ß2 . The corresponding estimates are denoted b1 and b2 . For the two-dimensional case
the deterrninant JFrFJ is proportional to the surface of the ellipse. The smaller the
surface, the closer the estimates b1 and b2 to the true values ß1 and ß 2 .
Figure 3.2. Confidence ellipse for a rnodel with two coefficients
Another criterion defined by Kiefer is A-optimality. A design with matrix Fis A-

optimal ifit rninimizes the trace ofthe covariance matrix:
tr(FrF t 1
=
k
trC = ~>;;
j:;;:}
.
According to (2.42) the variance of an estimate B; is
Consequently, an A-optimal design rninirnizes the sum of variances a 2 (oJ or

equivalently their average value.
A design is E-optimal if it minimizes the maximal eigenvalue of (Fr F t.The

eigenvalues of this matrix are proportional to the squared length of the principle axes of
the confidence ellipsoid
Kiefer (1959) also defined a criterion based on the variance of the predicted
response. A design is called G-optimal if it minimizes the maximal variance a 2 (Y" ) over
the region of interest.
Kiefer introduced the so-called continuous designs, whose properties do not
depend on the number of observations N. He defined a normalized information matrix
(3.1)
with elements
If all N observations are allocated at h support points (h :s; N) and r1 observations

are allocated at each ofthem (1 = 1,2, ... ,h), then m,1 can also be written in the form
In this formula ~1 is the proportion of the observations at /-th support point. The
function ~(x) is called probability measure. It is non zero only at the support points of
the design.
A design with probability measure ~. which satisfies the condition
(3.2)
is called continuous D-optimal design.

The continuous D-optimal design is an abstraction because the optimal
proportians ~. may besuchthat the number of observations 'i· = ~. 1 N at a point x 1 may
not be integer. A practical design can be obtained by rounding 'i·· l = 1,2, ... ,h to the
nearest integer values.
Example 3.1
Consider the following model:
102 CHAPTER3
The region of interest is defined by the inequalities -1 ~ X; ~ 1, i = 1, 2 . Kiefer

( 1961) showed that a continuous D-optimal design for this case is allocated at 9 points
shown in Figure 3.3. The optimal proportians ofthe observations at these points are
;5. = 0. 0962.
x2
1 2 3
x1
4 5 6
7 8 9
Figure 3.3. Supportpointsofa two-factor second order continuous D-optimal design
Suppose we want to conduct N = 13 runs. The optimal number of observations is
'i• =r =r =r =0.1458 x 13 =1.8954,

3• 7• 9•
ljo =0.0962 X 13 =1.2506.

Rounding 'i• we obtain a discrete design with 2 runs at the vertices of the square
and one run at the edge centers and overall center.
Kiefer and Wolfowitz (1959) showed that the continuous D-optimal and G-
•
optimal designs are equivalent and following equation is true for them:
max frM- 1 (;.)-=k, (3.3)

•
where k is the nurober ofthe regression coefficients.

Suppose that for a given design with normalized information matrix M(~) we
have obtained
The closeness of this design to the G-optimal one is measured through so called G-
efficiency:
k
G.ff = J(x).
The D-efficiency of a design is defined as follows:
Both G.JJ and D.ff are zeros for singular information matrices (if IM(~~~ 0 then
frM- 1 (~) ~ oo) and are equal to 1 for the continuous D-optimal designs, so that
O~G.JJ ~1 and O~D.JJ ~1.
An important property of the continuous D-optimal designs is that they are
invariant under non-singular linear transformations of the functions in the regression
model (Kiefer (1961}, Fedorov (1972)). Therefore, the use of coded factors does not
change the properties of the designs.
All criteria considered in this section are model-dependent because the matrix F
depends on the model structure. For example, a second order rotatable or D-optimal
design does not have these properties if it is used to estimate models of lower or higher
order or even if the order of the design is the same, but some terms in the polynomial are
added or deleted. Hence, the choice of design based on initial experimenter' s guess about
the model structure, may be more or less successful. Efficiency of designs depends on the
shape and size of the region of interest which are also subject to experimenter's
judgment.
Using the sequential nature of experimentation, researchers can improve the
initially chosen design. After analysis of a model based on the initial design they can
augment it with new points taking into account the updated model structure or region of
interest.
Example 3.2.
Consider the following model:
104 CHAPTER3
where x is varied within the interval -1 ::; x ::; 1. Figure 3. 4 shows a line denoted "0"
which corresponds to this equation. Suppose that this line is unknown and we want to
estimate ß0 and ß1 using two Observations ( N = 2 ). Consider two experimental designs
as follows:
1. Design D1 : the observations are allocated at the two ends of the interval, i.e. in
the points x}!l = -1 and x~~ = 1.
2. Design D2 : the observations are allocated at arbitrary points x} 2 l and x~2 ).
y
T)
Figure 3. 4. Sensitivity to errors of a straight line estimated through data from D-optimal and arbitrary
design
We suppose that the random errors 6 1 and 6 2 for the observations are one and
the same for both designs. The line "1" on Figure 3.4 shows an estimate of the true line
"0" when design D1 is used and the response errors are 6 1 and 6 2 • For the experiments
conducted by design D2 with the same errors the estimated line is denoted by "2". One
can see that when the points are moved along the interval -1 ::; x ::; 1 the most accurate
estimate is obtained for design D~> i.e. for x1 = x1(!l = -1 and x2 = x~~ = 1. We will show
that they are the support points of a continuous D-optimal design with proportians
; 1~ l =; ~~) = 0. 5 . The matrix of regressors is
The corresponding normalized information matrix is

DESIGN OF REGRESSION EXPERIMENTS lOS
4
.77
Figure 3.5. Cantours of normalized information matrix determinant for singlevariable linear model
Figure 3.5 shows the contours ofthe determinant IM- (.;)1. One can see that it is
1
minimal for x1 = x1(!) = -1 and x 2 = x~~ = 1. Therefore, design D 1 is D-optimal one. The
normalized information matrix for this design is
Therefore,
M
-1
(.;.)= (10 0)1
One can see that the best estimate of the straight line 11 0 11 can be obtained through
design D1 which is D-optimal. The deviations of the predicted response 11 111 from the true
one ( 11 0 11 ) are largest for the support points of the D-optimal design (at the ends of the
interval). For these points we can compute the variance of the predicted response
provided that a: = 1. For instance for x 2 = x~0 = 1 we obtain:
106 CHAPTER3
As the number of regression coefficients is k =2, we see that equation (3.3) is

satisfied.
•
3.3. Two Ievel full factorial designs
3.3 .1. DEFINITIONS AND CONSTRUCTION
Let the regression model be of the form
I 1~1 I 1~2 1~1 I
Y =ho + Lb;x; + L Lbifxixi + L L Lbiflxixix, (3.4)

i=l j=i+1 i=l j=i+l t=j+l
and -1:::::x;:::::1, i=1,2, ... ,l.

If the model contains only linear terms and interactions then a two Ievel design
with Ievels -1 and +1 can be used.
A design is called two Ievel Juli jactorial if it comprises experimental runs
corresponding to all possible combinations of two Ievels of the factors (X; = -1 or
X; = 1). The number ofthese combinations is N = i.
For example, consider a full factorial design with two factors (/= 2). The number
of experiments is N = 2 2 = 4. Let the model be
(3.5)
Table 3.1 shows the design matrix X, the extended design matrix F and the
vector of observations y.
TABLE 3 1 T wo eve lfullf;actona

. ldes1gn
. fior two actors
F matrix
No. ~ 12 13 !4 Vector y
Xo XI x2 x1x2
1 1 -1 -1 1 YJ
2 1 I -1 -1 y2
3 1 -1 1 -1 y3
4 I I 1 1 y4
This design can also be used to estimate model parameters of other polynomial
models like
or
or
However, it can not be applied for models containing second or higher power of
the factors. For example, consider the model
(3.6)
It has 4 coefficients like model (3.5). The corresponding design matrix of a full
factorial design for this model is shown in Table 3.2.
TABLE 3.2. Full factorial design for model (3.6)

F matrix
No. ~ /2 !3 !4 Vector y
Xo XI x2 x2I
1 1 -1 -1 1 YI
2 1 1 -1 1 y2
3 1 -1 1 l y3
4 1 1 1 1 y4
One can see that the first and the fourth columns in this table coincide. That is
why Fis not offull rank and the information matrix FrF is singular:
4 0 0 4]
[0 0 4 0
FTF = 0 4 0 0 .
4 0 0 4
The determinant of FTF is zero, the matrix (FrFt doesn't exist and formula
(2.41) can not be used to estimate the model coefficients. The same is true for any even
power offactors (x;2 ,xt, ... ). Ifthe effects ofhigher order even powers offactors arenot
negligible and are not included in the model then they change the intercept b0 because the
functions x0 ,x;2 ,x;4 , ... are not distinguishable for any experimental run. In this case we
say that b0 is an aliased estimate for ßo ,/3;; ,/3;;", .... This is written as follows:
I I
bo ~ ßo + Lß,; + Lß;;;;+ ... (3.7)

i:::l z.::::l
108 CHAPTER3
If odd powers of the factors are used in the model, for example, if J.. = then x:,
f4 is equal to Xj and the matrix FrF is singular too. When significant odd powers of the
factors are not in the model, then bi are aliased estimates for the coefficients before the
odd powers ofthe factors:
I I
bi~ Pi+ "Lßiii + "Lßiiiii+ ...

i=l i=l
Often when the region of interest is small enough a linear model can fit the
response and the coefficients Ao ßiii ,/l;iii , ßiiiii may be negligible because they can be
interpreted as high order derivatives in the Taylor series expansion.
TABLE 3..
3 Full f:acton"al destgn
. fior three f:actors
F matrix Vecto
r
No. .ft /2 /3 !4 fs !6 !7 fs y
Xo XI x2 x3 XIX2 XIX3 X2l3 XIX2X3
1 1 -1 -1 -1 1 1 1 -1 YI
2 1 1 -1 -1 -1 -1 1 1 Y2
3 1 -1 1 -1 -1 1 -1 1 Y3
4 1 1 1 -1 1 -1 -1 -1 Y4
5 1 -1 -1 1 1 -1 -1 1 Ys
6 1 1 -1 1 -1 1 -1 -1 Y6
7 1 -1 1 1 -1 -1 1 -1 Y1
8 1 1 1 1 1 1 1 1 Ys
A simple rule for construction of full factorial designs with an arbitrary number of
factors is:
The entries of the design matrix X are always equal to -1 or 1 with signs
changingfor xi ajter 2° =1 row, jor x2 ajter i =2 rows, jor x3 ajter 2 2 =4 rows, etc.,
according to the powers oj 2: 2° ,i ,2 2 ,2 3 ,24 , ...
Table 3.3 shows the extended design matrix F for the following model
A geometric interpretation of the full factorial design is useful. The region of

interest defined by the inequalities -1 ~ xi ~ 1,i =1,2, ... ,m is a cube (square form= 2).
Each row in the design matrix defines the coordinates of a point in the factor space. That
is why we are often speaking about points oj the design instead of experiments.
The points of a full factorial design are allocated at the vertices of a cube (square
form= 2).They areshownon Figure 3.6 form= 2 and m = 3.
x2
x1
a) b)
Figure 3.6. Full factorial design (a) for two factors (b) for three factors
Form > 3 the points of a full factorial design are allocated at the vertices of a
hyper cube. It has the same properties as a three-dimensional cube.
As one can see from Figure 3.6 the points of the full factorial design are
symmetrically allocated with respect to the origin of the coordinate system. This fact
provides remarkable properties ofthistype designs which we will consider next.
3.3.2. PROPERTIES OFTWO-LEVEL FULL FACTORIAL DESIGNS
We consider some properties of the two-level full factorial design which can be easi1y
checked through Table 3.3. They are:
1. The sum of the first column elements of matrix F is always equal to the number
ofruns N:
This property follows from the fact that the elements of the first column of F are
always equal to 1.
2. The sum ofthe elements in the rest ofthe columns ofF always equals zero:
Lfui = 0, i = 2,3, ... k.

u=l
110 CHAPTER3
This property is due to the symmetry of the design with respect to the center of
the coordinate system.
The next two properties define the elements of the information matrix G = FrF
for a two level full factorial design.
3. The sum of squares of each column of F (which is equal to the corresponding
diagonal element ofG) is always equal to N:
N
gi = Lfu: = N, i = 1,2, ... ,k. (3.8)

u~J
4. The non-diagonal elements of the information matrix G are always equal to

zero:
N
gj= LfuiJ.j=O, i=I,2, ... ,k. (3.9)

u=l
Taking into account properties 3 and 4 one can see that G is a diagonal matrix
with diagonal elements equal to N:
N 0 0 0
0 N 0 0
G =FTF = 0 0 N 0 =NI, (3.10)
0 0 0 N
where I is k x k identity matrix.

According to the definition given in Section 3.3.1 the full factorial is an
orthogonal design. It is also D-optimal. This can be seen using the equivalence theorem
(3.3). The normalized information matrix is
Consequently,
k
frM- 1f =frf =""'f.J/. (3 .11)
i=l
As J; are functions of the type X; or X;Xj and the region of interest is defined by the
inequalities -1::::: X; ::::: l,i = 1,2, ... ,/ the maximum of (3.11) is achieved for X;= ±1 and
x1 = ±1, i.e. at the vertices of the /-dimensional cube which are also points of the full
factorial designs. For these points /; 2 =I and therefore
According to the equivalence theorem (3.3) the full factorial design is D-optimal.
The optimal proportion of the observations at the design points is ;. = 1I 2 1. Kiefer
(1959) showed that this design is also A- and E-optimal.
Ifthe model is linear in factors:
then putting / 1 = 1,/2 = x1 , ... ,jk = x 1 in (3 .11) we obtain
Lxj
l
frM- 1f = 1+ 2 .
J=l
Fora given constant p the relationship
is an equation of a sphere with radius p. Consequently, the variance of the predicted

response
is constant in a sphere with radius pwhich means that the design is rotatable.
Note that if the model contains both linear and interaction terms, then the full
factorial design is not rotatable. In this case the functions J; are
/ 1 = 1,/2 = xP ... , x x x
fz+ 1 = 1, / 1+2 = x1 2 , ... , fk = x1_ 1 1 . According to (3 .11) one obtains
k l 1-1 I
frM- 1f = L/, 2 = 1+ LXj2 + L Lx;x~. (3.12)

i=l i=l i=l j=i+l
The last term of this equation is not constant over a sphere and consequently, the full
factorial design is not rotatable in this case.
Figure 3. 7a shows the contours of variance er 2 (Y) for a model linear with respect
to two factors x1 and x2 . They are concentric circles and therefore, in this case the design
is rotatable. The same design is no more rotatble for a model with linear and interaction
terms with two factors:
112 CHAPTER3
This can be seen from 3. 7b where the variance contours are not circles. In both cases it is
assumed that if. = 1.
0.8
0.6
0.4
t x2
0.2
0
-0.2
0.8
0.6
0.4
-1._~~~--~~~--~~L_~
-1 -0.5 0 0.5
X
~
b)
Figure 3. 7. Variance contours corresponding to a full factorial design for model

(a) y =b0 + b1x 1 + b2 x 2 (b) y =b0 +b1x 1 +b2 x2 +b12 x 1x 2
3.3.3. REGRESSION ANALYSIS OF DATA OBTAINED THROUGH TWO LEVEL

FULL FACTORIAL DESIGNS
Parameter estimation
Least squares method is used for parameter estimation:
(3.13)
Taking into account that G = FrF is a diagonal matrix its inverse is easily computed as
follows:
1
- 0 0 0
N
I
0 - 0 0
N
C = (FrF)- = 1
1 =_!_I. (3.14)
0 0 - 0 N
N
... ... ...
I
0 0 0
N
Putting (3.14) in (3.13) one obtains
(3.15)
This can be written in scalar form as follows:
~ 1 N
(}; = N 'L/.;Yu• i = 1,2, ... ,k. (3.16)
u=l
In particuiar for estimation of the intercept we put J; = x0 = 1 and obtain
(3.17)
or the linear terms /; = X; and
1 N
h; = N'Lx.;y., i=1,2, ... ,l. (3.18)
u=l
114 CHAPTER3
In a similar way for the interactions we substitute .f.j = x.ix.1 and obtain:
bij = - L
1 N
N u~1
x.ixujYu' i = 1, 2, ... ' 1- 1, j = i + 1, i + 2, ... ,1. (3.19)
The computations with formulae (3.17) to (3.19) are very simple because in the
full factorial experiment the values of x.i and x.ix.1 are always equal to ± 1.
Suppose r repeated observations are taken at each design point. Then formulae
(3 .17) to (3 .19) can be used with
1 r
Yu =- LYuj·
r J~1
substituted for Y•.
Example 3.3. Simulated data

Table 3.4 shows the extended design matrix F and the vector of observations y
for a full factorial design with 4 factors. The data are used to estimate the following
model:
The model coefficients are computed by use offormula (3.16). For example,
1 16 1( 8 16 )
b4- - X
- 16 ~ u4Yu - 16
---
~Y. + ~Y. --
= 1~ [- (128.65 + 195.79 + ... + 121.70)+ (69.83 + 143.47 + ... + 169.81)]= -3.44.
In the last row in Table 3.4 are given so called contrasts which are equal to the
doubled values of regression coefficients: 2bi, 2bi1 , 2bif1·
•
T ABLE 3. 4. Full factorial design for four factors
No. XI x2 x3 x4 XIX2 XIX3 XIX4 x2 x3 x2 x4 x3x4 XIX2 XIX2 XIX~ x2 x3 y

x3 x4 x4 x4
I -1 -1 -1 -1 1 1 1 1 1 1 -1 -1 -1 -1 128.652
2 1 -1 -1 -1 -I -1 -1 l l l l l I -1 195.786
3 -1 1 -1 -1 -I 1 1 -1 -1 1 1 1 -1 1 94.606 ~
rJl
4 1 1 -1 -1 1 -1 -1 -1 -1 1 -1 -1 1 1 168.393 ......
5 -1 -1 1 -1 l -1 1 -1 1 -I 1 -1 1 1 99.432 ~
6 I -I 1 -1 -1 1 -I -1 1 -I -1 1 -I 1 I64.015
7 -1 1 1 -1 -1 -1 1 1 -1 -1 -1 1 1 -1 21.002 ~
8 1 1 1 -I I I -1 1 -I -1 I -I -1 -I 121.704 ! ~
9 -1 -1 -1 1 1 1 -1 1 -1 -1 -I 1 1 1 69.832
IO I -1 -1 1 -1 -1 1 1 -1 -1 1 -1 -1 1 143.473 !
§
11 -1 1 -1 1 -1 1 -1 -1 I -1 1 -I 1 -1 rJl
44.228 rJl
12 I 1 -1 1 1 -1 1 -I 1 -1 -1 1 -I -1 106.204 ......
13 -1 -1 1 1 1 -1 -1 -1 -1 I I 1 -1 -1 111.110 ~
14 1 -1 1 1 -1 1 I -1 -1 1 -I -1 1 -1 202.282 ti1
15 -1 1 1 1 -I -1 -1 1 1 1 -1 -1 -1 1 91.637
16 1 1 1 1 1 1 1 1 1 1 1 1 1 1 169.819
Contrasts 76.40 -37.12 3.72 -6.88 2.26 7.26 -0.16 -6.04 8.42 49.04 3.52 -8.42 1.18 8.78
rJl
I
Vl
-
116 CHAPTER3
E.ffects offactors and interactions

Consider a model obtained through a two Ievel full factorial design:
I 1-1 I
y(x)= b0 +~);X;+ L Lb;1 x;x1 . (3.20)
i=l i=l j=i+l
Putting x1 = x2 =... = x1 = 0 we see that b0 is equal to the predicted response y(o) at the
center of the coordinate system in coded factors which corresponds to the basic Ievels of
the factors in natural (physical) scale.
Taking into account (3 .17} we also see that b0 is the mean value of the responses
observed during the experiment and
(3.21)
The main e.ffect of a factor xi is measured by the difference in the average

response as one moves from X; = - 1 to X; = 1. It is equal to 2bi because bi is calculated
as difference in the average response when X; is changed from 0 to 1 (see (3.18)).
Similarly the interaction e.ffects offactors xi and x1 is 2bii"
The main and the interaction effects have simple graphical interpretation. It is
illustrated in Example 3 .4.
Example 3.4. Etfects offactors and interactions

W e will present graphically the main and interaction effects of the factors from
Example 3.3. Figure 3.8 shows a graphical interpretation of the main effects of the
factors x1 and x2 .
y y
200 200
2h,J~.
150 150
100 100
50~----r----------r~ 50 ~--~~---------r~
-1 -1
~ ~
Figure 3.8. Main effects offactors X1 and X2 (a) b1 > 0 (b) b1 < 0
DESIGN OF REGRESSION EXPERIMENTS II7
They are represented by straight lines with different slopes ( b1 = 3 8. 20 and

b2 = -I8. 56). The coordinates of points A and B are computed from data given in Table.
3.4 as follows:
yA = ..!_ LY(Xl =-I)= .!.(I28.652 + 94.606 + .. + 91.637) = 82.562,

4 u 8
y8 = ..!_ LY(X1 =I)= .!.(I95.768 + I68.393 + ... + I69.8I9) = I58.959.

4 u 8
The main effect of x1 is equal to y8 - YA = 2b1= I58.959-82.562 = 76.397. The

main effect of x2 is
I 8 I 8
2b 2 =-LYu(X2 =I)--LYu(x2 =-1)=102.I99-I39.323=-37.I24.
8 u~l 8 u~l
Its graphical interpretation is shown in Figure 3.8b.

Figure 3.9a shows a graphical interpretation ofthe interaction effect of x3 and x 4 ,
presented by two straight lines. One of them shows the difference in the average
responses when x3 is moved from -1 to I, while x 4 is equal to- I, the other shows the
average difference of the average responses due to variation of x3 in the interval -1 to 1,
provided that x 4 = I.
y
200
b -0
14-
F
···::. :. ·7.·::·:::·::::::::::::::··::::i·······•. D
x4 ~-J
E
C x4~ 1 •
50 50 . L . . . . . - - f - - - - - - - - + - -
·1 ·1
~ ~
Figure 3.9. Interaction effects (a) h34 > 0 (b) h14 ~ 0
The coordinates of the points C, D, E, F on Figure 3.9a are computed on the

basis ofthe data from Table 3.4 as follows:
118 CHAPTER3
1 4 1
Yc =-4 LY.(x3 = -1,X4 = 1) = -(69.832+143.473 +44.228+ 106.228)= 90.934,
u;J 4
1 4 1
Yv = 4 ~y.(x3 = 1,X4 = 1) = 4(111.110+202.282+91.637 + 169.819) = 143.712,
1 4 1
YE =- LY.(x3 = -1,x4 = -1) =-(128.652+195.786+94.606+168.393)= 146.859,
4 u;J 4
1 4 1
YF =- LY.(x3 = 1, x4 = -1) = -(99.432+ 164.015+21.002+ 121.704) = 101.538.
4 u;J 4
Therefore, the interaction effect offactors .13 and x 4 is
= .!.[(143.712- 90.934)- (101.538 -146.819)]= 49.049 0
If the interaction effect is zero (bii = 0) the lines corresponding to x1 = 1 and

xi = -1 are parallel. Figure 3.9b shows the interaction effect between x 1 and x 4 . In this
case b14 is rather small and both straight lines are almost parallel.
•
Statistical analysis of individual effects and test for Iack offit
The variances ofthe regression coefficients can be computed using (2.42). From (3.14)
one can see that the diagonal elements ofthe C- matrix are equal to 1/N and therefore,
(3.22)
where a; is the response error variance.

The covariances can be found using ( 2.43 ). The off-diagonal elements of C are
zeros and:
(3.23)
Consequently, all estimates of the model coefficients are uncorrelated and have
equal variances.
The regression coefficients can be tested for significance using the t-test given in
subsection 2.3.6. The following value is computed to this end:
()
l sEJS:.
t =--'-
Taking into account (3.22) and substituting the residual variance sR for sE one can write
down
A regression coefficient ()i is insignificant ifthe following inequality is satisfied:
where Ir is the critical value of Student's distribution for significance Ievel a and vR
degrees of freedom.
Some statistical packages compute the probability
Coefficients with small enough value ofp can be considered as significant.

A rather clear impression about the significance of the individual effects can be
obtained through normal or half-normal plots. As the effects are independently estimated
these plots can be constructed in a similar way as for residuals (see subsection 2.3.8.3).
For instance a half-normal plot is obtained by plotting the normal scores against the
effects which are ordered according to their absolute values. The points corresponding to
insignificant effects lie approximately on a straight line. The significant effects appear far
from the straight line in the lower left and the upper right corners ofthe plot.
The effects of factors can also be studied through analysis of variance. The total
sum ofsquares Q is computed by formula (2.10):
where the correction coefficient

120 CHAPTER3
can be considered as sum of squares due to b0 .

As shown in Appendix A. 3. 1 the first term of Q can be split into k + 1 sums so
that
N
~>= = Ql +Q2+. .. +QI +Qn+ ... +Q-1,1 +QR. (3.24)

u::::1
The sums Q1, Q2, ... , Q1 , Q12 , ... , QH 1 are due to the effects of the factors and
interactions and QR is the residual sum of squares. As shown in Appendix A.3 .1 using
(3. 16) one can compute the sums due to main effects as follows:
For the interactions they are equal to
Each of these sums has one degree of freedom (V; = v;1 = 1) and therefore, they are
equal to their mean squares: s;2 = Q I V;,~ = Q1 I Y;1 . The effects of factors and
interactions can be tested for significance using the following relationships:
where
is the residual sum of squares.

If F; > F(a,1, vR) or F;i > F(a,1, v R) then the corresponding effect is significant
at Ievel a.
The Iack of fit test is the same as for the standard regression analysis procedure
(see Chapter 2).
Example 3.5. Statistical analysis ofthe model

Consider the statistical analysis ofmodel (3.4) from example 3.3. The analysis of
variance is shown in Table 3.5.
TABLE 3.. 1 . of vanance fior mode1 (34)

5 Ana1ysts
Source of Degrees of Sumsof Mean F-ratio p
variation freedom squares square
Regression 14 40035.7 2859.1 48.26 0.112
Error 1 59.3 59.3
Total 15 40095.0
The multiple correlation coefficient is
R= fQ:" = 40035.8 = 0. 999 .

{Q 40095.1
Table 3.6 presents the significance test for the regression coefficients. The
standard deviation ofthe coefficient estimates is computed using formula (3.32):
Columns 4 and 5 show the significance test based on t-criterion. One can see that p is
less than or equal to 0.05 for b0 A and b34 and is 0.066 for b2 . These coefficients can be
considered as significant at Ievel 0.1. The same results are obtained by comparison oft-
ratio with the critical value of Student's distribution for a = 0. 05:
tr ={1-~,vR )=12.706. For b0 ,b1 and b34 the computed t-ratio is smaller than
12.706. The critical t-ratio value for significance Ievel a=0.1 is tr =6.314.
Aslt2 1 = 9. 65 the estimate b2 is significant at Ievel a = 0.1.
The same conclusions can be drawn through the analysis of variances due to the
regression given in columns 6, 7 and 8 of Table 3.6. The ratios F; = s,2 I s; are shown in
column 8 of Table 3.6. The critical value of the F-distribution for significance Ievel
a = 0. 05 is F;. = F(0.05;1;1)= 161.4. Therefore, b1 and b34 are significant at Ievel 0.05. It
is easy to check that b2 is significant at a = 0. 1.
122 CHAPTER3
T ABLE 3.6. Significance test of regression coefficients

Predictor Coefficient Standard t-ratio p Sumof Degrees F-ratio
deviation sauares offreedom
1 2 3 4 5 6 7 8
Constant 120.761 1.924 62.75 0.010 - - -
x, 38.198 1.924 19.85 0.032 23346.0 1 363.69
x2 -18.562 1.924 -9.65 0.066 5512.7 1 92.96
x3 1.864 1.924 0.97 0.510 55.6 1 0.94
x4 -3.438 1.924 -1.79 0.325 189.1 1 3.19
x 1x 2 1.132 1.924 0.59 0.661 20.5 1 0.34
x 1x 3 3.631 1.924 1.89 0.310 211.0 1 3.56
x1x 4 -0.077 1.924 -0.04 0.974 0.1 1 0.002
x2 x3 -3.023 1.924 -1.57 0.361 146.2 1 2.47
x2 x4 4.211 1.924 2.19 0.273 283.7 1 4.87
x3x4 24.525 1.924 12.74 0.050 9623.4 1 162.28
x1x 2 x 3 1.759 1.924 0.91 0.529 49.5 1 0.83
x 1x 2x 4 -4.214 1.924 -2.19 0.273 284.1 1 4.79
x1x 3x 4 0.586 1.924 0.30 0.812 5.5 1 0.09
x2 x3x4 4.390 1.924 2.28 0.263 308.3 1 5.20
Total 40035.7 14
Ignoring the insignificant coefficients we obtain the following regression model:
The multiple correlation coefficient for this model is R = 0.96 and the corresponding F-
ratio is equal to 95.44. The critical value ofF-distribution for significance level 0.05 and
degrees offreedom vM = 3, vR = 12 is Fr = 3.49. The multiple correlation coefficient is
significant.
80
Effects 60 _
40 -
20 -
0-
0 0 0
-20 -
·2 ·1
Normal scores
a)
80~----------------------~
x1 o
Effects 60 _
40-
20 -
0-
-20-
o x2
-40 -"""'r---=----,-------.--------r--------r'
-2 -1
Normal scores
b)
Figure 3.1 0. Normal and half normal probability plots of the effects (a) normal plot
(b) half-normal plot
Figure 3. 10 shows normal and half-normal plots of the effects. They confirm the
conclusion that significant effects have x1 , x 2 and x 3 x 4 . All other effects Iie roughly on a
straight line.
•
3.4. Two Ievel fractional factorial designs
3 .4.1. CONSTRUCTION OF FRACTIONAL FACTORIAL DESIGNS
W e have already noted that the number of runs of the full factorial design is N = i. It
increases rapidly with the growth of I. For example, for I= 2, 5, 10 and 15 we obtain N
= 4, N = 32, N = 1024 and N = 32768, respectively. When I is !arge N becomes
unacceptably !arge and the full factorial design can not be used in practice.
One advantage of the two-level full factorial experiment is that it is orthogonal.
This provides some attractive properties of this design (see subsection 3.2.2). The
problern is how to decrease the number of runs preserving the orthogonality of the
design. We can use a fraction of the full factorial design. If it is also orthogonal it is
called regular jraction. Consider a linear in factors model for I = 3:
y=b0 +b1x 1 +b2 x2 +b3 x 3 . (3.25)

The number of coefficients is k = 4 and consequently, the minimal number of runs is N =
4. The full factorial design has N = 23 = 8 runs.
124 CHAPTER3
If we want to conduct only 4 experiments, we can use a full factorial design for
two factors and vary the Ievels of the third factor x3 in the same manner as the
interaction ~x2 • That means to put x3 = ~x2 . This equation is called generating relation
or generator. We obtain a design which is shown in Table 3.7.
The elements of the matrix F shown in Table 3. 7 are the same as for a full
factorial design with 2 factors (see Table 3.1). Only the interpretation ofthe last column
is changed: we now consider it as corresponding to the factor X:J instead of the
interaction x1x2 • That is why the design remains orthogonal.
The design of Table 3. 7 consists of half the runs of the full factorial design for
three factors given in Table 3.3. The runs numbered 1, 2, 3 and 4 in Table 3.7 are the
same as runs 5, 2, 3 and 8 in Table 3.3. That is why Table 3.6 is called also a half
jraction of the full factorial experiment.
TABLE 3.. . nalf:acton'al destgn_

7 Two 1eve1 fractio . tior three f:actors
F matrix
No. J; /2 /3 /4 Vector y
Xo XI x2 x3 = xlx2
1 1 -1 -1 1 Yl
2 1 1 -1 -1 Y2
3 1 -1 1 -1 Y3
4 1 1 1 1 Y4
We could also choose X:J = -x1 ~. Then the other half of the full factorial design
(points 1, 4, 6 and 7 ofTable 3.3) would be selected.
With the fractional factorial design of Table 3. 7 one can not study separately the
effects of the factor x3 and the interaction ~x2 because in all runs their Ievels coincide.
That is why b3 characterizes their joint effect and is called aliased (or confounded)
estimate of ß3 and ß12 :
(3.26)
One can see from Table 3.7 that following equations arealso true: Xi = x2 x3 and
~ = x1x3 •That means that h1 and h2 are also aliased estimates:
(3.27)
(3.28)
It is clear that the price of run number reduction is the aliasing of the main effects
with some interactions. The variance of the estimates increases with the reduction of N
(see (3.22)).
The nurober of points of a fractional factorial design can be obtained by dividing

the nurober of a full factorial design runs by apower of 2. For example, the nurober of
runs of a half fraction is
a quarter-fraction has
runs, etc. Generally N = 2 1- 1 , where t is the nurober ofthe generating relations.

In order to study the aliasing one uses the so called defining contrasts. We
introduce them through an example. For the half-fraction given in Table 3.7 the
generating relation is x3 = x1x 2 • Multiplying both sides of this equation by x3 we obtain
x; = x1x2 x3 . Taking into account that in the fractional factorial design all values of x3 are
equal to -1 or + 1 we can write x; = 1 and
(3.29)
This is the defining contrast. Multiplying it by any of the factors or the interactions one
can study the aliasing ofthe factors and the interactions. For example, multiplying (3.29)
by x2 we have
and multiplying it by x3 we obtain
Together with Xj = x2 x3 these equations form the system of aliasing also given by
(3.26), (3.27) and (3.28).
Consider now a design with four factors (I= 4) which has 8 runs. To find such a
fractional design one must take t = 1 because N = 2 4 - 1 = 8. The generating relation can
be chosen as follows: x4 = x1x 2 x 3 . Consequently,
(3.30)
Multiplying (3.30) by all factors and second order interactions we obtain:
x1 = x2 x3x4 , x1x2 = x3x4 ,

x2 = x1 3 4
x x , x1x3 = x2 x4 , (3 .31)
x3 = x1x2 x4 , x1x4 = x2 x3 ,
x4 = x 1x2 x3 .
126 CHAPTER3
Only one of the aliased functions must be included in the model. Otherwise there
will be coinciding colurnns in the extended design matrix F which will not be of full rank.
Table 3.8 shows a fractional factorial design with generating relation x4 = l1~x3 .
Only first order terms and the following interactions are included in the model: x1x2, x1x3
and x1x4 . The other interactions are aliased according to (3.31).
. ofthe full f:actona

8 HalffractJon
TABLE 3 .. . w1"th 4 f:actors
. I d es1gn
F matrix
No. J; /2 /3 !4 fs !6 !7 fs Vector
Xo x=
1 x=2 x=
3 x=4 x1x2= x1x3 = x1x4= y
x2x3x4 x1x3x4 x1x2x4 x1x2x3 x3x4 x2x4 x2x3
I I -I -I -I -I I I I Y1
2 I I -I -I I -I -I I Y2
3 I -I I -I I -I I -I Y3
4 I I I -I -I I -I -I Y4
5 I -I -I I I I -I -I Ys
6 I I -I I -I -I I -I Y6
7 I -I I I -I -I -I I Y1
8 I I I I I I I I Ys
Important characteristic of a fractional factorial design is its resolution.

Resolution is the smallest number of factors in the right hand side of the defining
contrast. The design given in Table 3.7 is of resolution III because its corresponding
defining cantrast (3.29) has three factors in the right hand side of the equation. We
characterize this design by following notation: 2:~ 1 • It means that the design is a two-
level fraction with N = 2 3- 1= 4 runs and its resolution is III. In a resolution III design the
main effects are not aliased with each other but they are confounded with the second
order interactions.
The design in Table 3.8 is of resolution IV and is denoted 2;~. In designs of
resolution IV the main effects are not aliased with each other and with the second order
interactions but these interactions are confounded with each other.
If we want to avoid the aliasing among second order interactions we can choose a
resolution V design. In such a design the main effects and the second order interactions
are not confounded with each other but the second order interactions are aliased with the
third order ones. For example, consider a fractional factorial design with 5 factors (m =
5) and N = 2 5- 1 = 16 runs with generating relation x5 = x1x2x3x4. Its corresponding
defining cantrast is
(3.32)
The aliasing is characterized by following equations:

xi = x2x3x4xs, xix2 = x3x4xs, XIX4 = XIX3X5,

X2 = XIX3X4X5, xix3 = x2x4xs, XIX5 = XIX3X4,
X3 = XIX2X4X5, xix4 = x2x3xs, X3X4 = XIX2X5, (3.33)
X4 = XIX2X3X5' x 1x 5 = x 2 x 3x 4 , X3X5 = XIX2X4,
Xs = XIX2X3X4, X2X3 = XIX4X5, X4X5 = XIX2X3.
For the construction of a fractional factorial design one must choose the
resolution of the design. If the intervals of variation of factors are small and the
experimenter feels that all interactions are negligible then resolution III design can be
chosen. A fractional factorial design of resolution IV must be chosen when one wants the
main effects to be not aliased with each other and with second order effects. A design of
resolution V has to be chosen when one needs the main effects and the second order
interactions to be not aliased, while the third and higher order interactions can be
neglected.
One rnight think that equating some of the factors to the highest order products
of other factors he/she obtains a fractional factorial design of highest resolution. This is
true for half fractions when only one generating relation has to be chosen. If the design
has to be highly fractionated and several generators are necessary, this choice may not be
the best. This is shown in Example 3.6. Tables ofrecommended generators for fractional
designs of given resolution with different number of factors are given by Box, Hunter
and Hunter (1978) and Box and Draper (1987).
Choosing the generators, the experimenter also chooses I and consequently, the
number of runs N = 2 1- 1 . The higher the resolution of a fractional factorial design, the
!arger the number of runs N.
The following procedure can be used to build a fractional factorial design:
1. Choose the resolution of the design and 1 taking into account the maximal
number of runs which can be conducted.
2. Build a full factorial design for I- I factors.
3. Choose generators which ensure the desired resolution of the design. It is not
allowed the right hand sides of the generators to be equal to products of factors that
differ only by signs, because in this case linear dependence between the colurnns of F
occurs.
4. Augment the design matrix with colurnns corresponding to the generators
chosen in step 3.
Example 3.6
Let us construct a fractional factorial design of highest possible resolution with I
= 7 factors which has no more than 20 runs. The full factorial design with 7 factors has
N = 2 7 = 128 points.
We choose t = 3 because N = 2 7- 3 = 16, while N = 2 7- 2 = 32. Construct a full
factorial design for I - I = 7 - 3 = 4 factors ( xi, x2 , x 3 and x 4 ) as shown in colurnns 2 to 5
ofTable 3.9.
128 CHAPTER3
Three generators are necessary for the values of x5, x6 and x1. They can be chosen
in different ways:
a) Through equating the factors x5,x6 and x1 to higher order products of
x1 ,x2,x3 and x4. For example, Iet x1 = x1 x2 ~x4 . According to step 3 of the rule given
above we have to choose the next two generators to be products of three factors, for
example, x6 = - X2~X4 and x5 = x1X2X4. Multiplying both sides of these generators by
x1,x6 and x5, correspondingly, we obtain
(3.34)
.. 2 7- 3 fra.
TABLE39 ctionalf:acton"aldes1gn
.
No. x, x2 x3 x4 Xs = x2~x4 x6 = x1x2x4 x1 = -x1x3x4
1 2 3 4 5 6 7 8
1 -1 -1 -1 -1 -1 -1 1
2 1 -1 -1 -1 -1 1 -1
3 -1 1 -1 -1 1 1 1
4 1 1 -1 -1 1 -1 -1
5 -1 -1 1 -1 1 -1 -1
6 1 -1 1 -1 1 1 1
7 -1 I I -I -I I -I
8 1 1 1 -1 -1 -1 1
9 -1 -1 -1 1 I I -1
10 1 -I -I 1 I -I I
11 -1 1 -I 1 -1 -1 -1
I2 1 1 -1 1 -1 I I
13 -1 -1 1 1 -1 1 1
14 1 -1 1 1 -1 -1 -1
I5 -I 1 I 1 I -I I
16 1 I 1 I I 1 -I
Multiplying equations (3.34) by each other, we obtain:
(3.35)
As the left-hand sides of (3.34) and (3.35) are all equal to I we obtain the so-called
generalized defining contrast:
The fractianal factanal design with these generatars is af resalutian III because the
smallest number af factars in the generalized defining cantrast is 3.
b) Using third arder praducts in the right hand side afthe generatars:
The carrespanding defining cantrasts are:
and
The generalized defining cantrast is
(3.36)
Therefare, chaasing the generatars accarding ta (3.36) we abtain fractianal factarial

design afresalutian IV. It is shawn in Table 3.9.
If we want ta study haw a given factar is aliased with ather factars we can
multiply (3.36) by it. Far example, far Xj we abtain
•
130 CHAPTER3
3.4.2. FITTING EQUATIONS TO DATA OBTAINED BY FRACTIONAL

FACTORIAL DESIGNS
The simplified formulae for regression coefficient estimation given in Section 3.3.3 and
the corresponding rules for testing their significance can be applied to fractional factorial
designs too. This can be explained with the orthogonality of both full and fractional
factorial designs.
The test for Iack of fit is according to the regression analysis procedures
described in Chapter 2.
Example 3.7. Amine extraction oflead

In this example we use data from Liakov et al. (1977). In this paper amine
extraction of 1ead from the residue after water treatment of oxides III Harris is studied.
The performance characteristic is the degree of1ead extraction, y (%). Following factors
are varied during the experiments: concentration of diethylenetriarnine (DET A),
x{(gldm 3 ), concentration ofsulphuric acid (H2 S04 ), x; (g/dm 3 ), temperature, x; eC),
solid/liquid ratio,x;, x;
extraction time, (rnin). Their levels in coded and natural scales
are given in Table 3.10.
A resolution III fraction is used with generating relations x4 = x 1x 2 x3 and
x5 = - x1x2 . Two observations, y' and y", are taken for each design point. Their mean
value is denoted y. The design of experiments and the observations are shown in Table
3.11.
The generalized defining contrast for this design is
T ABLE 3.I 0. Levels of the factors for amine extraction of Iead

Factors
Concentra- Concentra- Tempera- Solid/ Extrac-
tion tion ture Liquid tion
ofDETA of H 2 S04 ratio time
Dimension dm
3 oc min
Basic Ievel (X; = 0) 50 6:1 30
Ralf-interval of 50 20 30 2:1 20
variation, W;
Upper Ievel (X; = 1) 200 70 80 8:1 50
Lower Ievel (X; = -1) 100 30 20 4:1 10
Therefore, the main and interaction effects are aliased as follows:

TABLE311 Des1gn
. of expenments andbse o rvauons fior amme extracuon oflead
Run Con- Con- Tem- Solid/ Extra
No. or- cen- cen- pe- Liquid c-tion
der tration tration · rature ratio time Degree of Iead extraction
r - of of
DETA H2S04 observed mean predicted
XI x2 x3 x4 Xs y' y" y y
1 1 -1 -1 -1 -1 -1 13.25 14.45 13.85 13.45
2 6 1 -1 -1 1 1 45.75 44.35 45.05 44.79
3 7 -1 1 -1 1 1 42.24 41.72 41.98 42.23
4 2 1 1 -1 -1 -1 36.03 34.47 35.25 35.65
5 3 -1 -1 1 I -1 63.88 62.32 63.10 63.49
6 4 1 -1 1 -1 1 82.98 84.86 83.92 84.19
7 5 -1 I 1 -1 1 82.22 81.54 81.88 81.63
8 8 1 I 1 1 -1 85.62 86.54 86.08 85.69
Other second order interactions are not considered because they are aliased with
main effects, with Xj~ or x2x3 . All interactions higher than second order are neglected
and the following model is obtained:
The regression coefficients' estimates are calculated by formulae (3 .17) - (3 .19). For
example
1
bl = -(-13.85 +35.25- 63.10+ 83.92-81.88 + 45.05-41.98 + 86.08)= 6.19'
8
1
bl3 = -(13.85 -44.79+ 42.23-35.65-63.49 +84.19-81.63 +85.69)= 0.07.
8
Only two interaction effects are included in the model because all other second order
interactions are aliased with main effects or with x1x 3 and x2 x3 .
The model is tested for Iack of fit by use of the procedure given in subsection
2.3.7. The pure error sum ofsquares is
132 CHAPTER3
i=l J=l i=l j=l
with
h
vE=Lij-h =2x8-8=8
i=l
degrees of freedom. Therefore, the mean square for pure error is
The standard deviation of regression coefficient estimates is
s(eJ=f; =~~·~; =0.23.

The critical value of t-distribution at Ievel 0.05 is tr
= t(0.025,8) = 2.31. For test of
regression coefficients' significance we compute the following value:
trs(B)= 2.31 x 0.23 = 0.53.

All coefficients with absolute values smaller than 0.53 are insignificant at Ievel
0.05. Therefore, all interaction effects can be neglected and the regression model can be
rewritten in the form
jl=56.39+6.19x1 +4.91x2 +22.36x3 +2.66x4 +6.82x5 .
The predicted values of the response in the design points are given in the last row
of Table 3.10. The sum of squares due to Iack of fit for this model is
h
QL = Lr;(Y;- yJ2 = 1.78
i=l
with vL = h- k = 8- 6 = 2 degrees of freedom.

The corresponding mean square is
The computed value ofF-ratio is
F= s~ = 0.89 ,=2.12.
s. 0.42
The critical value of F-distribution is Fr = F(0.05,2,8)= 4.46. As F <Fr the

linear model is adequate. All model coefficients are positive. Hence maximal degree of
Iead extraction can be obtained if all factors are at their upper Ievels, i.e.
X;= 1, i = 1,2,3,4,5. In this case the predicted response is equal to 99.33 %.
•
3.5. Blocking
If the number of runs is high it is possible for a relatively long period of time the
experimental conditions to change due to non-random changes of raw material, operator,
measuring device or some other reasons. If their effect is additive and does not interact
with the factors it can be estimated and eliminated. For this purpose the design is split
into blocks for which one can expect that the experimental conditions are approximately
constant. Suppose that the differences between the blocks can be considered as caused
by a factor B which changes in time (for example, raw material). Ifthe experiment is split
into two blocks, one before the change of the raw material and the other - after this
change, then the block effect is 2ß8 , where ß 8 is a regression coefficient before B. In
order to split the experiments into two blocks we put the factor B equal to highest
degree product of the other factors. In the first block we select these runs for which B =
+1 and the second consists of runs with B = -1.
For example, consider a full factorial experiment with 5 factors: xpx2 ,x3 ,x4 and
Xs. The total nurober of runs is N = 2 5 = 32. Suppose that we can keep the experimental
conditions approximately constant only in a half of these runs. Then .we can put
B = XjX2 x3x4 x5 and select for the first block only these runs for which B = + 1, and for the
second block runs with B = -1. This design is shown in Table 3.12. Each block in this
table can be considered as a half-fraction of the full factorial design. The blocking
variable B is not confounded with the other factors or interactions, except with
x1x 2 x3x4 x5 . Therefore, no main or interaction effect, except that of x1x2 x3X 4 X 5 , is affected
by the inter-block difference. Usually the fifth order interaction is negligible and its
aliasing with the block effect is not very important.
If the changes of experimental conditions occur in shorter time intervals, then the
design can be split into smaller blocks. For example, the full factorial design with 5
factors and 32 runs can be split into 4 blocks, each consisting of 8 runs. Forthis purpose
we introduce two blocking variables ~ and B2 . The corresponding blocking generators
have to be chosen to provide as higher as possible resolution of fractional factorials for
each block, taking into account that the blocking variables can interact with each other.
134 CHAPTER3
For the example with 5 factors we choose following generators:
~pnttmg 25 d.
TABLE312 . Sr. es1gn mto two bl ocks
Block I Block II
Run XI x2 xJ x4 Xs B= Run XI x2 x3 x4 Xs B=
No. xlx2x3x4xs No. xlx2x3x4xs
1 1 -1 -1 -1 -1 I 17 -1 -1 -1 -1 -1 -1
2 -1 1 -1 -1 -1 1 18 1 1 -1 -1 -1 -1
3 -1 -1 I -1 -1 1 19 1 -1 1 -1 -1 -1
4 1 1 1 -1 -1 1 20 -1 1 1 -1 -1 -1
5 -1 -1 -1 1 -1 1 21 1 -1 -1 I -1 -1
6 1 1 -1 1 -1 1 22 -1 1 -1 1 -1 -1
7 1 -1 1 1 -1 1 23 -1 -1 1 1 -1 -1
8 -1 1 1 1 -1 1 24 1 1 1 1 -1 -1
9 -1 -1 -1 -1 1 1 25 1 -1 -1 -1 1 -1
10 1 1 -1 -1 1 1 26 -I 1 -1 -1 1 -1
u· 1 -1 1 -1 1 1 27 -1 -1 1 -1 1 -1
12 -1 1 1 -1 1 1 28 1 1 1 -1 1 -1
13 1 -1 -1 1 1 1 29 -1 -1 -1 1 1 -1
14 -1 1 -1 1 1 1 30 1 1 -1 1 1 -1
15 -1 -I 1 I I 1 31 1 -1 1 1 1 -1
16 1 1 1 1 1 1 32 -1 1 1 1 1 -1
The blocks can be chosen using the Ievels of blocking variables shown in Table
3.13.
TABLE 3 l3 BIocki ngvana

. bl es
Block BI B2 BIB2
I -1 -1 1
II 1 -1 -1
III -1 1 -I
IV 1 1 I
The design is shown in Table 3.14. Smaller blocks can also be obtained but at the
price of aliasing second order interactions with the blocking variable.
TABLE 3.14. Splitting design into four blocks

Block I Block III
Run XI x2 x3 x4 Xs ~ B2 Run ~ ~ x3 x4 Xs ~ B2
No. No.
1 -1 -1 -1 -1 -1 -1 -1 17 1 1 -1 -1 -1 -1 1
2 1 -1 1 -1 -1 -1 -1 18 -1 1 1 -1 -1 -1 1
3 1 1 -1 1 -1 -1 -1 19 -1 -1 -1 1 -1 -1 1
4 -1 1 1 1 -1 -1 -1 20 1 -1 1 1 -1 -1 1
5 1 1 -1 -1 1 -1 -1 21 -1 -1 -1 -1 1 -1 1
6 -1 1 1 -1 1 -1 -1 22 1 -1 1 -1 1 -1 1
7 -1 -1 -1 1 1 -1 -1 23 1 1 -1 1 1 -1 1
8 1 -1 1 1 1 -1 -1 24 -1 1 1 1 1 -1 1
Block II Block IV
Run ~ x2 x3 x4 Xs BI B2 Run ~ x2 x3 x4 Xs -~ B2
No. No.
9 1 -1 -1 -1 -1 1 -1 25 -1 1 -1 -1 -1 1 1
10 -1 -1 1 -1 -1 1 -1 26 1 1 1 -1 -1 1 1
11 -1 1 -1 1 -1 1 -1 27 1 -1 -1 1 -1 1 1
12 1 1 1 1 -1 1 -1 28 -1 -1 1 1 -1 1 1
13 -1 1 -1 -1 1 1 -1 29 1 -1 -1 -1 1 1 1
14 1 1 1 -1 1 1 -1 30 -1 -1 1 -1 1 1 1
15 1 -1 -1 1 1 1 -1 31 -1 1 -1 1 1 1 1
16 -1 -1 1 1 1 1 -1 32 1 1 1 1 1 1 1
3.6. Steepest ascent
One of the most important characteristics of the response surface methodology is that it
is based on a sequential approach. The information obtained at the initial stages of the
experimentation is used in the next stages to improve tl].e experimental design. An
element of the response surface methodology is the steepest ascent procedure (Box and
Wilson (1951)).
The initial operating point in the factor space chosen by the experimenter to start
a research program can be far from the optimal one. An attempt to fit a polynomial over
the whole operability region will usually Iead to a very complex model with too many
coefficients. A great nurober of observations will be needed to fit this model. Usually
investigators are not interested in far from the optimal working conditions. Therefore,
they need a simple procedure to move the process from the initially chosen operating
point towards a smaller region of interest where optimal operating conditions are
expected tobe found. Ifthe initial point is far from the extremum one can expect that the
response surface in a small region ofinterest araund it is approximately linear. Using full
or fractional factorial design a model of the form
136 CHAPTER3
m m-1 m
y=b0 + Lbixi + L 'Lbiixixi (3.37)
i=l i=l j=i+l
can be fitted.
Typically when the initial operating point is far from the optimum the coefficients
bi1 are smaller than bi . The sum of squares due to the first order terms in (3. 37) is much
larger than the sum of squares due to the second order terms and (3.37) can be
considered as approximately linear model.
The idea of steepest ascent is to move the operating point in the direction of the
gradient of the response surface
. . ~J
It is known that the gradient is a vector that is orthogonal to the contour of TJ in a given
point (Figure 3.11). As over the contours TJ does not change, one can expect that in
direction of the gradient the change of the response function would be largest.
The gradient can be easily found from (3.37). As is shown in Section 2.3.3 a
polynornial model can be considered as a Taylor expansion of the response function. If
the response can be approximated by first order polynornial then the coefficients bi in
(3.37) are estimates ofthe gradient components
0." I
ß.-- 8x
I Io
Movement towards better operating conditions is performed step by step in the

direction of the gradient (Figure 3. 11 a). Experiments can be conducted in all or part of
the points deterrnined by these steps. Experiments are terminated when it becomes
obvious that the response cannot be improved further in this direction. A new full or
fractional factorial design can be conducted and a new direction of the gradient can be
found. After one or more iterations the first order effects in (3.37) would no more
dorninate. That means that the operating point is in the neighbourhood of the optimum
and a second order design can be used for more detailed exploration of the response in
this region. As we will show in the next section the experiments from the last full or
fractional design can be used as a building block of a second order design.
The vector of factors at j-th step is
x 1+1 =x 1 ±agrady,
where a > 0 is a parameter which determines the length of the step. Sign (+) is used if
one needs to find a maximum, for a movement towards the minimum (-) should be
chosen.
X'
2
60 50
X'1
yI • yI
a)
y
y~b0 +b1x' 1 +b2x '2
X
1
b)
Figure 3.11. Steepest ascent for two factors (a) Path of steepest ascent (b) Section of the response surface
along the path of steepest ascent
138 CHAPTER3
The factors can be rewritten in scalar form for each component as follows:
xi,J+l =x;1 ±a4, i=l,2, ... ,m.
For practical use it is convenient to convert the factors in their natural measuring scale
using formula (2.28) as follows:
or
where Y; =ab;OJ; is the step for the i-th factor.
The steps for all factors must be chosen so that the movement is in the direction
of the gradient, i.e. they must be proportional to b;. For example, the step y max for a
factor for which the value of b;OJ; is maximal can be chosen on the basis of
experimenter's intuition. The steps for the other factors have to be calculated using the
equation
Y; = lb bw II I
I I
maxOJmax
Ymax . (3.38)
After a step an experiment can be conducted in order to check whether the

response is still improving. If it is clear that the operating point is far from the extremum
some ofthe experimental runs can be skipped.
It should be noted that the steepest ascent is not invariant with respect to the
scale ofthe factors. Ifthere are several extremums in the region of operability, it may not
find the global extremum.
More detail about the steepest ascent procedure can be found in Box and Draper
(1987). Other optimization methods can also be used for experimental optirnization, for
example evolutionary operation (Box (1957), Box and Draper (1963)), simplex method
(Spendley, Hext and Himsworth (1962)), and complex method (Box, Davies and Swann
(1969)).
Example 3.8. Pure alurninum modification by molybdenum

This experiment was carried out by F. S. Novik (1972). The performance
characteristic y is the number of grains of aluminum in 1 cm 2 . It is measured by
metallographic methods. The target is to maxirnize y. Four factors are varied during the
experiment: the amount of molybdenum introduced into alurninum, x{ (%), superheat
temperature, x; (°C), superheat time, x; (rnin), cooling conditions, x~. The last factor is
qualitative and can take only two values: fast cooling in graphite melting pot and slow
cooling in chamotte melting pot. The intervals of variation of factors in natural and
coded va1ues are given in Table 3.15.
T ABLE 3.15. Design of experiments and path of steepest ascent for the alumirrum
.
. expenment
modifiIcauon
Factars Molybdenum Superheat Superheat Cooling Number
content temperature time conditions ofgrains
1. Dimension % oc min -
2. Basic Ievel (X; = 0) 0.40 840 60 -
3. Halfinterval of 0.15 100 60 -
variation, W;
4. Upper Ievel (X; = 1) 0.55 940 120 graphite
5. Lower Ievel (X; = -1) 0.25 740 0 chamotte
6. Code XI Xz x3 x4 y
7. Run 1, Runorder 4 1 1 1 1 100
8. Run 2, Runorder 3 -1 I I -1 81
9. Run 3, Runorder 8 1 -I 1 -I 95
10. Run 4, Runorder 5 -1 -I 1 I 36
11. Run 5, Runorder 7 1 1 -1 -1 130
12. Run 6, Runorder 2 -1 1 -I 1 69
13. Run 7, Runorder 1 1 -1 -1 I 90
14. Run 8, Runorder 6 -1 -1 -1 -1 64
15. Coefficients, b, 20.625 11.875 -5.125 -9.375
16. b;w; 3.094 1187.5 -307.5 -
17. Step size 0.03 10 -3.0 -
18. Computed values 0.43 850 57 chamotte
20. Run 9 0.49 870 51 chamotte 108
23. Run 10 0.58 900 42 chamotte 196
24. Run 11 0.61 910 39 chamotte 366
25. Run 12 0.64 920 36 chamotte 313
27. Run 13 0.70 940 30 chamotte 142
Steepest ascent is used for finding optimal conditions. A half fraction of the full
factorial design is used in the experiment. The generating relation is X4 = x1x2x3 and the
corresponding defining contrast is x1x2x3x4 = 1. Therefore, the effects are aliased as
follows:
I40 CHAPTER3
b4 ~ ß4 + ßl23,
The design of experiments, the Observations and the path of steepest ascent are
shown in Table 3 .I5. The regression coefficients are computed using formulae (3 .I7),
(3.I8) and (3.I9).
For example
I N I
bl =- ~>iuYu =-(I00-8I+95-36+130-69+90-64)= 20.625.
N u=l 8
Table 3.I6 shows the regression coefficients and the analysis ofvariance. One can
see that the interaction effects are much smaller than the main effects. The total sum of
squares is computed by formula (2.I 0):
N )2
~>u
t; Y: -
(
N
Q= u=JN = 60739- 55278.I25 = 5460.875.
with v= N- k = 8- 7 = I degree of freedom.
1 . of vanance fior the alurmnum modificauon

TABLE316 Anaiysis . expenment
Coe:fficients Source Sum Degrees
of variation ofsquares offreedom
b0 = 83.125
bl= 20.625 Dueto b1 3403.125 1
b2= 11.875 Due to b2 1128.125 1
b3= -5.125 Due to b3 210.125 1
b4= -9.375 Due to b4 703.125 1
b12=- 0.625 Due to b12 3.125 1
b13= 1.125 Due to b13 10.125 1
b14= 0.625 Due to b14 3.125 1
Total, corrected 5460.875 7
Dueto 5444.500 4
main effects
Dueto 16.375 3
interactions
The sums of squares due to effects are computed as shown in subsection 3.3.3.
For example
N
QI = ~Lx1.Y. =20.625x 165 = 3403.I25

u=l
and
Ql2 = bl2 ~>luX2uYu = ( -0. 625) X ( -5) = 3.125.

u::::l
The sum of squares due to main effects is 5444.50 and is much higher than this of
the interaction effects (16.375). One can assume that the interaction effects are
negligible. This assumption is checked by significance test for regression model
coefficients. Three independent observations are conducted at the center of the design
and following response values are observed: 80, 82 and 78. The mean value is y = 80
and an independent estimate of the response variance with 2 degrees of freedom is
obtained:
1-±(y. -8oY = 4.
s; = -3 -1 u~l
Though this estimate is rough because of the small number of observations it is

used for testing regression coefficient significance. All coefficients with absolute values
smaller than
{4
'rv"N
~
=2.92Vs = 2.065,
are insignificant. In this formula Ir = t(0.025,2)= 2.92 is the critical value of Student's
distribution.
This test confirms the assumption that all interaction effects are insignificant.
Ignoring the interactions we obtain the following regression model:
y = 83.125 + 20.625x1 + 11.875x2 - 5.125x3 - 9.375x4 .
The residual sum of squares for this equation is
QR = L>=- LY: =60739-60722.625= 16.375

N
u=l
N
u=l
with 3 degrees of freedom. The multiple correlation coefficients is
R=~1-QQR = 1- 16·375 =0.998.

5460.875
The F-ratio is
142 CHAPTER3
The critical value of F-distribution at significance Ievel 0.05 is

Fr = F(0.05,4,3)= 9.12. Therefore, the linear model is good enough approximation of
the response in the region of interest defined in rows 4 and 5 of Table 3.15. All linear
effects are significant.
The positive signs of b1 and b2 show that the amount of molybdenum (x1) and
superheat temperature ( x2 ) should be increased. The superheat time ( x 3 ) should be
decreased because of the negative sign of b3 . The sign of b4 is negative. Hence the
qualitative factor cooling conditions ( x4 ) must be kept at its lower Ievel ( cooling in
chamotte melting pot).
The step size for the superheat temperature is chosen equal to y max = 10 °C. The
step sizes for the molybdenum amount and superheat time are computed by formula
(3.38). For example, the step size for the molybdenum amount is
It is rounded to 0.03 %. In a similar way the step size for the superheat time is
r3 =-3 min.
Starting from the basic Ievels of factors the operating point moves by steps in the
direction ofthe gradient as follows:
where j is the step number.

In the first steps the factor values are computed, but real experiments are not
conducted, because the experimenters expected the optimum still to be too far from the
current operating point (rows 18,19,21 and 22 ofTable 3.15). In fact this is a way for
increasing the step size. Best result is obtained at run 11, where y = 366. Any further
step in the same direction Ieads to a decrease ofthe response (runs 12 and 13).
•
3.7. Second order designs
3.7.1. INTRODUCTION
If the region of interest includes the extremum of a response surface a model containing
only main effects and interactions is not good enough. In this case a second order
polynomial of the form
I H I I
.Y(x)= b0 + _'Lb;X; + L _'Lbifxixf + _'Lb,;X;2 (3.39)
i:::l j=i+1 i=l
can fit the data better.

Investigators may know from past experience that the initially chosen operating
point is in the neighbourhood of the extremum. If they don't have previous experience,
they start the experimentation trying to fit the data by a model containing only linear
terms and interactions. In this case they use a full or fractional factorial design. Analyzing
the data the experimenter may decide to continue with steepest ascent procedure or to
add new points in order to obtain a second order design for fitting the data by model
(3.39).
There are several indications that a model containing only linear and interaction
terms may not be satisfactory. One of them is that the interaction effects are much
greater than the main effects. Another indication is that the sum of squares due to main
and interaction effects is small compared to the residual and total sums of squares. In this
case the multiple correlation coefficient is small and may be insignificant. The F-ratio is
not high enough and can hardly be higher than 4 Fr as required by Box and Wetz ( 1973)
test (see Section 2.3 .6.4).
A simple indication for existence of curvature comes from the fact that the
intercept computed on the basis of full and fractional factorial design is an aliased
estimate (see Section 3.3.1):
I
ho ~ ßo + L ß;; ·
i:::::l
The intercept b0 can be considered as value of the response in the origin of the
coordinate system when N 0 . Hence an independent estimate of this value from repeated
observations at the design center should provide the same response. Suppose that there
are N 0 repeated observations at the origin and Yo is their arithmetic mean. If b0 is much
different from .Yo we conclude that there are high values of ß;; and therefore, a model of
the form (3.39) has to be used. Note, that this comparison may not discover the
curvature when ß;; are with different signs.
It was shown in Section 3.3.1 that the quadratic effects can not be estimated from
observations obtained through two Ievel full or fractional factorial designs. A second
order design must have at least three Ievels of all factors. However, two Ievel full and
fractional factorials are often used as building blocks of second order designs. Addition
of new points allows to estimate pure quadratic effects.
The points of many second order designs are symmetrically allocated throughout
the region of interest. This symmetry provides some attractive properties. For example,
the main and interaction effects can be estimated independently if two Ievel full factorial
design or high-resolution fraction is used as a building block. They can be split into
144 CHAPTER3
blocks for elimination of non-random time trends and they can provide a satisfactory
distribution of the predicted response variance over the region of interest.
3.7.2. COMPOSITE DESIGNS
An important dass of symmetric designs are the so-called centrat composite designs. If a
full or fractional factorial experiment was conducted and a linear model or model with
interactions did not fit weil the data one can use the already obtained observations and
add new ones tobe able to estimate the coefficients ofmodel (3.39). This is the idea of
centrat composite designs. They consist ofthree types ofpoints:
i) Points of a full or fractional factorial design ("cube points"). Their number is
2 1- 1 . The rules for the construction of these designs are given in subsections 3.3.1 and
3.4.1.
ii) "Star" or axial points. They are allocated at equal distances a from the center
ofthe design and on the coordinate axes. All their coordinates except one (which is ±a)
are equal to zero. The number ofthe star points is N = 2/.
iii) Centrat points with all coordinates equal to zero. Denote their number by N 0 .
In fact this is one point at which N 0 observations are conducted.
The cube and the star points can be replicated t;, and r, times, respectively.
Consequently, the total number of runs of a centrat composite design is
N = 2 1-r rc + 2/r, + N 0 .
Figure 3.12 shows a central composite design for I= 2, t = 0, a. = 1, N 0 = 4 .
• •
No=4
a=l
• •
Figure 3.12 Centtal composite design with two factors: t = 0, a = 1, N0 = 4
DESIGN OF REGRESSION EXPERIMENTS I45
Rotafable centrat composite designs

In a rotatable centrat composite design the value of a is chosen so that the variance
u 2 (y) is the same for all points at equal distance from the center of the design. Choosing
appropriately the number of the Observations at the centrat point N 0 , one can obtain
almost uniform distribution of the variance within a spherical region of interest. If time
trend between the runs is not expected the value of a can be computed as follows (Box
and Draper (I987)):
a =( i~~reJ.
The values of a for 2 to 8 factors and re = rs =I are given in Table 3.I6. N 0 can
be chosen Iager than the minimal value which is 2 to 4. Values of N 0 providing uniform
precision rotatable designs are given by Box, G. E. P. and Hunter, J. S. (1957), seealso
Table 3.I7.
T ABLE 3 .17. Characteristics of rotatab1e centra1 composite design for re = rs = I.

I 2 3 4 5 5 6 7 8
t 0 0 0 0 1 1 1 2
a 1.414 1.682 2 2.378 2 2.378 2.828 2.828
Minimal N 0 2-4 2-4 2-4 2-4 1-4 2-4 2-4 2-4
N 10-12 16-18 26-28 44-46 27-30 46-48 80-82 82-84
If experimenters expect nonrandom changes, they can avoid the aliasing of the
time trend with the effects of factors and interactions by blocking. Box and Hunter
(1957) obtained the conditions for orthogonal blocking.
A central composite design can be split into two blocks, one of which is formed
by Ne cube points plus Neo center points, and the other of Ns star points plus Nso center
points. The total number of the center points is N 0 = Neo + Nso. Minimal values of N cO =2
(except form= 8, when Ne 0 =4) and Ns 0 =I (Ns 0 =2 form= 5, t = 1). are recommended.
The value of a can be computed from the following equation (Box and Draper (1987)):
This a will not achieve exact rotatability but the variance contours are close to spherical
ones.
If smaller blocks are needed then the cube part of the design can be split in the
same way as in Section 3. 5. The number of the center points Neo must be a multiple of
the number of the smaller cube blocks and these points must be equally divided among
146 CHAPTER3
the blocks. If the star is replicated, then each replication with some N 80 star points can be
considered as an orthogonal block.
For more information on rotatable designs see Herzberg (1964), Herzberg
(1966), Herzberg (1967), Draper and Herzberg (1968).
D-optimal composite designs

The rotatable central composite designs require 5 Ievels of the factors. Sometimes this is
inconvenient and three Ievel designs are preferred. They can be constructed using the
rules for central composite designs with a = ±1. Nalimov et al. (1970) and Lucas (1974)
showed that this choice of a maximizes the determinant of the information matrix for a
design built according to the rules for central composite designs in a cubical region of
interest. Note that without this restriction higher D-efficiency can be obtained. However,
the structure of the composite designs provides the attractive properties of the symmetric
designs which are listed in subsection 3. 7. 1.
According to Nalimov et al. (1970) N 0 = 1 for I= 2 and N 0 = 0 for I> 2.
Table 3.18 shows a D-optimal composite design for four factors (/ = 4) with half
fraction (t = 1). Following generating relation is chosen: x4 =x1 ~~- The total number of
runs is N = 24- 1 + 2.4 = 16.
TABLE 3.18. D- ootimal comoosite d"

esum tior4 factors
No. l1 x2 ~ x4 No. l1 x2 ~ x4
1 -1 -1 -1 -1 9 -1 0 0 0
2 1 -1 -1 1 10 1 0 0 0
3 -1 1 -1 1 11 0 -1 0 0
4 1 1 -1 -1 12 0 1 0 0
5 -1 -1 1 1 13 0 0 -1 0
6 1 -1 1 -1 14 0 0 1 0
7 -1 1 1 -1 15 0 0 0 -1
8 1 1 1 1 16 0 0 0 1
Hartley's designs
These designs have small number of points and are useful when the experiments are
expensive or time consuming. Hartley (1959) assumed that in the cube part of a
composite design the main effects could be aliased with two-factor interaction because
the star points provide additional information for them. The condition for the cube
portion is two-factor interaction to be not aliased with other two factor interactions.
Hartley's designs are formed according to the rules for central composite designs
with a = ±1. Versions with one (N0 = 1) or zero (N0 = 0) center points are possible.
Table 3.19 shows recommended generators for Hartley's designs. In this table are given
the value oft for the fractional design, the number of observations N and the number of
model coefficients k as weil. The numbers in the brackets in the column for N are for a
design without center points (N0 =0).
TABLE 3 I9 Data fior bw"Id"mg Hartleys I .

des1gns
I t N k II Generator
3 I II (IO) IO x3 =xlx2
4 I I7 (I6) I5 x4 =xlx2x3
5 I 27 (26) 2I Xs =XIX1X3X4
6 2 29 (28) 28 x 3 =x 1x 2 and x 6 = x 4x 5
7 2 47 (46) 36 x 6 =x 2x 3 and x 7 =x 4x 5
Table 3.20 shows a Hartley's design for 6 factors with one central point and
generators chosen according to Table 3.19.
. fior 6 f:actors
T ABLE 3 20 Hartle I s des1gn
No. XI x2 x3 x4 Xs x6 No. XI x2 x3 x4 xs x6
I -I -I I -I -I I I7 -I 0 0 0 0 0
2 I -I -I -I -I I I8 I 0 0 0 0 0
3 -I I -I -I -I I I9 0 -I 0 0 0 0
4 I I I -I -I I 20 0 I 0 0 0 0
5 -I -I I I -I -I 2I 0 0 -I 0 0 0
6 I -I -I I -I -I 22 0 0 I 0 0 0
7 -I I -I I -I -I 23 0 0 0 -I 0 0
8 I I I I -I -I 24 0 0 0 I 0 0
9 -I -I I -I I -I 25 0 0 0 0 -I 0
IO I -I -I -I I -I 26 0 0 0 0 I 0
11 -I I -I -I I -I 27 0 0 0 0 0 -I
I2 I I I -I I -I 28 0 0 0 0 0 I
13 -1 -I l l l l 29 0 0 0 0 0 0
I4 I -I -I I I I
I5 -I I -I I I I
I6 I I I I I I
3. 7.3. OTHER THREE LEVEL SECOND ORDER DESIGNS
Box and Behnken (1960) proposed second order designs formed by combining two-level
factorials with incomplete block designs. They are symmetric (except for I = 6). The
designs for I = 4 and I = 7 are rotatable, the designs for I = 4 and I = 5 can be split into
blocks.
Small composite designs are proposed also by Westlake (1965), Hoke (1974),
and Draper (1985). Saturated designs with N = k are developed by Rechtshafner (1967)
and M. Box and Draper (1974). Note however, that if N = k the degrees offreedom for
the residual variance are zero ( vR =N- k =0) and the adequacy ofthe model can not be
tested.
148 CHAPTER3
Plackett and Burman (1946) proposed two Ievel designs for studying up to
I = N- 1 variables in N runs, where N is a multiple of 4 0 The main effects for these
designs are aliased with many two-factor interactionso
307.40 STATISTICAL ANALYSIS OF DATA OBTAINED THROUGH SYMMETRIC

SECOND ORDER DESIGNS
As was noted the centrat composite designs and some other designs given in Section
30703 are symmetrico For many symmetric second order designs the information matrix
FTF has a specific form with many off-diagonal elements equal to zeroo Rearrange for
convenience the terms in model (3039) as follows:
Denote
where r = 1(1- 1) I 2 0
With these notations the information matrix of a symmetric design is of the form
N 0 0
0 All 0
F F= [
T
0 0 BI,
a 0 0
where N is the number of experiments, a is I vector with elements
and
N
B=Lxi!x~.; i,j=1,2, .. o,l; i'l:-j.

u=l
The lxl matrix H has diagonal elements A and offdiagonal ones Bo 11 and I, are
I x I and r x r identity matriceso
The inverse matrix of FTF is
where d is /-vector-column with all elements equal to d 2 , D is l x l matrix with diagonal

elements d3 and off-diagonal ones d 4.
Putting (FrFt in the formula for estimation by the least squares method (2.41)
one can obtain simplified formulae for computation of the regression coefficients. The
elements d 1 ,d2,d3 ,d4 ,d5 and d 6 of (FrFt can be computed inadvance for the most used
designs. For example, these constants for D-optimal composite designs with 2 to 7
factors are given in Table 3.21. In this table t = 0 when full factorial design is used as
building block and t = I if this is half fraction.
The lxl matrix H has diagonal elements A and offdiagonal ones B. 11 and I, are
l xl and rxr identity matrices. Taking into account that
s 2 (oJ = cjjs;, cov(oj ,OJ= ci1s; and C= (FrF t one can compute the variances and
covariances of the regression coefficients as follows:
s; s;
s 2 (b0 )= d 1 ,s 2 (bJ = d 5 ,s 2 (bJ= d 6 s;, (3 .40)
s2 (bJ = d s; ,cov(bo.bii )= d s; ,cov(bii>bii )= d4s;.
3 2
TABLE 3.21. Elements of (FrFt for D-optimal composite designs

I t k N c ~ d2 d3 d4 d5 d6 Dejf
2 0 6 9 1 .55555 -.33333 .50000 .00000 .16666 .25000 .974

3 0 10 14 0 .40625 -.15625 .40625 -.09375 .10000 .12500 .976
4 0 15 24 0 .22916 -.06250 .39583 -.10417 .05555 .06250 .936
5 0 21 42 0 .15820 -.03320 .40820 -.09180 .02941 .03125 .899
5 1 21 26 0 .16016 -.03516 .41016 -.08984 .05555 .06250 .868
6 0 28 76 0 .12062 -.02062 .42062 -.07937 .01515 .01562 .860
6 1 28 44 0 .12126 -.02125 .42125 -.07875 .02941 .03125 .867
7 1 36 78 0 .09766 -.01433 .43099 -.06901 .01515 .01562 .853
/-number of factors, t-fractwn, k-number of coeffic1ents N-number of runs, c-number of centre pomts
The rest ofthe covariances are equal to zero.

Though second order designs are used to estimate coefficients in a second order
polynomial, they provide information about the need of including third order terms in the
model. For example, the model structure selection can be carried out through the
algorithm of all possible regressions. There is another procedure based on the so-called
extra sum of squares.
150 CHAPTER3
Suppose that a second order model is fitted:
I 1-1 I I
jl(x) = h0 + :~);x; +
i=l
L L h;1x;x1 + Lh;;X;
i=l j=i+l i=l
2
and the corresponding regression sum of squares is calculated:
QMz =:L(Y. -.YY ·

•=I
The degrees of freedom associated with QM 2 are vM 2 = k2 -1, where k2 is the

number of coefficients in the second order polynomial.
If the design has more than three factor Ievels and the number of design points is
high enough then a third degree polynomial can be fitted
I 1-1 I I
jl(x) =h0 + Lh;X; + L L biJx;x1 + Lh;;X;2 +

i=l i=l j=i+l i=l
1-2 1-1 I 1-1 I 1-1 I I
+L L L biJixixJxl + L L biJixix~ + L Lh;iJX;2 X1 + Lh;;;X;3 •

i=l j=i+ll=j+l i=l j=i+l i=l j=i+l i=l
Let the corresponding regression sum of squares be QM 3 with vMJ =k3 - 1

degrees of freedom, k3 being the number of coefficients in the third order polynomial.
Suppose that the residual sum of squares after fitting the third order polynomial is QR
with vR = N- k3 degrees of freedom. Define the sum of squares due to added third order
terms as QM3 - QM 2 and Iet its associated degrees of freedom be vMJ - vMz = k3 - k2 . The
mean square for the added third order terms is s;2 = (QM 3 - QMz )1(k3 - k2 ). It can be
compared with the residual mean square s~ = QM 3 I vM3 through following F-ratio:
F= i3z
;;·
R
Let the critical point of the F-distribution at significance Ievel a be

Fr= F(a,v 32 ,vR). Then one ofthe following conclusions can be made:
1. lf F < F;. then the added third order terms are insignificant.
2. lf F > Fr then the third order polynomial fits the data better than the second
order one.
Some designs described in Sections 3.7.2 and 3.7.3 have only three Ievels (-
1,0,1). In this case the pure cubic effects 2/3;;; can not be estimated because for these
x;
Ievels =X;, i.e. the main and pure cubic effects are confounded. However, the need to
include third order interactions x;x1x1, X;2 x 1 and X;X~ can be tested even for three Ievel
designs.
Normal and half-normal plots can be used if the effects are independently
estimated. It was shown above that for symmetric designs the estimates of the intercept
and ofthe coefficients h;; are correlated. Box and Draper (1987) give a simple procedure
for orthogonalization of F. We consider it in the context of three Ievel designs. In this
case the matrix F can be orthogonalized through replacement in the model of f.q = x~; by
- 2
f.q = x.;- -2
X; , where q = 2, 3, ... , I and
-2-
X; -
_!_ ~ 2
L...Jxui.
N u=1
After this change the transformed information matrix FrF becomes diagonal and
the corresponding model can be written in the form:
I 1-1 I I
.Y = ao + ~)ixi + L L bi}xixi + Lh;;(x;2 -

i;;;:;l j:::o} j::::i+l j::::}
.x/),
where
I
ao = ho + Lh;;X;2 ·
i=l
The model can also be written
Y. = LB.L,
i::::l
where ].; = f.; for all terms of the model except for the quadratic ones and
~ ~ ~ -r-
(}1 = a0 , B2 = b1 ,. .. , (}k = b11 . As the transformed information matrix F F is diagonal,
these estimates can be computed from the normal equations as follows:
(3.41)
where f; is the i-th column of the transformed matrix F. The sum of squares due to the
effect (}; is equal to
(3.42)
152 CHAPTER3
The proof of(3.42) is similar to the proof of(3.24) which is given in Appendix A.3.1.
The effects estimated by formula (3 .42) can be used for construction of half-
normal plots.
Example 3. 9. Rheologie properties of cement raw material slime

Consider an experiment carried out for studying the rheologic properties
of cement raw material slime. There are two performance characteristics of interest:
structural viscosity ~(lo-s Pa.s) and ultimate shearing stress J-;(10-3 Pa). Following
factors are varied during the experiment: water content x;(%), milling fineness, x~(%),
liquefying admixture MSL, x~ (%) and liquefying admixture nitro I, x ~ (%). The factor
Ievels are given in Table 3.22.
TABLE3 22 Factor eve1s fior cement raw maten·a1 sr1me expenment

Natural values of factors
water milling MSL nitroI
Coded values of factors content fineness
x;(%) x~(%) x~(%) x~(%)
Basic Ievel (x; = 0) 35 17.5 0.6 0.22
Halfinterval ofvariation (W; ) 5 7.5 0.4 0.18
Upper Ievel (x; = 1) 40 25.0 1.0 0.40
Lower Ievel (X; = -1) 30 10.0 0.2 0.04
A D-optimal composite design is used. The difference between the highest and
the smallest values of the performance characteristic are very big. That is why
logarithmic transformations are used for both of them. The design and the logged
observations are shown in Table 3.23. The following models are obtained by ordinary
least squares:
y = -1.563 -1.089x
1 1- 0.111x2 - 0.055x3 - 0.052x4 + 0.170x12 -
and
y2 = 3.097- 0.644x1 - 0.184x2 - 0.131x3 - 0.119x4 + 0.019x12 +
TABLE 3.23. Experimentaldesign and logged Observations for cement raw material slime experiment
No XI x2 x3 x4 Yl = lnf; y 2 =In f:z .,No. XI x2 x3 x4 y 1 = Iny; y 2 = lnY.:
1 -1 -1 -1 -1 0.107 4.977 13 -1 -1 1 1 -0.189 3.689

2 1 -1 -1 -1 -2.267 2.862 14 1 -1 1 1 -2.226 2.741
3 -1 1 -1 -1 -0.023 3.526 15 -1 1 1 1 -0.412 3.624
4 1 1 -1 -1 -2.521 2.708 16 1 1 1 1 -2.703 2.303
5 -1 -1 1 -1 -0.371 4.431 17 -1 0 0 0 -0.324 3.314
6 1 -1 1 -1 -2.203 2.890 18 1 0 0 0 -2.460 2.918
7 -1 1 1 -1 -0.347 4.174 19 0 -1 0 0 -1.542 3.258
8 1 1 1 -1 -2.521 2.674 20 0 1 0 0 -1.820 2.639
9 -1 -1 -1 1 -0.286 4.413 21 0 0 -1 0 -1.332 3.689
10 1 -1 -1 1 -2.263 2.708 22 0 0 1 0 -1.487 2.996
11 -1 1 -1 I -0.305 4.I27 23 0 0 0 -1 -1.465 3.496
12 1 1 -I 1 -2.584 2.879 24 0 0 0 I -1.585 3.114
The analysis ofvariance for j/1 and j/2 is shown in Table 3.24.
TABLE 3.24. Analysis ofvariance for logged structural viscosity y 1 and

logged ultimate shearing stress y 2 .
Model Sourceof Degrees of Sumsof Mean F-ratio Critical value
variation freedom squares square ofF
at a= 0.05
Regression I4 22.09I4 1.5780 180.57 3.02
yl Error 9 0.0786 0.0087 -
Total 23 22.1701 - -
Regression I4 9.7223 0.6944 5.37 3.02
y2 Error 9 1.1636 O.I293 -
Total 23 I0.8858 - -
The models are used for process optimization (see Example 3.11).
•
3.8. Sequential generation of D-optimal designs
3.8.1. PROCEDURES FOR SEQUENTIAL GENERATION OF D-OPTIMAL

DESIGNS
In this section we consider procedures for generating D - optimal designs. They are
based on a simple idea. First an initial design with non-singular information matrix
FrF is chosen and then the design is sequentially augmented with new points, which
maximize the information matrix' determinant at each iteration.
154 CHAPTER3
Suppose that at a given step a design has N points and its non-singular
information matrix is F/FN' Assurne that at the next step an experiment is conducted for
a point xN+l· Denote fN+l a vector offunctions in the regressionmodelthat corresponds
to x N +1 . As is shown in Appendix A. 3 .2 following equations are true:
(3.43)
and
(3.44)
The idea for D-optimal designs construction comes from (3.44). For a given
!F~FN! maximal increase of the information matrix deterrninant is achieved if fN+l is
chosen so that to maxirnize the value of f~+ 1 (F/FNtrN+l· According to (2.44) this
value is proportional to the variance of the predicted response. Therefore, the next
observation must be conducted in the point with highest uncertainty of prediction. This
way the information about the response is increased as much as possible. This idea was
first proposed by Sokolov (1965) and Box and Hunter (1965) in different contexts and
was developed further for D-optimal designs generation by Vuchkov (1968), Vuchkov
and Krug (1969a,b), Kono and Sakaguchi (1969) and Wynn (1970).
The algorithm for generation ofD- optimal designs is:
1. Start with an initial non-singular design with N points and information matrix
F/FN.
2. Find a point xN+l according the following condition:
3. Compute
4. Replace N with N+ 1 and go to step 2.

The computations terrninate when N becomes equal to a prelirninary given
number of runs. The procedure is converging to the continuous 0-optimal design (Wynn
(1972)).
The starting design can be chosen automatically as follows. Suppose that the
initial design has zero points. The computations can start from step 2 of the algorithm
with F/ FN replaced at the first step by al, where I is k x k identity matrix, and a is a
small positive number within the range between 10-4 and 10-6 . The procedure creates a
non-singular initial design in k iterations, where k is the number of regression
coefficients, and continues the computations without changing the algorithm. The
information matrix of the initial design is rather high. For more detail on the starting
procedure see Vuchkov (1977).
There are many modifications of the algorithm for D-optimal designs generation,
see for example Fedorov (1972), Mitchell (1974), Silvey, Titterington and Torsney
(1978), Galil and Kiefer (1980), Welch (1984), Yonchev (1988), Vuchkov, Damgaliev,
Donev (1989), Hardin and Sloane (1993). Most of them improve D-efficiency of the
design for a given N as compared with the procedure given above at the price of more
complicated computations. However, all algorithms including the procedure given in this
section very quickly produce designs with D - efficiency in the interval between 0.88 -
0.99. The lower bound of this interval is for !arge number of factors (/ == 7 or 8), the
upper bound is for 2 factors. Table 3.25 shows the D-efficiencies of designs obtained by
the procedure given above for N chosen to provide a reasonable number of the degrees
offreedom for the residual variance.
T ABLE 3.25. D-efficiencies of second order sequentially

enerated designs with v degrees of freedom
I 2 3 4 5 6 7
k 6 10 15 21 28 36
V 7 5 9 6 6 7
N=k+V 13 15 24 27 34 43
D.JJ 0.998 0.949 0.957 0.912 0.879 0.876
As more sophisticated algorithms can not improve designs significantly (the upper
bound for D.ff is 1) for practical use we prefer the algorithm given in this section which
is very simple. Tak:ing into account that D-optimal designs are dependent on the model
structure and on the shape ofregion ofinterest (see Section 3.9) achieving very high D-
efficiency may be an illusion in many practical situations. Second and third order designs
developed by use ofthis algorithm are given in Vuchkov et al. (1978).
The composite designs and the other symmetric designs considered in subsections
3.7.2 and 3.7.3 have many attractive properties and they should be used whenever the
practical problern corresponds to the assumptions under which they were developed.
However, the procedure for sequential generation of D - optimal designs has some
advantages in some non-standard situations, for example:
• augmentation of a set of experimental runs with new points,
• generation of designs for models which are not full second order polynornials,
• generation of designs for qualitative and quantitative factors with different
number of Ievels of the qualitative factors,
• generation of designs in regions of interest with irregular shape,
• flexible choice of the number of runs according to the needs of the
experimenter.
There are also other applications of the procedures for sequential generation of
D-optimal designs. Same ofthem are mentioned in the bibliography (Section 3.2).
156 CHAPTER3
3.8.2. ASYMMETRICAL SECOND ORDER D-OPTIMAL DESIGNS
The procedure of subsection 3. 8.1 requires search of global maximum of the function
f~+l (F~FN t f N+l which is rather complicated. Therefore, some simplifications of the
search procedures are necessary. One possibility to avoid the global search over the
entire region of interest is to compute the values ·of f~+ 1 (F~FN t f N+l only for the
support points of a continuous D-optimal design. For a given model there might be
several continuous D-optimal designs with different supports. The supports of some
second order designs are found by Kiefer (1961), Farrel, Kiefer and Walbran (1967),
Kono (1962). The most often used set of candidate-points for second order designs on a
cube is three Ievel full factorial design which has 31 points. Another support proposed by
Kono (1962) contains following points: i vertices ofthe /-dimensional cube, li- 1 edge
centroids of the cube and the overall centroid of the cube. Other sets of candidate points
can also be used (Vuchkov, Damgaliev, Donev (1989)).
Second order designs are developed by Vuchkov et al (1978). Vuchkov (1982)
gives camparisans between sequentially generated designs and other designs.
The D-optimal designs generated by sequential procedures are usually
asymmetrical. The experimenter can choose any number of runs N ~ k. Standard
regression analysis procedures are used for estimation and statistical inference.
Example 3. 10. Production of electroconductive and anti static textile materials

A production process of electroconductive and anti static textile materials is
considered. There are two performance characteristics of interest: specific resistance
p(Q) and electromagnetic wave damping y 2 (dB). The amount of polymer is kept
constant and the following factors are varied during the experiment: amount of copper
sulphate (CuS0 4 lx:(%) and amount ofresin, x~(%).
A second order asymmetrical D-optimal design is used in the experiment. The
correspondence between coded and natural values ofthe factors is shown in Table 3.26.
TABLE3 26 Factor eve1s fior the textt'1e maten'al expenment

Coded values Natural values offactors
offactors Proportion of CuS04 ,x;(%) Proportion of resin, x~ (%)
X; =-1 10 2
X; =0 30 6
X;= 1 50 10
m; 20 4
The design and the observations are shown in Table 3.27. Logarithmic
transformation is used for the specific resistance: y 1 =log10 p.
TABLE 3.27. Experimentaldesign and Observations for the textile material experiment
No. Proportion of Proportion of Logged specific Electromagnetic wave
CuS04 ,x1 (%) resin, X 2 (%) resistance, y 1 = log 10 p damping,, y 2 (dB)
I I 5.365 0.3
2 -I 6.396 0.7
3 -I 6.216 0.6
4 -I -I 6.585 0.5
5 0 I 5.244 1.6
6 I 0 6.970 1.3
7 0 -I 6.021 1.7
8 -I 0 7.609 1.3
9 0 0 6.333 2.3
10 I I 5.392 0.4
11 1 -1 6.339 0.7
12 -1 1 6.271 0.5
Regression models are obtained using MINITAB:
(3 .45)
and
(3.46)
The effect of x1 in the model for j/2 is insignificant and can be ignored.
TABLE3.28. ignifi s
· 1cance test of regresston coeffi'
1c1ents fior modesI (3.45) and (3.46)
Model (3.45) Model (3.46)
Pre- Coeffi- St. t-ratio p Sum Degr. Coeffi- St. t-ratio p Sumof Deg
die- cient devi- of of cient devi- squares of
tor ation squares free- ation free
dom dom
Cons- 6.698 0.043 156.39 .000 - - 2.359 0.037 63.01 .000 - -
tant
XI -0.286 0.020 -14.22 .000 0.686 1 - - - - - -
x2 -0.349 0.020 -17.37 .000 1.322 1 -0.070 0.017 -4.05 .005 0.159 .1
xzI
0.559 0.039 14.15 .000 0.485 1 -1.088 0.034 -31.57 .000 2.994 .1
xlx2 -0.155 0.023 -6.79 .001 0.076 1 -0.099 0.020 -5.04 .001 0.035 .1
x22 -1.099 0.039 -27.28 .000 2.652 1 -0.738 0.034 -21.42 .000 1.202 .1
The statistical analysis of these models is shown in Table 3.28 and Table 3.29.
The critical points of F-distribution at significance Ievel 0.05 are
Fr =F(0.05,5,6)=4.39 and Fr =F(0.05,4,7)=4.12. Both multiple correlation
coefficients are significant and the models can be used for optimization. Analysis of the
corresponding response surfaces is given in Examples 3.12 and 3. 13.
158 CHAPTER3
T ABLE 3.29. Analvsis ofvariance for models (3.45) and (3.46)

Model (3.45) Model (3.46)
Source Sumof Degrees Mean F-ratio Sumof Degrees Mean F-ratio
SQuares offreedom SQuare SQuares offreedom SQuare
Regres- 5.220 5 1.044 304.81 4.391 4 1.098 418.87
sion
Error 0.021 6 0.003 0.018 7 0.003
Total 5.241 11 4.409 11
•
3.8.3. SYMMETRICAL SECOND ORDER D-OPTIMAL DESIGNS
The procedure for sequential generation of D-optimal designs can be started with a
symmetrical design and then small sets of points (blocks) can be sequentially added to
obtain designs with symmetrical structure and information matrix ofthe type (3.40).
Consider an example for two-factor design. Table 3.30 shows the support points
that form a 32 factorial design.
T ABLE 3 30 3 2 facton·a1 desum
.
No. XI x2 No. XI x2
1 1 1 6 0 1
2 1 -1 7 1 0
3 -1 1 8 0 -1
4 -1 -1 9 -1 0
5 0 0
A sequentially generated symmetrical block-design is given in Table 3.31. In this

table the design points are presented through their numbers from Table 3.30. N is the
number of runs of the sequentially generated design.
T ABLE 3 .31. Symmetrical sequentially generated

block desi~m fior 2 f actors
Block No. N Points forming the block D.ff
1 9 1,2,3,4,5,6,7,8,9 0.974
2 14 1,2,3,4,5 0.994
3 18 6,7,8,9 0.974
4 22 1,2,3,4 0.998
5 27 1,2,3,4,5 0.999
6 31 6,7,8,9 0.993
7 36 1,2,3,4,5 0.998
8 40 1,2,3,4 0.999
9 44 6,7,8,9 0.998
10 49 1,2,3,4,5 0.998
11 53 1,2,3,4 1.000
12 57 6,7,8,9 0.999
13 62 1,2,3,4,5 1.000
For example, if the experimenter wants to conduct 27 runs he/she must repeat
points I, 2, 3, 4 four times, point 5- three times, and points 6, 7, 8, 9- two times.Other
symmetrical block-designs are given in Vuchkov et al (1978).
Pesotchinsky (1972) proposes symmetrical non-sequential D-optimal designs.
Table 3.32 presents a design of this type for 4 factors. It consists of 6 sets of points as
shown in the table, the total number of points is 42 and the D-efficiency of the design is
0.967.
TABLE 3.32. Sets ofpoints ofPesotchinsky's design for 4 factors
Sets of points Generators Number of points
1. Fractional factorial design with 2 4 - 1 points x4 = xlx2 8
2. x1= 0, Full factorial design for x2 , x3, x4 - 8
3. x2 = 0, Full factorial design for x1, x3, x4 - 8
4. x3 = 0, Full factorial design for .X\,X2,x4 - 8
5. x4 = 0, Full factorial design for x1, x2 , x3 - 8
6. x1 = x2 = x3 = x4 = 0 - 2
Pesotchinsky (1972) gives designs of this type for 5 and 6 factors. Their D-
efficiencies are 0.978 and 0.976, correspondingly.
3.9. Dependence of the variance-optimal designs on the assumptions about the

model and the region of interest
In Section 3.2 we mentioned that the variance-optimal designs change their

characteristics under changes of the model and the region of interest. In this section we
give some examples which show the practical importance ofthis dependence.
3.9.1. MODEL-DEPENDENCE
Consider first the model-dependence of the rotatable designs. As shown in subsection

3.3.2 the full factorial designs are rotatable ifthe model is linear with respect to factors,
but they are not rotatable if interactions are included in the model. The same is true for
the fractional factorial designs.
The second order rotatable designs given in subsection 3.7.2. are not more
rotatable if the model is not complete second degree polynornial. Figure 3.13 shows the
variance contours for a two-factor rotatable design with a = ±1.414 and N 0 = 5 central
points provided that ~ = I. The total number of points for this design is N = 13. Figure
3.13a presents the variance contours ifthis design is used to estimate a complete second
order polynornial of the form
y = b0 +h1X1+b2 x2 +h12 X1X2 +bnx~ +h22 xi, (3.47)
while Figure 3.13b shows these contours ifthe same design is used to estimate the
following model:
(3.48)
160 CHAPTER3
0.5
-0.5
-1
-0.5 0 0.5 1.41

X
1 ...
a)
4.94
3
2
1.696
X
X
1 ...
b)
Figure 3.13. Variance contours for two-factor 13 point rotatable design (a) for complete second order
polynomial (3.47) (b) for incomplete second order polynomial (3.48)
6.27
0.8
0.6
0.4
ix2 002
6.27
-0.5 0 0.5
•1
X
--4
a)
5.63
2.6
-1 -0.5 0 0.5
X
-----4-
b)
Figure 3.14. Variance contours for a 13 point nearly D-optimal design (a) for complete second order
polynomial (3.47) (b) for incomplete second order polynomial (3.48)
The characteristics of D-optimal designs are also model-dependent. In Section

3. 2 (Example 3 .I) we considered a D-optimal design for two factors in a square defined
by the inequalities -1:::; X;:::; 1,i = 1,2 It allocates probability measure 0.1458 at each
vertex ofthe square, 0.08015 at each edge centroid and 0.0962 at the center A practical
D-optimal design with N = 13 points allocates 2 Observations at the square vertices and
one observation at the edge centers and the overall center. The variance contours when
the D-optimal design with N = 13 points is used for model (3.47) are given in Figure
162 CHAPTER3
3 .14a, while the contours of variance obtained for estimation of model (3 .48) using the
same design are shown in Figure 3 .14b.
The exact D-optimal design for model (3.48) has 6 support points and allocates
measure 116 at each ofthem (Vuchkov and Krug (1969a)). The corresponding variance
contours are shown in Figure 3. 15.
4 4
0.8
0.6
i
0.4
0.2
X] 0
-0.2
-0.4
-0.6
-0.8
~
Figure 3.15. Variance contours for the exact D-optimal design for model (3.48)
3.9.2. DEPENDENCE ON SIZE AND SHAPE OF THE REGION OF INTEREST
The contours given in Figure 3.13a and Figure 3.14a can not be directly compared
because they are obtained for different regions of interest. In the rotatable design the
factors are allowed to vary in the interval [-1.41, 1.41], while for the D-optimal design
they vary in the interval [-1, 1]. The properties of both rotatable and D-optimal designs
are strongly dependent on the choice of the region of interest.
Consider an example. The response depends on two factors: temperature (x;,oc)
and acidity of a solution pH ( xD. The intervals of variation of both factors are as
follows:
5.2 :5; X~ :5; 6.6. (3.49)
Suppose we want to fit a second order polynomial of the form (3.47).Consider

three different definitions of the region of interest.
i) The region of interest and the operability region coincide and they are de.fined
by (3.49). Hence, experimentation is not allowed outside this region.
If experimenters want to use a rotatable design they must code the variables so
that their boundary values in natural measuring scale to correspond to coded
valuesa = ±1.414. This is possible if the half-interval of variation is computed by the
following formula:
1( , , )
W; =- X;max - X;o ·
a
For the first factor x{0 = 60° C and
W1 = - 1-(80- 60)= 14.144 °C.

1.414
For the second factor x~ 0 = 5. 9 and
1
(1)2 =--(6.6-5.9)=0.495.
1.414
T ABLE 3.33. Coding of factors for a rotatable

design in the boundaries defined by (3.49)
Coded Natural values

values Temperature pH
-1.414 40 5.2
-1 45.856 5.405
0 60 5.9
1 74.144 6.395
1.414 80 6.6
The coded factor Ievels and the corresponding natural values of the factors are
given in Table 3.33. They are computed by the formula
For example, if .x; = 1 then
x; = 1 x 14.144 +60 = 74.144.

Figure 3 .16a shows a rotatable design with N0 = 5 central points and total
number of runs N = 13. The factors are presented in natural measuring scales.
One can see that in order to satisfy the condition ±a to correspond to the
boundary levels of the factors we need to contract the design so that the "cube" points
are inside the region of interest.
I64 CHAPTER3
The allocation of points of a D-optirnal design with I3 points for the same
problern is shown in Figure 3.I6b. Two observations are allocated at each of the cube
vertices ( ±1, ±I), one observation is at the edge centers (±I, 0 ), (0, ±I) and one is at the
overall center (0,0). The D-efficiency ofthis design is 0.998.
(I) 6.6 •t-----..----r

(I) 6.6
pH
pH
(0) 5.9
(0) 5.9 •
• /i
····-······,•
(-I) 5 2 (-I) 5.2 t------.---1

. 40 60 80 40 60 80
(-I) (0) (I) (-I) (0) (I)
Ternperature °C Ternperature oc
a) b)
Figure 3.16. Two factor second order designs with 13 points (a) rotatable design, D.ff = 0.476
(b) nearly D-optimal design, D.ff = 0.998
In order to cornpare both designs we rnust use the sarne rnethod of scaling.
Assurne that the natural boundary values of the factors correspond to ± I in coded scale.
Then the "cube" points ofthe rotatable design have coordinates ±1/1.414 = ± 0.707,
whiie the "star" points have coded coordinates (± 1, 0) and (0, ±I). The center point is
with coordinates x1 = x2 =·o. The D-efficiency ofthis design is 0.476.
One can see that the D-efficiency of the rotatable design for this case is rnuch
srnaller than for the nearly D-optirnal one. This result is due to the fact that after shifting
the "cube" points of the rotatable design inside the region of interest the corners of the
square with vertices (±I, 0) and (0, ±I) arenot covered by the design points. In fact one
rnust extrapolate in this area. In contrast sorne of the points of the nearly D-optirnal
design are allocated in the vertices and the whole region of interest is covered by the
design.
Figure 3. I 7 shows the variance contours for two factor rotatable design for
rnodel (3.47). In cornparison with the variance for the nearly D-optirnal design with 13
points (Figure 3.I4a) the variance in the corners of the square defined by inequalities
-I:;:; X; :;:; I for the rotatable design is rnuch higher.
For rotatable designs the higher the nurnber offactors the higher the distance ±a
of axial points frorn the origin. As the operability region in natural rneasurernent scale is
fixed the "cube" points are nearer to the design center. For exarnple, if I = 7 and a
rotatable design with half-fraction is used then the star points are at distance a = ±2.828
frorn the overall center. With N0 = I4 points at the center the rotatable design has 92
runs. The D-efficiency of this design is 0.040. A sequentially generated design obtained
by use of the procedure of subsection 3.8.1 with the same number of points has D-
efficiency 0.976. The D-efficiencies for uniform precision rotatable central composite
designs with different number of factors in cubical and spherical regions of interest are
shown in Table 3.34. The designs with t = 0 are with two Ievel full factorial design as a
building block, while if t = 1 a halffraction is used.
Figure 3.17. Variance contours for two-factor rotatable design for model (3 .47) and operability region
defined by (3.49)
T ABLE 3.34. D-efficiencies of rotatable designs for cubical and spherical

reg10ns of"mterest
l 2 3 4 5 6 7
I 0 0 0 1 1 1
Na 5 6 7 6 9 14
a 1.414 1.682 2.000 2.000 2.378 2.828
N 13 20 31 32 53 92
D.ff(cube) 0.476 0.273 0.157 0.126 0.069 0.040
D.ff(sphere) 0.893 0.970 0.911 0.811 0.891 0.763
ii) The region of interest is a sphere with a given radius. Suppose we are not
interested in the response at the corners of the cube and want to explore the response
surface only inside a sphere with radius a. Table 3.34 shows that the uniform precision
rotatable designs have much higher D-efficiencies when they are used for a spherical
region of interest.
For spherical regions of interest the rotatable designs given in Table 3.17 have
very good predictive properties. For instance a rotatable design with two factors has D-
efficiency 0.969 for spherical region ofinterest, i. e. this design is nearly D-optimal. The
166 CHAPTER3
D-efficiency for the rotatable designs with larger number of factors is also very high for
spherical regions ofinterest. They are shown in Table 3.35.
T ABLE 3.35. D-efficiencies of rotatable designs for spherical

.
reg10ns of'mterest
I 2 3 4 5 6 7
t 0 0 0 1 1 1
No 3 2 2 1 2 3
a 1.414 1.682 2.000 2.000 2.378 2.828
N 11 16 26 27 46 81
D.ff 0.969 0.996 0.999 0.984 0.973 0.829
Kiefer ( 1965) showed that for I = 2 a D-optimal design is allocated at 5 uniformly

distributed points over a circle and at one point in the design center (Figure3.18). The
optimal probability measure for each of these points is 1/6. The D-optimal designs for
more than two factors have uniform distribution of the design points over the sphere and
a point in the center Kiefer showed that these designs are rotatable.
Figure 3.18. Two factor D-optimal design on circle
iii) The operability region is /arger than the region of interest. In this case
experiments outside of the region of interest defined by the inequalities (3.49) are
allowed. The star points of a rotatable design can be chosen outside of this region. The
variance contours for a two factor rotatable design in this case are shown in Figure
3.13a.
X
1 ...
Figure 3.19. Variance contours for a second order nearly D-optimal design on a cube with
vertices at ± 1 • Region of interest defined as -1.41 < X1 , x2 < 1. 41
The variance contours for a nearly D-optimal design for the same case are shown
in Figure 3 .19. The rotatable design provides better prediction at the center because 5
points are allocated at it. It has of course the advantage that the information is uniformly
distributed in this area. However, the prediction provided by the D-optimal design is
better at the borders of the region of interest.
The experimenter must not forget that the extension of the region of interest
through choice of larger intervals of variation for the D-optimal designs or !arge a for
the rotatable designs may make the model more complicated.
The dependence of the design properties on the model assumption and on the
region of interest shows that the initial choice of a design may not be optimal. The design
can be improved using a sequential procedure in which the runs are taken in blocks, the
data are analyzed after each block and the next block is generated taking into account
this analysis.
168 CHAPTER3
3.10. Interpreting models
3.10.1. OPTIMIZATION PROCEDURES AND GRAPHICAL TOOLS FOR MODEL

INTERPRETATION
U sing a second or third order model the engineer can explore the response surface within
the region ofinterest and find the optimal product or process parameters. Well-developed
optirnization methods can be used. They are given in many books, for example
Luenberger (1989), Reklatis et al. (1983), Gill et al. (1981), M. J. Boxet al.(1969). There
are many software packages for optimization, for example MATLAB optirnization
toolbox, IMSL Math/Library, NAG-Libniry, Conn et al. (1992), Ladsan et al. (1978),
Liebman et al. (1986). However, engineers usually want to know more about the product
or process than they can obtain from a formal optimization procedure. Engineering
decisions often are made taking into account considerations which can not be easily
formalized through models. Such considerations are for example company's policy with
respect to vendors and customers, varying prices of components and raw materials,
existence of stocks of components and raw materials, time and expenses for
transportation of raw materials, etc. That is why the engineers often prefer to have a set
ofvariants for discussion, rather than only one "optimal" solution. The problern is how to
select variants which are worthy to be considered further. The models obtained through
design of experiments can be very useful in this respect. They make possible development
of tables that show the predicted values of one or several performance characteristics for
different sets of product/process parameters. They can also be used for plotting contours
of constant values of the performance characteristics which are very useful for a visual
interpretation of the properties of the product.
1\
'
/
Figure 3.20. Grid search for two variables

An often-used method for development of variants is the grid search. Though time
consuming, it provides sufficient information about the performance characteristics. The
idea of this method is shown in Figure 3. 20 for two factors, x1 and x2 • The procedure
starts with computation of the predicted response y(x1 , x2 ) for constant value of x2 and
increasing values of x1 by steps Ax1 . When x1 becomes equal to its upper Iimit, x2 is
increased by a step Ax2 and x1 is varied again by steps from its minimal to its maximal
values. The values of y(x1 , x2 ) are compared at each step, the best values are arranged
and stored together with the corresponding values of x1 and x2 • This way the response
function is computed for the knots of a grid and the best of the obtained responses are
selected for further discussion.
This method can be applied for more than two factors. For !arge number of
factors and small steps the computations grow too fast. The number of grid knots is
q1q2... qP where q1,q2, ... ,q1 are the numbers ofvalues given to xpx2, ... ,x1, respectively.
For instance, for three factors (/=3) with 11 values each (q1 = q2 =% = 11) the number of
response function computations is 113 = 1331. For more factors the amount of
computations rapidly increases.
If the number of combinations of factor Ievels is great the interpretation of the
results is difficult. Eliminating all factor combinations for which the response does not
meet the standards can decrease the number of variants for discussion. If there are still
too many variants, the engineer can intentionally tighten the intervals in which the
responses are allowed to change. Another way of decreasing the number of combinations
is to apply grid search successively with different length of the steps. First the steps of the
factors are chosen !arge so that the number of factor values combinations is small. After
identifying the most promising areas within the region of interest, new iterations with
smaller steps can be carried out for a more precise computation of the optimal factor
values. The parameter sets and their corresponding performance characteristic's values
which are selected are shown on the computer's screen or printed for further discussion.
Generally, if the function is too complicated, the grid search can omit very sharp
peaks, especially if the steps are not small enough. However, for second order
polynomials which are the most used models in response surface methodology such sharp
peaks do not exist. Depending on the step, the solution found by the grid search may be
more or less close to the stationary point of the response surface. We should remernher
however, that the grid search is only the first step of the optimization procedure. A
detailed exploration of the response surface in the neighbourhood of the point chosen by
the grid search can be done by contour plots or canonical (ridge) analysis ofthe response
surface (see subsection 3.10.2).
Contours of constant values of the response are very useful for making
engineering decisions. They can help engineers to see the direction in which the parameter
changes are most useful and to understand the behaviour of the product or process
performance characteristics. Contours of several performance characteristics can be
superimposed on each other to identify areas of admissible values of product parameters.
170 CHAPTER3
In cases with more than two factors the usual practice is first to find some optimal
factor values through optimization procedures and then to fix all factors except two on
their optimal values. The obtained contours are sections of the response surface but
nevertheless they are very useful for the engineers. One can make as much as necessary
different sections and can "see" the behaviour of as many performance characteristics as
necessary. In case of several factors the canonical analysis which is considered in the next
section can also be very useful.
The experimenter should keep in mind that the predicted optimal factor values, as
weil as the contours are not exact because estimates of the model coefficients are used.
That is why the "optimal" solution is a random vector. The true optimal solutionlies in a
region around the best point found by a regression model. Box and Hunter (1954)
proposed a formula for computation of 100(1- a)% confidence region on the stationary
point location for a second order response surface. We consider this problern in details in
subsection 3.10.3.
XI opt Xc opt ~opt X
Figure 3.21. Compromise optimization with two performance characteristics
Sometimes the product has more than one performance characteristic. Let the
number ofthe performance characteristics be r and Iet they be denoted yPy2 , ... ,y,. Their
optimal values are usually obtained for different factor values. Figure 3.21 shows an
example with two performance characteristics y 1 and y 2 that depend on one factor x.
Suppose that we want to maximize y1 and y 2 . One can see that the optimal factor value
x1opt for y 1 corresponds to poor values of y 2 and vice versa. In this case it is better to use
some compromise performance characteristic Yc· The optimal factor value xcopt for the
compromise characteristic is not the best neither for y 1 nor for y 2 but it provides some
reasonable compromise solution.
A compromise solution can be obtained using the so-called desirability .functions
Values dj called desirabilities are juxtaposed to some given values of the response yj.
The values of dj vary from 0 to I, with zero corresponding to the undesirable values of
the performance characteristic and 1 - to its most desirable value. The choice of dj is
subjective and depends on the engineer's judgment. For example, engineers can specity
what value of the performance characteristic is considered as undesirable, bad,
satisfactory, good and very good. Then they assign to them desirability Ievels as shown in
Table 3.36.
TABLE 3.36. Desirability levels

Quality di Y;
Undesirable 0 Y;J
Bad 0.25 Y;z
Satisfactory 0.5 yi3
Good 0.75 yi4
Very good 1 Y;s
A polynomial desirability function can be fitted using least squares approximation

of the data presented in Table 3.36. Having the desirability function one can juxtapose a
value of d; to each predicted or measured value of Y;. Similar desirability functions can
be obtained for all responses y;, i = 1, 2, ... , r. They are used to calculate a generalized
desirability function
The values of D are in the interval between 0 and 1. The higher the desirability
values of the performance characteristics the higher the generalized desirability D.
Contrary, D = 0 if at least one value of d; is zero. This is due to the fact that if at least
one of the performance characteristics is out of specifications then the product is
defective.
In the region of interest there might be areas where D = 0, i.e. this function may
be discontinuous. Forthis reason it is not recommended to fit regression models for D.
Instead, regression models can be obtained for each performance characteristic and then
D to be computed during the grid search. Gradient methods for optimization may be
unsuitable because ofthe possible discontinuity ofthe generalized desirability function.
The values of D are printed in tables of variants. The computer program can be
organized to select a number of parameter sets with highest values of D which to be used
by engineers for discussion.
The desirability functions must be used cautiously. As we noted, their choice is
subjective. Rarrington (1965) and Derringerand Suich (1980) propose other methods for
choosing desirability functions. Polynomial approximation of the desirability function can
be used for one-sided transformation of the response. If the response has both lower and
upper Iimit two-sided desirability function should be used (Derringer and Suich (1980)).
An unrealistic definition of desirabilities can be a cause for a poor solution of the
optimization problem. In particular this can happen if for some performance characteristic
the value d; = 1 is assigned to a value of Y, which can never be obtained in practice.
Therefore, it is better to use the desirability functions for selecting variants for further
discussion, rather than for making final decisions.
172 CHAPTER3
Another way to interpret models of a product with several performance

characteristics is to use constrained optimization. One of the performance characteristics
is minimized or maximized under the condition that the others are not higher (or not
smaller) than some given values.
For decision making it is important to compute the product cost. For example, if a
chemical product consists of several components then a function of the product cost
which depends on the amounts of the components and their prices can be defined. The
contours of the performance characteristics show that the same quality can be obtained
for different sets of product parameters. The final decision should be chosen to provide
the specified quality at lowest price.
Example 3 .11. Rheologie properties of cement raw material slime ( continued)

In Example 3.9 second order regression models are obtained for the logged values
of two performance characteristics of cement raw material slime: structural viscosity
~ (1 o- 8 Pa.s) and ultimate shearing stress I; (1 o-3 Pa). These equations are used for
multicriterion optimization through generalized desirability functions. The desirability
Ievels corresponding to values of ~ and I; are assessed by experts. They are given in
Table 3.37.
TABLE 3.37. Desirability Ievels for ~ and I;

Quality dl,d2 J-;(10- Pa.s)
8 1;(10- Pa)
3 y 1 =in~ Yz =In I;
Undesirable 0 0.07 10 -2.6593 2.3026
Bad 0.25 0.10 15 -2.3026 2.7080
Satisfactory 0.5 0.83 34 -0.1863 3.5264
Good 0.75 0.98 82.5 -0.0202 4.4128
Very good 1 l.ll 145 0.1044 4.9767
The following equations of the desirabilities as functions of the logged

performance characteristics are fit by least squares:
d 1 =0.7907+1.8295ln~ +1.4443(ln~Y +0.3264(ln~Y
and
d 2 = -0.8703 + 0.4026ln Y2 - 0.001283(ln YzY.
Maximum ofthe generalized desirability D = ~d1 d2 is found through grid search.
The best six values obtained are shown in Table 3.38.
TABLE 3.38. Parametersets providing best values of generalized desirability D

XI x2 x3 x4 D YI =in~ J;(lO 8 Pa.s) y 2 =in l; Ji(10-3 Pa)
-1 0 -1 -1 0.8927 0.1021 1.1075 4.4328 84.167
-1 -0.5 -1 -1 0.8971 0.0764 1.0794 4.6007 99.559
-1 -0.1 -1 -1 0.8995 0.1017 1.1070 4.4724 87.562
-1 -0.4 -1 -1 0.9021 0.0862 1.0901 4.5731 96.846
-1 -0.2 -1 -1 0.9033 0.0989 1.1040 4.5089 90.824
-1 -0.3 -1 -1 0.9042 0.0938 1.0983 4.5425 93.926
The best value of generalized desirability function is obtained for

xi = -1, x2 = -0. 3, x3 = -1, x4 = -1. This corresponds to the following factors in natural
measuring scale: water content: 30 %, milling fineness: 15.25 %, liquefying admixture
MSL: 0.2% and liquefying admixture nitro!: 0.04 %. Figure 3.22 shows the contours of
generalized desirability D as function of x2 and x3 and for fixed values l1 = x4 = -1.
-0.5 X 0 0.5
opt
Figure 3.22. Contour plot for generalized desirability Das function of X2 and X3 for XI = X4 = -1
The contour plots for ~ and Ji are shown on Figure 3.23a and Figure 3.23b,
respectively.
174 CHAPTER3
0.8
0.6
0.4
r: -0.2
0.5
0.6
r:
0.4
-0.2
-1 L-~----~~--~--~~~~~~~
-1 -0.5 X 0 0.5
opt
Figure 3.23. Contour plot for the performance characteristics as function of X 2 and X3 for
x1 = x4 =-1. (a) plot for the structural viscosity ( ~)
(b) contour plot for the ultimate shearing stress ( ~ )
•
3.10.2. CANONICAL REPRESENTATION OF SECOND ORDER MODELS
Useful method for exploring second order response surfaces is the so called canonica/
analysis of the models.
A second order polynomial of the form
I 1-1 I I
y(x)=bo + Lb;x; + L Lb;,x;xi + Lb;;X;2 (3.50)
i=l ;=i+1 i=l
can be rewritten as follows
(3.51)
where x = Y Y
(x1 x2 • • • x 1 is l vector of factors, b = (b1 b2 . • • b1 is l vector of
coefficients in the linear terms of (3.50) and Bis l x l matrix with elements
biiifi = j
[Bl ={ -1 b 1if.1* J. .
2 I)
It is known (Gantmacher (1959)) that the derivatives ofthe scalar product oftwo
vectors xrb and of a quadratic form xrBx with respect to vector x are
and
dxrBx = 2Bx.
dx
Using these rules from (3 .51) we obtain the following relationship:
o.Y
-=b+2Bx=O. (3.52)
OX
It is equal to zero for so called stationary point with coordinates
1 ~]
xs = --B
2 b (3.53)
I76 CHAPTER3
or
I
Bx s =--b
2 . (3.54)
The predicted response at the stationary point is equal to
(3.55)
Further on we consider two canonical forms of (3. 50). Let the eigenvalues of B be
denoted ~ , it2 , ... , it1 . They are defined as roots of the following characteristic equation:
IB- itii = 0.
Define also the eigenvectors t; that satisfY the equation
(3.56)
They can be standardized so that t; t; = I. Consider a I x I matrix T whose columns are

the eigenvectors t; and a I x I diagonal matrix A = diag(it1 ,it2 , ... ,itJ. With these
notations the equations (3.56) can be written as follows:
BT=TA. (3.57)
It is known (Gantmacher (I959)) that TT = r 1. Therefore,
Using (3.57) we can write Bin the form B = TATT. Substitutins this matrix in (3.5I) we
obtain
(3.58)
Denote
(3.59)
or
x=Ts. (3.60)
Putting (3.59) in (3.58) one can write
(3.6I)
where r = TTb.
The stationary point in (-coordinates can be obtained from (3.53) and (3.59) as
follows:
Equation (3.61) is called A-canonicaljorm.

Equations (3.51) and (3.61) correspond to a second order response surface.
Figure 3.24 shows an example for two factors, where the contours satisfying the equation
y = const are ellipses. The transformation (3.60) rotates the coordinate system so that
the new coordinate axes s; ,(
2 are parallel to the principal axes of the second order
response surface.
4 °1
I
I
I
I
X
2s '8,~
1;; .,._ - ----=2•------'----------.
2 X
Js
Figure 3.24. Canonical transformation ofsecond order response surface
W e can shift the center of the coordinate system at the stationary point by the substitution
As shown in Appendix A.3.3 in this case (3.61) can be written as follows
(3.62)
or
(3.63)
This equation is called B - canonical form.

The form of the response surface depends on the signs of the eigenvalues
A.1,A. 2 , ... ,A.1 . If for any x -:t. 0 the quadratic form xrßx is positive, then B is positive
definite matrix and all eigenvalues are positive. If xrßx < 0 for any x -:t. 0, then B is
negative definite and all eigenvalues are negative. The contours of a response surface
with positive or negative definite matrices are ellipsoids or ellipses. If all eigenvalues are
178 CHAPTER3
negative then y has maximum at the stationary point and for positive definite matrices B
the stationary point corresponds to the minimum of y. The values of Y; in the A-
canonical form characterize the slope of the response surface in direction of Ö;- axis,
while A; depends on the curvature in this direction.
Example 3.12. Production of electroconductive and anti static textile materials

(continued).
Consider the model for the electromagnetic wave damping y 2 which was obtained
in Example 3.10:
y2 = 2.359- 0.010x2 -1.088~2 - 0.0996~x2 - 0. 738x;. (3.46)
It can be presented in the form
where
0 ) ( 1 088 -0.0498).
bo = 2"359 ' b = ( -0.07 and B = --0.~498 -0.738
The eigenvalues of B are A, =-0.73098 and A- 2 =-1.09486, while the corresponding

matrix of eigenvectors is
T=(-0.138112 0.990417)·
0.990417 0.138112
Compute the vector
T (-0.138112 0.990417)( 0 ) (-0.0696857)

r=T b = o.990417 o.138112 -o.o1 = -o.oo97176 ·
Therefore, the A-canonical form is
y(()= 2.359-0.0696857(1 -0.0097176(2 -0.73098(12 -1.09486(;. (3.64)
The coordinates of the stationary point are
1 -1 1 (- 0.92203 0.06219) ( 0 ) ( 0.002188 )

x.=-2B b = -2 0.06219 -1.35936 -0.07 = -0.047822 ·
and
.Y.=b0 +2.x~b=2.359+2.(o.002188
2 2
-0.047822)( 0 )=2.36029.
-0.07
The B-canonical form is
0.8
0.6
0.4
~2~2 ..
-0.2-
-0.4
-0.6
-0.8
-1
-1 -0.5 0.5
Figure 3. 25. Contours for the logged electromagnetic wave damping coefficient
Figure 3.25 shows the contours for .Y(S') and y(o). They are ellipses with
maximum at the stationary point, because both coefficients in second order terms of these
equations are negative.
If all eigenvalues are non-zero but some of them are positive, while others are
•
negative, the contours ofthe response surface have a saddle point (Figure 3.26).
Example 3.13. Production of electroconductive and antistatic textile materials

(continued).
The model for the logged specific resistance obtained in Example 3.10 is:
j/1 = 6.698- 0.286x1 - 0.349x2 + 0.559x12 - 0.155x1X2 -l.099x;. (3.45)

It can be presented in matrixform (3.51), where
- 0.286) ( 0.559 - 0.078).

b0 = 6.698, b = ( and B =
-0.349 -0.078 -1.099
180 CHAPTER3
The eigenvalues of B are 2 1 =-1.1023 and 2 2 =0. 5622 and the matrix of eigenvectors is
T = (0.0467 0.9989 J.
0.9989 -0.0467
The coordinates of the stationary point are
X
s
=( -0.1753
0.2315 J
while the predicted response at this point is .Y. = 6.696.

The A-canonical form in this case is
y(() = 6.698- 0.3622(1 - 0.2692(2 -1.1023(12 + 0.5622(;
and the B-canonical form is
y(8) = 6.696-1.1023812 + 0.56228;.

Figure 3.26 shows the contours of the response surface for several constant
values of y(8). The values of y(8) decrease when the operating point is moved from the
center along 81 axis, while the surface is rising along 8 2- axis. The response surface Iooks
like a saddle and x, is often called sadd1e point.
0.8
0.6
0.4
-0.8
-1 -1 -0.5 I 0 ; 0.5
X
--4
Figure 3.26. Cantours for the logged specific resistance with saddle point
•
Consider again the elliptical contours on Figure 3.24. If one of the eigenvalues
(for exarnp1e, A2 ) is very small, while the other (A 1) is !arge then the maximum is
attenuated in the direction of 82 . In the Iimit case when A1 = 0 the contours are straight
lines parallel to 82 and the response surface is stationary ridge (Figure 3.27).
Figure 3.27. Stationary ridge
Real response surfaces are rarely of this form because the models are obtained
from data subject to errors and the eigenvalues might be small but they are usually not
exactly equal to zero. However, the contours may be so attenuated in one direction that
the response surface may be practically looking like stationary ridge.
Example 3.14.
Consider the following model
The vectors and the matrices in (3.51) are
b0 = 3.2 b =( 0.005 ) and B = (1.1 00 0.495).

, -0.007 0.495 0.225
The eigenvalues of B are A1 = 0. 0018 7 and A2 = 1. 323 1. As they are very different in
magnitude the response has a ridge. The matrix of eigenvectors is
T = (- 0.4109 0.9117)
0.9117 0.4109
and Ys = 3.1905.
182 CHAPTER3
The A-canonical form is
y(x)= 3.2-0.0084(1 +0.0017(2 +0.0019(/ +1.3231(;
and the B-canonical form is
y(x) = 3.1905 + 0.0019b;2 + 1.3231822 .
The contours ofthis response are shown in Figure 3.28.

For more than two factors the interpretation of the response surfaces is similar.
More details about the canonical forms and their use in response surface methodology are
given in Box and Draper (1987).
0.8
F\t;
0.6 ~/ 'öl
\
r
\
0.4 \
\
\
\ /
x2 0 \/ /
"\
\
-0.2 \
\
-0.4 \
\
-0.6 \
\
-1
-1 -0.5 0 0.5 1
X
~
Figure 3.28. Stationary ridge for the model ofExample 3.14.
•
3.10.3. CONFIDENCE REGION ON THE LOCATION OF THE STATIONARY
POINT
Suppose that a second order model of the form (3 .51) is fitted to data and the
coordinates ofthe stationary point are computed using equation (3.53). Box and Hunter
(1954) found that the 100(1- a )% confidence region for the stationary point consists of
all points that satisfy following inequality:
(3.65)
where
;r = b + 2Bx
o=_2::'_
iJx '
V8 is l x l covariance matrix of vector t5, F ( a , k, v) is the critical value of F -distribution

for significance Ievel and a and v degrees of freedom, k is the number of regression
coefficients, v are the degrees of freedom for the estimate of the response error variance
s;. s;
If is taken equal to the residual variance then ve = N- k.
The matrix V8 is defined as follows
In the general case V8 may be difficult for computation. However, for the widely used
symmetric second order designs, which have a special structure of the C matrix given in
subsection 3.7.4, the elements ofV8 can be computed relatively easy. Let the matrix Cis
where d is /-vector-column with all elements equal to d2 , D is l x l matrix with diagonal

elements d 3 and off-diagonal ones d 4 .
Denote the i-th element of o by
I
~ = b; +2b;;p; + ~);1 x1 , i = 1,2, ... ,/.

j=l,j:t:.i
As is shown in Appendix 3.4 the i-th diagonal element of V8 is the variance of t1;
and can be estimated as follows
s2 (oJ=[d 5 +4d3 X;2 + ±d6 x~)s;.

Fl,J"''
The offdiagonal elements of V8 are estimated by the formula

184 CHAPTER3
Carter, Chinchilli, Myers and Campbell (1986) and Peterson (1993) consider
confidence intervals in connection with ridge analysis. They propose confidence intervals
for the eigenvalues of matrix B which play an important role in the ridge analysis.
Stablein, Carter and Warnpier (1983) and Myers and Montgomery (1995) considered
ridge analysis with confidence intervals.
3.11. Bibliography
There is a vast literature on design of regression experiments. Here we note some texts
that are relevant as additional reading on the problems considered in Chapter 3. Classical
books on principles of design of experiments are Fisher (1966) and Cox (1958).
Response surface designs are given in Box, Hunterand Hunter (1978), Box and Draper
(1987), Khuri and Cornell (1987), Montgomery (1991), Myers and Montgomery (1995).
The theory of optimal designs is considered in Fedorov (1972), Vuchkov (1978), Silvey
(1980), Bandemer and Näther (1980), Kiefer (1985), Pazman (1986), Ermakov and
Zhigliavsky (1987), Atkinson and Donev (1992), Pukelsheim (1995). Books on
applications of experimental designs to industry and science are Nalimov and Chernova
(1965), Box and Draper (1969), John (1971), Adler, Markova and Granovsky (1975),
Ghosh (1990), Mead, R. (1990), Deming and Morgan (1993), Goupy (1993).
Bibliographies on experimental design are written by Herzberg and Cox (1969),
Atkinson (1982), Atkinson (1988), Myers, Khuri and Carter (1989).
Vuchkov et al. (1978) and Nalimov (1982) developed catalogues of experimental
designs. Specialized software packages for design and analysis of response surface
experiments areDESIGNEXPERT and ECHIP.
Appendix A.3.l. Proof offormula (3.24)
Weshall prove equation (3.24):

N
~>= = Ql +Q2+. .. +Qz +Ql2+. .. +QI-l,l +QR, (3.24)

11=1
where
and
Proof In chapter 2 we obtained the following equation:
(2.46)
Using (A.2.4.1) and (A.2.4.3) one can rewrite this equation in the following form:
LY:- Ny2 = fiFTy- !Vy2 +QR.

N ~
u::::l
As y= FB and FrFB= Fry the above equation can also be written as follows:
LY: = f!FTFB+QR = fiFTy+QR,

N ~ ~ ~
u::::l
or in scalar form:
z>:
N k N
= I~I.t.IYu +QR.
u=l i=l u=I
Replacing f:u by X;u or X;uX Ju and B; by
N N
LXu;Yu LXu;XuJYu
b =""""="-'-!_ _ or b =""""~=..!,_! _ __
I N I] N
and using the notations Q .and Q1 we obtain formula (3.24).

•
Appendix A.3.2. Sequential generation of D-optimal designs.
Suppose that at a given step a design has N points and its nonsingular information matrix
is F/FN. Assurne that at the next step an experiment is conducted at a point xN+I'
Denote f N+I a vector of fi.mctions in the regression model which corresponds to xN+I·
Then following equations are true:
(3.43)
and
(3.44)
186 CHAPTER3
Proof' Matrix FN+I is obtained from FN by addition of a new row f~+I:
The corresponding information matrix is
(A.3.2.1)
Equation (3.43) is proved.

In the theory ofmatrices (Gantmacher (1959)) is shown that ifH is block matrix
ofthe form
H=(~ :}
then following relationship exists:
(A.3.2.2)
Substituting A = F~FN,B =fN+I>C =-Br =-f~+I and D =1 and (A.3.2.1) in (A.3.2.2)

one can obtain (3.44).
•
Appendix A.3.3. Derivation of canonical form B
A second order model of the form
(3.51)
can be presented in canonical forni B as follows:
(3.62)
where
(3.53)
A = diag(A,,A. 2 , ... ,A.1 ).

Proof Using (3.52) we can write:
b = -2Bx•. (A.3.3.1)
As (= Trx, B = TATr and r = Trb, equation (A.3.3.1) can also be written as follows:
b = -2TATr x. = -2TA(.,
or
(A.3.3.2)
As x. = T(. we obtain
or
(A.3.3.3)
o
In the coordinate system 81 , 8 2 , ... , m all coordinates are transformed using the
o o
equation = (- (., or ( = + (.. Substituting ( in the A-canonical form one obtains
.Y(x)= bo + C r +CA(= bo + (o +(] r +(o +(] A(o +(.)=
(A.3.3.4)
From (A.3.3.2) we can write
1
At;.=-- y. (A.3.3.5)
2
Substituting this expression in (A.3.3.4) we obtain
(A.3.3.6)
From (A.3.3.6) and (A.3.3.3) one obtains (3.62).

•
188 CHAPTER3
Appendix A.3.4. Covariance matrix of 8 = b + 2Bx
We shall prove that the elements of matrix V8 = E{o- E(o}lo- E(o)f} for symmetric
second order designs are:
(A.3.4.1)
and
(A.3.4.2)
where d3 ,d4 ,d5 and d6 are elements ofmatrix C, defined in subsection 3.7.4 as follows:
(A.3.4.3)
and D is symmetric matrix with diagonal elements d3 and offdiagonal ones d4 .

Proof
An element ofvector 8 = b + 2Bx is
I
li;=b;+2b;;X;+ ~)uxj, i=l,2, ... ,/. (A.3.4.4)

j=I,j~i
The i-th diagonal element of V8 is
The covariance terms in this equations are zero because b; and bij are not correlated with
any other coefficient. The variance terms can be computed taking into account that
(2.42)
and
(2.43)
Substituting estimates for the variances and taking into account the definition of
matrix C we obtain
Putting these values in (A. 3 .4. 5) we obtain (A. 3. 4. 1).

The off-diagonal elements of V8 are
Removing the brackets and taking into account that for the covariance between two
random variables ~ and BJ is
after some tedious algebraic manipulations one can obtain the following result:
•
CHAPTER4
TAGUCID 9 S APPROACH TO QUALITY IMPROVEMENT
4.1. Introduction
Since 1982 the so-called Taguchi method for off-line quality control has attracted the
attention of many engineers and statisticians all over the world. Many successful
applications were reported and high quality products were developed at low cost. At the
same time many statisticians expressed some concems about the methods for design of
experiments and data analysis used by Taguchi. This initiated research aimed at
integrating the Taguchi's engineering ideas with well-established statistical methodology.
This process is still going on and many debates on Taguchi method can be found in the
specialized engineering and statistical joumals.
In this chapter we describe the main ideas of the Taguchi method. They are used
as a basis for development of a model-based approach to quality improvement which is
presented in the next chapters of this book. Therefore, our aim is not to give a detailed
description ofTaguchi's approach, such description can be found in Taguchi (1986a) and
Taguchi (1987). Many books and papers by other authors present details and
applications of Taguchi method. References to most popu1ar ones are given in Section
4.15.
4.2. Loss function
Consider a product coming from three different production lines, say 1, 2 and 3. W e are
interested in the same performance characteristic y, the desired target value is -r , the
lower and upper specification limits (LSL and USL) are the same for all three lines. The
probability density functions of the performance characteristic for lines 1, 2 and 3 are
shown in Figure 4.1. The values of the performance characteristic y are within the
specification limits for all three lines. However, the quality of products coming down
from these lines is not the same and the customers will probably discover this. The mean
value of y is centered on the target -r for distributions 1 and 3 but a larger part of the
products have performance characteristic y closer to -r for the production line 3 rather
than for 1. The values of y are almost uniformly distributed within the interval (LSL, USL)
for production line 1, while a large part of the production of 1ine 3 has values of y closer
to -r. The mean value of y for production line 2 is shifted to the left from T and therefore,
190
TAGUCHI'S APPROACH TO QUALITY IMPROVEMENT 191
great percentage of the products have lower than the target value of y. The quality of
products coming out from line 3 is superior to those from lines 1 and 2.
f(y)
LSL USL y
Figure 4.1. Probability density functions of Observations from three production lines
Taguchi takes into account these differences defining a /oss .function as follows:
(4.1)
An explanation for the choice of this function is given in Appendix A. 4 .1.

A typicalloss function is shown in Figure 4.2. lt has a minimum for y = • and the
greater the deviation of y from •, the greater the loss.
l(y)
AB
LSL 't USL y
Figure 4.2. Loss function
If one takes into account only the specification Iimits it can happen that two
products A and B have very similar performance characteristics, while A is rejected as
defective and B is accepted because y is within specifications for this product. The loss
192 CHAPTER4
function has a little bit greater value for A than for B. This reflects the fact that the
quality of A and B is not much different.
For calculation ofthe constant kc in (4.1) Taguchi proposes the following idea.
Suppose that the specification Iimits are as follows:
LSL = r-A,
USL= -r+A,
and the customers interval is (r- A, r + A). Denote by C the cost to the customer for
repairing or discarding a product that is outside this interval. Putting these notations in
(4.1) we obtain
and
There are two problems with the practical application of the loss function. One of
them isthat often it is not easy to define the cost C and therefore, kc is not easy to be
calculated. The second problern is that the target value r is often unknown or
unknowable. Sometimes one can choose an ideal value of r which is in fact unattainable.
In many cases the performance characteristic y can take only positive values
(y > 0). For such characteristics Taguchi defines the loss function for the smaller the
better case (when one wants y tobe as small as possible) and the /arger the better case
(when a value ofy as large as possible is wanted).
For the smaller the better case we can put r= 0 and the loss function becomes
while forthelarger the better case Taguchi defines
l(y)= k;.
y
The values of kc can be found in a similar way as in (4 .l ). Taguchi, Elsayed and

Hsiang (1989) presented examples of kc computations.
The function /(y) characterizes the loss imparted to the customer from a single
product. F or calculation the loss imparted to the society by a great nurober of products
we can take expectation and obtain
Y]
L is usually called expected lass, while E[(y- T is called mean squared error (MSE).
It is shown in Appendix A.4.2 that the expected loss can also be presented in the
form
(4.3)
where 17 is the expectation of the performance characteristic (77 = E(y )) , r is the desired
target value and o; is the variance ofthe performance characteristic:
(4.4)
One can see from (4.3) that there are two sources that form the expected loss:
• The deviation of the performance characteristic's mean value from the target
described by the term (77- T Y'
• The variations of the performance characteristic around its mean value
characterized by the variance cJ
y"
It is interesting to note that Taguchi considers the loss imparted by the product to
the society. He says (Taguchi (1986a), p.l):" Quality is the loss a product causes to the
society after being shipped, other than any Iosses caused by its intrinsic functions ".
4.3. Stages of product design
We consider the design stage of the product/process life cycle. Taguchi divides it into
three parts: system design, parameter design and tolerance design.
System design is in fact the conceptual design of a product or process which is
based on underlying engineering knowledge. It starts with certain scientific or
engineering idea and comes to completion with the development of the product
prototype. The conceptual design has nothing in common with the statistical design of
experiments.
Product design 's objective is to choose values of product parameters that ensure
minimal variability of the performance characteristics, while keeping its mean value on a
target. This rninimizes the expected loss as weil. As 17 and o;in (4.3) are functions of
product/process parameters they can be chosen to minirnize the expected loss.
To study how the product or process parameters affect the values of 17 and o;
one can use design of experiments. This stage comprises some optimization procedures
194 CHAPTER4
as weil. The product design is the most important tool for quality improvement at low
cost.
If the variance reduction obtained by parameter design is insufficient one can go
to the next stage called by Taguchi tolerance design. That means tightening the
tolerances of the most influential parameters or external noise factors to reduce the
performance characteristic's variability. However, keeping the product parameters within
narrow tolerance Iimits means using high quality elements or raw materials or using
automatic control systems. This could be expensive and therefore, tolerance design must
be applied only if the parameter design can not provide satisfactory results. In this
connection Taguchi (Taguchi (1986a), p.79) says:" Narrow tolerances should be the
weapon of last resort, to be used only when parameter design gives insufficient results
and never without careful evaluation of the loss due to variability. Cost calculations
determine the tolerances."
4.4. Parameter design
The idea of the parameter design is simple. In order to study the joint effects of product
or process parameters and noise factors one can conduct experiments in which the Ievels
of product or process parameters are taken in different combinations with the Ievels of
the noise factors. The data obtained from these experiments can be used to predict the
best parameter values.
Taguchi uses designs called orthogonal arrays. We discuss their properties in
Section 4.5. Taguchi's parameter design is a cross product of two orthogonal arrays -
one for the product or process parameters and another for the noise factors (errors in the
factor Ievels or external rtoises). The first orthogonal array is called parameter design
matrix, the second one - noise matrix. The experiments of the noise matrix are repeated
for each row of the parameter design matrix. Therefore, both product parameters and
noise factors must be controllable during the experiment. Sometimes this is not the case
with the noise factors and repeated observations are used instead ofthe noise matrix (see
Example 4.2).
For example, consider a product with three parameters p 1 , p 2 , p 3 , whose
performance characteristic depends on two noise factors: n1 and n2 . The full factorial
designs at two Ievels, considered in Chapter 3, areorthogonal arrays. We can choose the
parameter design matrix to be a two-level full factorial with 23 = 8 runs and the noise
matrix a full factorial design with 2 2 =4 runs. The parameter design for this case is
shown in Figure 4.3 and Table 4.1.
The example given in Figure 4.3 and Table 4.1 is very simple. In many cases the
number of product parameters and noise factors is high, the number of factor Ievels can
also be higher than two Ievels (for example, 3, 4, 5, etc.).
No "I '2
I -I -I
2 I -I
3 -I I
No 1'\ Pz 1 3 f 4 I I
I -I -I -1
2 I -1 -I
3 -1 1 -1 •
4 I I -I •
5 -1 -1 1
•
I~
1 -I 1
-I I I
18 1 I I
~I -1 -I
Parameter design 2 1 -1
matrix (NP runs) 3 -I 1
4 1 1
Noise design
matrix (Nn nms)
Figure 4.3. Cross product design for three product parameters and two noise factors
T ABLE 4.1: Cross product design with 3 product parameters

and two noise factors
Noise matrix
No. 1 2 3 4
Parameter design matrix nj -1 1 -1 1
n2 -1 -1 1 1
No. PI P2 P3
1 -1 -1 -1 y]] YI2 Yn YI4
2 1 -1 -1 y21 y22 Y23 y24
3 -1 1 -1 YJ1 Y32 Y33 Y34
4 1 1 -1 y41 Y42 Y43 y44
5 -1 -1 1 Ys1 Ys2 Ys3 Ys4
6 1 -1 1 Y61 Y62 Y63 Y64
7 -1 1 1 Y11 Yn y73 Y14
8 1 1 1 Ys1 Ys2 Ys3 Ys4
196 CHAPTER4
If the number of runs in the parameter design matrix is equal to NP and of the
noise matrix is Nn then the number of runs for the Taguchi's product design is equal to
N = NpNn. In the example ofTable 4.1 NP= 8,Nn =4 and N = 8.4 = 32.
4.5. Orthogonal arrays
There are some differences in the notations used in the literature on combinatorial
designs and on response surface designs. In the combinatorial design literature the
factors are usually denoted by Latin letters: A, B, C. ... and their levels - by consecutive
integer numbers: 1, 2, 3, ....
In the response surface methodology the notations of factors are usually
xi , x 2 , x 3 , ... ( we shall also use PI , p 2 , p 3 , . . . or ni , n2 , n3 , ... ) and the levels of factors are in
the intervals -1 :s; X; :s; 1, i = 1, 2, ... ,/.
Table 4.2 showsanorthogonal array for 4 factors, each ofthem having 3 levels,
while Table 4.3 shows the same design written in response surface notations. The levels
1,2,3 in Table 4.2 correspond to -1,0, 1 in Table 4.3.
TABLE 4.2. Orthogonal array L 9 (3 4) TABLE 4.3. Orthogonal array L 9 (3 4)
in combinatorial notations in response surface notations

No A B c D No. XI x2 x3 x4
1 I I 1 I I -I -I -I -I
2 I 2 2 2 2 -I 0 0 0
3 1 3 3 3 3 -1 1 1 1
4 2 I 2 3 4 0 -1 0 1
5 2 2 3 1 5 0 0 1 -1
6 2 3 1 2 6 0 1 -1 0
7 3 I 3 2 7 1 -1 1 0
8 3 2 I 3 8 1 0 -1 1
9 3 3 2 I 9 1 1 0 -1
A design matrix is called orthogonal array if for every pair of colurnns each
combination of factor's levels appears the same number of times. In Tables 4.2 and 4.3
each combination oflevels appears only once for every pair of colurnns.
When the factors are coded like in Table 4.3 an indication of orthogonality isthat
the information matrix FrF is diagonal. For example, if we consider Table 4.3 as a F-
matrix, the corresponding information matrix is
G=F T F= 0 0 6 [~ ~ ~ ~ I
0 0 0
In Taguchi's designs the columns of the orthogonal arrays are used for studying
the main effects of the factors. If there are free columns, they can be used to estimate the
interaction effects. Here the problern is that experimenters must know in advance which
interactions are significant. U sually such information is not available.
Taguchi says that the interactions can be eliminated through a good engineering
reformulation of the problern and especially of the response function. This is a point of
disagreement with most statisticians. In general a reformulation of the problern in order
to eliminate the interactions is a very difficult task. U sually the engineering knowledge
before the experiment is insufficient to allow such transformation of the response.
Some of the designs, which we considered in the previous chapters, are
orthogonal arrays. For example, two-level full and fractional factorial designs given in
Chapter 3 are orthogonal arrays. A thorough examination of Table 4.2 shows that this
design is in fact a Graeko-Latin square (compare Table 4.2 with Table 2.14). The so-
called Plackett-Burman designs are orthogonal arrays as weil. A great number of
orthogonal arrays are developed and catalogued, see for example Taguchi (1986a, 1987),
Logothetis and Wynn (1989). Taguchi and Konishi (1987) catalogued orthogonal arrays.
Special notations are used for orthogonal arrays. For example, the notation
L9 (3 ) in Table 4.2 means that this is a design with 9 rows (9 experimental runs) for 4
4
factors, each factor with 3 Ievels. The notation ~ 8 (3 7 x 2 1 ) refers to a design with 18
rows, 7 factors changed at 3 Ievels and one factor at two Ievels.
It is important to consider the aliasing of the effects in an orthogonal array. For
example, consider the L8 (2 7 ) orthogonal array shown in Table 4.4. Putting -1 for 1 and
1 for 2 one can see that this design is a 1116 replication of a two-level full factorial
design. The aliasing of this design is studied in Chapter 3.
At the bottom ofTable 4.4 are written all two factor interactions aliased with the
factors corresponding to the array columns. They can also be written in the form of an
upper triangular matrix as shown in Table 4.5. In the catalogues the orthogonal arrays
are usually given tagether with this upper triangular matrix of interactions.
TABLE 4.4. Orthogonal array Ls (27 )

No. ~ 1 2 3 4 5 6 7
No. J. A B c D E F G
1 1 1 1 1 1 1 1
2 1 1 1 2 2 2 2
3 1 2 2 1 1 2 2
4 1 2 2 2 2 1 1
5 2 1 2 1 2 1 2
6 2 1 2 2 1 2 1
7 2 2 1 1 2 2 1
8 2 2 1 2 1 1 2
BxC AxC AxB AxE AxD AxG AxF
DxE DxF DxG BxF BxG BxD BxE
FxG ExG ExF CxG CxF CxE CxD
198 CHAPTER4
For example, if one wants to study the aliasing of factor C (column 3 of Table
4.4) he/she can see froro Table 4.5 that entry 3 can be found on the crossing of 1 and 2
(A x B), 5 and 6 (Ex F) and 4 and 7 (D x G). Therefore, the factor C is aliased with
A x B, E x F and D x G.
The saroe orthogonal array can be used for less than 7 factors, using the free
colurons for studying soroe interactions. Suppose that there are 4 factors of interest: A,
B, C and D. We can assign thero to colurons I, 2, 4 and 7 ofthe Lg(2 7 ) array as is shown
on Table 4.6. In this table the free columns are assigned to the interactions A x B, A x C
and BxC.
The use ofthe orthogonal array L8 (2 7 ) given in Table 4.4 for studying the roain
effects roeans that all interactions are supposed to be negligible. Sirnilarly the interaction
A x B can be studied using the Ls (2 7 ) orthogonal array of Table 4.6 if the interactions
D x G and Ex F are insignificant. In subsection 4.9 is shown that Taguchi's roethods for
data analysis are based on the independent interpretation of the roain effects. This is the
reason why Taguchi insists on the elirnination of interactions.
TABLE 4. 5. Upper triangular matrix of interactions for Lg (2 7 )

Colurnn No.
ColumnNo. 1 2 3 4 5 6 7
1 - 3 2 5 4 7 6
2 - 1 6 7 4 5
3 - 7 6 5 4
4 - 1 2 3
5 - 3 2
6 - 1
7 -
Independent interpretation of the roain effects is possible if full factorial designs
are used. However, when crossed arrays are eroployed the nurober of runs becoroes
enorroously high with the growth of the nurober of the factors. Taking high-resolution
fractional replications one can decrease the nurober of runs at the price of aliasing high
order interactions. They can be insignificant in roany cases, because they correspond to
high order terms in the Taylor expansion. To drastically decrease the nurober oftrials one
roust take low-resolution fractional designs which Ieads to confounding of roain effects
and second order interactions. When they really exist the opportunity of independent
interpretation of the roain effects is lost.
Consider an example with 7 product pararoeters. Four of thero are subject to
errors in roass production. These errors can be considered as noise factors. If full
factorial designs are eroployed for pararoeter and noise roatrices, the nurober of runs in a
crossed array is 27 x 24 = 2048. It can be reduced to 64 by two L8 (2 7 ) arrays used as
parameter and noise roatrices. However, both arrays are resolution III designs (see
Tables 4.4 and 4.6) and the roain effects are confounded with two factor interactions.
lt is shown in chapter 5 that if response surface approach is employed noise array

is not necessary. Using a half fraction of the full factorial design with generator
x7 =x1x2 x3x4 x5x6 we obtain a 64 run resolution VII design. No main effects or two and
three factor interactions are confounded with each other in it. W e can further decrease
the number of runs to 32 choosing two generators, for example, x1 = x2 ~x4 x5 and
x7 =~X4 X5 X6 • The corresponding defining cantrast is
This is a resolution IV design in which no main effect is aliased with any other main
effect or with any two-factor interaction, but two factor interactions are aliased with
each other.
TABLE 4.6. Orthogonal array Lg(2 7 ) for 4 factors and 3 interactions

No ...... 1 2 3 4 5 6 7
No. ,!. A B AxB c AxC BxC D
1 1 1 1 1 1 1 1
2 1 1 1 2 2 2 2
3 1 2 2 1 1 2 2
4 I 2 2 2 2 I I
5 2 1 2 I 2 I 2
6 2 I 2 2 I 2 I
7 2 2 1 I 2 2 I
8 2 2 I 2 I I 2
The orthogonal arrays can comprise factors with different number of levels. Table
4.7 shows an ~ 8 (2 1 x 37 ) orthogonal array in which one ofthe factors has two levels and
7 factors have 3 Ievels.
lt is not always possible to study the interactions with orthogonal arrays. For
example, the only interaction which can be interpreted when ~ 8 (2 1 x 37 } airay is used is
that between the first two columns. There are some orthogonal arrays for which the
study of interactions is not at all possible, for example ~ 2 (2 11 } and ~6 (2 11 x3 12 ).
However, for the most of the orthogonal arrays triangular matrices of interactions are
available.
200 CHAPTER4
TABLE 4.7. Orthogonal array L 18 (i x 3 7 )

ColumnNo~ 1 2 3 4 5 6 7 8
Run No ..l.
1 1 1 1 1 1 1 1 1
2 1 1 2 2 2 2 2 2
3 1 1 3 3 3 3 3 3
4 1 2 1 1 2 2 3 3
5 1 2 2 2 3 3 1 1
6 1 2 3 3 1 1 2 2
7 1 3 1 2 1 3 2 3
8 1 3 2 3 2 1 3 1
9 1 3 3 1 3 2 1 2
10 2 1 1 3 3 2 1 2
11 2 1 2 1 1 3 3 2
12 2 1 3 2 2 1 1 3
13 2 2 1 2 3 1 3 2
14 2 2 2 3 1 2 1 3
15 2 2 3 1 2 3 2 1
16 2 3 1 3 2 3 1 2
17 2 3 2 1 3 1 2 3
18 2 3 3 2 1 2 3 1
Group 1 2 3
4.6. Split plot designs
Changing factor Ievels is not always equally easy for all factors. Let us consider for
example an experiment in which there is one factor named equipment and which must be
changed at two Ievels (type I and type 2). There are 7 other factors, one of which is
measuring device (types l, 2, 3), the remaining 6 factors are at 3 Ievels each and it is
relatively easy to change their Ievels (for example, they are voltages and resistances of
some potentiometers). Forthis experiment one can apply the orthogonal array given in
Table 4.7. A good choice is to assign the factor equipment to the first column of the
array, not only because it has two Ievels but also because the change of its Ievels during
the experiment is most difficult and the Ievels in the first column are changed only once.
The next difficult to change factor is measuring device. We assign it to the second
column of the array because the changes of the Ievels in this column happen more rarely
than for the other columns of the array. The Ievels of the other factors are equally easy to
change and it doesn't matter to which column (3 to 8) they are assigned.
Split plot design is a design in which additional treatments are introduced by
dividing each plot into two or more portions. In the example considered above the
difficulty ofchanging the factor Ievels was considered as "additional treatment".
In Taguchi's experiments split plot (or split unit) designs are used when there are
factors with Ievels which are difficult for change. The factors are divided into groups of
order I, 2, 3, etc. depending on their changing ability. The highest order group includes
the easiest to change factors. The groups are indicated at the bottarn of the orthogonal
array (see Table 4.7).
4. 7. Linear graphs
Taguchi uses linear graphs to denote the changing ability of the factors and to show
which factors and interactions can be studied through a given design. For this purpose he
uses the following symbols:
0 for indication of colurnns of group 1,
~ for indication of columns of group 2,
® for indication of colurnns of group 3,
• for indication of columns of group 4.
Consider once again the 4,(2 7 ) orthogonal array given in Table 4.4. The linear
graphs corresponding to this design are given in Figure 4.4.
7
3 5 @
I
\
\
\
'
2 6 4
a) b)
Figure 4.4. Linear graphs for orthogonal array 4, (2 7 )with 4 factors and 3 interactions (a) for the
design ofTable 4.6 (b) for the design ofTable 4.8
Figure 4.4 shows that if we have 4 factors: A,B,C,D there are two possible
ways to assign them to the orthogonal array colurnns. The first one corresponds to
Figure 4.4a and to Table 4.6. If factor A is most difficult to change, it is assigned to
column 1, the next difficult to change factor Bis assigned to column 2 and the factors C
and D, which are equally difficult to change, are assigned to columns 4 and 7,
respectively. The interaction between the factors in the columns 1 and 2 (A x B) is
202 CHAPTER4
assigned to column 3, the interaction A x C is assigned to column 5 and the interaction

B x C - to column 6.
TABLE 4.8. Orthogonal array Lg (2 7 ) for 4 factors and 3 interactions

Colurnn No. ~ 1 2 3 4 5 6 7
RowNo. .!. A B AxB c AxC AxD D
1 1 1 1 1 1 1 1
2 1 I 1 2 2 2 2
3 1 2 2 1 1 2 2
4 1 2 2 2 2 1 1
5 2 1 2 1 2 1 2
6 2 1 2 2 1 2 1
7 2 2 1 1 2 2 1
8 2 2 1 2 1 1 2
Group 1 2 3
The graph on Figure 4. 4b indicates another assignment of the factors among the
columns which is shown in Table 4.8. The only difference with the above given design is
that in Table 4.6 column 6 corresponds to the interaction Bx C, while for the design in
Table 4.8- to AxD.
4.8. Signal-to-noise ratio
Conducting experiments according to the parameter design shown in Figure 4.3 one
obtains N = N pNn values of the performance characteristic and has to consider them
when making decisions. Specialperformance measures (or perjormance statistics) are
used in Taguchi method for estimating the factors' effects.
As a performance measure Taguchi uses signal-to-noise ratio which is defined as
follows:
(4.5)
i = 1' 2, ... ' NP'
where
(4.6)
are estimates ofthe mean value and the variance ofthe performance characteristic.
The signal-to-noise ratio is computed for every row ~ = 1,2, ... ,N) of the
parameter design matrix and the computations are based on the results of experiments
obtained from the noise design matrix (u = I,2, ... ,NJ.
This signal-to-noise ratio is used when a specific target value is best. To obtain a
robust product one can maximize the signal-to-noise ratio (i.e. to minimize the variance),
while keeping the mean value on a target. W e consider this problern in the next section.
Note that the signal-to-noise ratio has the meaning of a square of the inverse of
the variation coefficient which is defined as a I 17, a being the standard deviation and 17
- the mean value of a random variable y. The logarithm and the scale coefficient I 0 in
(4.5) do not change this interpretation.
The signal-to-noise ratio takes into account both components ofthe expected loss
in (4.3). However, as the target value r is not explicitly included in ; some special
considerations are needed depending on the definition of r.
For the smaller the better case (see Section 4.2) Taguchi recommends the
following definition ofthe signal-to-noise ratio:
N.
;= -IO log(~>= IN.). (4.7)

u=I
lt can be considered as an estimate of
s= -10 log MSE, (4.8)
where the mean squared error (MSE) is equal to
with r = 0 in smaller the better case.

The minus sign in (4.7) is used by convention so that; is always maximized.
The /arger the better case can be considered as a special case of the previous one
considering as a performance characteristic lly instead of y. The target value of lly is
zero and one can apply (4.8) as a performance measure. Its estimate, the signal-to-noise
ratio, is consequently
; = -Iolog[ -L-
1 I ] N.
2 (4.9)
N. u=I Yu
Taguchi has defined many other signal-to-noise ratios appropriate for various
special cases. The definitions given above are the most used ones.
204 CHAPTER4
4.9. Data analysis and decision making
Our discussion in this section will be illustrated by a parameter design for a product with
4 parameters p 1 ,p2 ,p3 ,p4 and 2 noise factors: n1 and n2 . Assurne that a L9 (3 4 )
orthogonal array is used as a parameter design matrix (see Table 4.2) and for the noise
design is chosen a full factorial experiment L4 (2 2 ). The corresponding cross-product
design, which is also called crossed array, is given in Table 4.9.
9 Crossed array wlt. h4· product parameters and2 nmse

TABLE4.. . [;actors.
Noise matrix Mean Vari- Signal
Parameter No. I 2 3 4 value ance to-
noise
design ni 1 2 1 2 ratio
matrix n2 1 1 2 2 Y; s2
I
;i
No. PI P2 P3 P4
I 1 1 1 1 yll YI2 yl3 YI4 YI s2
I ;I
2 1 2 2 2 Y2I Y22 Y23 Y24 Y2 s2 ;2
2
3 1 3 3 3 Y3I y32 y33 y34 y3 s2 ;3
3
4 2 1 2 3 Y4I Y42 Y43 Y44 Y4 s24 ;4
5 2 2 3 1 Y5I Y52 Y53 Y54 Y5 s2
5 ;5
6 2 3 1 2 Y6I Y62 Y63 Y64 Y6 s26 ;6
7 3 1 3 2 Y7I Yn y73 Y14 Y1
-
s27 ;7
8 3 2 1 3 Y81 Y82 Y83 Y84 Y8 sz8 ;8
9 3 3 2 I Y9I y92 y93 y94 y9 s29 ;9
Using the experimental data one can compute the mean values and the variances
by (4.6). Then taking into account the definition of the target an appropriate signal-to-
noise ratio can be computed. These values are used in the Taguchi method to make
decisions based on analysis of variance and graphical procedures.
The analysis of variance procedure described in Section 2.1 is used with respect
to both performance characteristic and signal-to-noise ratio in order to study the
significance of product parameters and their interactions. Usually part of these effects is
insignificant. Taguchi proposes to consider them as random errors and to pool tagether
the corresponding sums of squares. The significance of the remaining effects is tested
against the pooled sum of squares which incorporates the sums corresponding to
insignificant effects and the residual sum of squares. This way the number of degrees of
freedom for the pooled sum of squares can be increased without repeated observations.
This is very important in engineering because some experiments are time consurning and
expensive. Taguchi recommends pooling together the small sources of variation until the
error variance corresponds to almost half of the available degrees of freedom.
This approach has been criticized by Box and Ramirez ( 1986) who noticed that
the pooling could result in an extreme bias in the statistical analysis. They propose using
half-normal plots as a safer procedure for selecting significant effects.
If some of the sources are pooled together with the residual then for the
computation of the contribution ratio Taguchi calculates the pure variation of a given
source of variation. Let for example, the sum of squares that corresponds to source A is
QA, while the total sum of squares is Q.
The significance of Ais tested through F-criterion:
If the effect of A is insignificant then the nominator and the denorninator of this ratio are
almost equal. The error sum of squares can be estimated by vAs~. Hence, the pure error
ofA is:
The contribution of a factor or interaction to the total variation is estimated using the so
called contribution ratio. For instance the contribution ratio of source A is defined as a
ratio expressed in percents between the sum of squares Q~ and the total sum of squares
Q:
PA= Q~ 100 %. (4.10)
Q
An example ofapplying variance analysis and pooling is given in Section 4.14.

In the Taguchi method simple graphical procedures are used for decision making
in addition to the analysis of variance procedure. They depend on the definition of the
target value.
Let us start with the smaller the better and the /arger the better cases. Formulae
(4.7) or (4.9) can be used to compute the signal-to-noise ratio .;. The optimal parameter
values must be chosen to maximize .; . If some of the parameters are insignificant with
respect to.; their Ievels have to be chosen to maxirnize (or minimize) the performance
characteristic.
Two types of plots are used for decision making in the Taguchi method. Call
them plots type A and type B.
206 CHAPTER4
TI
3
I~ 3
2
3
13
PI p2 p3 p4
2
Figure 4.5. Type A plot
A type A plot is shownon Figure 4.5. The signal-to-noise ratio is put against the
product parameters and vertical lines are plotted. They show the significance of the
factor' s effects for ~. The points on the verticallines correspond to the mean value of ~
computed for all rows of the parameter design matrix in which a given factor has the
same Ievel. For example, the point 1 on Figure 4.5 for the factor p 2 corresponds to the
mean value of ~ calculated from rows 1, 4 and 7 ofTable 4.9, where p 2 takes Ievel 1:
The other points on the verticalline for p 2 are found by computing the following values:
and
The verticallines for the other factors (p1 , p 3 , p 4 ) are found in a similar way.
The distance between the end points on a vertical line measures the effect of a
factor. Looking at Figure 4.5 one can say that factor p 2 has the greatest effect, the
second greatest effect is that of factor p 4 followed by p 3 and p 1 . The points are
asymmetrically allocated on the vertical lines. That means that the corresponding
quantitative factor has a non-linear effect on the signal-to-noise ratio. For example, the
effect of p 2 is non-linear. However, a symmetrical allocation of the points does not
necessarily mean that the effect is linear. This is explained below (see Figure 4.8).
T AGUCHI'S APPROACH TO QUALITY IMPROVEMENT 207
Some ofthe main effects in Figure 4.5 arerather small, for example PI and p 3 .
Analysis ofvariance (ANOVA) is used to determine their significance.
Assuming that the interactions are negligible Figure 4.5 can be used to choose
optimal parameter values. In order to maximize ; one has to choose Ievel 2 for p 2 and
Ievel I for p 4 . If PI and p 3 have significant main effects then their optimal Ievels are I
and 3, correspondingly. Iftheir main effects are insignificant, the choice oftheir Ievels is
not important and other engineering considerations can be taken into account.
Separate plot can be drawn for each factor as shown in Figure 4.6. In these
graphs, which we call type B plots, the mean value of signal-to-noise ratio is put against
the factor Ievels.
2 3
a) b)
/
p
3
2 3 2 3
c) d)
Figure 4. 6. Type B plots
Construction of type B plots and their interpretation are similar to those for type
A plots. The interactions can be studied by putting the values of ; corresponding to one
factor (say p 4 ) against the Ievels ofthe other factor in the interaction (for example, p 2 ).
The obtained lines are parallel as shown in Figure 4. 7a. That means that the interaction
p 2 x p 4 is insignificant. If these lines are not parallel like in Figure 4. 7b, then the
208 CHAPTER4
corresponding interaction is significant. When there are many significant interactions it is

not always easy to make a correct decision. For example, according to Figure 4.6 p 2
must be at Ievel 2 and p 4 at Ievel 1. However, ifthere is a significant interaction p 2 x p 4 ,
which decreases the signal-to-noise ratio as in Figure 4.7.b, this choice may not be the
best.
2 3 2 3
~ ~
Figure 4. 7. Plots for interaction effects (a)Insignificant interaction between p 2 and p4
(b) Significant interaction between p 2 and p 4
Figure 4.8 shows an effect presented by type A and B plots. Though the points on
the plot A are symmetrically allocated, plot B shows a strong non-linear effect.
TypeA Type B p
Figure 4.8. Nonlinear effects represented by type A and B plots
When a speci.fic target value is best the signal-to-noise ratio ; has to be

maxirnized but in the same time the mean value y must be adjusted to the target r. In
order to achieve this goal Taguchi recommends to divide the set of product parameters
into two subsets as follows:
i) Control jactors that have a significant effect on signal-to-noise ratio. These
factors are used for Controlling product or process parameter variability.
ii) Adjustment parameters that have a great effect on the mean value but almost
no effect on the variance.
Some authors (Logothetis and Wynn (1988)) consider a third subset offactors:
iii) Neutral parameters. They do not affect either the mean value or the variance
ofthe response, and consequently, the signal-to-noise ratio too.
If such separation is possible one can maximize the signal-to-noise ratio by
changing the c.ontrol factor values. Then the mean value can be adjusted to the target T
by changing only the adjustment parameters. The neutral parameters must be set at their
cheapest Ievels, this way reducing the product cost.
The separation of the parameters into three groups is possible using plots type A
or B. Two graphs are plotted - one for the signal-to-noise ratio and another for the mean
value.
For example, consider the type A plots shown in Figure 4.9. The factors most
affecting the signal-to-noise ratio are p 3 ,ppp4 and p 7 (Figure 4.9. a). They are control
factors. One ofthem, p 1 , barely affects the mean value. Factars with great effects on the
mean value are p 6 ,p1 ,p4 and p 3 (Figure 4.9.b). One ofthem, p 6 , has almost no effect on
~. It is called adjustment factor. Factars p 2 and p 5 have almost no effects neither on the
mean value nor on the signal-to-noise ratio. They areneutral factors.
If there are no interactions, one can choose the factor Ievels as follows:
• Set p 1 at Ievel 2, p 3 at Ievel 3, p 4 at Ievel 3 and p 7 at Ievel 2. This will
maximize the signal-to-noise ratio ~.
• Adjust the mean value of the performance characteristic to the target value T
by changing p 6 .
• Set p 2 and p 5 at Ievels that make the product cheap.
2
3 2
2
mean %I TI I~ ...
(S/N ratio) 3 ~; • 2 ~;
PI p2 p3 p4 Ps p6 1 p7
2
a)
210 CHAPTER4
y 2
2
2
rz
3 1
overall '2 ,
mean 2 ~ 1
2
3 1
3
p1 p2 p3 p4
3
Ps P6 p7
b)
Figure 4.9. C1assification offactors: control, adjustment, neutral (a) plot for the signal- to-noise ratio
(b)plot for the mean value
4.10. Some practical problems
4.1 0.1. CHOICE OF EXPERIMENTAL CONDITIONS AND FACTOR LEVELS
The objective of Taguchi method is to develop a high quality product at low cost. This
can be achieved using the fact that the performance characteristic is non-linearly
dependent on the product or process parameters. A cost-effective solution of this
problern can be obtained if inferior grade materials and component parts are used to
make the prototype and then to decrease the variability through proper choice of the
operating point on the non-linear performance characteristic.
According to Taguchi and Wu (1980, p.32) "nothing is more foolish than
research using high priced raw materials or component parts". Such research can not
provide a cost-effective product because it misses the opportunity to obtain good
performance characteristics at low cost. The opportunity to develop a high quality
product using inferior quality materials and components must be realistically assessed by
engineers before starting the experiments.
The Ievels of the product parameters must be chosen to cover the region in which
an improvement of the performance characteristic is expected. The region of interest for
the noise factors should be selected to cover a wide region of manufacturing
imperfections that can appear in mass production and large tolerances of component
parts or raw materials. This can ensure cost effectiveness of the product.
If the ehosen toleranees of raw materials or eomponents are too wide and ean
not ensure satisfaetory quality of the produet they ean be tightened at the last researeh
stage ealled by Taguehi tolerance design. We eonsider it in Seetion 4. 11.
A priori information about the mean values m; and the standard deviations s; of
the quantitative noise faetors is neeessary for the ehoiee of their Ievels during the
experiment. F or faetors assumed to have linear effeets on the performanee eharaeteristie
Taguehi reeommends to use two faetor Ievels: (m; - s;) and (m; + sJ If the noise
faetors are supposed to have quadratie effeets on y then three faetor Ievels are
reeommended by Taguehi: ~; - .)3 I 2s; ), m; and ~; + .)3 I 2s; ). This ehoiee of the test
Ievels is based on the assumption that the noises have symmetrie distributions. It is
important to note that this ehoiee of test Ievels is seleetive rather than random. That is
why noise design matrix does not provide test eonditions that exaetly eorrespond to the
real produetion proeess. In mass produetion noise distributions are usually eontinuous,
while in the Taguehi eross-produet design they are approximated by two-point or three-
point diserete distributions, aeeording to the number of test Ievels for the noise faetörs.
This faet is illustrated by Figure 4.10.
>
m·-'/Js·
I ~2 I
m·I
a) b)
Figure 4.1 0. Continuous error distributions and their approximation with discrete distributions
(a)two-point discrete distribution (b)three-point discrete distribution
In the frietion-welding example diseussed in Chapter 6 it is shown that

substitution of a diserete distribution for eontinuous one ean eause bias in the estimation
of performanee eharaeteristie's varianee. D'Erieo and Zaino (1988) presented a
diseussion on the effeet of replaeing eontinuous noise distributions with diserete ones.
4.10.2. REPEATED OBSERVATIONS
If it is supposed that the noise distribution is non symmetrie or if the noise faetors ean
not be kept on given Ievels during the experiment, or are unknown, Taguehi recommends
to use repeated observations for eaeh trial run of the parameter design.
Engineers must be eautious with repeated observations. Consider an example in
whieh the rubber mixture tensile strength is being tested. There are two different ways of
taking samples for repeated testing:
212 CHAPTER4
• A rubber plate is taken and the samples are cut of it and tested,
• Each test sample is obtained startins the preparation of the rubber mixture from
the very beginnins (dosing, mixing, forming, curing, etc.).
In the first case the differences in the tests results are only due to the
heterogeneity of the rubber plate, while in the second one the variation is due to all noise
factors existing in mass production such as imperfections in dose fixing, mixing, building-
up, curing process, etc.
4.10.3. CONFIRMATORY EXPERIMENTS
lt is always necessary to run a confirmatory experiment to verify that the new parameter
settings really improve the performance characteristic. It may happen that some
important factors are not taken into account in the parameter design, or the assumptions
of no-interactions or those related to the noise distributions are wrong. In this case the
conclusions may be wrong. That is why a confirmatory experiment is a compulsory part
of the research.
If there is no improvement or if the improvement is not satisfactory then the
hypotheses about the product or process should be reassessed. New factors or
interactions can be introduced in the parameter design, the response function can be
reformulated to avoid interactions, if possible, etc. Then a new iteration of the parameter
design may be necessary. When this can not improve the quality to a desired extent one
has to go to the next step called tolerance design.
4.10.4. COMPUTER SIMULATIONS
Quality improvement through computer simulations is possible when the performance

characteristic can be numerically evaluated using a model
y = q(z1 ,z 2 , ... ,zm,n1 ,n 2 , .. nq)+&, where z; = P; +ei> i = 1,2, ... ,m is the
product/process parameter value in mass production which is disturbed by noise in the
factors e; . If the distributions of the noises e; and n; are known then they can be
simulated. In this case Taguchi's method for experimental design, data analysis and
decision making can be applied without any changes. In particular this is beneficial when
real experiments are expensive and time consuming or a model of the product exists.
Sometimes this model may be complicated.
4.11. Tolerance design
If the variance reduction obtained through a parameter design is not satisfactory a

tolerance design can be helpful. At this stage the optimum values of product parameters
obtained by the parameter design are kept fixed but the tolerances of certain crucial
factors are tightened. As compensation the tolerances of some other factors can be
relaxed. Decisions to reduce or relax tolerances are based on the so-called contribution
ratios introduced in Section 4.9. These contribution ratios are computed on the basis of
an experiment with product parameters varied around their optimal values according to
the noise design matrix. After tightening the tolerances a new confirmatory experiment is
conducted in order to see if the performance characteristic is within the desired Iimits.
4.12. Taguchi method: summary
We summarize the Taguchi method, though some variations are possible which can
exceed the bounds given below. A quality improvement problern can be solved using the
following scheme ofthe Taguchi method:
1. Define the problern and determine the objective. Identify the product
parameters and noise factors and specify their intervals of variation.
2. Choose orthogonal arrays for parameter design and noise matrix and form
Taguchi's cross-product design. Assign the product parameters or their interactions to
the columns of the parameter design matrix and the noise factors to the columns of the
noise matrix.
3. Conduct the experiment and collect data.
4. Analyze the data. Evaluate the performance characteristic for each run of the
parameter design matrix and analyze the results using analysis of variance and the
graphical methods given in Section 4.9.
5. Select new parameter values using the methods described in Section 4.9.
6. Confirm that the new parameter settings do improve the performance
characteristic. Forthis purpose the parameter values are set to their optimal values found
in step 5 and a noise design is conducted in order to evaluate the signal-to-noise ratio for
the new parameter settings. The mean value obtained on the basis of the confirmatory
experiment is compared with the target.
7. Apply tolerance design ifnecessary.
4.13. Advantagesand disadvantages ofthe Taguchi method
Taguchi was not the first who developed and applied methods for design of experiments.
There is a tradition that started with Fisher and was continued by Yates, Box, Kiefer and
many others. However, Taguchi introduced some new elements in this tradition which
are of great importance to engineering and especially to quality improvement. The most
important ofthese ideas are:
• Taguchi introduced the so-called loss function which shows how close the
performance characteristic is to the target. He showed that the performance criterion for
high quality product must be "closeness to target" rather than "within specifications"-
• Taguchi was not the first who applied experimental design to study product or
process variability as a function ofthe parameters. Morrison (1957) and Michaels (1964)
considered the problern of making a product robust to errors transrnitted from its
214 CHAPTER4
components (Morrison) and to environmental variation (Michaels). However, their ideas

were not developed further and were not used by engineers. Taguchi was the first who
introduced the robust product design in the engineering practice. Before Taguchi
engineers had used design of experiments only to study dependence of a response on
some factors.
• He showed how "building-up the quality in the product" (making it robust to
noises) can result in substantial cost-savings.
• Through his wide consultancy activity and by demonstrating a great number of
successful applications for solving quality engineering problems Taguchi made the
management more receptive to experimental design methods.
• An important contribution of Taguchi is that he has developed simple rules for
applying experimental designs to quality improvement. This appeals to engineers and to
some extent explains their high interest in his method.
In spite of its indisputable advantages the assessment of Taguchi method by
professional statisticians have been somewhat controversial. The most important critical
notes are listed below:
• The number of experimental runs in Taguchi's cross-product design is very
high. It is equal to N = NpNn, where NP is the number ofrows ofthe parameter design
matrix, while Nn is the number of rows of the noise matrix. Taguchi (1986a) considers
an example for determining the optimal parameter values of a Wheatstone bridge taking
into account 5 parameters of the bridge and 7 noise factors. He used simulation
experiment. For both parameter and noise design matrices he used L36 orthogonal arrays
(NP= Nn = 36). The total number of experimentswas N = 36 x 36 = 1296. May be for
a simulation experiment with a simple circuit this is acceptable, but for a physical,
chernical, metallurgical, etc. experiment it can be very difficult to conduct such a great
number of runs.
In Chapter 6 we consider a friction welding experiment in which 522 runs were
conducted according to Taguchi method. If response surface methodology is used only
27 of them would be enough to obtain the same results.
• Serious criticism towards Taguchi method is connected with the difficulty to
take into account the interactions. When using orthogonal arrays, aliasing of main effects
with pairwise interactions is often inevitable. This can change substantially analysis
results.
In order to avoid this difficulty Taguchi recommends to choose performance
characteristic that can be described without interactions among both product parameters
and product and noise factors. According to Taguchi this can be done on the basis of
engineering knowledge about the product. However, sometimes it is extremely difficult
to follow this advice. The engineering knowledge is usually not sufficient to solve this
problem. That is why experiments are necessary. Note that the interactions between
product parameters and noise factors are vital for making the product robust agairrst
noises, while parameterx parameter interactions reflect the non-linearity of the
TAGUClll'S APPROACH TO QUALITY IMPROVEMENT 215
performance characteristic which is essential for product improvement through

parameter design.
Another advice given by Taguchi is to eliminate the interactions through
appropriate choice of factor Ievels. Only shrinking the region of interest can do this.
However, this does not mean that the interactions will disappear, this only means that in
a narrow region of interest the performance characteristic is almost linearly dependent on
factors and there will not be any improvement by changing the operating point.
Taguchi also recommends if possible to ignore interactions and relate them to
noises. This is impossible for interactions aliased with the main effects through choice of
design. For others this is not a good idea because it can seriously distort the ANOVA
results. In statisticalliterature are given many examples for this. Interactions can be taken
into account in the analysis by assigning the most important of them to some columns of
the orthogonal array. However, this usually is possible for a limited number of
interactions and it is difficult to say before the experiment which interactions are the
most important.
• The universal use of signal-to-noise ratio as a performance measure is criticized
as weil. This ratio can produce a bias in the mean if the standard deviation and mean
value are not linearly dependent. The maximum of signal-to-noise ratio can be found not
only by minimizing the variance but also by increasing the mean value.
• In Section 4.10.1 we showed that the use of a noise array in the Taguchi
method replaces the continuous distribution of the noise factors by two or three-point
distributions. This is a cause of bias in the variance estimate.
• The use of ANOVA for analyzing signal-to-noise ratio is also criticized. An
important assumption of the ANOVA scheme is for normality of Observations. The
signal-to-noise ratios defined by Taguchi are non-linear functions of normally distributed
random variables. That is why their distributions may not be normal.
• Taguchi's optimization procedure for the case "a target is best" is based on so
called acijustment factor (see Section 4.9) which has a !arge effect on the mean value, but
almost no effect on variance. Such factor may not exist.
• The optimal values of product parameters are determined in the Taguchi
method among the Ievels of factors that are actually used in the experiment. It is not
clear why should the optimal parameter values coincide with these Ievels.
These disadvantages can decrease the efficiency of Taguchi method. However,
the engineering ideas put in the basis of this method are very important and many
successful applications confirm this conclusion. It can be expected that the incorporation
of these engineering ideas within the framework of well-established statistical
methodology will Iead to elimination of most of these difficulties. This work was started,
has shown good results and is still going on. Some of these ideas are presented in the
next chapters.
216 CHAPTER4
4.14. Examples
In this Section we consider two case studies with application ofthe Taguchi method. The
first case study is a successful application of this method, while the second one shows
that the difficulties of taking into account the interaction effects in Taguchi method can
be a reason for not reaching the optimal solution to the quality improvement problem.
Example 4.1. Assembly oftwo parts

1
2
4 3
Figure 4.11. Assembly of two parts

1- body, 2- plate, 3- fixture, 4- assembly jig, 5- pusher, p 1 -form ofthe pusher, p 2 - width ofthe
jig's passage, p 3 - height ofthe jig's passage, n 1 - error in relative positions of jig's passages and
fixture in direction of Z-axis, n 2 - width ofthe plate, n3 - height of the plate, n4 - error in the
relative position of the jig' s passages and the fixture in direction of Y -axis.
Consider the assembly process of two parts shown in Figure 4.11: body (1) and
plate (2). The plate is transported by a fixture (3) against the body. Using a pusher (5)
the plate is pushed through an assembly jig (4) with a large input chamfer. The jig is
directing the elastic legs of the plate towards the openings of the body. The assembly
force y(N) applied to the pusher is considered as a performance characteristic. It
depends on three parameters: form ofthe pusher PI with two Ievels (form 1 and form 2),
width of the jig's passage p 2 (mm), and height of the jig's passage p 3 (mm). The
variations of the performance characteristic are mainly due to the following external
noise factors:
• error ni (mm) in the relative position of the jig' s passages and the fixture in the
direction of Z-axis,
• width ofthe plate n 2 (mm),
• height of the plate n3 (mm) and
• error n 4 (mm) in the relative position of the jig's passages and the fixture in the
direction of Y-axis.
The standard deviation of the performance characteristic must not exceed 1 N.
Tabie 4 IO Coded and natural factor vaiues

Coded values
Factors I 2 3
PI Form I Form 2 -
Pz(mm) 15.0 I4.8 -
p 3 (mm) 4.3 4.I -
ni(mm) -0.2 0.0 0.2
n2 (mm) 14.6 I4.8 15.0
n3 (mm) 4.0 4.05 4.1
n4 (mm) -0.2 0.0 0.2
The objective of the parameter design is to find optimal values of PI, p 2 and p 3
which provide minimal value of the performance characteristic and minimize the variation
caused by the noise factors. This corresponds to "the smaller the better" case in
Taguchi's terrninology. Columns 1, 2 and 4 of the L8 (2 7 ) orthogonal array given in
(3
Table 4.6 are used as parameter design matrix. The noise matrix is chosen to be a L 9 4 )
three-level orthogonal array shown in Table 4.2. The correspondence between the coded
and the natural values ofthe factors is shown in Table 4.10.
218 CHAPTER4
Table 4.11. Cross-product design for assembly oftwo parts

Noise matrix
n4 1 2 3 3 1 2 2 3 1
Parameter n3 1 2 3 2 3 1 3 I 2
Design n2 1 2 3 I 2 3 1 2 3
Matrix ni I I I 2 2 2 3 3 3
No. PI P2 PJ I 2 3 4 5 6 7 8 9
I 1 1 1 4.3 9.8 9.1 5.2 6.2 6.0 6.7 4.6 8.1
2 I I 2 4.I 5.I 7.2 5.3 5.3 3.3 5.9 4.0 4.2
3 1 2 1 11.1 19.8 20.1 22.0 9.2 I1.9 I4.1 I2.5 16.0
4 1 2 2 10.0 15.4 24.9 21.4 9.4 8.9 6.8 7.4 12.2
5 2 1 I 5.7 6.7 10.2 10.6 4.6 6.8 5.2 7.5 7.0
6 2 1 2 12.2 10.I 10.0 9.1 7.8 11.1 14.2 8.4 10.9
7 2 2 1 10.0 I5.8 23.7 20.1 9.8 12.3 10.4 12.0 14.I
8 2 2 2 20.3 26.3 21.0 15.1 16.5 12.8 18.3 12.8 16.7
The cross-product design and the observations are given in Table 4.11. The
values of the performance characteristic are given in the point of intersection of a row of
parameter design matrix and a column of the noise matrix. For example, the value
y 45 = 9.4 corresponds to row No. 4 ofparameter design matrix and colurnn No. 5 ofthe
noise matrix. lt is obtained for the following coded factor Ievels:
Y
and n=(n1 n 2 n 3 n4 =(2 2 3 1Y.
The free colurnns 3, 5 and 6 ofTable 4.6 are used für studying the effects ofthe
interactions p 1p 2 , p 1p 3 and p 2 p 3 , correspondingly. The mean value Y; and the signal-to-
noise ratio ~;, i = 1, 2, ... , 8 are calculated by formulae (4. 6) and (4. 7) on the basis of 9
values of the performance characteristic for each row of parameter design matrix. The
results of these computations are shown in Table 4.12. The total means of the
performance characteristic y and signal-to-noise ratio ~ for all rows of the parameter
design matrix are given in the last row ofTable 4.12.
For example, the values of j/1 and ~1 are computed as follows:
YI = ~(4.3 +9.8 +9.1 + 5.2+ 6.2 + 6.0+ 6.7 + 4.6 + 8.1) = 6.67
and
~~ = -10log 10 [~(4.3 2 + 9.8 2 + 9.1 2 + 5.2 2 + 6.2 2 + 6.0 2 + 6.7 2 + 4.6 2 + 8.1 2 )] = -16.80.
Table 4.12. Values of y1 and ~i for the rows ofparameter design matrix
No. PI P2 P1P2 P3 P1P3 P2P3 Y; ~i
1 2 3 4 5 6 7 8 9
1 1 1 1 I I 1 6.67 -16.80
2 1 1 1 2 2 2 4.93 -14.08
3 1 2 2 I I 2 15.19 -23.96
4 1 2 2 2 2 I 12.93 -23.09
5 2 I 2 1 2 I 7.14 -17.39
6 2 I 2 2 I 2 10.42 -20.49
7 2 2 I I 2 2 14.24 -23.50
8 2 2 I 2 I I 17.76 -25.21
y = 11.16 ~= -20.56
The average values of the performance characteristic and the signal-to-noise

ratio, which correspond to the Ievels of product parameters or their interactions, are
shown in Table 4.13.
Table 4.13. Average values ofthe perfonnance characteristic and signal-to-noise ratio
Product Performance characteristic Signal-to-noise ratio
parameters and Levels Levels
interactions 1 2 I 2
PI 9.93 12.39 -19.48 -21.65
p2 7.29 15.03 -17.19 -23.94
P1P2 10.90 11.42 -19.89 -21.23
P3 10.81 11.51 -20.41 -20.72
P1P3 12.51 9.81 -21.62 -19.51
P2P3 11.12 11.20 -20.62 -20.51
For example, consider the average values of the performance characteristic and
signal-to-noise ratio computed for the Ievels of p 3 • The data are taken from columns No.
5 and No. 8 ofTable 4.12. For p 3 = 1 the mean value of Y; for rows No. 1, 3, 5 and 7 is
computed as follows:
y(p3 =1)=_!_(6.70+15.19+7.14+14.24) = 10.81,

4
while for p 3 = 2 the values of yj for rows No. 2, 4, 6 and 8 are averaged:
y(p3 = 2)= _!_(4.93 + 12.93 + 10.42 + 17.76) = 11.51.

4
220 CHAPTER4
Similarly the average values of the signal-to-noise ratio for the levels of p 3 are
computed using data from columns No. 5 and No. 9 ofTable 4.12 as follows:
~(p3 = 1)= !(-16.80- 23.96-17.39- 23.50)= -20.41

4
and
~(p3 = 2) = !(-14.08- 23.09-20.49- 25.21) = -20.72.
4
Figure 4.12 showstype A graphs based on the data from Table 4.13. They are
used for ordering the effects of product parameters and their interactions. The product
parameters p 2 , p1 and the interaction p 1p 3 have strong effects on the signal-to-noise ratio
q, while the effects on the mean value of the performance characteristic are ordered as
follows: p 2 ,p1p 3 and p 1•
15.03 a
1:P1
2:P2
3:P1P2
4:P3
5:P1P3
6:P2P3
11.16
?.29 1
-1?.19 ...
t
V -P•rf'. Ch•r.
-23.94 l:..._ _ _ __.2...,.__ _ _ _ _ _ _ _ _ _ _ _ _ _....J

r-Perf. S:tat.
'-- -----1
1 a 3 4 6
Figure 4.J2.Effects of factors and interactions for the assembly of two parts
y- mean assembly force, .; - signal-to-noise ratio
Analysis of variance is used to test effects' significance. Table 4.14 shows the
results ofthe ANOVA procedure for the signal-to-noise ratio.
Tabl e 4 14 ANOVA tabl e tior t he s1gna -to-nmse ratlo

Source of Sumsof Degrees of Mean F-ratio
variation squares freedom squares
PI 9.39 I 9.39 7.16
p2 91.09 I 91.09 69.45
PIP2 3.58 I 3.58 2.73
P3 0.19 I 0.19 0.14
PIP3 8.84 I 8.84 6.74
P2P3 0.03 I 0.03 0.02
Residual 1.31 I 1.31 -
Total 114.43 7 - -
The total sum of squares Q is computed using the data of column No. 9 of Table
4.12:
Q =I (~i- ~J =[(-16.8 + 20.56Y + (-14.08 + 20.56) 2 + .. + (- 25.21 + 20.56Y ]= 114.43.
z::::l
The sum of squares due to the effect of PI is computed as follows (see

Table 4.13):
= 4[(-19.48 + 20.56Y + (- 21.65 + 2o.56Y ]= 9.39.

The other sums of squares in Table 4.14 are computed in a similar way. The
residual sum of squares is:
QR = Q- QI - Q2 - QI2 - Q3 - Ql3 - Q23 =

=114.43- (9.39 + 91.1 + ... + 0.03) = 1.31.
The degrees of freedom for the sums of squares for the factors and interactions
are
where k is the number ofthe factors' Ievels and the interactions.

The degrees offreedom for the total sum of squares are calculated by the formula
v=NP-1=8-1=7,
222 CHAPTER4
where NP is the number of rows in the parameter design matrix.

The degrees of freedom for the residual sum of squares are
The mean squares can be computed as a ratio between a given sum of squares
and the corresponding degrees offreedom. For example
2- 2(pI )-
SI - S -
Ql-
-
9.39-939
- .
V1 1
and
2 -
SR-
QR -- 1.31 -- l . 31 .
VR 1
The mean squared errors for the factors and the interactions are compared with
the residual mean squared error through the F-ratio. For example, the F-ratio for p 2 is
F 2 = F(p 2 )= s~ = 9 1. 09 = 69.45.
SR 1.31
As noted in Section 4.9 Taguchi recommends pooling together the small sources
of variation until the error variance corresponds to almost half of the available degrees of
freedom. In this example we pool together with the residual p 1p 2 , p 3 and p 2p 3 . Table
4.15 is the pooled ANOVA table for the signal-to-noise ratio.
Tab1e 4 15 P001ed ANOVA table fior t he stgnaJ-to-nmse

. ratio
Source of Sumsof Degrees of Mean F-ratio Contribution
variation squares freedom squares p(%)
PI 9.39 1 9.39 7.36 7.09
p2 91.09 1 91.09 71.36 78.49
PIP3 8.84 1 8.84 6.92 6.61
Residual 5.11 4 1.28 - 7.81
Total 114.43 7 - - 100
The residual sum of squares in Table 4.15 is obtained as follows:
QR =Q-Ql-Q2 -Ql3 =114.43-(9.31+91.09+8.84)=5.11.
The degrees of freedom for QR are

After pooling the contributions of the factors and the interactions are computed
using the corrected sums of squares as shown in Section. 4.9. For example, the
contribution ratio for pi is computed as follows:
= QI -s~vi .100= 9.39-1.28x1100=7.09%.

PI Q 114.43
The contribution ratio for the residual is
Pn = 100- PI- p 2 - PI 3 = 100-7.09-78.49-6.61 = 7.81%
The critical value ofthe F-ratio for significance Ievel a= 0.05 is the same for the
effects of PP p 2 and pip3 included in Table 4.15: Fr =F(0.05,1,4)= 7.7086. Hence,
only p 2 has a significant effect on the signal-to-noise ratio.
The analysis of variance for the performance characteristic y is slightly different
because in this case repeated observations are available. The results are shown in Table
4.16. They are based on data from Tables 4.11 and 4.12.
The total sum of squares is:
8 9
Q= LL (yi}- .Y) 2 = (4.3 -1u6Y +(9.8-11.16) 2 + ... +
i~I }~I
+(8.1-1u6Y +(4.1-1u6Y + ... +(t6.7-1u6Y =2267.o.
Tab1e 4.16. ANOVA tab1e for the assemb1y force y(N)

PI 109.03 1 109.03 7.58
P2 1078.00 1 1078.00 74.91
PIP2 4.91 1 4.91 0.34
P3 8.82 1 8.82 0.61
PIP3 130.68 1 130.68 9.08
P2P3 0.09 1 0.09 0.01
Residual! 0.64 1 0.64
Residual2 934.83 64 14.61
Residual 935.47 65 14.39
Total 2267.00 71
The sum of squares due to the effect of product parameter PI is based on Table
4.13 and is computed as follows:
224 CHAPTER4
= 36[(9.93 -1u6Y + (12.39 -1u6Y ]= 1o9.o3.
The other sums of squares for the effects included in Table 4.16 are computed in
a sirnilar way. The residual sum of squares is:
QR =Q-(Q1 +Q 2 + ... +Q 2J= 2267.0-(109.03+1078.00+ ... +0.09)=935.47.
There are 9 Observations for each row of the parameter design matrix, which
allows to resolve the residual sum of squares into two parts: Qn 1 which is due to the inter
experimental error and Qn 2 due to the replication error. They are calculated as follows:
Qn1 = 9_L{yi- YY -(QI +Qz + ... +QzJ=

i=l
= 9[(6.7o -1u6Y + (4.93 -lu6Y + ... + (17.76 -1u6Y]
- (109.03 + 1078.00 + ... + 0.09)= 0.64

and
8 9
QR2 = LL(yiJ- y.)
i=l j=1
2
=
= [(4.3- 6.7Y + (9.8- 6.7Y + ... +(8.1- 6.7Y + ... + (16.7 -17.76Y ]= 934.83.
The corresponding degrees offreedom are:
v=kr-1=8x9-1=71,
V1 = V2 = ... = V23 =kA-1=kB-1= ... =2-1=1,
VR2 = VR- VRI =65-1=64.
The variance estimates are obtained as ratios between the sums of squares and
their corresponding degrees offreedom. For example
and
We test the significance of the inter-experimental error against the replication

error as follows:
F.Rl, = s~2 = 14.61 = 22 · 74 ·

2
SRI 0.64
The critical value of the F-distribution for significance Ievel a = 0. 05 is

F;RI = F(0.05,64,1) = 253. Therefore, the inter-experimental error is insignificant and we
test the source effects against the residual error (s~). The critical value ofF-distribution
is the same for all effects: FrR = F(0.05,1,65) ~ 4. As the computed F-ratio is greater
than FTR for pPp2 and p 1p3, their effects are significant. The effects of p 3, p 1p 2 and
p 2 p 3 are insignificant and can be pooled to the residual. The pooled ANOVA is shown
in Table 4.17. The pooling does not change the interpretation ofthe significant effects.
The optimal combination of the factor Ievels is found as follows. Using the plot
on Figure 4.12a the Ievel of the only significant factor p 2 is chosen p 2 = 1 to maximize
the signal-to-noise ratio .; .
Table 4.17. Pooled ANOVA for the performance characteristic

109.03 1 109.03 7.81 4.19
PI
p2 1078.00 1 1078.00 77.22 46.94
130.68 1 130.68 9.36 5.15
P1P3
Residual! 14.46 4 3.62
Residual2 934.83 64 14.61
Residual 949.30 68 13.96 43.72
Total 2267.00 71 100
Significant sources of variation for the performance characteristic are p 1 , p 2 and

p 1p 3. The optimal Ievel of p2 is the same for y and .; . The combination p 1= 1, p2 = 1
and p 1p 3 = 2 provides minimal value of the assembling force y. The main effect of the
factor p 3 is insignificant but we have to choose its Ievel to ensure that p 1p 3 = 2. Level 2
for the interaction p1 p 3 means that p 1 and p 3 are set at different Ievels. As p 1 was
226 CHAPTER4
chosen to be equal to 1 the level for p 3 must be equal to 2. Hence, the optimal
combination of the factors is PI = 1, p 2 = l and p 3 = 2. In natural measuring scales the
optimal geometric form of the pusher is form 1, the width of the jig's passage has to be
set at 15 mm and the height ofthe jig's passage must be equal to 4.1 mm.
One can see that the optimal parameter values are the same as for row No. 2 of
the parameter design matrix (Table 4.11 ). In spite ofthat a confirmatory experiment is
conducted with parameters fixed at their optimal values PI= 1, p 2 = 1 and p 3 = 2, while
the noise factors are varied according to the noise matrix. The observations are shown in
Table 4.18.Using the data from Table 4.18 following values are computed: y = 4. 94,
s~ = 1.3 8 and ; = -14. 09 . They are very close to the values obtained for run No. 2 of
the parameter design shown in Table 4.11.
Table 4 I8 C0 nfimnatory expenments

No. ni nz n3 n4 y
I I I I I 4.0
2 I 2 2 2 5.2
3 I 3 3 3 7.1
4 2 I 2 3 5.4
5 2 2 3 I 5.3
6 2 3 I 2 3.4
7 3 I 3 2 6.0
8 3 2 I 3 4.0
9 3 3 2 I 4.I
The standard deviation of the performance characteristic in the confirmatory

experiment is sY = 1.17 N and is higher than the desired value of IN. An attempt for
decreasing the variation through tolerance design is undertaken. Analysis of variance of
the confirmatory experiment data (Table 4.18) is carried out in order to find the
parameter contributions to the variation for the optimal parameter set. The results are
shown in Table 4.19.
.. ·a1 toIerances
. h t he Imti
Table 4 19 P00 led ANOVA tabl e fior expenments w1t
Source of Sumsof Degrees of Mean F-ratio p(%)
ni 1.076 2 0.538 6.63 8.27
n3 8.I76 2 4.088 50.40 72.57
n4 1.629 2 0.8I4 10.04 I3.28
Residuals 0.162 2 0.08I - 5.88
Total Il.043 8 100
The critical value of F-distribution for significance level 0.05 is Fr =

F(0.05,2,2) = 19.0. Therefore, the only significant effect isthat of the height variation
(the effect of n3 ). For technological reasons the height tolerance can not be decreased
much. A new tolerance that is equal to 0.7 ofthe initial one is chosen.
To test the effect of tolerance design the parameters are fixed on their optimal
Ievels p 1 = 1, p 2 = 1 and p 3= 2 and new experiments with the noise matrix are conducted.
In these experiments the Ievels offactors n1 ,n2 andn4 are the same as in Table 4.10,
while for n3 the values corresponding to 1, 2 and 3 are 4.015 mm, 4.05 mm and 4.085
mm. The observations can be arranged as in Table 4.18. The only difference is in the
performance characteristic values, which are now equal to 4.1, 5.1, 6.8, 5.3, 5.0, 3.9,
5.7, 4.3 and 4.2. Using these. data the following estimates of the expectation and
standard deviation of the performance characteristic are obtained: y = 4. 933N and
sY = 0. 9314N. The standard deviation is now below the desired value of IN.
Example 4.2. Window-forming in integrated circuit fabrication

•
The window forming process in integrated circuit fabrication is considered. This
is a process of photolithography, comprising the following stages: apply photoresist,
hake, expose, develop, hake after development and plasma etch. A paper by Phadke,
Kackar, Speeny and Grieko (1983) was used as a research model but the circuit, the
factors and the parameter design are different in this experiment. The process is similar
to the described by Phadke, Kackar, Speeny and Grieko (1983) and more details on it
can be found in their paper. The performance characteristic y is the size of the windows.
The target value for the performance characteristic is "=3. 25 f.l1" and the specification
Iimits are (3.25 ± 0.25)f.Jf". The effects of 6 process parameters on the window size are
ofinterest here. They are defined in Table 4.20 where factor Ievels during the experiment
are also shown.
TABL E420 Process parameters an actor eveIs fior the wm

. dow-fionrung_process
Process Factor Ievels
parameters Code 1 2 3
Distance between the wafer and the hot plate PI(mm) 2 5 -
Photoresist thickness P2(A) 1150 12500 13500
0
Bake temperature p3("C) 105 110 115
Aperture p 4 (divisions) 175 180 185
Exposure time Ps(s) 0.11 0.13 0.15
Bake temperature after development p6("C) 110 115 120
N
N
00
Table 4.21. C ---- ------

·oductd'---· <b: ·-
--, ----- -------doerfi
------- ---- ---- for window-fc,.._______ -· -- --
Parameter Design Matrix Observed window sizes
No P1 p2 PJ P4 Ps P6 y(mm) yj ;j
1 1 1 1 1 1 1 2.71 2.69 2.75 2.68 2.70 2.67 2.67 2.68 2.65 2.73 2.70 2.71 2.695 39.731
2 1 1 2 2 2 2 2.79 2.86 2.85 2.85 2.85 2.84 2.84 2.80 2.83 2.83 2.81 2.84 2.832 42.276
3 1 1 3 3 3 3 2.91 2.88 2.95 2.85 2.92 2.00 2.85 2.86 2.83 2.87 2.87 2.86 2.804 20.808
4 1 2 1 1 2 2 3.25 3.25 3.11 3.18 3.09 3.21 3.30 3.31 3.18 3.18 3.19 3.24 3.208 33.580
5 1 2 2 2 3 3 3.38 3.35 3.30 3.26 3.28 3.27 3.19 3.18 3.28 3.17 3.25 3.30 3.268 34.125
6 1 2 3 3 1 1 3.55 3.60 3.60 3.67 3.90 3.59 3.70 3.62 3.63 3.59 3.59 3.66 3.642 32.013
7 1 3 1 2 1 3 3.25 3.20 3.40 3.25 3.21 3.37 3.40 3.29 3.39 3.28 3.19 3.17 3.283 31.588
8 1 3 2 3 2 1 3.01 3.06 3.02 3.11 2.98 2.98 3.08 2.96 3.01 3.02 3.03 3.07 3.028 36.576
9 1 3 3 1 3 2 2.94 2.98 2.90 3.04 3.03 2.91 2.99 2.99 3.00 2.94 2.94 2.94 2.967 36.383
10 2 1 1 3 3 2 3.30 3.29 3.30 3.35 3.26 3.27 3.28 3.30 3.31 3.28 3.27 3.24 3.288 41.394
11 2 1 2 1 1 3 3.29 3.20 3.02 2.95 3.18 3.20 3.11 3.18 3.20 3.20 3.20 3.20 3.161 30.702
12 2 1 3 2 2 1 3.25 3.19 3.35 3.25 3.28 3.19 3.29 3.26 3.26 3.26 3.28 3.26 3.260 37.712
~
13 2 2 1 2 3 1 3.68 3.65 3.70 3.77 3.80 3.75 3.79 3.80 3.69 3.65 3.79 3.74 3.734 36.212
14 2 2 2 3 1 2 3.50 3.54 3.58 3.59 3.51 3.54 3.54 3.56 3.56 3.58 3.57 3.53 3.550 41.947
~
~
15 2 2 3 1 2 3 3.49 3.32 3.38 3.52 3.38 3.51 3.42 3.41 3.50 3.35 3.40 3.35 3.419 33.858
16 2 3 1 3 2 3 2.39 2.49 2.33 2.57 2.46 2.39 2.60 2.51 2.46 2.45 2.50 2.78 2.494 26.537
17 2 3 2 1 3 1 2.79 3.02 3.01 2.95 2.81 2.91 2.93 2.91 2.98 2.76 2.90 2.88 2.904 30.838
18 2 3 3 2 1 2 2.86 2.95 2.80 2.90 2.93 2.93 2.90 3.09 2.96 2.91 2.94 2.97 2.928 32.593
The aim of the experiment is to find Ievel combinations of the parameters

pi,p2 ,p3 ,p4 ,p5 and p 6 that provide minimal variance ofthe window size, while keeping
its mean value equal on the target T = 3. 25 J.Dfl. In this case the noise factors are
unknown and it is impossible to form a noise matrix. However, there are size variations
for fixed values of the parameters PI, p 2 , p 3 , p 4 , p 5 , p 6 . The window sizes differ not only
between the wafers but also in the different points ofthe same wafer.
The process parameters are assigned to six of the columns of an orthogonal array
L18 (2I x 3 7 ) which is chosen as parameter design (see Table 4.7). There is not a priori
information about the significance of the interaction effects. Two wafers are produced
under the operating conditions of each row of the parameter design. The window size is
measured at six points of each wafer. Therefore, 12 Observations are obtained for each
set ofprocess parameters. They are shown in Table 4.21.
The data analysis starts with computation of the mean values and variances of the
performance characteristic for each row of the parameter design matrix by formulae
(4.6). They are used to find the values ofthe signal-to-noise ratio
~i = 10log[~i~}
i = 1,2, ... ,18.
The values of .Y; and ~; are given in Table 4 .21.

The average values of the performance characteristic and signal-to-noise ratio for
the factor Ievels are shown in Table 4.22. These results are used to maximize the signal-
to-noise ratio, while keeping the mean value of the performance characteristic close to
the target. The data from Table 4.22 are used to plot the graphs shown in Figure 4.13.
T ABLE 4.22. Average values ofthe performance characteristic and signal-to-noise ratio
f1thf1
or e actor leve
lfs o"wm dow-f1.
onmng process
Performance characteristic Signal-to-noise ratio
Parameters Levels Levels
1 2 3 1 2 3
PI 3.081 3.193 . 34.119 34.641 .
p2 3.007 3.470 2.934 35.437 35.294 32.409
P3 3.117 3.124 3.170 34.840 36.081 32.219
p4 3.059 3.218 3.134 34.182 35.742 33.215
Ps 3.210 3.040 3.161 34.758 35.089 33.293
P6 3.210 3.129 3.071 35.512 38.024 26.603
230 CHAPTER4
. nal-to-nmse rat1o
TABLE 4 23 ANOVA table tior the sigJ
P! 1.224 I 1.224 0.04
p2 35.031 2 17.516 0.61
P3 46.664 2 23.322 0.81
P4 19.504 2 9.752 0.34
Ps 10.953 2 5.477 0.19
P6 224.280 2 112.140 3.89
Residual 172.99 6 28.832 -
Total 510.63 17 - -
3.47
Factars
1 P1
8 PS
3 P3
4 P4
:> P:>
o; po;
~.14
······:!-······· -··· ........ ----:1-·········-:t -·····-:!-·········-~---···

J.
2.'33
38.02 2
l!·· -······- 'j-······-···:1····· -······!!···- -~!-· · · · · · -~- .......

::1 "'
1---------1
V _,.ar-r. Chilr.
~.60
J. 2 4 s
.. ( -Perf. Stat .
Figure 4.13. Effects of factors and interactions for the window forming process
y- mean assembly force, .;- signal-to-noise ratio
Analysis of variance is carried out to study the significance of the factor's effects. The
ANOVA results for the signal-to-noise ratio are shown in Table 4.23. The critical values
of the F-criterion at significance Ievel a=0.05 are F(ü.05,2,6)=5.1433 and
F(0.05,1,6)= 5.9874. Table 4.23 shows that there are not product parameters with
significant effects on the signal-to-noise ratio. Analysis of variance is carried out for the
case when all effects except p 3 and p6 are pooled to the residuals. The results are shown
in Table 4.24. Factor p 6 is now significant because F(0.05,2,13)= 3.80.
T ABLE 4.24. Poo1ed ANOVA tab1e for the signal-to-noise ratio

p3 46.644 2 23.322 1.25 1.91
P6 224.28 2 ll2.14 6.03 36.70
Poo1ed
residual 239.70 13 18.438 - 61.39
Total 510.63 17 - - 100
Table 4.25 shows ANOVA results for the performance characteristic. The
residual sum of squares is resolved into two parts: QRI and QR 2. The corresponding F-
ratio is
F.' = s~ 1 = 1.1 74 = 150.31
Rl ~2 0.008 '
while the critical value of the F-distribution is F:n

1 = F(0.05,6,198) = 2.1. Therefore,
s~ 1 = 1.174 is considered further on as residual variance and is used to compute the F-

ratios in Table 4.25. For example, the F-ratio for p 2 is calculated as follows:
T ABLE 4 25 ANOVA tab1e fior the pe1rfiormance c haractenStic

Sourceof Sumsof Degrees of Mean F-ratio
PI 0.683 1 0.683 0.58
P2 12.173 2 6.087 5.18
PJ 0.120 2 0.060 0.05
P4 0.908 2 0.454 0.39
Ps 1.098 2 0.549 0.47
P6 0.702 2 0.351 0.30
Residual! 7.045 6 1.174 -
Residua12 1.547 198 0.008 -
Total 24.276 215 - -
Taking into account that the critical values of the F-distribution for significance
level a=0.05 are F(0.05,2,6)=5.1433 and F(0.05,1,6)=5.9874 we see from Table
4.25 that only the effect of p 2 is significant for the performance characteristic. The
232 CHAPTER4
effects of p 3 , p 4 , p 5 and p 6 are pooled to the Residual 1. The variance of the pooled
residual is computed as follows:
= 7.045+0.120+0.908+1.098+0.702 = 9.8725 =0.7052.

6+2+2+2+2 14
Comparing the pooled residual with the replication error we find that it is
significant because
F = s 2 (pooled2residual1) = 0.7052 = 90 .29 ,

SR2 0.00781
while the corresponding critical value ofthe F-distribution is F(0.05,12,198)l'l:l1.8.

The pooled ANOVA is presented in Table 4.26. One can see that p 2 remains the
only significant factor.
TABLE 4 26 PooeI d ANOVA table fior the perfionnance cbaractenstic

Source of Sumsof Degreesof Mean F-ratio Contribution
PI 0.683 1 0.683 0.97 almostO
p2 12.173 2 6.087 8.63 44.33
(Residual 1) 7.045 6 - - -
Residual2 1.547 198 0.008 - -
Pooled residual 1 9.872 14 0.705 - 55.67
Total 24.276 215 - - 100
Taking into account the plots and the pooled ANOVA tables for y and f one can
choose the following values of the factors PI= 2, p 2 = 2, p 3 = 2, p 4 = 2, p 5 = 2 and
p 6 = 2. This combination of factor levels provides a maximum of signal-to-noise ratio.
A confirmatory experiment under these conditions shows the following values of the
performance characteristic, its standard deviation and the signal-to-noise ratio:
j/=3.32, s=0.0593 and f=34.96.
For comparison the product parameter values before the experiment were PI = 1,
P2 = 2, P3 = 2, p4 = 2, Ps = 1, P6 = 1 and
y = 3.46, s = 0.2026 and f= 24.65.

This shows an improvement in both performance characteristic (which is closer to the

target after the experiment) and its standard deviation.
Note that only one parameter is significant for y and one for ; . They are p 6 for
the signal-to-noise ratio and p 2 for the performance characteristic. The contribution
ratios for the residuals are 61.39% for ; and 55.67% for y. Therefore, many sources of
variation are not taken into account in these analyses. Probably they are the interactions
between factors. The chosen "optimal" combination of the factor Ievels should be
accepted with serious reservations because it is quite possible that there are other
combinations of the factor Ievels which provide better results than the obtained above.
This is evident even from the observations obtained from the parameter design given in
Table 4.21. For instance one can see that for row No. 10 of this table following
characteristics are obtained:
}'=3.288, s=0.028 and ;=41.394.
Therefore, for the combination offactor Ievels corresponding to row No. 10 we

have much better results than the obtained by the optimization procedure based on
graphs type A. This is due to the reason that this analysis failed to estimate the main
effects independently of interactions. In this case the engineer has to include the most
important interactions in the orthogonal array and to conduct new experiments. The
problern is that there are too many interactions between 6 factors and it is difficult to say
which are important and which are not. Only the pairwise interactions among 6 factors
are 16. In order to use an orthogonal array the engineer must assign some of these
interactions to given columns before the experiment.
Solution to this problern can be found much easier through a model-based
approach. In Chapter 10 we will show how an optimal combination of factors can be
found using response surface approach without any new experiments.
•
4.15. Bibliography
The original Taguchi method is described in Taguchi (1986a), Taguchi (1987), Taguchi
and Wu (1979), Taguchi (1993a), Taguchi (1993b). The terminology used in these books
often differs from those adopted in the statistical literature. For description of the
correspondence between Taguchi's and statistical terminology see Kackar (1985). This
paper also presents an introduction to Taguchi method. Taguchi and Konishi (1987)
developed a catalogue of orthogonal arrays, and tables of orthogonal arrays are also
given in the books by Taguchi quoted above, by Logothetis and Wynn (1989), Phadke
(1989) andin other books.
Several books are devoted entirely to relative simple descriptions of the Taguchi
method and give many examples, for instance Barker ( 1985), Ross ( 1988), Phadke
(1989), Gien and Peace (1993), Fowlkes and Creveling (1995), Park (1996). The book
234 CHAPTER4
by Logothetis and Wynn (1989) presents the Taguchi method with many extensions and
comments, including critical remarks. Same model-based methods for quality
improvement arealso included. The book by Grove and Davis (1992) describes the main
ideas of Taguchi method and Taguchi's cross-product designs. Data analysis and decision
making are based on use of normal and half-normal plots.
Several books contain one or more chapters devoted to Taguchi method, for
example Ryan (1989), DeVor, R., Chang T. and Sutherland, J. W. (1992), Myers and
Montgomery (1995). The books edited by Bendell, Disney and Pridmore (1989), Dehnad
(1989) and Ghosh (1990) are collections of papers presenting case studies based on
Taguchi method. Case studies are presented also by Taguchi (1993c) and Wu (1993),
Lochner and Matar (1990).
There are hundreds of papers on Taguchi method. Most of them present
applications, but there are papers discussing the theoretical basis of the method as weil.
Opinions vary from appraisal to rejection. Nair (1992) edited a balanced discussion on
the Taguchi method, see also the discussion on the paper by Kackar ( 1985) and the
paper by Box, Bisgaard and Fung (1988).
Appendix A.4.l. Loss function
The loss due to deviation of the performance characteristic y from the target value T can
be presented in the form
(4.1)
Prooj The loss can be expanded by Taylor series araund T up to second order
term as follows:
There is not any lass if the performance characteristic is equal to the target and
1(-r) = 0. The firstderivative
o~~)ly=< = o,
because the minimum of the loss function is at y = -r. Putting
k
c
= _!..c~ 2/(y
2! oy2 y=<
)I
we obtain (4.1).
•
Appendix A.4.2. Expected loss
The expected loss L = kß[(y- -r Y] can be presented in the form

(4.3)
Proof Denote E(y) = Tl and rewrite the expected loss in the form
L =kß[(y-q+q--rY ]=
=kß[(y-".,y +(".,--.y +z((y-".,x".,--.))].

236 CHAPTER4
As 7J and T are non-random we can write
E((y -7]x7]- r)) = (7J- T )E(y -7]) = (7J- T XE(y)-7J] = (7J- rX7J -7]) = 0.
Consequently,
Taking into account (4.4) we obtain (4.3).

•
CHAPTERS
QUALITY IMPROVEMENT THROUGH REDUCTION OF THE ERRORS

TRANSMITTED FROM THE FACTORS TO THE RESPONSE
In this chapter we suppose that the performance characteristic's variability is only due to
errors in factors and that external noise factors do not exist. This makes possible to
reveal some specific properties of error transmission from product parameters to the
response. In Chapter 6 we consider optirnization procedures which are specific for that
case. In Section 7.3 we show that these properties can also be useful for reducing the
number of experimental runs.
5.1. Transmission of errors from product parameters to the response
Let us consider again Example 1.1 of Section 1.3 for the tensile strength y of a rubber
composition that depends on the amount of a component p. In the production process p
can not be fixed exactly on a given value and varies within a tolerance interval as shown
in Figure 5. 1. Therefore, in the production process the real value of the amount of the
component is p + e where e is random error. One can see from Figure 5.1 that the error
in product parameter settings is transmitted to the response. Distribution of transmitted
error depends on the distribution of e and on the form of the function 17 = 17(p) .
Figure 5.1. Dependence ofperfonnance characteristic's variation on the operating point
Using response surface methodology one can find an approximation of 17 = 17(p ),

for example, a polynomial regression. The distribution of errors in p can be estimated on
the basis of observations in mass production or using information about the tolerance
interval of the parameter p. For instance, if the error e is normally distributed with zero
237
238 CHAPTER5
mean to compute the performance characteristic's variance one needs only an estimate of
the error variance. This approach is much easier than to estimate the product
performance variability through cross-product designs and signal-to-noise ratio as in
Taguchi method. We discuss this problern in details in Section 5.3.
One can choose the optimal parameter value using a model of the performance
characteristic. Suppose that the experimenter wants y to be equal to a given target value
T. If there was no random error in the product parameter and if Tl = ry(p) was a
deterministic function then the response would be equal to T for parameter values p = PI
and p = p 2 . However, in presence of error in the parameter the variation of the
performance characteristic y = ry(p + e) is not the same for p = PI and p = p 2 . One can
see from Figure 5.1 that the choice p = PI provides smaller variability of the performance
characteristic than p = p 2 . Consequently, the product quality can be improved by
choosing a parameter value which minimizes variance while keeping the mean value on a
target. In our case this is p = PI .
In fact the situation is more complicated. The mean value of the performance
characteristic depends on errors in several product parameters. Suppose we have a
regression model obtained through an experiment without errors in the factors p and Iet
y(p) be the predicted value. The mean value of the performance characteristic in mass
production is y(p) = y(p) + bias. The bias is caused by errors transmitted from the
product parameters to the response. In many cases it is negligible.
In order to find the optimal parameter values one needs two models describing
the mean value and the variance of the perjormance characteristic in mass production.
With these models quality improvement can be defined as an optimization problern of
variance minimization while keeping the mean value on a target.
In this chapter the idea illustrated by Figure 5. 1 is generalized for several product
parameters. We consider the mechanism of error transmission and derive models of the
mean value and variance in mass production.
5.2. Models of the mean value and the variance in mass production
In this chapter we consider the case when there are errors in product or process
parameters in mass production but external noise factors do not exist. Usually these
errors are raw material variations or manufacturing imperfections.
Denote the vector of product or process parameters by p = (pi p 2 ... Pm f
and the vector of errors by e = (ei e 2 emf. The true parameter values in mass
production are:
QUALITY IMPROVEMENT THROUGH REDUCTION OF THE ERRORS 239
z; = P; +e;, i = 1,2, ... m,

or in vector form:
z=p+e.
Denote the moments ofthe error distribution as follows:

• Expectation: E(e;) = 0,
• Variance: var(e;) = CJ,2 = E(e;2 )
• Covariance between e; and e,: cov(e;,eJ= P;iCJpi, where P;i is correlation
coefficient,
• Third and fourth moments: f.1.; 3 = E(e; )and f.1.; 4 = E(e:)
U sually errors in parameters are independent and pii = cov(e;, ei) = 0 . It is
known that for symmetric distributions f.1.; 3 = 0 and for widely spread normal distribution
f.l.;4 = 3CJ~.
All other sources of performance characteristic's variation are incorporated into
so called response noise & . It is assumed to be normally distributed with zero mean
( E(c) = 0 ), constant variance ( d! = const) and observations are supposed to be
uncorrelated between runs.
The measured value of the performance characteristic in mass production is
y(p)= 7J(z)+c. (5.1)
In this chapter we assume that an experiment can be organized in a Iabaratory or

in mass production without errors in product or process parameters (e = 0). Our aim is
to obtain a regression model and to use it for derivation of models of mean value and
variance ofthe performance characteristic in mass production. The design of experiments
should be chosen to provide an accurate regression model. Useful response surface
designs are given in Chapter 3.
Usually it is not difficult to conduct an experiment without errors in factors, while
it is practically impossible to organize a production process without such errors. This
assumption is typical for Taguchi method where to conduct experiments of a cross-
product design one must be able to control both product parameters and noise factors.
5.2.2. MODELS OF MEAN V ALUE AND V ARIANCE FOR A PRODUCT WITH

TWO PARAMETERS
Let us start with an example in which the performance characteristic 1J depends on two
parameters p 1 and p 2 . Suppose that in absence of errors the following second order
polynornial model is true:
(5.2)
240 CHAPTER5
Assurne that the rnodel coefficients are known constants. The effect of their
replacernent with least square estirnates is ignored for the rnornent. This problern is
considered in Section 5.5.3.
In rnass production the product parameters are subject to errors e1 and e2 . That is
why the rneasured value ofthe performance characteristic in rnass production is
The expectation of the perforrnance characteristic in rnass production is
(5.4)
This equation is proved in Example 5.3 ofSection 5.2.3.

Usually the errors in factors are independent and the last terrn in (5.4) equals
zero.
It is irnportant to notice that the rnean value y(p) is biased cornpared to 17(p).
The bias is ß11 a 12 + ß22 a; + ß12 p 12 a 1a 2 and equals zero in the following cases:
• errors in pararneters do not exist (a 12 = a; = 0),
• rnodel (5.2) is linear (ß12 = ß11 = ß22 = 0).
One can see that ifthe errors in product parameters are uncorrelated and p 12 = 0
the bias does not depend on the interaction. As the last three terrns in (5.4) do not
include product pararneters, the bias can be assigned to the intercept which becornes
equal to ßo +ß11 ~ + ß22 d;. + ß 12 p 12 o-1o-2 • In rnany cases the bias is rather srnall.
The perforrnance characteristic's variance can also be cornputed on the basis of
(5.2). Under the assurnption ofindependent errors in pararneters and neglecting the third
and fourth rnornents, the following rnodel ofvariance is obtained:
This equation is a special case of ( 5. 11) which is proved in Appendix A. 5. I.

Sorne interesting properties ofthe variance follow frorn (5.5):
• The interactions play an irnportant role for the perforrnance characteristic's
p
variation through the terrns ß12 1 and ß12 P2 ,
• Ifequation (5.2) is linear with respect to factors (ß12 = ß11 = ß22 = 0), then the
variance does not depend on product pararneters, because in this case
(5.6)
This equation shows that for linear relationships between the performance characteristic
and the product parameters the variance can not be reduced using parameter design.
Variance reduction through optimal choice of parameters is possible only if the product
performance characteristic is nonlinear. This is shown in Figure 5.2. For linear
performance characteristic (Figure 5.2a) the translation of the operating point from
p' top" does not change the variance of y, while for the nonlinear characteristic in
Figure 5.2b this causes a substantial reduction of a 2 .
~
;;:;"'"""....
p' p" p
a)
/
y
I
Q p' p" p
b)
Figure 5. 2. Transmission of errors from product parameters to the response (a) linear perforrnance
characteristic (b) nonliner perforrnance characteristic
Figure 5.2 shows the error transmission from a single parameter to the response.
The equations for mean value and variance for this case can be obtained from ( 5.4) and
(5.5) putting ß2 = ß12 = ß22 = 0. This interpretation is valid for any number offactors as
weil. This is shown in the next section.
242 CHAPTER5
Using equations (5.4) and (5.5) an engineer can find parameter values that
rninirnize the variance a 2 while keeping the mean value y(p) on a target r. In Chapter 6
we discuss this problern in details. Here we confine ourselves to model building.
Example 5. 1. Chernical reactor example (continued)
Consider again the chernical reactor example of Section 2.3.5. In Example 2.7 the
following regression model is obtained:
y = 59.89+2.67p1 +3.33p2 + 2.5p1p 2 - 4.33p12 +3.67p;. (5.6a)
In this example the residual variance s;

= 1.148 is considered as an estimate of
0:. Suppose that the errors in factors are independent (p12 =0) and the following
variances are obtained from additional observations: s12 = 0.04 and = 0.09. s;
Using (5.4) and (5.5) one can compute estimates of the mean value and the
variance in mass production after substituting the regression coefficients estimates for
s;
ß0 ,ß1,ß2 ,ß12 ,ß11 ,ß22 , and = 1.148 for 0:. The following equation for the mean value is
obtained from (5.4):
Figure 5.3 shows the contours for y.
0.
0.
0.
1 p
2
-0.
0.
-0.
-0.
-0.
-1'---'----""'---....:;;_--'---""------'--'------'--'
-1 0.5
Figure 5.3. Mean value contours for the chemical reactor example
Only the intercept of this model differs from the intercept of the original
regression model by 60.05- 59.89 = 0.16.
The variance in mass production is found by (5.5):
s 2 [y(p)]= [2.67 + 2.5p2 + 2(- 4.33)p1 y x o.o4 +
+(3.33+2.5p1 +2x3.67p 2 y x0.09+1.148,

or
•
5.2.3. GENERALIZATIONS
The results ofSection 5.2.2 can be generalized for an arbitrary number offactors.
Models of mean value and variance in mass production based on second and third
order polynomials
One of the most frequently used models in response surface methodology is the second
order polynomial. Form factors it is written as follows:
m m-1 m m
q(p)= ßo + Lß;P; + L LßiJpipj + Lß;;P;2 · (5.7)

i=l i=l j=i+l i=l
In mass production the measured value of the performance characteristic is
y(p)= q(p + e)+ & . (5.8)
Using the same ideas as in Section 5.2.2 we obtain the following models
describing the performance characteristic and its variation in mass production:
• Model of the expected value (the mean value) of the performance
characteristic:
(5.9)
i=l
J
• Model of the variance
u' = u'l>{p)] =tu,'(p, +2P,p, + ,t,fj<P1 + tp;(",. -ui)+

244 CHAPTER5
Both models are obtained under the assumption that the errors in factors are
independent. The proofs of ( 5. 9) and ( 5.1 0) are given in Appendix A. 5.1.
Model (5.10) can significantly be simplified for some widespread cases. For
symmetric distributions of the errors in factors pi3 =0. If the error distributions are
normal, then f.1; 3 = 0 and f.1; 4 = 3u: .
In this important case formula ( 5. 10) becomes:
(5.11)
where HOTare the High Order Terms:
m m-I m
HOT= i"l.Jf;.u~ +
i=l
L 'L/fijcl;dj.
i=l j=i+1
(5.12)
This value does not depend on product parameters and therefore, it does not affect the
choice of optimal parameter values.
Example 5.2. Highorderterms for the chernical reactor example

Let us compute the high order terms for the variance model of Example 5. 1.
According to (5.12) they are:
Replacing cl;, a; and ß;1 with their estimates s12 , s~ and b;1 we obtain
HOT= 2[(- 4.33 )2 X 0.04 2 +3.67 2 X 0.09 2 ]+ 2.5 2 X 0.04 X 0.09 = 0.3 .
Therefore, a variance model in which high order terms are taken into account is
It differs from the model obtained in Example 5. 1 only by intercept.

s
Figure 5.4 shows the contours for 2 [y(p )] .
0.
0.
0.
r p
0.
0
2
-0.
-0.
-0.
-0.
-1"'--->----'---"'----"'o..-'-------'---L---L-..l
-1 0.5
Figure 5. 4. Variance contours for the chemical reactor example
Sometimes the high order terms are negligible, but it may be dangeraus to ignore
•
them in all cases. A discussion on this problern is given in Section 5.5.2, see also the
friction-welding example in Section 6.8.
A carefullook at equations (5. 9) and ( 5.l 0) shows that the conclusions in Section
5.2.2 are applicable for any number of product parameters. If the regression model is
linear with respect to pi (i.e. ßii = A = 0) the variance does not depend on product
parameters and therefore, only tightening their tolerance intervals can reduce response
variation.
In some cases for a given region of interest the response may depend only on
main and interaction effects, while all quadratic effects are negligible (ßii = 0). The
elimination of quadratic effects does not change the order of the variance model.
Equation (5. 11) shows that with or without quadratic effects the variance model is a
second order polynomial with respect to product parameters.
To make decisions engineers need to know whether a product parameter has an
effect on the mean value or on the variance, or on both of them. We say that a factor pi
has location e.ffect when the change of pi results in a considerable change of the
performance characteristic's mean value. Similarly Pi has dispersion e.ffect when its
change causes profound changes in the performance characteristic's variance. Figure 5.3
and Figure 5 .4 show that p 1 and p 2 in Example 5. 1 have both location and dispersion
effects.
246 CHAPTER5
lt may happen that a given factor pi has a strong effect on the mean value and
almost no influence on the variance. For example, if A =0, while ßi and ßii in equations
( 5. 7) and ( 5. 11) are large and the error variance c1; is small, we say that the factor Pi has
a strong location effect and a negligible dispersion effect. Conversely, if ßi1 = 0 and
ßi and ßii are relatively small, but c1;
is large the dispersion effect is strong while the
location effect is negligible. This fact is used by Taguchi to divide the product parameters
into control and adjustment factors. lt is in conformity with Taguchi's idea that the
interactions have to be eliminated. However, often all factors have both dispersion and
location effects. Therefore, the classification of factors as control or adjustment ones
may be an impossible task.
Models of the mean value and variance can also be derived for the case when the
performance characteristic is described by a third order polynomial as follows:
m m-1 m m m-2 m-1 m

77(p)= Po+ 'Lßipi + L. 'Lßijpipj + 'LßiiPi2 + L. L. 'LßifkPiPjPk +
i=l i=l j=i+l i=l i=l j=i+lk=j+l
m m m
+ 'Lßiiip: + L 'LßiijP 2 iPj. (5.13)
i=l i=l j=l.j*i
Assurne that the errors in product parameters are independent and normally
distributed and E(eJ = E(e) = 0, i =1,2, .. .,m . Under these assumptions the model of the
mean value in mass production is:
(5.14)
The corresponding model of the performance characteristic's variance in mass

production is:
+HOT+a;, (5.15)
where
HOT= 2f(ßii
i=l
+3ßwP; + fpiiJPJJ
j=l,j;t:.i
2
U;4 +
(5.16)
Equations ( 5.15) and ( 5.16) are obtained as special cases of the results derived in
Appendix A.8.1 ofChapter 8. Their proofs are given in Appendix A.8.3.
In cantrast with the case when the performance characteristic's model is a second
order polynomial one can see that the high order terms ( 5. 16) depend on product
parameters. The variance is a fourth order polynomial with respect to parameters
p;, i = 1,2, ... ,m.
Models of the mean value and the variance in matrix notations

When the number of product or process parameters is !arge, it is convenient to represent
the results of Section 5.2.3.1 in matrix form. This makes the models shorter and easier
for calculations and interpretation.
For example, consider the second order polynomial (5.7). We use two vectors to
rewrite it in matrix form. Further on we always define the vectors as columns, but for the
sake of saving space we shall write them as rows after transposition. The following
vectors are of interest:
• m-vector of product parameters:
or p = {pl P2 ··· Pm Y·
• vector of coefficients in the linear part of ( 5. 7):
248 •CHAPTER5
The coefficients in the nonlinear part of (5. 7) are written in a m x m matrix 11 with
following elements:
ß;; fori = j
{
11ij= 1ß ti . . .
-2 .,.. or1 -:1= J
With these notations equation (5.7) can be rewritten in the form:
(5.17)
For example, model (5.6a) of Example 5.1 can be presented in the form (5.17)
with ß0 ,ß and 11 defined as follows:
ßo = 59.89, ß = ( 2.67) and 11 = (- 4.33 1.25).

3.33 1.25 3.67
In mass production the product parameters are set with errors

e = (e 1 e2 ... em}. The measured value of the performance characteristic in mass
production is
y(p)= q(p +e)+s = ßo + (p +e} ß + (p +e} 11 (p +e)+ s, (5.18)

where& is noise in the response.
After some simple algebraic manipulations (see Appendix A.5.1) the model ofthe
mean value of the performance characteristic in mass production can be written in the
form:
y(p) = E[y(p )] = q(p )+ tr (11 ~.), (5.19)
where the notation tr means·trace and ~. is a m x m covariance matrix of the errors in

factors with elements
In the widespread case of independent errors the covariances are equal to zero
(p;p;ai=O) and ~. is diagonal matrix: ~. = diag(a 12 ,a; , ... ,a!).
Example 5.3. Computation ofthe mean value ofthe performance characteristic in

mass production for second order regression model with two parameters
Consider again the second order model (5.2). Compute the predicted value ofthe
performance characteristic using (5.19). Thematrices 'E and L. are defined as follows:
Compute
(5.20)
The trace of a square matrix is equal to the sum of its diagonal elements. Hence
(5.21)
Putting (5.21) into (5.19) we obtain formula (5.4).

•
F or normally distributed errors in factors the variance of the performance
characteristic in mass production is given by (5.11). This equation can be written in
matrix form as follows:
(5.22)
Formula (5.12) for the high order terms can be written in matrixform as follows
HOT= 2sl 'E 2 Q, (5.23)
() ~ r and 'E 2 is a matrix with elements

250 CHAPTER5
ß;;2 tior 1. = 1.
[2i'2 ];}
{
= 1 ß2 ti .......
-4 ,,.. or 1 +- 1
Example 5.4. Matrix form of the variance model for second order regression
model with two parameters
We will show that for second order regression model with two parameters (5.17)
the expression (5.22) is equivalent to (5.11), while (5.23) coincides with (5.12). Forthis
case the vector (ß + 2 g' p) can be presented in the form
In the case of two product parameters the variance matrix of uncorrelated errors
is :E. = diag(u 12 , u;). Therefore, the first term of (5.22) can be written in the form:
(ß+ 2g' pf:E.(ß+ 2g' p) =
(5.24)
To compute ofthe high order terms (HOl) we have to find g' 2 :
1 2 .
4ßl2 J
p;2
Substituting g' 2 into (5.23) we obtain

= 2Iß~p~+~2~a; ·
i=l
The sarne result can be obtained using (5.12).

Puttinig together (5.24), HOTand d..
we obtain formula (5.11) form= 2.
•
5.3. Estimation of noise distribution parameters
In order to use the formulae of Section 5.2 one needs the estirnates of the error
distribution rnornents: the rnean value E(ei ), the varianced; and the third and fourth
order rnornents pi3 and pi 4 . They can be found in two ways: through observations or on
the basis of tolerance intervals.
5.3.1. ESTIMATION OF ERROR DISTRIBUTION MOMENTS THROUGH

OBSERVATIONS
The error distribution rnornents can be estirnated frorn Observations of product

pararneters in real production process. The efforts for collecting data in this case are
rnuch less than for conducting experirnents with a cross-product design according to
Taguchi rnethod. No special design is needed and very often collection of data about
product pararneters is a routine procedure. For exarnple, in order to cornpute the
distribution rnornents of a resistance, one has to take a box with resistors and to rneasure
the resistance of each of thern. To find the rnornents of errors in fixing doses of a
substance one can rneasure its real arnounts in a nurnber of dosages.
Suppose that we want to estirnate the rnornents of the error ei in a pararneter Pi
in rnass production. The rneasured values are zi = pi + e; . Let us have n observations
z1 , z 2 , ... , zn. As pi is a constant, the variances of ei = zi - P; coincide with the variances
of zi . The rnean values of zi are
252 CHAPTER5
1 n
E;=-Lz;., i=1,2, ... ,n. (5.25)
n u~I
An unbiased estimate of the error variance is
(5.26)
while the estimate of the correlation coefficient between z; and zi is
(5.27)
The estimates of the third and fourth moments of the error distribution are
(5.28)
with k = 3 or k = 4. However, these estimates are biased. The unbiased estimates are:
(5.29)
and
~ _ n(n 2 -2n+3) ~ _ 3n(2n-3) ~2
f.J;4 - ( n-1 X X )
n-2 n-3 f.J;4 ( XV
n-l n-2 1,.._n-3 ) P,;2 '
(5.30)
where jl; 2 can be computed by (5.26) or by (5.28) with i = 2.

For more details on estimating high order moments see Cramer (1946).
If noise distribution is normal then p,i3 = 0 and /1; 4 = 3 s;2 • Methods for testing the
normality can be found in statisticalliterature, see for example Hahn and Shapiro (1967).
Example 5.5. Estimation of distribution moments

Consider a product depending on 2 parameters, p 1 and p 2 . The parameter values
are subject to errors in mass production, so that the observed parameter values are
z;. = P;u + e;., i = 1,2. Ten observations of the parameter values in mass production are
shown in colurnns 2 and 7 of Table 5 .1.
The distribution moments are computed by formulae (5.25) to (5.30). Some
intermediate computations are shown in colurnns 4 - 6 and 8 - 9. For example, the mean
values of z 1 and z 2 are calculated by formula (5.25) as follows:
z = 224 .1 = 22.41 and z 2 = 120.1 = 12.01.

I10 10
An unbiased estimate ofthe variance of z1 computed by formula (5.26) is:
TABLE 5..
1 E sumauon
. of· product parameters moments
No. Zlu Ziu -zi (zlu - zl y (zlu - zl )3 (zlu - zl t Z2u Z2u -z2 (ziu -z;)x
(z2• -z2)
1 2 3 4 5 6 7 8 9
1 20.7 -1.71 2.9241 -5.000 8.550 10.3 -1.71 2.9241
2 23.1 0.69 0.4761 0.329 0.227 10.6 -1.41 -0.9729
3 20.4 -2.01 4.0401 -8.121 16.322 11.2 -0.81 1.6281
4 20.8 -1.61 2.5921 -4.173 6.719 13.2 1.19 -1.9159
5 21.1 -1.31 1.7161 -2.248 2.945 14.5 2.49 -3.2619
6 21.7 -0.71 0.5041 -0.358 0.254 13.0 0.99 -0.7029
7 27.8 5.39 29.0521 156.591 844.024 10.5 -1.51 -8.1389
8 21.8 -0.61 0.3721 -0.227 0.138 11.4 -0.61 0.3721
9 21.3 -1.11 1.2321 -1.368 1.518 13.3 1.29 -1.4319
10 25.4 2.99 8.9401 26.731 79.925 12.1 0.09 0.2691
Sum 224.1 51.849 162.155 960.624 120.1 -11.231
Biased estimates of third and fourth order moments of the error in the first factor
are computed by (5.28):
- = 162.155 = 18.0172 and- = 960.624 = 106.736.

f../, 3 10-1 f../, 4 10-1
Using (5.29) and (5.30) one can compute the corresponding unbiased estimates as
follows:
10 2
A
p 13 =( X )x18.0172=25.02389
10-1 10-2
and
A = 10(10 2 -2x10+3) x 106736 _ 3x10(2x10-3) x 5 761 2 =
P 14 (lo-1X1o-2X1o-3) · (10-1X1o-2X1o-3) ·
= 1.6468 X 106.736-1.10119 X 5.761 = 139.22.

254 CHAPTER5
The moments of the error e2 are computed similarly from the data in Table 5.1.
They are
s 22 .4 89 = 2.0543
= 1810-1 ,
- = 8.2361 = 0.9151
f..l 23 10-1 ,
- = 62.4471 = 6.9386
f..l 24 10-1 ,
p = 1. 3889
23 X 0. 9151 = 1. 27098,
A_4 = 1.6468 X 6.9386-1.10119 X 2.0543 2 = 11.4264-2.2622 = 6.779.
The corre1ation coefficient between e1 and e2 is computed by forrnula (5.27)

using column 9 in Table 5.1:
p = -11.231 = -0.3627.
12
(10 -1}J5.761 v'2.0543
•
5.3.2. V ARIANCE ESTIMATION USING TOLERANCE INTERV ALS
If the errors are assumed to be normally distributed the mean values and variances of raw
material or component parts performance characteristics can be calcu1ated on the basis of
tolerance intervals.
Suppose that the nominal value of a product/process parameter expressed in
some physical scale is p;. Its tolerance interval can be given in two ways:
• with constant tolerance Iimits : (p; - r;;, + r;; ), p;
• with tolerance Iimits given in percents (K; %) ofthe nominal va1ue:
It is known that if the errors in parameters are norrnally distributed, their true
va1ues in mass production z;
belong to the interval p; ± 30: with probability 0.997. It is
clear that r;; = 30: and d; = ~ I 9. If the tolerance interval is given in percents the
2
corresponding value of the error variance is u; 2 = (K;p; /300Y. In this case the error
variance depends on the nominal parameter value. This fact must be taken into account
in the optimization procedure because the value of 0: 2 changes tagether with p;.
Example 5.6. Calculation ofresistor variance

Consider resistors with nominal values equal to 1000 n and 1200 n. In mass
production they have tolerances equal to 5% of their nominal values. The variances of
these resistors are:
• for p' = 1000 n:
• for p' = 1200 n:
0: 2 = (5 x 1200/300) 2 = 4oo n 2 .
•
In a design of experiments usually all factors are coded by formula (2.28) and
coded values of error standard deviations are used in all models of Section 5.2. Suppose
that in an experiment some parameter p; is measured in natural (physical) units in the
interval p;min ~ p; ~ p;rrw<. The half-interval ofvariation used in (2.28) is
where p;0 is the centre of the interval p;min ~ p; ~ p;max. The factor values are coded
using formula P; = (p; - P;o )Im; .
In mass production factors are subject to errors. Their true values in coded form
p; p;
are equal to z; = (z; - 0 )Im; . As 0 and m; are constants it is easy to see that
(5.31)
If the tolerance interval is given in percents ( K;, %) then
(5.32)
Example 5. 7. Calculation of resistor variance continued

Consider again the experiment in which K; = 5% and p; = 1000 n. Suppose that
durlog the experiment the parameter is varied within the interval
5oo n~p;~15oo n.
256 CHAPTER5
The coded value of the variance of a resistor with nominal value p; = 1000 Q is
computed by (5.32) as follows:
a; = [5 x 1000/(300x 5oo)Y = 1.11 x 10-3 •
Ifthe nominal value ofthe resitor is p;= 1200 Q then
c1; = [5x1200/(300x500)Y = 1.6x10-3 .
Note that these variances computed on the basis of tolerances differ from the
Taguchi's values given in subsection 4. 9 .1.
•
5.4. Further generalizations
In Chapter 2 was given a more general form of the regression model which can be used
for any degree of the polynomial. Models of mean value and variance of a performance
characteristic in mass production can be derived on the basis of (2.30). They are useful
for studying the effect of true model coefficient replacement with least square estimates.
This problern is considered in the next sections.
Suppose that a regression model is given in the form
k
77(p)= l:B;.t;(p)= fr B, (5.33)
i::::l
fk (p )f is a vector of known functions of product

parameters p and B = (B1 B2 ... Bk Y is a vector of model coefficients. The functions
./; (p) do not depend on B. In mass production the real parameter values
z = (z 1 z 2 zJr do not coincide with the nominals p = (p1 p 2
... ... PmY
because of the random errors e = (e1 e2 em Y and z = p + e.
Define a vector h =[I; (z) / 2 (z) ... f m (z )f . The performance characteristic's
value in mass production is
(5.34)
Suppose that vector h can be presented in the form h = f +g, where g is k-

vector of errors in f due to replacing p with z. Equation (5.34) can be written as follows:
y(z) = fr B + gr B + e . (5.35)
All polynomial models can be presented in the form (5.35), see Example 5.7.
Taking into account (5.33) one can compute the mean value of the performance
characteristic in mass production:
y(p)= E[y(z)]= 17(p)+Br E(g). (5.36)
Denote also 1f1 = g- E(g) and 'P = E(lfllflr). As rr Bis non-random, the variance can be
(5.37)
Usually e and & are uncorrelated and 2cov(gr B,c )= 0. Consequently, the
variance ofthe performance characteristic in mass production is
(5.38)
If the regression model is a second order polynomial (5.36) and (5.38) are
equivalent to (5.4) and (5.5). This is demonstrated by the following example.
The matrix 'P, corresponding to a full second order polynomial model, is derived
in Appendix A.5.3 under the assumptions that errors in factors are with zero
expectations and are uncorrelated. All distribution moments of order higher than second
one are neglected as weil.
Example 5.8.
Consider a second order polynomial model with two parameters:
Defining
and
one can present this model in the form (5.33). In this example the distribution moments
are taken into account. If the product parameters are subject to errors the vector f is
transformed into
or
258 CHAPTER5
The vector g = h - f is
Provided that E(e1 ) = E(e 2 ) = 0, one can compute the expectation of g as follows:
Putting () and E(g) into (5.36) one obtains
This equation coincides with (5.4).

Before computation of the matrix qs = E(lfllflr) one has to find
lfl = g - E(g) =
-'o
-~ eI
F or example, the fourth diagonal element of matrix qs is
This equation can be simplified taking into account that E(e1 ) = E(e 2 ) = 0 and assuming
that the errors in factors are uncorrelated, i.e. p 12 = OandE(e1e 2 )= 0. For the sake of
simplicity we also neglect all moments of order higher than second:
Under these assumptions one can obtain

The other elements of 'I' can be computed under the same assumptions in a
sirnilar way. The matrix 'I' is
0 0 0 0 0 0
0 a2I 0 p2al2 2p1a{ 0
0 0 a22 pla; 0 2pp;
'I'=
0 P2a12 P1a2
2 p2a2
I 2 + p2a2
2 I 2plp2al2 2plp2a;
0 2plal2 0 2plp2al2 4p2a2
I I 0
0 0 2pp; 2plpp; 0 4p2a2
2 2
Putting (} and 'I' into (5.38) one obtains a formula for prediction ofthe variance in mass
production:
This equation coincides with (5.5).
Example 5.9.
•
In Example 5. 1 we obtained a variance model provided that the regression model
is:
and the estimates of error variances are s12 = 0. 04 and s; = 0. 09. This model can be
written in the form (5.38). Forthis purpose we define
8 = (59.89 2.67 3.33 2.5 -4.33 3.67f.
The matrix 'I' is obtained in Example 5.8. Substituting s12 and s; for ~ and a;
one can write
0 0 0 0 0 0
0 0.04 0 0.04p2 0.08pl 0
0 0 0.09 0.09pl 0 0.18p2
'i'=
0 0.04p2 0.09pl 0.09pl2 +0.04p; 0.08plp2 0.18plp2
0 0.08pl 0 0.08plp2 0.16pl2 0
0 0 0.18p2 0.18plp2 0 0.36p;
260 CHAPTER5
The response error variance iss;= 1.148. Hence, the variance rnodel (5.38) can
be written as follows:
Carrying out the rnatrix cornputations one can obtain the variance rnodel in the
form given in Exarnple 5. 1:
•
5.5. Accuracy of the predicted mean value and variance in mass production
There are three rnain sources of inaccuracy in the prediction by the rnodels introduced in
subsection 5.2:
1. Incorrect structure of the regression rnodel,
2. Neglecting high order distribution rnornents and high order terms in the rnean
and variance rnodels,
3. Substitution of estirnates b with coefficients ß in the regression rnodel.
5.5.1. INFLUENCE OF THE REGRESSION MODEL STRUCTURE
If significant terms are ornitted in the regression rnodel this affects the rnodels of the
rnean value and variance of the perforrnance characteristic in rnass production. They rnay
give inaccurate predictions and the product pararneters chosen on the basis of these
rnodels rnay not be optimal. It is irnportant therefore, to pay attention to building a high
quality regression rnodel. Stepwise regression, all possible regressions or Daniel plots
can be used for a correct rnodel structure deterrnination.
Let us consider the consequences of an incorrect structure selection for rnodel
(5.33) considered in Section 5.4. Suppose that the true rnodel structure is 77= fr (), while
the postulated rnodel is 711 =fiT~' where rr (rr :r;)
= and ()T = (or :o;). Therefore,
the postulated rnodel has fewer terms than the true one.
Using the notations of Section 5.4 we present the vectors g and 71 = f r (} in
block form as follows:
The rnatrix \}1 can be written in the following block form:

where 'l';i = lf/;lf/~ ;i,j = 1,2.

Assuming that the errors in the factors ei, i = 1, 2, ... , m and the noise e are
independent, the variance can be computed using formula (5.38):
(5.39)
The variance obtained through the postulated model is:
Therefore, ~ is biased and the bias is equal to
(5.40)
The conclusion is that if some of the significant factors or functions J; are not in
the model their transmitted error causes a bias 11ci" in the variance estimate. The model
(5.39) can be written in the form
(5.41)
where c?N = !1ci" + 0: is variance of some noise incorporating all noise components
which are not taken into account in the variance model (CT ~ ~ CT; ) .
The variance c?N depends on the regression coefficients and on the functions f
that are included in the term 2 01r '1'12 02 through '1'12 . Therefore, if the postulated model
has less terms than necessary ~ can not be considered as a constant. In any case the
Observations are heteroscedastic but the true model of variance explains the sources of
heteroscedasticity, while a model with incorrect structure incorporates them into a single
term c?N which can not be used for making decisions.
An important question that should be addressed is how good the models of mean
value and variance are in mass production. Starting this discussion we should not forget
that these models are derived analytically on the basis of a regression model. The
experiments used to estimate the regression are without errors in product parameters,
while models ( 5. 9), ( 5.1 0) and ( 5.11) provide predicted mean values and variances in
mass production where errors can not be eliminated. Therefore, the values predicted by
these models should not be compared with the experimental data used for derivation of
262 CHAPTER5
the regression equation. The obtained optimal parameter values can be verified through a
confirmatory experiment in mass production. Several Observations should be made for
the optimal parameter values and the obtained sample mean and variance should be
compared with the values predicted by models (5.9) and (5.10) or (5.11).
The qua1ity of mean value and variance models in mass production depends on
goodness-of-fit for the regression model. For an accurate regression model and good
estimates of noise variances the models (5.9), (5.10) and (5.11) provide good prediction
of the mean value and variance in mass production if the assumptions for their derivation
are met. That is why the attention of the engineer or the scientist should be focused on
obtaining an accurate regression model using the recommendations for design of
experiments and statistical data analysis given in Chapters 2 and 3. The assumptions
about the noise distributions should also be checked. If there is no evidence that the
noise is normally distributed formula (5.10) must be used to compute the performance
characteristic's variance.
5.5.2. INFLUENCE OF HIGH ORDER ERROR DISTRIBUTION MOMENTSAND

HIGH ORDER TERMS ON THE VARIANCE MODEL
The mean value of the performance characteristic in mass production is obtained by

taking expectation ofthe response predicted by a regression model of ordern. Equation
(5.36) shows that the highest order of error distribution moments in y(p) is also n
because the errors are included in vector lf/ through the same functions f which are used
in the regression. For example, one can see from (5.9) that for a second order polynomial
model (5.7) the mean value y(p) contains second order error distribution moments
(u}). Ifthe error distribution is symmetrical (for example, normal) then the third order
moments are equal to zero. That is why for symmetrical distributions the equation (5.14),
which is obtained on the basis of third order polynomial regression, depends only on the
error variances cl;. Hence, for the most important second and third order polynomial
models y(p) does not depend on high-arder error distribution moments.
By definition the variance is a quadratic transformation of a random variable.
Therefore, if the degree of a polynomial regression model is n then the highest order of
error distribution moments included in the model for variance in mass production is 2n.
Therefore, if n = 2 and the error distributions are symmetrical the models (5.10) and
(5.11) take into account all necessary moments. For normal distribution all high order
moments can be computed through variance and consequently, in this case only a
variance estimate is needed.
We can not recommend neglecting the high-arder error distribution moments in a
variance model without carefully studying their influence. As shown in subsection 5.2.3.
if the regression model is of third order the high order terms (5.16) in variance equation
(5.15) contain the product parameters. Hence, neglecting high-arder distribution
moments may result in non-optimal parameter values.
Now consider in details the case of second order regression model. High order
terms in the model of variance in mass production may not be negligible in the following
cases:
• The error distribution is not normal or is at least non-symmetrical. One can
see from ( 5.1 0) that in this case the high order terms of the variance model depend on
third and fourth error distribution moments f.J; 3 and f.J; 4 . In this equation pi3 is multiplier
of an expression containing product parameters. Hence, the optimal parameter values
depend on third order moments.
• The error variance depends on the values of the product parameters. As
shown in Section 5.3.2 this is typical when tolerance intervals or component parts
depend on the nominal parameter values. There can be other reasons for such
dependence as weil.
In the case considered in Section 5.3.2 the error variance can be· written as
follows:
Asp;= OJ;P; + p;0 , the error variance can be presented in the form
(5.42)
where
Putting (5.42) into (5.11) we obtain:
+2i:.ßi~(.9oi +.9lipi +.92ip;J +

i=l
(5.43)
This is a fourth order function of the product parameters. Therefore, Cl has more
than one extremum and global optimization methods should be used for variance
minimization. The high order terms can be neglected only if all interaction and second
order effects are negligible (p;; = ßii =o).
264 CHAPTER5
Note however, that contrary to the case with constant error variance, if cl, is
given by (5.42) then the response variance in mass production depends on P; even ifthe
regression model is linear. This can be seen after substitution of ß;; = ßif = 0 into (5.43).
The following model is obtained:
0" 2 = i:ß2(.9oi + .91ipi + .92iPz2) ·

j::::}
The bias in the mean value of the performance characteristic depends also on the
product parameters when error variances are their functions. This becomes evident after
substituting (5.42) into (5.9):
i=l i=l
p' p" p' p" p
a) b)
p' p" p
c)
Figure 5.5. Transmission of errors to the response (a) linear performance characteristic (b) and (c)
nonlinear performance characteristic
Figure 5.5 shows how a 2 depends on variable error variance in case of single
product pararneter p. Suppose that the error variance a;is higher for p = p" than for
p = p' . Figure 5. 5a shows that for linear regression model the variation of y is smaller
for p' than for p". Consequently, p' is better choice of the product parameter value
than p". The situation is not so clear with performance characteristics that are non-
linearly dependent on product parameters. Figure 5.5b shows a case when the effect of
the increased error variance is compensated by the response function non-linearity and
p" is the better choice despite of the fact that the error variance for this point is !arger
than for p'. However, if the nonlinear effect is not significant as in Figure 5.5c the
growth of error variance can not be compensated and p' remains the better choice for
the product parameter value than p".
5.5.3. INFLUENCE OF THE INACCURACY OF ESTIMATION
r
In Sections 5.2 and 5.4 we assumed that the regression model coefficients in (5.7) and
(5.33) are known constants. In fact only estimates 0 = (01 02 Ok are available
and they are substituted in the models for (} =(B1 B2 ... Bk Y. This causes some
variability of the predicted mean value y(p) and variance a (p) .
2
Consider equation (5.33). Suppose that the factor Ievels are set without errors in
the experiment. The least square estimates of the regression coefficients are
where F is N x k matrix of regressors. Putting B for (} in the model of the mean value
in mass production (5.36) one obtains
lt is not difficult to prove that y(p) is an unbiased estimate of y(p) because

E(g) does not depend on the output noise & , while y(p) and 0 are unbiased estimates of
1J{p) and B, correspondingly. Actually taking expectation with respect to & one can
obtain:
Under the assumptions that & and e; are uncorrelated an estimate s2 of Cl is

obtained substituting Bfor (} and s~ for a;
in (5.38) as follows:
266 CHAPTER5
(5.44)
The first term in the right band side of(5.44) can be presented in the form
(5.45)
The expectation of :e with respect to the output noise & is computed putting (5.45) into
B
( 5 .44) and taking into account that are unbiased estimates: E = 0 . The following
E (8)
relationship is obtained:
EJs )= or'I' 0 + a; + EE[ (8- 0r\f(o- 0)] =a + tr['I'v(o)],

2 2 (5.46)
where v(o) = EG [ (8 - 0 Xe- 0 rJ is k k covariance matrix with elements

X
Equation (5.46) shows that s2 is a biased estimate of Cl. As 'I'

is a non- negative
definite matrix it follows from ( 5. 46) that E (s 2 ) > (i 2 . That means that the substitution
E
of Bfor 0 causes an increase of s 2 compared to Cl. The bias term in ( 5 .46) can be
estimated as follows:
(5.47)
1=1 1=1 1=1+1
where lf/11 and lf/11 are elements of 'I' .

As the estimates 0 are computed by the least squares method, their covariance
matrix is defined by (2.41) as follows:
( ~)
V\0 =\F F
{ T )-1 aE2=CaE,2
or
and
{ ~ ~ ) 2
cov\01 , 01 = c11 a E,
where c11 and c11 are diagonal and off-diagonal elements of C, correspondingly. Putting
these equations in (5.47) we obtain
An unbiased estimate ofvariance can be obtained as follows:
k k~l k J (5.48)
= 52 - s; ( ~ 'I'ucu - 2~ t~l'Pitclt '
where 5 2 can be computed by (5.11) or (5.15) with 0 substituted for (}.

The elements of C decrease with the growth of the number of observations. For
s;
great number of Observations and small value of the bias can be neglected.
The bias in the variance of the performance characteristic due to inaccuracy of
estimation is usually very small and can be neglected. It was computed for all examples in
this book but in the most cases it was negligible and is not commented. In the examples
for which it is worthy to be taken into account there are appropriate comments.
The elements of 'I' and C depend on the regression model structure and on the
design of experiments. Consider some important special cases.
Suppose that only main effects and pairwise interactions are taken into account in
a model as follows:
m m-1 m
1J(p)= ßo + Lß;P; + L LßiJP;P 1 · (5.49)

i::ol i=l ;=i+l
The model coefficients can be estimated on the basis of data obtained through two level
full or fractional factorial designs. As shown in Chapter 3 in this case Cu = 1I N and
clt = 0 for l,t = 1,2, ... ,k, l t: t. Hence, the last term in the brackets of(5.48) is zero. The
elements lf/u are computed in Appendix A.5.2. They are:
'Pll = 0,
'Pu= a7 for i = 1,2, ... ,m; l =2, ... ,m+ 1,
'l'z1 = a7 p~ + djp;2 + a7dj for i = 1,2, ... ,m -1;) = 1,2, ... ,m,i t: j and l = m + 2, ... ,k.
Using these elements and equation (5.11) in (5.48) one obtains the unbiased estimate of
the variance:
268 CHAPTER5
(5.50)
s s;
The bias in 2 can be neglected if is small and N is high.
Unbiased estimate of Cl can also be obtained for a dass of symmetrical second
order designs with covariance matrix ofthe form:
(5.5I)
where d is m x I vector with all elements equal to d 2 , D is m x m matrix with diagonal

elements d 3 and off-diagonal elements d4 . The constants d 1 , d 2 , d 3 and d4 depend on the
number of product parameters m and are given for few designs in Chapter 3. The
notations Im and I, are for m x m and r x r identity matrices, respectively, while
r = m(m -I)! 2.
There are many designs which produce a covariance matrix of the type given
above. This dass of designs indudes D-optimal composite, rotatable, central composite
designs, designs ofHartley, Pesotchinsky, Box and Behnken. Table 3.2I in Section 3.7
shows the constants d; ,i = I to 6 for D-optimal composite designs.
For symmetrical second order designs and independent errors in factors the
unbiased estimate of the variance is
The proof of this equation is given in Appendix A.5.2. The bias changes only the
intercept and the quadratic terms in the model.
Example 5.IO. Unbiased variance model for the chemical reactor example
In Example 5.2 we found the following model of variance which takes into
account all distribution moments up to fourth:
F or this case in Example 2. 7 we computed the matrix
1/1.8 0 0 0 -1/3 -113

0 1/6 0 0 0 0
0 0 1/6 0 0 0
C=
0 0 0 1/4 0 0
-1/3 0 0 0 1/2 0
-1/3 0 0 0 0 1/2
1 1 1
Therefore, d3 =2,d5 ="6 and d6 ="4 The error variances are s12 = 0.04 and
s; = 0.09and s; = 1.148. The bias is
bias = 1.148{!(0.04+0.09)+!(o.04pi +0.09p12 + 0.04x 0.09)+
6 4
= 0.037 + 0.1177 p; + 0.2181pi.

An unbiased estimate of the variance can be obtained from the model
•
Example 5.11. Molybdenum extraction from nitrate-sulphate solutions
In this example we consider as a performance characteristic the degree of
molybdenum extraction y [%]. It depends on four factors: consumption of extractive
substance p{[%), concentration of NO;: p~[gll], concentration of SO~': p;[gll],
duration of phase contact: p;[ min]. A three Ievel experiment is carried out. The
correspondence between the natural and coded factor Ievels is shown in Table 5.2.
270 CHAPTER5
TABLE 5.. 2 Coded and natural factor Ievels

Coded values --+ -1 0 1
Natural values ..!.
p;[%] 15 20 25
p~[gl I] 150 200 250
p;[g I I] 150 200 250
p;[ min] 5 10 15
An orthogonal composite design is used. The design and the observed values are
given in Table 5.3.
TABLE53
.. Des1gn fior molbdenum extracuon expenment
No. PJ p2 P3 p4 y No. PJ P2 P3 p4 y
1 -1 -1 -1 -1 68.6 13 -1 -1 1 1 76.4
2 1 -1 -I -I 97.5 I4 I -I I I 94.2
3 -1 I -1 -1 69.2 15 -I I 1 I 68.0
4 1 1 -1 -I 95.0 I6 1 1 I 1 96.0
5 -I -I I -I 65.0 I7 -1 0 0 0 73.2
6 1 -1 1 -1 96.6 18 1 0 0 0 90.3
7 -1 I I -I 69.0 I9 0 -1 0 0 77.3
8 1 1 I -I 98.0 20 0 I 0 0 81.5
9 -1 -I -1 1 69.0 21 0 0 -1 0 80.0
10 1 -I -I I 97.0 22 0 0 1 0 78.5
11 -1 1 -1 I 77.5 23 0 0 0 -1 65.5
I2 I I -I 1 98.1 24 0 0 0 1 75.3
The following model is obtained through best subset regression programme of

MINITAB:
y = 75.78+ 12.60p + 1.5lp

1 4 -1.3lp1p 4 +5.96p~ +3.6Ipi +3.46pi -5.39p;.(5.53)
The main effects of only p 1 and p 4 and their interaction p 1p4 as weil as all quadratic
effects are significant.
The covariance matrix C = (FrFt
is ofthe form (5.51). The non-zero elements
of this matrix are d1 = 0.229167,d2 = -0.0625A = 0.395833, d 4 = -0.104167,
d 5 = 0.055556 and d 6 = 0.0625. Because ofthe specialform ofthe covariance matrix C
main and interaction effects are not correlated with any other effects. Therefore, the
significance of the main effects p 1 and p4 and the interaction p1p 4 can also be checked
by t-test as shown in subsection 2.3.6. An independent estimate of response error
variance based on 5 independent observations at point p 1 = p 2 = p 3 = p 5 = 0 is obtained.
lt iss~ = 3.35 with V6 =5-1= 4 degrees offreedom. For example, the t-statistic for the
effect of p 4 is
t4=_1J_= 1. 51 =35
s&,Jd; .J3.35x0.055556 · '
and for the effect ofthe interaction p 1p 4 is
- lbl41 - l-1.311 -
tl4- u- -2.86.
se...;d6 .J3.35 x 0.0625
The t-statistic for the effect of p 1 is 11 = 29.21. The critical value of t-statistic at
significance Ievel 0.05 is tr =t(v8 ,a!2)=2.116. Therefore, the effects of p 1 , p 4 and
p 1p 4 are significant.
Using the independent estimate of response error variance one can test the model
adequacy by formula (2.54). Compute
F= s~2 = 10.66 = 3. 18 .
S8 3.35
The degrees of freedom are vR = 16, V =4 and the critical value of F-distribution for
8
significance Ievel 0.05 is Fr = F(0.05,16,4) = 5.84. As F <Fr this test shows that the
model is adequate.
The multiple correlation coefficient is 0.975 and the corresponding F-ratio
computed by (2.58) is F=43.59. The degrees of freedom for this test are
vM = k - 1 = 7 , vR = N - k = 16 . The critical value of F-distribution for significance Ievel
0.05 is Fr = F(0.05,7,16)= 2.65. The multiple correlation coefficient is significant
because F > Fr.
In mass production there are errors in three of the process parameters: p 1 , p 2 , p 3 .
The standard deviations ofthese errors in coded values are s1 = 0.15,Sz = s 3 = 0.05. The
fourth factor is free of errors in mass production and we put s4 = 0. The errors cause
bias in the mean value in mass production which is equal to
m
Ir (ß:E.) = ~);;S;2 = 5.96 X 0.15 2 + 3.61 X 0.05 2 + 3.46 X 0.05 2 = 0.1518.
i=l
For example, compute the predicted response in mass production for the
following parameter set: P 1 = P 2 = P 3 = p4 = -1:
y= y +tr(B:E.)= 68.03 + 0.1518 = 68.1818.

The variance ofthe performance characteristic in mass production (5.52) consists
offour components:
272 CHAPTER5
• variance due to errors transrnitted from the factors to the response:
= {0.15 2 [12.6 + 2 X 5.96 X (-1)-1.31 X (-1)Y + 0.05 2 [2 X 3.61 X (-1)Y +
+ 0.05 2 [2 X 3.46 X (-1W} +HOT= 0.3387 +HOT'
where the high order terms are equal to:
"'
HOT= 2"
L..J b s
2 4
m
i=1
ll I
+""' ""'b
m-1
,i..J
m
L..J s s
i=l j=i+l
I)
2
I
2
)
=
• response error variance
s; = 3.35,
• bias
As s~ = 0 the bias can be rewritten as follows:
bias = s2 {d5 (s I2 +s22 +s 32 )+

&
or
bias = 3.35 X {0.055556 X (0.15 2 + 2 X 0.05 2 ) -

+0.0625 x[0.15 2 X3+0.052 X2+0.05 2 X1+ 1 X2 X0.05 2 +1 X0.05 2 +
+0.15 2 x2x0.05 2 +0.05 2 x0.05 2 ]+

4
0 15-+2x
+4x0.395833x [ 0.15 2 x(-1Y +-·- 0 05-4 ) ] }=
( 0.05 2 x(-1Y +-·-
2 2
= 0.1697
An unbiased estimate of the variance in mass production for

PI= P 2 = p 3 = p 4 = -1 can be obtained as follows:
s = s;; + s; - bias = 0.3387 + 0.0363 + 3.35- 0.1697 = 3.5553.

2
The transmitted variance varies over the factor space. In some of the points it
may be much higher than the bias. For example, if PI = 1 and p 2 = p 3 = p4 =-1
y =95.84+0.15 =95.99
and
s = st; + s; - bias = 15.2687+0.0363+3.35-0.1697 = 18.4853.
2
The contour plots of mean and variance of the molybdenum extraction degree are
shown in Figure 5. 6 and Figure 5. 7. The corresponding three dimensional surfaces are
given in Figure 5. 8 and Figure 5. 9. The values of the parameters PI and p 2 are fixed as
follows: PI = 1, p 2 = -1.
0.
0.
rPI
0.
0.
-0.
-0.
-0.
-0.
-0.5 0 0.5
p3
~
Figure 5. 6. Mean values contour plot for molybdenum extraction degree (PI =1, p 2 =-1)
274 CHAPTER5
0. E 15.8 -
0.
EHI..
op. 16.3 -
-
0. ~
16.6
0'- 17 -
-0
~ 17.5 -
-0
18
-0
1
-1
~
-0.5
18.3 -
Figure 5. 7. Variance contour plot for molybdenum extraction degree (Pi =1, p 2 =-1)
100
98
96
94
92
1
Figure 5.8. Three dimensional surface for molybdenum extraction degree mean value
(Pi =1, P2 =-1)
18.5
18
17.5
17
16.5
16
15.5
1
Figure 5. 9. Three dimensional surface for molybdenum extraction degree variance ( p 1 = 1, p 2 = -1)
•
5.6. Bibliography
Morrison (1957) gives an early example of using error transmission formulae to study
variability in engineering designs. Box (1963) and Draper & Beggs (1970) considered
error transmission from factors to the response in connection with experimental design.
Model based approach, which takes into account transmitted errors, is used by
Stancheva and Papazov ( 1972) for quality improvement of electric motors. Vuchkov and
Boyadjieva (1981) give models (5.36), (5.37) and (5.38) ofmean value and variance ofa
performance characteristic, affected by errors in factors. Formula (5.22) without the high
order terms (HOl) is proposed by Box and Fung (1986) for minimizing transmitted
errors.
A.5.1. Derivation of mean value and variance models for second order polynomials
with m factors
Suppose that the performance characteristic's model is a second order polynomial of the
form
(5.16)
where the notations are as in subsection 5.2.3.

The measured value of the performance characteristic in mass production is
(A.5.1)
This equation can also be written as follows:

276 CHAPTER5
or
A.5.2)
We assume that:
• Errors in factors e = (e1 , e 2 , ... ,em J are independent,
• e and & are independent of each other,
• All error distribution moments higher than fourth order are negligible.
• E(e)= O,E(e)= 0, E(eer )= L., E(e;2 )= CJ;2 ,E(e( )= f.J; 3 , E(e: )= f.J; 4 ·
1. Model of the mean value in mass production
We will prove the following equation:
y(p) = E[y(p )] = 17(p )+ tr (?I L.), 5.19)
which is equivalent to (5.9) for the case ofindependent errors.

Proof Equation (5.19) follows immediately from (A.5.2), taking into account
that
2. Model ofthe variance in mass production

•
We will prove the following formula:
5.10)
which can also be written in the form
5.22)
where
(5.23)
Prooj The variance of y(p) can be obtained from (A.5.2) as follows:
a 2 = var[y(p)]=var[7J(p)+erß+2era'p+era'e+e ]=
=var[17(p )] + var(er ß )+ var(2er 8' p)+var(er g' e)+a; +
+ 2cov[7J(p ), (er ß+ 2er 8' p+er 8' e + e) ]+
+2 cov[ e,( 17(p)+ er ß+ 2er 8' p+er g' e)]+
A.5.3)
Consider consecutively all terms of(A.5.3):
(A.5.4)
because 17(p) is non random variable.
(A.5.5)
because e and e are independent.
iii)
(A.5.7)
where v includes all possible covariances between pairs of errors, for example
eiej and e.er for i,j,r,s = 1,2, ... ,m and i,j not coinciding with r, s.
One can write the variances in the first two terms of(A.5.8) as follows:
(A.5.9)
278 CHAPTERS
(A.5.10)
To compute the covariances u between pairs of errors e;e i and e,e1 one must
consider all possible combinations ofindices i,j,r,s=l,2, ... ,m for i,j not coinciding
with r, s. The following four combinations are possible:
•i:t:.j:t:.r:t:.s,
• i=j, r :t:. i and r :t:. s,
•i=j=randr:t:.s,
• i = j and r=s, buti :t:.r.
Taking into account the independence of errors one can find that for the first
three combinations
For the fourth combination ofindices one can write the following equation:
Consequently u = 0 .
Putting (A.5.9) and (A.5.10) in (A.5.8) we obtain
(A.S.ll)
i=l i=l j=i+l
vi) 2cov(erß,2er~p) =4E(erßpr~e) -4E(er{J)E(er~p)=
=4E(erßpr~e) = 4ßr E(eer)~p =4/f"I.• ~p. (A.5.12)
= 2cov(er ,er~e)(ß+2~p). (A.5.13)
Denote 71 = cov(er ,er~ e), an m vector with i-th element equal to
(A.5.14)
The last termoftbis expression is zero, because E(e;) = 0. Hence, (A.5.14) is rewritten
as follows:
m m m m
~ = E(e;,'LL 1: rsere.) = LL 1: rsE(eiere.}.
~1~1 r~s~
One can see that
By definition 1: u= ßjj and 1: iJ= }_A· Hence, Jri = ßufl.i 3 and (A.5.13) is equal to
2
m m
2nr (ß+21:pf = 2L(ßi +2L 1: iip)ßufl.i3 =
i~l j~l
(A.5.15)
After substituting (A.5.4)- (A.5.8), (A.5.12) and (A.5.13) in (A.5.3) we obtain:
m m-1 m
az = P"L.ß + 4pr 1: "L.1l P + 4P"L.1l P + L pi; (ui4 - a: )+ L L ßi:aiza: +
i=l i=l j=i+l
= (ß+21:pf'E.(ß+21lp) +
J,
(ß+2tlp)'E,(ß+2Bp) = t,o-,'[ß, +2ß,p, + ,~!,P 1
we obtain formula (5.10).

•
280 CHAPTER5
A.5.2. Unbiased estimates ofvariance in mass production
I. Proof offormula (5.50):
(5.50)
Proof Formula (5.50) is obtained from
(5.48)
Suppose that the performance characteristic's model is of the form
m m-1 m
."(p)= ßo + Lßipi + L LßiJpipJ · (5.49)

i=l i=l j=i+l
and a full or fractional two Ievel design is used. As for this design C = (Fr F t = N- I
1
we put cjj =...!_ and ciJ = 0 and obtain

N
2 k
A2- -2 SE ~\Tl
S -S --L.."Tii. (A.5.16)
N i~l
In order to get the final ·form of (A.5.16), one must compute 1fF = g- E(g) and
\f = E(lfFifFr) using the notation g =h -f where for model (5.49)
Therefore,
Taking into account that E(ei) = 0, i =1,2, ... ,m, and that the errors in factors are
independent one can see that E(g) = 0 and lf/ = g - E(g) = g. The diagonal elements of
'I' =E(lfl'lfl' r ) are
where k is the number of elements for g. As the errors ei are independent '!'11 can be
~~=0,
~1 = d; for i = 1,2, ... ,m,/ = 2, ... ,m+ 1,
(A.5.17)
~1 = d;p: +djpi2 +d;dj for i = 1,2, ... ,m-1;j=i+1, ... ,m
and l=m+2, ... ,k.
Formula (5.50) is obtained after substitutins sj2 for aj2 and the values of '!'11 in
(A.5.16).
2. Proof offormula (5.52).

•
Consider the model
m m-1 m m
q{p)= ßo + Lßipi + L Lßijpipi + LßiiPi2 · (5.7)

i=l i=l j=i+l i=l
If symmetrical second order design is used the unbiased estimate of the variance in mass
production is
(5.52)
282 CHAPTER5
Proof We use sorne elernents of the proof of equation (5.50) given above. The
m
polynornial (5.7) differs frorn (5.49) only by the terrns ·Lß;;P;2 . Therefore, the dirnension
i=I
ofvector 1f1 is increased by m and it can be written as follows:
lfl= (0 e] ... em P1e2 + P2e1 +e1e2 ··· Pm-Iem + Pmem-1 +emem-1

(A.5.18)
2p1e1+e; -~ 2pmem +e~- ci.,f.
Forrnula (5.52) is obtained frorn
(5.48)
For syrnrnetrical second order designs the rnatrix Cis ofthe form
where d is m x 1 vector with all elernents equal to d2 , D is m x m rnatrix with diagonal

elernents d 3 and off-diagonal elernents d4 , while d5 and d6 are constants.
One can see that except the first row and the first cölurnn of C non-zero off-
diagonal elernents exist only in D and they are equal to d4 . All elernents of the first row
and first colurnn ofthe rnatrix 'Y are zeros because they are equal to
where lfll' t = 1,2, ... ,k are elernents ofvector 1f1 and 1{11 = 0.
Therefore, the last terrn in the brackets of (5.48) is
(A.5.19)
1=1 1=1+1 l=m+2+r 1=1+1
where r = m(m -1)/2.

Under the assurnption that errors in factors are independent and E(e;) = 0 one can
cornpute the elernents 1{111 in (A.5.19) as follows:
i,j = 1,2, ... ,m.
Consequently, (5.48) can be rewritten in the form:
(A.5.20)
The first 1+ m + m(m - 1) I 2 diagonal elements of the matrix 'I' are given by
(A.5.17). The other diagonal elements ofthis matrix are
(A.5.21)
for I= m + 3 + m(m -1)/2, ... ,k. For normally distributed errors J..li3 = O,J..l; 4 = 3at and
(A.5.22)
Putting (A.5.17) and (A.5.22) into (A.5.20) and taking into account the diagonal
elements ofC we obtain (5.52) after replacing d, with their estimates s;2 .
•
A.5.3. Derivation of matrix 'I' for a full second order polynomial model
Consider a full second order polynomial model of the type:
m m-1 m m
q{p)= ßo + Lß;P; + L Lß;jPiPj + Lß;;P;2 · (5.7)

1=1 i=l j=i+l i=l
Suppose that the errors in the factors are with zero expectations, they are uncorrelated
and all distribution moments of order higher than second are neglected.
Proof The proofis similar tothat given in Example 5.8.
The vector of regressors is
284 CHAPTER5
The vector h defined in Section 5.4 can be written as follows:
=[1 .A-H; ··· Pm+em AA+JJ.f?.+Pf1-f-i1f?. ··· P",..JJm+P",_lem+Pnf",..l+e",..lem If+2J.ll1-+if ··· Jl..+7p.fm+i..]r
~1 _A-H; ··· Pm+em AA+_Af?.+Pf1-f-i1f?. ··· PJm+&em+P.fnt.J+ent.Jem If+7rn-+if ··· d,+7{J.fm+i..Jr
The vector g = h - f can be written in the form:
Under the assumptions for uncorrelated errors and zero means of their distributions the
expectation of g can be computed as follows:
The vector 1f1 can be written as:
1f1 = g- E(g) = (0 L I Q),
where L = e is mx1 vector with elements e;, i =1,2, ... ,m.

I is lx 1 vector, determined by the errors in linear and interaction terms and
I= m(m -1) I 2 is the nurober ofthe interaction terms. An element ofl is
Q is mxl vector with elements deterrnined by the errors in the quadratic terms of
the polynornial. An element of Q is
i=1,2, ... m.
The matrix 'P can be presented in the following block form:

where lf/ L = lf/Q = cov(O,L) = cov(O,Q)= Om is m vector with zero elements,

lf/1 = cov(0, I) = 01 is I vector with zero elements,
'l'u = E(LLr)= E~er)= diag (u ,u;, ... , u;),
2
1
'I'u is mxl matrix determined by errors in the linear terms (pk) and interactions
{pi p i). An element of this matrix is
'I'LQ is a mxl matrix determined by errors in the linear terms (pi) and quadratic
terms (p;). An element of this matrix is
'1'11 is a /x/ matrix determined by errors in the interaction terms. An element of

this matrix corresponding to the interactions PiPi and p 1 pk is:
0if i*-}*k*l
PiPICTi if i *- j *- l,i = k
2
('I'II)ii,lk =E[(piei+pieixP 1 ek+pke 1 )]= pipkui2 if i*-}*-k,i=l

pipku: if i *- j *- k,j =I
piCTi2 + piCTi2 il f ·l *- j,l
' '=/,)
'k =
'1'1Q is a /x/ matrix determined by errors in the interaction and quadratic terms.
An elementoftbis matrix corresponding to the interaction PiPi and the quadratic term
p; is:
286 CHAPTER5
'PQQ is a mxm matrix determined by errors in quadratic terms. An element of this

matrix is:
•
CHAPTER6
OPTIMIZATION PROCEDURES FOR ROBUST DESIGN OF PRODUCTS AND

PROCESSES WITH ERRORS IN THE FACTORS
6.1. Introduction
In Chapter 5 models of mean value and variance of the performance characteristics in

mass production were derived for cases when errors transmitted from the product
parameters to the response are taken into account. U sing these models one can find the
optimal parameter values. In this chapter we consider optimization procedures that
provide robustness of product or process performance characteristics against errors in
factor Ievels. In the next chapters we discuss optimization procedures for cases with
external noise factors.
W e start with optimality criteria for robustness of product performance
characteristics. They are introduced in Section 6.2.
For some wide spread practical problems solutions can be found analytically
using simple procedures. In particular this is possible when the performance
characteristic's model is a second order polynomial. A discussion on these procedures
gives an insight into the mechanism of error transmission. In Section 6.3 we consider
analytical procedures for robust product or process design for cases when experimenters
need to find minimal or maximal value of the performance characteristics, while in
Section 6.4 algorithms for cases when a specific target value is ofinterest, are given.
Numerical procedures for robust product design are considered in Section 6.5.
Optimization of products with several performance characteristics and some practical
aspects of model based decision making are discussed.
If after applying the optimization procedures the performance characteristic's
variance still remains high the only possibility for quality improvement is to tighten the
tolerances of the components or raw materials. Model-based tolerance design is
considered in Section 6.6.
A summary of model-based quality improvement through reduction of the
transmitted variation is given in Section 6. 7 and an example for model-based robust
design is presented in Section 6.8.
287
288 CHAPTER6
6.2. Optimality criteria for robust process and product design
We consider three definitions of quality improvement optimization problern which result

in different optimality criteria. Choosing between them depends on the particularities of
the practical problern and is left to the experimenter.
6.2.1. LOSS FUNCTION MINIMISATION
An optimality criterion is based on Taguchi's loss function
(6.1)
where y is a given value of the performance characteristic and r is the target value. The
scale coefficient kc can be computed as shown in Section 4.2. Its value doesn't play any
role in the optimal parameter settings if only one performance characteristic is of interest.
However, it is important in multicriterion optimization problems.
The expected lass is defined as follows:
L= E(l(y))= kß[(y-rY]. (6.2)
As shown in Appendix A.4.1 the expected loss can be presented in the form
(6.3)
Models of the mean value y

and variance C1 in mass production can be used to
express the estimates of T7 and cl as functions of the product parameters p. Therefore,
an estimate ofthe expected loss as a function ofp is defined as follows:
(6.4)
The optimality criterion (6.4) is useful in cases when a specific target value r is
considered as best choice of the performance characteristic. Further on we call them
specific target value is best cases.
The expected loss (6.4) consists of two parts: one of them ( kc ~(p )- r] 2) is due
to the deviation of the performance characteristic y from the target r and another
( kß 2 (p)) is due to
the variation of the performance characteristic caused by errors in
product parameters in mass production. Note that if the target r is not specified well this
can cause uncertainty in the solution. If r is much higher or much smaller than it can be
realistically achieved, the first term in the brackets of (6.4) is prevailing over the variance
and determines the choice of the product parameters. That is why when using (6.4) r
OPTIMIZATION PROCEDURES FOR ROBUST DESIGN OF PRODUCTS 289
must be carefully specified. If the choice of • is based on engineering intuition a variety

of solutions can be found which could help making the final decision. Forthis purpose
Box and Jones (1992) proposed a criterion
(6.5)
with a being a constant in the interval 0 s a s 1. Choosing different values of a

engineers can put more weight to the deviation of y(p) from • or to the variance. For
example, if a == I then only the variance is taken into account, while for a == 0 only the
departure of y(p) from • is considered to be an important performance measure. For a
== 0.5 both terms in (6.5) have one and the same weight and
Engineers can find the locus of the minimal values of R(p) for different a and
make decision about a taking into account engineering considerations that are not
formalized in the models.
Sometimes the value of the performance characteristic must be as small as
possible. For example, concentration of some unwanted substance can be a performance
characteristic in a medicine production. Obviously the target must be absence of this
substance and • == 0. If the performance characteristic can not be negative as this is in
this example, then putting • == 0 in (6.4) one obtains the following optimality criterion
for the smaller the better problem:
(6.6)
In other cases as !arge as possible value of the performance characteristic is

needed. For example, a high quality steel manufacturer wants to choose the formulation
components to obtain as !arge as possible value of the steel tensile strength. This is the
!arger the better case. Theoretically for the !arger the better case • ~ oo and a new
performance characteristic .5\ = 11 ji can be used with a new target value -r1 = 0 . For this
case Taguchi (1986b) proposes the following formula for the loss function:
(6.7)
290 CHAPTER6
If T = 0 for the smaller the better case and r-1 =0 for the !arger the better case
are unattainable then it is better to use target values closer to the realistic ones and to
apply formula (6.4).
6.2.2. CONDITIONAL MINIMIZATION OF THE VARIANCE
The definition of the quality improvement optimization problem, which was already
given in Chapter 5, is:
Minirnize the performance characteristic's variance er
under the condition that
the mean ji is equal to a target value T.
a)
b)
Figure 6.1. Components of the expected loss (a) extremal points of mean and variance do not coincide
(b) coinciding extremal points of the mean and variance
That means to find such values p. of product parameters which satisfy the
following conditions:
y(p.)= r (6.8)
In general the optimal solutions obtained by the criteria (6.4) and (6.8) do not
coincide. This can be seen in Figure 6.1a where the components of the expected lass
kc ~- r J and kJi are shown. In this figure kc is equal to I.
Let p. and p L be the optimal solutions chosen according to criteria (6.8) and
(6.4), correspondingly. If the extremums of kc ~- r J
and B(k) do not coincide
(Figure 6.1a) then the variance obtained by (6.8) is 0: which is !arger than &:in. The
solution p L chosen by minimizing the lass function (6.4) does not provide neither
minimal variance nor minimal deviation of the performance characteristic from the target,
but finds a comprornise between these components of the lass function.
As shown in subsection 6.3.2 in a very important case the solutions obtained
through lass function minimization and conditional rninimization of variance are the same
(Figure 6.1.b).
6.2.3. MAXIMIZATION OF SIGNAL-TO-NOISE RATIO
Taguchi's signal-to-noise ratio can also be used as optimality criterion with the model-
based approach. For the specijic target value is the best case it is defined by Taguchi as
follows:
(6.9)
Substituting y(p) for 17(p) and 0' 2 (p) for a 2 (p) we obtain
(6.10)
For the smaller the better case the signal-to-noise ratio is
(6.11)
and for the !arger the better case it is
(6.12)
292 CHAPTER6
Further on we use conditional minimization of the variance and loss function

minimization as optimality criteria. We prefer to compute the loss function through
modeHing y and Cl rather than considering L as a performance statistic to be fitted to
the experimental data. We use signal-to-noise ratio only if we want to compare the
results of the model-based approach with those obtained through experiments carried out
by Taguchi method.
6.3. Robustness against errors in product parameters: the larger the better and the
smaller the better cases
In this section we consider a relatively simple but important case, characterized by the
following asswnptions:
• Only errors in the factors are taken into account, i.e. there are no external noise
factors. There are many practical problems corresponding to this assumption, see the
friction welding example of Section 6.8, Wheatstone bridge example and band-pass filter
examples considered in Chapter 8, etc.
• The product performance characteristic is fitted by second order polynomial
model.
• The variances of the errors in factors are constant over the region of interest.
This means that the variances do not depend on the nominal values of the product
parameters.
• The errors in product parameters are independent and normally distributed.
• The bias in the variance model is negligible.
In this section we consider optimization procedures without constraints on
parameters and for one performance characteristic of the product. Though narrowing the
applications these assumptions form a dass of problems with considerable practical
value. They help to understand better the mechanism of error transmission from product
parameters to the performance characteristic. Relatively simple solutions are possible for
this case. We defer the more complicated optimization problems for the next sections.
Suppose a second order polynomial model is obtained through experiments with
a product proh)type:
m m-1 m m
y(p)= bo + LAPi + L LbiJPiPJ + LbiiPi2 · (6.13)

i=l i=l f=::i+l i=l
It can also be '~Titten in matrix form as follows:
(6.14)
where bandBare defined in subsection 5.2.3.

In Chapter 5 it was shown that under the above given assumptions the models of
the mean value and the variance in mass production are
y{p)= y{p)+ fh;;CJ;2 (6.15)

z=I
and
(6.16)
where the high order terms are
... m m-1 m
HOT= iiA:CT,4 +
1=l
L Lhi~if;a7.
i=l j=1+l
(6.17)
In this section we use the matrix forms of equations (6.15) and (6.16) which are
(6.18)
and
iP = (b +2Bp) I.(b +2Bp) +HOT +CT}' (6.19
,CT;).
where I. = diag(CT 12 ,CT; , ...
Under the assumption that the variances of the errors in the parameters are
constant over the region of interest the high order terms (HOl) are constant. Therefore,
the performance characteristic's variance in mass production{6.19) consists oftwo parts:
• A part that can not be minimized through choice of product parameters:
' 2
HOT+CTc.
• Apart Ci. which can be minimized with respect to product parameters p:
= (b + 2Bp) I.(b + 2Bp). (6.20)

294 CHAPTER6
6.3.2. A SIMPLE CASE: SINGLEPARAMETER PRODUCT
Consider the case when the performance characteristic depends on a single parameter of
the product. Suppose that a second order regression model is obtained through
experiments with a prototype
Denote the variance of the error in the parameter by a;,.

The mean value and the
variance of the performance characteristic in mass production can be obtained from
(6.15), (6.16) and (6.17) as follows:
(6.21)
and
(6.22)
. Let us find the extremum of y(p) by putting its first derivative equal to zero:
JY{p)
- - = b1 +2bnp=O. (6.23)
dp
The parameter corresponding to the stationary point of the curve is
(6.24)
The second derivative of y(p) is
The extremum is minimum if bn > 0 and maximum if bn < 0 .

In order to find the stationary point of (j 2 (p) we compute its first derivative and
put it equal to zero:
(6.25)
From (6.23) and (6.25) one can see that the stationary point of cr 2 {p) coincides
with that of y(p) and its abscissa can be computed by formula (6.24).
The second derivative of the variance is
and is always non-negative. Consequently, the variance is minimal at the stationary

point p, defined by (6.24).
Using (6.20), (6.22) and (6.23) one can present the variance if. as follows:
(6.26)
These results are illustrated by Figure 6.2. It shows that the higher the slope of
J(p) the higher the variance cr (p).
At the stationary point, where cJY(p )I dp = 0 the
2
variance depending on the parameters is zero ( if. = 0), while the performance
characteristic's variance is
-2 -2 2 2 2 4 2
a =a. +HOT+a, =HOT+a, =2b11 aP+a,.
A A
This result is very interesting from practical point of view but we defer this discussion for
the next section.
-
A
y
p' p" p+e
Figure 6.2. Dependence ofvariation on the slope ofthe performance characteristic

296 CHAPTER6
Example 6. 1. Variance of single parameter product

Consider a single parameter regression rnodel:
y=4+p-2l.
Suppose there is an error in the product parameter p in rnass production with
zero rnean and variance er!= 0.2, while the response error variance is er!= 0.1.
The rnean value of the perforrnance characteristic in rnass production can be
cornputed by (6.21) as follows:
y=y+b er; =4+ p-2p
11
2 -2x0.2
or
y = 3.6 + p- 2p 2•
For calculation ofthe pararneter-dependent part ofvariance we use (6.26):
or
ii? =(1-4py x0.2.
The pararneter-independent part ofvariance is
HOT+ er; = 2b1~er; +er; = 2(- 2)2 x 0.2 2 + 0.1 = 0.42.
Hence, the variance in rnass production, cornputed by (6.22) is
ii 2 = 0.2(1-4py +0.42
Figure 6.3 shows the curves corresponding to y,Y,ii?,ii 2 and HOT+er;. The
coordinate ofthe stationary point is cornputed by (6.24) as follows:
b 1
P, =- 2~11 =- 2x{-2) = 0.25.
In this point the pararneter dependent part of the variance is zero ( ä; = 0) and the total
variance is minimal:
-2 2
er =HOT +er. = 0.42.
A
Figure 6.3 shows that the higher the slope of y, the higher the variance ä;.
s~-------------------------.
-1 0 l1s
Figure 6.3. Components ofthe transmitted variation
•
6.3.3. MULTIVARIABLE ANALYTICAL SOLUTION
The results obtained in subsection 6.3.2 can easily be generalized for products depending
on several parameters.
Consider product/process performance characteristics subject to the assumptions
of subsection 6. 3. 1. In this section we consider only the smaller the better and the !arger
the better cases, i.e. the cases when the target value coincides with the extremum
(minimum or maximum) ofthe performance characteristic.
Assurne that the product performance characteristic depends on m parameters
p = (p1 p 2 • . • p m Y and it can be fit by second order polynornial ( 6. 14). Equations
(6.18) and (6.19) give the mean value and the variance ofthe performance characteristic.
Equating to zero the vector of first derivatives of y(p) with respect to p we
obtain
~(p) = b + 2Bp, = 0 . (6.27)

op
The coordinates of the stationary point are equal to
1 -1
p,=--B b. (6.28)
2
The mean value of the performance characteristic at the stationary point is

obtained by substituting (6.28) in (6.18):
298 CHAPTER6
The matrix of second partial derivatives of y(p) is
07(p) = 2B.
opopT
If B is positive definite matrix the performance characteristic has a minimum at

the stationary point, while for negative definite matrix B the stationary point corresponds
to a maximum. If B is neither positive nor negative definite non-singular matrix there is a
saddle point at p,. IfB is singular the response surface has a stationary ridge.
The extremum of the performance characteristic's variance in mass production
can be obtained from (6.19) as follows:
oii 2
- =4B~.(b+2Bp.)=O. (6.29)
op
Comparing (6.27) with (6.29) one can see that the stationary point of variance
surjace coincides with the stationary point of the perjormance characteristic's mean
va/ue surjace. The matrix ofsecond derivatives ofvariance is 8Br~.B. It is always non
negative definite because the matrix ~. is non negative definite. Consequently, the
stationary point P. a/ways corresponds to the minimal variance.
Substituting oy(p )I op = b + 2Bp in (6.20) we obtain
(6.30)
Therefore, the performance characteristic's variance depends on the gradient of

y(p) and on the error variances included in ~ •. Forequal error variances the greater the
gradient the higher the variances ii; (p) and ii 2 (p). At the stationary point the gradient
is a zero vector and u;(p)= 0. Hence, at that point the variance ii 2 (p.) gets minimal
value equal to the higher ordertermsplus the response error variancea;:
... m m-1 m
cP(pJ=nor +a-; = i'fA7a-; + L :Lbi~a;o; +0:.
4 (6.31)
j=:l j:::;} j::;J+}
Further decrease of the variance is only possible through tightening the tolerances
( decreasing of 0:, i = 1, 2, ... , m) but not through choosing different pararneter values.
At the stationary point P. the value of the expected loss L, given by (6.4) is
minimaland .Y. = r. Therefore,
L=kc ii 2 (p s )=kc (nor +a- 2 ) & •

(6.32)
Several conclusions valid under the assumption of subsection 6. 3. 1 can be drawn.

When choosing the operating point at p, according to (6.28) the engineer
provides also robustness of product quality against parameter variability due to
tolerances or manufacturing imperfections. In this case no special care is needed to study
the variance and the mean value in mass production. The stationary point of the
performance characteristic can be found by steepest ascent method or by methods of
exploring second order response surfaces.
Note that this result can not be applied to cases with conditional extremum on the
border ofthe region ofinterest because then the derivative 8y(p)! 8p is not zero. It can
not be used for cases when a specific target value is best either. These cases are
considered in Section 6.4. This result is not applicable in cases when the assumptions
listed in section 6.3.1 do not hold.
An important result is that in order to make the product robust against pararneter
variations one has to choose the Operatingpoint in the part ofthe response surface where
the slope issmall (or zero ifthis is possible). However, when the operating point is not at
the extremum the variance depends not only on the slope but also on the variances of the
errors in the parameters. This problern is discussed in details in Section 6.4.
We showed that und er the assumptions of subsections 6. 3. 1 and 6. 3. 3 the criteria
for loss function minimization and for conditional minimization of variance are equivalent
(Figure 6.1b).
Finally we found the lower limits of the variance (6.31) and of the loss function
(6.32) which can be obtained through pararneter optimization
300 CHAPTER6
6.4. Model based robust product design in cases when a specific target value is best
6.4.1. ANAL YTICAL SOLUTION FOR SECOND ORDER REGRESSION

MODELS
Assurne we want to attain a specific target value r for the performance characteristic's
mean ji in mass production and that r does not coincide with the extremum of y(p). In
this case the method of subsection 6.3.3 can not be applied. For the moment we do not
consider the case when some ofthe errors in product parameters have zero variances, i.e.
in this section we assume that :E. is positive definite matrix. The case with non- negative
definite :E. is considered in subsection 6.4.2.
Suppose that the models ofthe mean value (6.18) and variance (6.19) in mass
production are given. Using (6.18) one can find the contours of y(p) and in particular
the one for which y(p) = r. For the case with two parameters this contour is shown in
Fig 6.4.
Figure 6.4. Mean and variance contours for a product with two parameters
Contours of the variance 5 2 (p) can be obtained using (6.19). As cr 2 (p) is

second order function ofproduct parameters p and the matrix :E. is positive definite they
are always ellipsoids with center at the stationary point of the response surface.
We want to obtain minimum variance ~ under the condition y(p) = r. The

solution can be found on the contour y(p) = r and corresponds to p. 1 and p.2 which
are the tangent points of the contour y(p) = r with the contour of iP (p) inscribed in it.
Let the value of variance on the inscribed contour be Ci.min. For any point with iP (p) <
Ci.min the condition y(p) = r is not satisfied. Therefore, Ci.min> Cr;, ä; being the
variance at the stationary point. As shown in subsection 6.3.3 the stationary points ofthe
mean value y(p) and of the variance cP (p) coincide.
The idea illustrated in Figure 6.4 can be applied for any number of product
parameters. An algorithm has been developed by Vuchkov and Boyadjieva (1988) for
computing p. 1 and p. 2 . The proof of this algorithm is given in Appendix A.6.1. The
algorithm runs as follows:
1. Compute the coordinates of the stationary point of y(p) and a (p)
2 using
(6.28):
1 -1
p s =--B
2 b.
2. Compute the value of the performance characteristic at the stationary point by

the following formula:
(6.33)
3. Find the maximum eigenvalue f-lmax ofmatrix _!_:E- 1B- 1 which has the same sign
4 e
as r- ji,. For example, if r- ji, < 0 then f-lmax is the maximal negative eigenvalue.
Denote tmax the eigenvector that corresponds to f-lmax .
4. Compute Ci.min as follows:
(i.min = T- Ys . (6.34)
f-lmax
5. Find the optimal product parameters using the following formula:
p.1 ,2 -- p s -+_!_B-1 - -
2 tmax a.min -
(6.35)
302 CHAPTER6
On the basis ofthis algorithm some comments can be made:

• There are two solutions: P•t and p. 2 which provide the same values of the
performance characteristic and its variance in mass production. The final choice depends
on the cost of these solutions. Suppose that in the example of Figure 6.4 Pt and p 2 are
components of a chemical product. In this case P•t is a better choice than p. 2 because
for P•t the amounts of Pt and p 2 are smaller and the product is cheaper.
• Formula (6.34) gives the minimal variance ~min which can be obtained through
parameter optimization It is equal to zero only if the target is the extremum of y(p). In
this case putting r= Ys in (6.34) we obtain ~mm = 0.
• The performance characteristic's variance at the optimal points P•t and p. 2 can
be computed using (6.34) and (6.19) or (6.20) and is equal to
(6.36)
Example 6.2. Constructed data

Weillustrate the algorithm with constructed data for two response surfaces taken
from the literature. Consider the following equations ofthe performance characteristic:
• A second order surface with elliptical contours (Box and Draper (1987),
p.334):
y = 78.8988 + 2.272xt + 3.496x2 - 2.08xt2 - 2.92x~- 2.88xtx2 , (6.37)
•A second order response surface with a saddle point (Myers and Carter (1973)):
(6.38)
For both cases we assume standard deviations O't = 0. 05, 0'2 = 0. 025 and correlation
coefficient p 12 = 0. 6. Therefore, the error covariance matrix is
0.0025 0.00075 )
(
L.. = 0.00075 0.000625 .
Table 6.1 shows how the solutions are obtained. Since in both cases r- Ys < 0,
1
f..lmax is chosentobe the highest negative eigenvalue of -L.:tB-t
4
The solutions are shown in Figure 6.5 and Figure 6.6. They were confirmed by
grid search.
T ABLE 6.1. Variance minimization with pre-set target values for

the response surfaces (6 37) and (6 38)
Performance characteristic Equation (6.37) Equation (6.38)
78.8988 82.17
(2.272 3.946) (-1.01 - 8.61)
( -2.08 -1.44) 1.40 -3.6)

B (
-1.44 -2.92 -3.6 -8.76
- 0.73 0.36 ) 0.3473 -0.1427)

( (
0.36 -0.52 -0.1427 -0.0555
Value of the response at the

stationary point :
y, = h _!_brB- 1 b+tr(B~.)
0 _ 79.991 83.724
4
Stationary point coordinates
P =-_!.B- 1b
s 2 (0.2, 0.5) (-0.439, -0.311)
1 ..--1 -1
Eigenvectors of - <... B
4 • 14.728 - 20.201) 3.900 - 24.694)
( (
T=(t 1 t 2 ) 14.648 47.806 34.831 35.872
1 ..--1 -1
Eigenvalues of: - <.... B
4
(- 28.648 - 545.414) (- 25.205 98.302)
(u1 p2)
Maximal eigenvalue Pmax -545.414 -25.205
Eigenvector corresponding to
Pmax: t:,. ( -20.201, 47.806) (3.900, 34.831)
Target value T 76.00 75.00
(j •min = .Jrr(T----=-y,......,.)--,--fP-max- 0.085 0.588
Optimal parameter va1ues
(1.567, -0.874) (-1.503, -1.043)
P•1 2 -- Ps +_!.
-
~ T- Y. B-1 tmax (-1.167, 1.874) (0.625, 0.421)
• 2 Pmax
Minimal value of variance O:rnin
0.0073 0.346
304 CHAPTER6
2.5
1.5
rs
A
~(p)=76
p 0
2
-0.5
-1
-1.5
-2
-2 -1.5 -1 -0.5 0 0.5 1.5 2
p
I
~
Figure 6.5. Optimal solutions for second order model with negative definite matrix B
2.5~------~----------~----------------~
0.5
tP, 0
-0.5 a2
*min
=0.346
-1
-2
-2.5 '---------------'- ----'----------'

-5 5
Figure 6. 6. Optimal solutions in case of performance characteristic with saddle point

•
6.4.2. A SPECIAL CASE: ERROR FREE PRODUCT PARAMETERS
As shown in subsection 6.3.3 the variance ä; is equal to zero ifthe target coincides with
the extremal value of the performance characteristic. In general, when this condition is
not satisfied, ä; > 0. However, in a special case when the nominal value of at least one
product parameter can be set without error in mass production one can obtain ä; = 0
even if r does· not coincide with the extremum of y(p).
Let us consider a product or process for which mi of all m parameters can be set
without errors in mass production and consequently, they are non-random. Their
variances and their covariances with other errors in the parameters are zero. Hence, the
covariance matrix of errors in factors can be written in the following block-matrix form:
where L m-m is a matrix of rank m - mi and 0 are matrices with zero elements.
I
The determinant of Le is zero and mi of the eigenvalues of Le are also zeros.

That is why the contours of variance
ii; (p) = (b + 2Bpy Le(b + 2Bp) (6.39)
are not more ellipsoids and form a stationary ridge system.

In this subsection it is convenient to use a new coordinate system. Denote
u = b + 2Bp and rewrite (6.39) as follows:
(6.40)
Figure 6. 7 illustrates an example with two product parameters PI and p 2 . Suppose that in
mass production the parameter PI is set with errors, while p 2 is free of errors. In this
case the contours of variance a; (p) are parallel straight lines. The value of ä; is
constant at each point of a given line. The line that passes through the stationary point of
y(p) corresponds to the crest ofthe ridge. As shown in subsection 6.3.3 the value of ä;
at the stationary point p_, is equal to zero. Consequently, all over the ridge crest the
variance ä; is zero. In order to solve the robust product design problern one must find
306 CHAPTER6
the points of intersection of the ridge crest with the contour y(p) = r. In Figure 6. 7
they are denoted by u\~~~ and u~:,~1 .
~
I
I
I
-----1
l-----
---~---
--·---
1
I
I
1
I
I
L---
__ ,e---
------1
I
y=r
u
1
Figure 6. 7. Parameter optimization for a product with two parameters, p 2 free of errors
An algorithm for solving this problern is proposed by Vuchkov and Boyadjieva

(1988). We briefly outline it here and the proofs are given in Appendix A.6.2.
Equation (6.40) can be presented in canonical form as follows:
(6.41)
where Ä. 1 ,Ä. 2 , .•• ,Ä.m are the eigenvalues of Le and R,,Pz, ... ,Pm are new canonical
variables. The following equations link u= (u 1 u2 •.. uJr with vector
p= (R, p2 Pm J:
p = sru, (6.42)
or
u=SP. (6.43)
where S is a matrix of the eigenvectors corresponding to .Ä.P .Ä. 2, ... , Ä.m. If Le is diagonal
matrix then S is identity matrix and the axes u; and P; coincide.
It follows from (6.41) that the value of 0: in the direction of a given principal
axis, say Pm, is equal to AmP,;. Suppose without Ioss of generality that the parameter Pm
is free of errors in mass production. In this case d., = 0, the corresponding diagonal
element of L 0 is zero and the covariances ofthe errors in Pm with the errors in the other
factors are zero and hence, Am =0. Consequently, the variance 0: at each point along
the principal IDP.s Pm is equal to zero, i.e. 0: = AmP,; = 0.
For the algorithm we need the matrix R = !srB- S 1 (see Appendix A.6.2).
4
Denote by R,. the diagonal element of R which corresponds to Am= 0 and
Consequently, to the parameter Pm which can be set without errors.
The algorithm runs as follows:
1. Compute the eigenvalues A1 ,A2 , •.• ,Am of L 0 and the corresponding matrix of
eigenvectors S. Specify the eigenvalues which are equal to zero.
2. Find the coordinates ofthe stationary point of y(p) using (6.28):
1 -1
P.=--B b.
2
Compute .Y. = y(p.) using (6.33):
3. Compute the diagonal elements of R = !srB-

4
S
1 for the eigenvectors in S
which correspond to zero eigenvalues.
4. Choose one ofthe diagonal elements ofR computed in step 3 that has a sign
coinciding with the sign of r- .Y. (if such diagonal element exists). Denote this diagonal
element by Rm and the corresponding eigenvalue by Am= 0.
5. Compute
6. Compute the optimal vector ofproduct parameters as follows
(6.44)
308 CHAPTER6
where sm is the eigenvector corresponding to Am.

The condition r- Ys and Rm to be with the same signs is fulfilled if B is positive
definite matrix and r > Ys or if B is negative definite matrix and r < Ys. For example, if B
is negative definite then the response surface contours are ellipsoids with a maximum at
the stationary point. If in this case the target r is chosen so that r > Ys, that means that
we want to get a value of the performance characteristic which is higher than the
maximal possible value Ys. This is an unrealistic target and there is no algorithm that can
provide a solution to a problern defined this way.
If B is neither positive, nor negative definite, then the response surface is of
minimax type. Suppose that the target r is chosen so that r> Ys' i.e. we want to achieve
a value of the performance characteristic which is higher than Ys. This is possible only
along these axes (say the direction ofthe coordinate axis Pm) for which the values Rm are
positive because in these directions
(6.45)
This equation is proved in Appendix A.6.2.

If there are no values of Rm with the same sign as r- Ys then there is no solution
that provides if. = 0 for the chosen target value r. The algorithm in subsection 6.4.1 can
give solutions for such cases. Forthose solutions if. > 0.
Examp1e 6.3. Constructed example revisited

Consider again equations (6.37) and (6.38) from example 6.2. Suppose that p 1 or
p 2 can be set without errors in mass production. The algorithm in subsection 6.4.2 is
used to obtain if. = 0 , while keeping y(p) = r. The solution is shown in Table 6.2.
Two solutions are given for each equation: one for the case when p 1 is set without error
in mass production, and the other - for p 2 free of errors.
Results of computations for elliptical contours corresponding to (6.37) are given
in columns 1 and 2 of Table 6.2. Column 1 shows the case when p 2 can be set without
errors in mass production and both second diagonal element of L. and A2 are equal to
zero. The results shown in Column 2 of Table 6.2 correspond to the case when for the
same response surface p 1 is free of errors in mass production and therefore, A1 = 0.
Figure 6.8 shows the optimal solutions for A1 = 0 or A2 = 0 in coordinate system p 2 •
The axes u1 and u2 coincide with ~ and Pz because L. is diagonal matrix.
T ABLE 6.2. Variance minimisation with preset target values for the response surfaces (6.37) and (6.38): case with factors free of errors
Performance characteristic II Equa_tion (6.37) II __Equation (6.38)
Column No. II I 2 II 3 4 5 6
0
""d
...,
Response at the stationary point:
Ys = J(Ps) = 79.995 79.998 83.734 83.725 ~

1 ~
=b0 --brB- 1b+tr(BL.)
4
Coordinates of the ~
stationary point:
1 -] (0.2, o.5) (0.2, o.5) 11 (-0.439, -o 311) <-0.439, -0.311) (-0.439, -0.311) (-0.439, -0.311) ~
Ps =--B b (J
2
g)
( 0.0025 OJ (0 0 J II (0.0025 OJ (0 0 J
Le 0 0 0 0.000625 0 0 0 0.000625 ~
VJ
'Tl
Eigenvectors of L. : 0
:;o
S=(s 1 s 2 ) (~ ~J (~ ~J II (~ ~J (~ ~J ~
tl:i
Eigenvalues of L.: (A. 1 ,A.J (0.0025, 0) (0, 0.000625) (0.0025, 0) (0, 0.000625) c::
VJ
...,
Eigenvector corresponding
0
to zero eigenvalue: s~ (0, 1) (1, 0) (0, 1) (1, 0) tT1
VJ
I T -1
......
Rm =-smß Sm -0.130 -0.182 -0.0139 §l
4 0.0868
Target value T 76 76 75 88 75 88 ~
Pm=±~( r- y.)! Rm
±5.543 ±4.681 ±25.089 No solution No solution ±7.017
Optimal parameter ~
values (p. 1 ,p. 2 ):
18-1
(1.198, -0.941) (-1.508, 1.342) (-2.229, -1.007) No solution No solution (0.779, -0.812)
R
...,
P•1z=- smRm+Ps (-0.798, 1.941) (1.908, -0.342) (1.351, 0.385) (-1.658, 0.190) VJ
, 2
w
0
\0
310 CHAPTER6
2.5---...-----r--.----,,..----.----,----r---,
1.
-0.
-1.
-2 -1.5 -1 -0.5 0 0.5 1.5 2

p
I ...
Figure 6.8. Optimal solutions for rnodel (6.37) with lti = 0 or lt2 = 0 in coordinate systern PI, p 2
For the minimax surface (equation (6.38)) the variance ;;; is equal to zero only in
direction of ~ axis if -r<ji, (colurnn 3 ofTable 6.2), or in the direction of ~ if -r> .Y.
(colurnn 6).
Consider colurnns 3 and 4 of Table 6.2 that correspond to the case when p 2 can
be set without errors in mass production. In this case Rm = -0.0139 and the mean value
for the stationary point is .Y. =83.734. Suppose that the target value is •= 75. We
obtain z-- .Y. =75-83.734 = -8.734. The signs of z-- .Y. and Rm coincide and the
solution can be found as shown in colurnn 3. However, if z-= 88, then z-- .Y. =4.266 and
there is no solution in the direction of ~ axis providing ;;; = 0.
These results are shown in Figure 6. 9 in coordinate system PI , p 2 . If p 2 is free of
=
errors then ;;; = 0 along the axis ~ u2 • The maximum of ji along this axis is in the
stationary point, where .Y. = 83.734. Moving the operating point from p,along ~ axis
one can only decrease ji. That is why if the target is z-= 75, there are two optimal
solutions p.I (1t2 = 0) and p. 2 (1t2 = 0) for which the target is achieved , while ;;; = 0.
However, for the case when z-= 88, the target value is higher than the greatest
possible response along ~ axis (ji, =83. 734). Therefore, in this case a solution
providing ;;; =0 does not exist.
For z-= 88 a solution can be found along the axis ~ ui. In this direction =
.Y. =83.734 is the minimal possible value. Consequently, for z-= 88 the variance Cl. is
equal to zero only if p 1 is free of errors in mass production. The corresponding solutions
are denoted in Figure 6. 9 by p. 1 (A-1 = 0) and p. 2 (A-1 = 0). The results of computations
are given in column 5 for r= 75 and column 6 for r= 88.
Ifthe achievement of r is impossible (for example, if r= 88, but p 1 can not be
set to a given value without errors in mass production), then the optimal solution can be
obtained through the algorithm of subsection 6.4.1 or by numerical procedures.
2.5,-----~-----------,------------------,
1.5
i
0.5
P, o
-0.5
-1
-1.5
-2
-2.5L___________________ _ L_ _ _ _l-~----------~
-5 5
Figure 6.9. Optimal solutions for model (6.38) with A1 = 0 or A2 = 0 in coordinate system p 1,p2
•
6.5. Model based decision making in quality improvement
6.5.1. PRODUCTS WITH SEVERAL PERFORMANCE CHARACTERISTICS
Often customers are interested in several performance characteristics of the product.

Usually their optimal parameter values do not coincide. Figure 6.10 shows two
performance characteristics y1 and y 2 depending on a single parameter p. The parameter
should be chosen to provide maximal values of the performance characteristics.
312 CHAPTER6
However, if the optimal value p 1opt corresponding to y 1 is chosen, the values of y 2 and
o;, are unsatisfactory and vice versa.
Figure 6.1 0. Compromise optimization for two performance characteristics of a single parameter
product
In this situation if both performance characteristics are equally important for the
customer a compromise product parameter value Pc can be chosen as shown in Figure
6.10. Neither the mean values, nor the variances for both performance characteristics are
the best ones, but Pc provides some reasonable values for each ofthem.
If one of the performance characteristics (say y 1) is more important than the other
(yJ, then weights w1 and w2 can be given to each ofthem (w 1 > w2 ) so that the solution
p cw is shifted towards p 1opt. The choice of the weights is a matter of customer or
engineer's preferences and it can be formalized by the quality function deployment (QFD)
approach (Mizuno and Akao (1994)).
The problern of compromise optimization for more than one parameter or more
than two characteristics is not much different. Consider a product or a process with r
performance characteristics: 171' 172 , ... , 17,. The target values for each of them are denoted
<1 , <2 , ... , <,, correspondingly. They can be achieved by choosing appropriate values of
the product (process) parameters p = (p 1 p2 ... PmY. Suppose there are errors in
parameters in mass production e = (e 1 e2 eJr, so the measured values of the
performance characteristics in mass production are
i=l,2, ... ,r.
Models of the mean values y(p) and variances ii 2 (p) of the performance
characteristics can be obtained using the methods in Chapter 5. They can be employed
for optimization in two different ways:
• Through compromise optimization,
• Through search of extremum of one performance characteristic, while keeping
the others within prescribed intervals.
Consider first the compromise optimization The criteria for compromise
optimization can be defined by generalizing the criteria considered in Section 6.2.
Generalized loss function. A compromise optimality criterion can be obtained by
generalizing the loss function as follows:
(6.46)
This criterion is based on (6.4) and can be used when a specific target value is the
best. For the smaller the better and the larger the better cases generalized compromise
criteria based on (6.5) and (6.6) are possible.
The weights kci can be chosen as in Section 4.2. Their dimension is
currency unit
(dimension of the performance characteristic Y'
so that Lg is the loss imparted to the society by the products, measured in the
corresponding currency units.
Forasingleperformance characteristic, the coefficient k in the loss function is not
influencing the optimal solution. In contrast, in the generalized loss function the
coefficients k; plays an important role in making the final decision because they put
different weights to each performance characteristic.
There are two problems which can arise with this generalized criterion:
• lt may be difficult to calculate the weights k ci because it may not be easy to
define the cost of repairing or replacing the product which is necessary for these
calculations.
• The generalized loss function Lg is at least of fourth order with respect to the
product parameters and the analytical methods developed in the previous sections of this
chapter can not be used. In this case the solution can be found using the numerical
procedures given in subsection 6.5.2.
314 CHAPTER6
Compromise of the individual solutions. A compromise can be obtained on the

basis of the individual solutions for each performance characteristic. They can be found
using the methods given in the preceding sections. Suppose that p~~~ is the vector of
parameters which minimizes the individual variance &;,, under the condition
Y; = r;, i =1,2, ... ,r. The compromise ofthe individual solutions can be found as follows:
1T
L
(i)
Pcopt =- wipopt' (6.47)
r i=I
where w; are weights chosen to take into account the importance of the performance
characteristics for the customer. If all performance characteristics are equally important,
then w1 = w2 = ... = w, = w and (6.47) gives the center of a polyhedron with vertices at
the individual parameter vectors for each performance characteristic.
Compromise based on generalized performance characteristics or desirability
functions. Desirability functions for the mean values of the performance characteristics
d~J and for the variances d(a 2 (y;)) can be defined as in subsection 3.10.1. A
desirability function which takes into account both the mean value and variance of the
performance characteristic is
Obviously 0 :;::; cf; :;: ; 1. The generalized desirability function can be defined as in
subsection 3. 10.1 :
As we noted in subsection 3.10.1 this approach should be used cautiously and

mainly for selecting variants for further discussion. Computation of D can be combined
with elimination of all variants which do not correspond to some Iimits of variation of the
performance characteristics and their variances. Such Iimits are defined in the next
section.
Dual response approach. Vining and Myers (1990) proposed the so-called dual
response approach for quality improvement problems. They consider mean and variance
response surfaces which may be represented by second order polynomial models. The
objective of the dual response approach is to optimize a primary response subject to an
appropriate constraint on the value of a secondary response. For cases when a specific
target value is best Vining and Myers recommend to minimize the variance function
a 2 (p) subject to the constraint y = r. The idea is the same as in Section 6.4 (see also
Vuchkov and Boyadjieva (1988)), but the computational methods are different. Vining
and Myers (1990) use Lagrangemultipliers and add a constraint for spherical region of
interest.
For the larger the better and the smaller the better cases Vining and Myers
consider the mean value y as a primary function. Then they propose to establish several
possible values for the variance, find the resulting optimum values for y subject to these
constraints on the variance, and select the best compromise combination of factors.
Under the conditions of Section 6.3 the stationary points of mean and variance surfaces
coincide and the procedure of Vining and Myers is not necessary. However, if there are
external noise factors the optimal points for mean value and variance do not coincide and
the dual response approach is applicable. This problern is considered in details in Chapter
7.
Dei Castillo and Montgomery (1993) noted that the dual responseproblern could
be solved by standard non-linear programming techniques. They use the generalized
reduced gradient algorithm. This approach is more general and allows finding the optimal
solution in regions of interest with different shape.
Lin and Tu ( 1995) noted that sometimes it is better to use loss function
minimization than to employ dual response surface approach. Their argument is that it
may happen that for small deviations of y from the target T the variance can decrease
substantially. In this case the parameters that correspond to the minimal variance are a
y
better solution than the set of parameters corresponding to = -r and the minimization
of loss function better suits this choice. This problern does not exist if the target is
defined as minimum or maximum and the performance characteristic's variation is due to
errors in product parameters. As under the conditions of Section 6.3.3 the stationary
points of the mean and variance surfaces coincide, the optimal parameter values found by
loss function minimization and by conditional minimization ofvariance also coincide. For
a specific target value is best case small changes of the mean value correspond to small
values of the variance which are proportional to the gradient of the mean value function.
One can see from (6.15) and (6.16) that iffor some parameter changes the corresponding
changes of y are small, the changes of the values in the brackets of (6 .16) are small as
weil. In this case a big change can occur in Cl if the variances ~ of some errors in
product parameters are very high. In reality this usually is not the case and the problern
of Lin and Tu (1995) can hardly occur if the variation is due to errors in product
parameters. However, if some external noises also contribute to it then this problern can
really exist.
6.5.2. USE OF NUMERICAL OPTIMIZATION PROCEDURES
The analytical optimization procedures that we considered in Sections 6.3, 6.4 and 6.5
are easy for implementation. However, they have some limitations. They are
inconvenient in the following cases:
• The variances of errors in the product parameters are not constant throughout
the region of interest. In this case the contours of the variance function are not ellipses or
316 CHAPTER6
ellipsoids. The contours of the mean value of the performance characteristic also change,
because their models are no Ionger second order polynomials of product parameters. The
friction-welding example considered in Section 6.8 is oftbis type.
• The model of the performance characteristic is not a second order polynomial.
Though widely used, the second order polynomials sometimes do not fit weil the data
and third order terms have to be added to improve the goodness of fit. Other examples
are the mechanistic models. In Chapter 8 we discuss quality improvement procedures
based on mechanistic models.
• The bias in the variance model due to Substitution of estimates for the true
model coefficients is not negligible. In this case the variance is given by (5.48) and the
results obtained in Sections 6.3 and 6.4 arenot applicable. In subsection 5.5.3 is shown
that the bias depends on product parameters. That is why the stationary points of mean
and variance surfaces do not coincide. This is shown in Example 5.11. The
corresponding contour plots are given in Figure 5. 6 and 5. 7.
• Loss function is chosen as optimality criterion. The solutions proposed in
Sections 6.3 and 6.4 are based on the use of the specific properties of second order
response surfaces. The loss function
is a second order function of product parameters only if y{p) is linear with respect to p.
Even when y(p) comprises only linear and interaction terms L is of fourth order with
respect to the parameters.
The case of linear dependence of y(p) on product parameters is not interesting
for the quality engineer, because as shown in subsection 5.2.2, in this case response
variance reduction can be achieved only by tightening the tolerances and not by
parameter optirnization This is an expensive solution of a quality improvement problem.
• Engineers want to explore the response surface near the optimum. The
analytical methods can provide an optimal set of product parameters, but they can not
explain what happens with performance characteristics when the parameters are changed.
Engineers usually prefer to have a set of variants for discussion rather than only one
solution. In this case they can take into account some considerations which are not
formalized in the equations of the mean value and variance of the performance
characteristic or in the loss function. Such considerations can be prices of raw materials
or components, policy of management with respect to the vendors or the market, etc.
Contour plots of the mean values and variance of the performance characteristics in the
neighbourhood of the optimal point are very useful in making the final engineering
decision. Of course two-dimensional plots provide a limited insight on the process or
product characteristics and decisions made only on the basis of contour plots in case of
more than 2 factors may be incorrect. Nevertheless several well-chosen two-dimensional
plots can provide engineers with interesting information about the product. They can
compare the results with their own experience and eventually discover some unknown to
them features ofthe product/process.
• There are constraints on factors. This is a typical situation where numerical
procedures can be applied easier than analytical ones. Sometimes the constraints form
regions of interest with rather complicated form. Examples can be found in mixture
experiments (Vuchkov and Yonchev (1979), Cornell (1990)).
Analytical solutions of the quality improvement problern for constrained factor
spaces are possible (Vuchkov and Boyadjieva (1992)). However, they are rather
complicated and the numerical optimization may be preferable.
There are many algorithms for numerical optimization (Wilde and Beightler
(1967), Fiacco and McCormick (1967), Box, Davies and Swann (1969), Himmelblau
( 1972), Biles and Swain (1980), Gill, Murray and Wright (1981 ), Steuer (1986),
Luenberger (1989), Stoyanov (1990), Rustagi (1994)). They differ in speed of
computation, accuracy, reliability of finding extremum, ability for global optimization or
optimization in special conditions (for example, for ridge-type response surfaces). For
relatively small number of product parameters (up to 5-6) the grid search is very simple
and convenient method, because it can be used to obtain a number of variants which are
a basis for discussions. When the number of factors is great a quick solution may be
obtained by the methods in Sections 6.3 and 6.5. When they are not applicable fast
optimization gradient, random search or other procedures can be used.
A reduction of the dimension of the optirnization problern is possible in cases of
conditional minimization of variance and when a specific target value is best. If the target
value is r one of the factors can be expressed as a function of the others using the
condition y = r. This reduces the space dimension by one. Suppose for example, that the
mean value ofthe performance characteristic in mass production is given by (6.18) which
can also be presented as follows:
,.. m m-1 m m m
ji(p)= ho + "f.b,p, + L "f..bZJpipi + "f..b;;P;2 + "f..b;;a;2 .

1=1 j=i+l l=l
Putting y(p) = r one can rewrite this equation in the form
where
m m-1' m-2 m-1 m-1
~ = h0 + "f..b"a7- T+ "f..b,p, + L "f. bifp,p1 + "f..b;,P;2,

l=l i=l j.::J+l i=l
m-1
h, =bm + "f..bzmPz'
i=l
318 CHAPTER6
F or a given iteration of the grid search procedure one can give constant values of
PI , p 2 , ... , Pm- I and can compute Pm by the formula
Substituting pi,p2 , ... ,Pm-I•Pm into {6.19) one can rninirnize Cl under the
condition y = -r.
If p m(1) or p m(2) are outside the interval of definition of Pm or if ~2 - 4hrflz < 0
then the corresponding values of ppp2 , .. . ,Pm-PPm are ignored and the algorithm goes to
the next iteration ofthe grid search.
A reduction of the dimension of the optirnization problern is possible in a sirnilar
way for other search algorithms.
Both the analytical and numerical optimization procedures given in this chapter
are developed for quantitative factors and for cases with performance characteristic's
variation due to errors in product or process parameters. Several extensions for cases
with qualitative factors or external noise factors are given in Chapters 7 and 9.
6.5.3. PRACTICAL PROBLEMS
There are several important problems with the applications of the model based approach
for quality improvement. They are as follows:
Computation of the loss function and the cost of the product. We should not
forget that in quality improvement the emphasis is put on rninirnizing the performance
characteristics' variability at a low cost. Therefore, one can use the loss function and the
cost function as additional criteria for selecting variants for further discussion. The loss
function takes into account the loss for the society, while the cost function measures only
producer's costs. The computation ofthe loss function is considered in Sections 4.2 and
6.5.1. Sometimes it is possible to define a cost function C(p) depending on the product
parameters. A typical example is a chernical product which is a mixture of m
components. Let the proportions of the components in the rnixture be PP p 2 , •.• , p m.
Suppose that the cost of a unit of the i-th component is c;, i = 1, 2, ... , m . Denote also the
permanent costs which do not depend on the values of product parameters by c0 . Then
the cost of a piece of the final product is
C(p)= Co+ fc;p; ·

•~I
Sometimes the cost function may be non-linear with respect to product

parameters. The computation of the loss and cost functions tagether with the
performance characteristics of the product is very helpful for choosing variants for
discussion.
Choice of variants for further discussion. The consideration of a set of variants
can reveal new opportunities for finding efficient low cost solutions of the quality
improvement problem. However, the number of variants obtained by the grid search
procedure can be very high. For example, for 6 factors with 10 Ievels each, the number
ofknots for grid search procedure is 106 . An analysis ofthese variants is not an easy task
for any engineer and it is also not necessary. There are several ways to select the most
interesting variants for further discussion.
Suppose that there are r performance characteristics yl'y2' ... ,y,. The Standards
and the specifications usually impose on them lower and/or upper specification Iimits:
LSLi $; Yi $; USLi' (6.48)

i=1,2, ... ,r.
In addition, upper Iimits vi can be imposed on the values of the variances for
each performance characteristic as follows:
(6.49)
Note that if the operating point p is chosen so that Y; (p) is equal or near to one
ofthe specification Iimits defined by (6.48), it can happen that a large part ofthe product
will be defective because of the random variation of the response around its mean value
y;(p). This can be avoided ifthe inequality (6.48) is strengthened as follows:
(6.50)
where Y; (p) ± K; is the interval within which random variations of the response are
expected.
If Y; is normally distributed one can roughly choose K; =3a[yi (p )], where
a[yi (p)] is the predicted standard deviation of the response in mass production. It can
be computed using (6.16). In generat the distribution of Y; in mass production may be
not normal because the errors in product parameters are transmitted to the response
through a nonlinear relationship. However, if the intervals of variation of the errors in
product parameters are not very large, this relationship can be considered as
approximately linear around the operating point. Therefore, if the errors in factors are
320 CHAPTER6
normally distributed, then the distribution of yj can also be considered as approximately

normal.
This is a rather crude procedure. A more precise procedure would involve
computation of Kj on the basis of confidence intervals for yj (p).
The computer can select only variants that satisfy (6.49) and (6.50). If their
number is still high, the intervals defined by these inequalities can be additionally
tightened which will decrease the number of variants.
Other criteria for selecting variants can be the loss function L, the cost function
C, or the desirability function D. They should be used as additional criteria after checking
the inequalities (6.49) and (6.50).
A typicallist ofvariants contains the information shown in Table 6.3.
T ABLE 6. 3. List of variants of oroduct oarameters

c D
Use of contour plots. Contour plots of the mean value and variance are useful
tools for presenting experimental results and can help engineers to better understand the
underlying process and the error transmission mechanism. They are sections of the
response surface. In a contour plot only two product/process parameters are varied,
while the others are kept constant. However, several contour plots can provide engineers
with thought provoking information from which useful conclusions can be drawn.
The number of contour plots which can be obtained using models of the mean
value and the variance, is enormous. Two simple rules can be used for initial selection of
some of them:
• Usually the bestvariant is selected using optimization procedures or the Iist of
variants (Table 6.3). Then the constant values of the parameters for a contour plot are
chosen to be equal to their selected optimal values.
• Cantours can be plotted for some specific set of parameters which are of special
interest to the engineer. Such sets can be defined on the basis of previous experience or
some hypothesis about the product's behaviour.
Areas of admissible values of product parameters can be outlined taking into
account the admissible values of the response. If there are several responses of interest,
their contours can be superimposed to provide areas in which all inequalities of the type
(6.49) and (6.50) are satisfied.
Decisions based on the results of subsection 6.4.2. As shown in subsection 6.4.2
if the target does not coincide with the extremum, the variance CY; can be set equal to
zero if at least one parameters is kept without errors in the mass production. It can be
worthy to put special efforts to this end, for example, by purchasing high quality raw
material or by introducing an automatic control system designed to keep one of the
parameters constant. The decision which parameter to be chosen can be made using the
models.
If the parameter p 2 is free of errors during the production process the variance
contours form a ridge system oriented as shown in Figure 6.7. The optimal solutions,
allocated on ~ -axis, are u~!~~ and u~~pr· When p 1 is kept without errors the ridge system
is oriented as in Figure 6.11 and the optimal solutions on ~-axis are u~~pt and u~1~pr· For
example, if p 1 is a very expensive component, used in a chemical reaction, while the
other component p 2 is relatively cheap, then the solution must be chosen to contain
minimum amount of PI.
I
\
u2 \ \
\ \
\ \
\ u(I) I \
\ \
\ 2opt\
\ \
-
-·----
\ \
\ \ \
\ l--_l----
\ \ 1 \
\ \
--~--- \ \
\ \ \
\
\
\
\
Figure 6.11 Parameter optimization for a product with two parameters, PI free of errors
A similar analysis is possible when the number of product parameters is higher

than 2. The final solution depends on the answers ofthe following questions:
• Which parameter can be easily kept without errors in mass production,
• What is the cost of each candidate-solution.
Example 6.4. Production of electroconductive and anti static textile materials

(continued).
In Example 3. 10 were obtained the following regression models for logged
specific resistance y 1 and electromagnetic wave damping coefficient y 2 of
electroconductive and antistatic textile materials:
and
322 CHAPTER6
The task is to obtain minimum specific resistance and maximum electromagnetic

wave damping coefficient with minimal variance induced by errors in factors. The
standard deviations of the errors in factors are ~ = 2% and a; = 0.4%,
correspondingly. The halfintervals ofvariations ofproduct parameters are given in Table
3.26 and are: m1 = 20% and m2 = 4%. The coded values of the standard deviations are
computed by formula ( 5. 3 I):
and
Consider first the Iogged specific resistance. Its mean value in mass production
can be computed by formula (6.I8):
where
b0 = 6.698, b = (- 0.286 - 0.349Y,
B= ( 0.559 - 0.0775J
andL = (O.OI 0 J
- 0.0775 -1.099 e 0 0.0 I .
The bias term is rather small:

tr(BL.)= -0.0054.
The coordinates of the stationary point and the eigenvalues of matrix B for this
model are computed in Example 3.13 as follows:
Ps = ( 0.23I5 J , A1 =-1.1023 and A- 2 =0.5622.

-O.I753
The eigenvalues have different signs and therefore, the performance characteristic
has a saddle point.
The mean value of the performance characteristic in the stationary point is:
- =b
Ys 1 T B -! b+tr ( B.:...
-4b ._, )
= 6.69.
0
The minimal value of variance corresponds to the stationary point and is

computed by formula (6.31):
m m-1 m
a (p.) = HOT+a! = 2I;b;;u; + L
2 I;b;~a;~ +a!.
i=l i=l j=i+l
The response error variance s; is estimated through residual variance s; which

was found in Example 3.10: ~ s; s;
= 0.0034. Therefore, the bias due to Substitution of
estimates for the true model coefficients can be neglected. The variance at the stationary
point is:
= 0.0003 + 0.0034 = 0.0037.

Figure 6.12 shows the contours ofthe mean value (hold lines) and variance ofthe
logged specific resistance.
-0.
-0.
-0.
Figure 6.12. Contours of the mean value (bold lines) and variance of the logged specific resistance
The minimum of the mean value surface is not in the saddle point and therefore,
the optimal solution does not correspond to the stationary point.
Similar analysis is carried out for the logged electromagnetic wave damping
coefficient y 2 (Figure 6.13).
324 CHAPTER6
-0.
-0.
-0.
0.5
0.6
0.4
t X
2
0.2
0
-0.
-0.
-0.
-0.
-0.5 0 0.5
X
-4
b)
Figure 6.13. Conteurs of the mean and variance of the electromagnetic wave damping (a) mean value
(b) variance
The maximum of the mean value and the minimum of the variance for this
performance characteristic are obtained at the stationary point.
As the requirements with respect to y 1 and y 2 are controversial for a good
solution we need a compromise. It can be found using a desirability function as shown in
Chapter 3.
•
6.6. Model based tolerance design
U sing an optimization procedure one can substantially decrease the variance of the
performance characteristic. Consider for example, the variance in mass production (5.11)
defined for a second order regression model provided that the bias due to estimation is
negligible:
t; ;~;~~if;~
2
a;.
m [ m ) m m-1 m
er 2 = t;erj2 ßi + 2ßiipi + ,'J::f!iJPi +2~~er~ + + (6.51)
Allterms in the right hand side of(6.51) are positive. The last two ofthem do not
depend on parameter values and can not be eliminated by parameter design.
Consequently, the parameter design can only help the elimination of the first term in the
right hand side of (6.51). Note that the first term is usually the greatest one and this
emphasizes the importance of parameter design.
The lower bound of the variance er 2 with given values of i = 1, 2, ... ,m is if;,
m m-1 m
er2 = 2r~er: +
i=l
L
i=l
L~cl;~.
j::::i+l
If it is not small enough the only possibility to decrease further er 2 is to reduce

if;, i = 1, 2, ... ,m, that is toshorten the tolerance intervals. This corresponds to Taguchi's
tolerance design.
In the model based approach this problern can be solved without any additional
experiments. Consider again the second order regression model (5.7). The corresponding
performance characteristic's variance is given by (6. 51).
Assurne that the optimal parameter vector obtained by parameter optimization is
p. = {p1• p 2• ... Pm•Y.
Putting this value in (6.51), substitutins least square
estimates bi , bi1 , bii for their true values ßi ,ßi1 , ßii and sj2 for the variances 0:, we obtain
an estimate of er for the optimum parameter set p. :
2
2
[ )
s 2(p.)= rs;
m m m m-1 m
bi + 2biiPi• + LbiJpj. +2Lbi;s: + L Lbi:si2 s:+s&2 . (6.52)
i=l j=l,j~i i=l i=l j=i+l
The relative contribution of each term in (6.52) to the variance s (p.) is

2
326 CHAPTER6
(6.53)
With these notations (6.52) can be written as follows:
After tightening i-th tolerance 9; times (i = I, 2, ... , m) the variance reduces to
(6.54)
. Using (6.54) one can judge forthebest choice of 9;. Tightening the tolerances
makes the product more expensive. Therefore, the values of 91' 9 2 , ... , 9 m in (6.54) have
to be chosen on the basis of calculated cost reduction.
Suppose that low cost tolerances are used during the parameter design and the
variance s2 is not small enough. Suppose one wants to reduce it to s; .
Let the cost of .9;
times reduction of the i-th tolerance interval is y(9ji = 1,2, ... ,m. The cost of variance
reduction of the performance characteristic is
c(9) = fr(9; ).
i=l
The values of B; must be chosen to rninimize C(B )under the conditions
s-2(p • ) s s-20 and y

A
~ r.
Sometimes the tolerance design is related to the fraction nonconforming products

allowed or to the capability index
C = USL-LSL
P 6u y
where USL and LSL are upper and lower specification Iimits correspondingly.
In generalo-Y can be computed using formula (6.51). However, the capability

index is based on the assumption that the performance characteristic y has normal
distribution. In cases with errors transmitted from factors to the response the distribution
of y may not be normal even if the errors in product parameters are normally distributed.
The reason for this is that if the function q(p) is nonlinear then the errors in errors in
product parameters e are subject to nonlinear transformation and the distribution of
y(p, e) = q(p, e) + e(p) may not be normal. Therefore the calculation of the fraction
nonconforming products should be based on the true distribution of the performance
characteristic.
A method for tolerance design based on the fraction nonconforming products that
takes into account non-normality of the performance characteristic is proposed by Huele
(1998).
Similar approach can be applied when the bias due to inaccurate estimation can
not be neglected. In this case formula (6.51) should be replaced by (5.48). In this formula
the error variances are included in the elements of matrix \f (see Example 5.8). When
the tolerance intervals are tightened .9; times, the values of 0: in \f should be replaced
by d; I .9; and then a combination of .9;. i = 1, 2, ... , m that reduces the performance
characteristic's variance to the necessary Ievel at low cost.
The variance can be written in an explicit form if full or fractional factorial design
or second order symmetrical design is used. In these cases (5.50) or (5.52) should
replace formula (6.52). For example, if second order symmetrical design is used and the
i-th tolerance should be tightened .9; times the following formula is obtained:
The tolerances can be chosen as above replacing (6.54) by (6.55).

Iffull or fractional factorial design is used the variance model is (5.50). lt can be
considered as a special case of (5.52). That is why for tolerance tightening one can use
(6.55) putting b;; =O,d3 =0 and d5 =d6 = 1.
Note that the reduction of tolerance intervals decreases the error variances s;2 in
(6.52). Therefore, the optimum parameter values may change after the tolerance design.
That is why a new iteration of model-based parameter design may reduce further the
performance characteristic's variance.
328 CHAPTER6
6.7. Summary of the model-based approach to quality improvement through

reduction of the transmitted variation
In this section only the problern of reduction of the transmitted variation from the
product parameters to the response is considered. Extensions for other cases are given in
the next chapters.
The quality improvement of a product or process can be done in the following
steps:
1. Provide a clear statement of the problem. Identify the responses to be studied
and determine the measurement method.
2. Determine the factors which will be varied during the experiment and their
intervals of variation. ·
3. Choose a design ofexperiments (see Chapters 2, 3 and 4).
4. Conduct the experiments without errors in factors and record the data.
5. Fit a regression model using the methods ofChapter 2. Pay a special attention
to model structure selection.
6. Carry out a test for Iack of fit and correct the model if necessary (see
Chapter 2).
7. Estimate the moments of the errors in the product parameters in mass
production as shown in Section 5. 3.
8. Put the estimated regression coefficients and error moments in the models of
the mean value and variance in mass production. Use the formulae of subsections 5.2.3
or 5.5.3.
9. Define an optimization problem. Compute the optimal parameter values p. and
the corresponding mean values jii (p.) and variances s/ (p.) for all performance
characteristics. Make an engineering decision on the basis of the numerical and graphical
information provided by the models of the performance characteristics' mean values and
variances in mass production. A discussion on these problems is given in the preceding
sections oftbis chapter.
Ifnecessary, iterate the previous steps.
10. Choose new tolerance intervals if s/ (p.) are higher than the desired values
si~ for some performance characteristics. Use the formulae given in Section 6.6.
11. Conduct a confirmatory experiment for verification of the obtained optimal
parameter values and new tolerance intervals.
6.8. Friction welding example
We consider a friction-welding example given by Barkerand Clausing (1984). They used

Taguchi method to find a welding system that reduces or prevents shaft breakage of the
propeller in a high powered outboard engine. Performance characteristic y is the tensile
strength. The target is to obtain y approximately equal to 160 , while keeping standard
deviation below 20. The factors are listed in Table 6.4. Denote by p;, i = 1, 2, ... , 6 the
values of factors measured in a physical scale. Their ranges are p;min :s; p; :s; p;rnax. Coded
values of the factors are used in the design of experiments which is shown in Table 6. 5.
They are denoted by P; and are computed by formula (2.28).
T ABLE 6.4. Factor levels, low cost tolerances and half ranges offactor variations for the friction
weld"mg example.
l
Speed Heating Upset Length Heating Upset
Factors pressure pressure time time
(rpm) (psi) (psi) (thous) (sec) (sec)
p; p~ p; p; p; p~
1-st level (p = -1) 1000 4000 8500 -30 2.8 3.2
2-nd level (p = 0 ) 1200 4400 9000 0 3.2 3.6
3-rd level (p = 1 ) 1400 4800 9500 30 3.6 4.0
Low cost
tolerances K; (%) ±10 ±15 ±15 ±10 ±20 ±20
Halfranges of
variationm; 200 400 500 30 0.4 0.4
Barker and Clausing used a crossed array consisting of a ~ 7 orthogonal array as

a parameter design matrix (columns 2 to 7 ofTable 6.5) and a ~ 8 orthogonal array as a
noise matrix. The total number of runs is 27 x 18 = 486.
The variations of the process parameters within the tolerance Iimits shown in
Table 6.4 are considered as noises. The L18 orthogonal array is conducted for each row
of the parameter design. The Ievels of the noise factors in it are chosen equal to
(1-K;f100)p;,p; and (l+K;flOO)p;. For example, for the first run ofTable 6.5 the
first parameter is p 1 =-I which corresponds top;= 1000 rpm. According to Tabie 6.4
the low cost tolerance of p{ is K 1 = IO%. Therefore, the Ievels of p{ in the L18 array for
the first run ofTable 6.5 are 900, IOOO and IIOO rpm.
Signal-to-noise ratio for the larger the better case is used to find an optimal
operating point p. = (o I I 0 I oY.
The mean value is I59.73 and the standard
deviation is 45.I5. Since the target with respect to the standard deviation is not achieved,
Barker and Clausing had carried out additional 18 runs using an L18 array centered
around p. and based on low cost tolerances. The factor contributions for p 1, p 2 , .•. , p 6
are 2%, 34%, 20%, 2%, 21% and 12% respectively. The contribution ofthe residuals is
9%. The new tolerances are chosen as follows: ±10%,±7.5%,±7.5%,±10%,±5% and
±5%. Other I8 runs are carried out with the new tolerances to verity the results and new
mean value 180.12 is found, while the standard deviation is reduced to 16.82. The total
number ofruns is 486 + I8 + 18 = 522. For the response surface approach we used 27
runs of ~7 array instead of 522. They are given in Table 6. 5.
330 CHAPTER6
TABL E6 .5. Expenmenta1data and results of computations

Coded values of factors Measured Standard Predicted Predicted
strength deviation strength strength
based by in mass
on noise regression production
matrix
No PI Pz PJ P4 Ps P. y s y y+tr(BLe)
SV
1 2 3 4 5 6 7 8 9 10 11
1 -1 -1 -1 -1 -1 -1 104.3 38.04 104.32 85.20
2 -1 -1 0 0 0 0 135.1 27.89 135.09 111.43
3 -1 -1 1 1 1 1 128.6 45.16 128.63 99.78
4 -1 0 -1 0 0 1 123.8 42.41 123.78 95.01
5 -1 0 0 1 1 -1 134.6 45.59 134.57 115.43
6 -1 0 1 -1 -1 0 134.7 27.06 134.67 110.96
7 -1 1 -1 1 1 0 150.6 38.88 150.61 126.89
8 -1 1 0 -1 -1 1 116.2 43.24 116.22 87.40
9 -1 1 1 0 0 -1 151.2 45.03 151.17 132.09
10 0 -1 -1 0 1 0 134.2 31.73 134.15 109.69
11 0 -1 0 1 -1 1 134.1 41.28 134.10 104.49
12 0 -1 1 -1 0 -1 132.0 40.67 132.01 112.09
13 0 0 -1 1 -1 -1 125.8 38.47 125.76 105.85
14 0 0 0 -1 0 0 140.9 28.67 140.91 116.41
15 0 0 1 0 1 1 158.5 46.85 158.57 128.99
16 0 1 -1 -1 0 1 129.6 44.86 129.61 99.99
17 0 1 0 0 1 -1 164.5 50.00 164.51 144.64
18 0 1 1 1 -1 0 156.1 29.91 156.10 131.61
I9 I -I -I I 0 I 111.7 43.96 111.72 81.17
20 1 -I 0 -I I -I 109.6 46.74 I09.59 88.73
2I 1 -I 1 0 -1 0 146.7 30.60 146.73 121.36
22 1 0 -I -1 1 0 I25.6 37.59 125.63 100.19
23 1 0 0 0 -1 1 I28.3 44.40 128.29 97.79
24 1 0 1 1 0 -1 139.1 44.84 139.11 118.26
25 1 1 -1 0 -1 -1 119.9 44.07 119.94 99.15
26 1 1 0 1 0 0 148.0 36.84 148.01 122.58
27 1 1 1 -1 1 1 150.1 53.13 150.05 119.49
OPTIMIZATION PROCEDURES FOR ROBUST DESIGN OF PRODUCT.S 331
and simulations for friction we1ding examp1e

Predicted Predicted High Mean Standard Mean Standard
Standard variance order strength deviation strength deviation
deviation inmass term based on based on basedon basedon
in mass production simulated simu1ated simulated simu1ated
production L18 array Ll8 array data data
s s2 HOT j/(18) s (18)
SV
y(lOOO) s (1000)
SV
12 13 14 15 16 17 18
43.36 1879.81 701.29 85.20 38.03 86.07 41.99
41.47 1719.75 1089.91 lll.43 27.89 109.92 42.75
60.43 3652.02 1624.09 99.78 45.62 100.32 57.51
57.84 3345.27 1616.82 95.01 42.40 96.33 57.86
50.05 2505.12 801.28 115.43 45.57 116.02 48.72
41.08 1687.86 1080.31 110.96 27.08 110.88 41.19
50.02 2502.29 ll97.31 126.89 38.85 126.45 50.03
58.40 3410.75 1602.79 87.40 43.25 89.23 56.58
49.57 2456.81 789.34 132.09 45.03 132.09 46.92
43.52 1894.17 1131.47 109.69 31.74 109.64 45.28
55.72 3104.97 1565.68 104.49 41.26 104.96 54.17
45.19 2042.43 738.77 112.09 40.66 110.69 45.45
43.09 1856.80 729.16 105.85 38.47 105.31 45.26
41.68 1737.28 ll24.21 ll6.41 28.68 118.44 40.28
6l.ll 3734.16 1665.66 128.99 46.83 130.21 58.34
59.51 3541.58 1653.73 99.99 44.85 102.41 56.65
53.09 2818.08 846.16 144.64 49.95 146.52 53.ll
42.43 1800.18 ll10.18 131.61 29.95 133.08 42.24
57.91 3353.91 1607.61 81.17 44.71 82.51 53.47
49.46 2446.14 784.79 88.73 46.73 87.98 49.73
41.56 1727.57 1077.51 121.36 30.66 ll9.97 43.05
47.04 2212.49 ll77.51 100.19 37.58 102.85 46.99
57.58 3315.13 1597.99 97.79 44.40 100.26 53.93
47.82 2286.66 777.52 118.26 44.83 ll7.16 46.31
46.93 2202.29 763.48 99.15 44.08 99.82 47.54
46.48 2160.30 ll65.57 122.58 36.85 121.97 44.73
65.45 4283.30 1715.00 ll9.49 53.10 ll7.10 68.27
332 CHAPTER6
Column 8 of Table 6.5 shows the values of the tensile strength y obtained by
Barker and Clausing through an experiment without errors in factors. U sing noise arrays
they computed the standard deviations s"" which are shown in Column 9. Through
ANOVA technique Barker and Clausing studied linear and quadratic effects offactors on
the strength and on the signal-to-noise ratio. The interaction effects are not studied in
their paper.
We used the data given in columns 2 to 8 of Table 6.5 and applied stepwise
regression to obtain the following model in coded factors:
y = 154.156+8.328p2 +9.528p3 +4. 756p4 +5.011p5 +

+7.142p2p5 -10. 740p12 -8.489p;- 0.022p; -10.106p~. (6.56)
This model is quite good. The residual variance calculated with 17 degrees of
freedom is a; R::S; =0.00154, while the multiple correlation coefficient is 0.9999. Note
that the interaction between p 2 and p 5 can not be neglected.
For the model-based approach we need the variance matrix of errors in factors
which is not given by Barkerand Clausing. We computed estimates of these variances

taking into account Taguchi's recommendation (Taguchi (1986a), p. 109) to choose the
factor Ievels in the noise array equal to m'- ../3T2a';, m' and m' + ../3T2a';, where m' is
the mean value of i-th noise factor, a'; is the corresponding standard deviation,
m' = p;' , and .J312a; = K;p; 1100. Therefore, we can compute an estimate of the
noise variance as follows:
Taking into account (2.28) the variances of the errors in coded factors can be
obtained as follows:
They depend on p/and vary in the factor space. Column 10 ofTable 6.5 shows
the predicted values of the tensile strength y computed by (6.56) for the case without
errors in factors. In presence of errors the mean value of the strength is y + tr( B:E.) . It
is estimated by substituting y and B for 17 and '8, correspondingly and are given in Table
6.5. One can see that the bias due to errors in factors is considerable.
Experimental data confirming these computations are available in Barker and
Clausing's paper (1984) only for run No. 1. The average value based on the experiment
is 85.23 for this run, while y + tr(B~.) = 85.20. The coincidence is satisfactory.
Substituting in (6. 51) the least square estimates b;, b,1 ,b,. for ß; ,ßl] ,ß;, we obtain
an estimate s2 for the performance characteristic's variance in mass production if. The
values of s2 and the corresponding standard deviations s are given in columns 13 and 12
ofTable 6.5. The fourth order terms are computed as follows
,.. m m-1 m
HOT= i'L,b,;a: + L Lb;~0';2 a~
J:=] i:::::] j:::::z+l
and are given in column 14 of Table 6.5. One can see that the value of HOT is rather
!arge (up to 64.7% ofthe value of s2 in run No.14) and can not be neglected.
Grid search is used to minimize s2 , while keeping the mean value of the tensile
strength approximately equal to 160. There are many solutions. Three ofthem are shown
in Table 6.6. The third one coincides with the solution given by Barker and Clausing
(1984). The results obtained by minimizing the lass function are almost the same.
TABLE66 0Jptima parameter va ues obtamed throug1h cond'.

Itlona mimmization of vanance
Tensile Tensile Standard
strength strength deviation
Coded values of the factors predicted by in mass in mass
regression production production
l~U.
PJ P2 ?3 P4 Ps p6 J \"'""• s
I 0 I I 0.25 I -0.25 I84.I7 I60.9I 49.80
2 0 I I 0.50 I -0.25 183.76 160.49 49.80
3 0 1 1 0 I 0 I84.I4 I59.69 50.29
Figure 6.14 and Figure 6.15 show the mean and variance of the tensile strength
respectively for p 1 = 0, p 2 = 1, p 3 = 1, p 5 = 1 and for low cost tolerances of the
parameters.
As the value of s does not meet the condition s< 20, a tolerance design is
carried out using the method described in Section 6.7. The contributions of the factors
and their interactions to total variance in mass production are computed by (6.53), where
p. = (o 1 1 0 1 oY. The contributions of p 2 , p3 , p5 , p6 and p 2 p 5 are significant.
They are given in Table 6.7. In this table we are using the following notation:
m
ß, =bi + 2b;,P;• + Ib.,p, •.

j=l,j-:;t:.i
334 CHAPTER6
D
-D.5 0 0.5
~
Figure 6.14. Mean tensile strength for friction welding example (low cost tolerances of the parameters)
'"""
0.8
3300
0.6
3000
0.4
2700
{~
Pqx
QL.'<J
""""'
-{).4
~~
""'""'
-D.6
2700
-D.8
-1
-1 -D.5 0 0.5
~
Figure 6.15. Tensile strength variance for friction welding example (low cost tolerances of the
parameters)
Tbe tolerances are reduced (Table 6. 7). Tbe reduction is smaller tban tbat given
by Barker and Clausing ( 1984). As a result of tolerance design tbe following values of
tbe tensile strengtband its standard deviation are obtained: y+tr(m::.) = 180.19 and s
= 19.06. Witb tolerance of beating time reduced to 1/4 of tbe original tbe standard
deviation becomes 17.11 instead of 19. 06, while tbe mean value of tbe tensile strengtb is
180.20.
Same additional comments can be made on tbe basis of tbese results. Tbe
standard deviation at tbe optimal point p. = (o 1 1 0 1 oy
was found by Barker
and Clausing (1984) to be ssv = 40.15, wbile tbe computed by tbe variance model is s =
50.29. From Table 6.5 one can also see tbat tbe standard deviation estimated by Taguchi
metbad (s.. , column 9) is always significantly smaller tban tbe standard deviation
obtained througb model (s, column 12). This difference is due to a bias in tbe standard
deviation estimates obtained through Taguchi metbod. Usually tbe errors in product
parameters bave continuous distributions , while tbeir Ievels in tbe noise matrix are fixed.
Tberefore, in Tagucbi metbad tbe estimates of standard deviations are based on data
whicb are not representative for continuous error distributions.
TABLE 6.7. To erance des1gn

.
Contributions (%)
Factors Linear Quadratic Total New to1erances
A2cr2 /s2(p )
I I 0 2bi;cri4 /s 2(p.)
Speed 0 0.5 0.5 original
Heating pressure 20.4 0 20.4 1/2 of original
Upset pressure 19.4 0 19.4 1/2 of original
Length 0 0 0 original
Heating time 12.5 0 12.5 1/2 of original
Upset time 0 37.7 37.7 l/4 of original
Interaction
Heating pressure h25 cr;cr; /s 2(p.)= 9.5%
x Heating_ time
Contour plots for mean and variance for tbe tensile strengtb witb tbe new
tolerances are given on Figure 6. 16 and 6. 17, correspondingly.
336 CHAPTER6
0.
0
0.
0.
180
0.
Po
-0.
-0.
-0.
-0.5 0 0.5
~
Figure 6.16. Mean tensile strength for friction welding experiment (new tolerances ofthe parameters)
0.8 400
0.6
0.4 - 370
300
0.2 v-
-......
{:r------
P<P
•
-0.4
370 ----
-0.6
t---- 300
-0.8
400
-1
-1 -0.5 0 0.5
A_____.
Figure 6.17. Tensile strength variance for friction welding experiment (new tolerances ofthe
parameters)
Some simulations were carried out to study this problem. Taking into account
that the multiple correlation coefficient for model (6.56) is very high and the
corresponding residual variance is very small, (6.56) was used to stimulate data close to
the physical data of Barker and Clausing (1984). Two simulation experiments were
carried out as follows:
(i) The values of factors were chosen according to L 27 and L 18 orthogonal arrays
which correspond to parameter and noise designs of Barker and Clausing. The only
difference with their experiments is that the data were simulated. For simulation of the
response we used (6.56) and normally distributed noise e with zero mean and variance
0: = O.OOI54 is added. These data were used for computation of the mean y{I8) and
the standard deviation s sv {I8) for each run of the parameter design. They are shown in
columns I5 arid I6 of Table 6. 5 respectively.
Mean values of the performance characteristic are not available in Barker and
Clausing's paper (I984) except for run No. I. However, one can see that y{I8) is very
close to the prediction y + tr(m::.) obtained by model (6.I8) which is shown in column
II. The standard deviations s sv (18) are very close to ssv obtained by Barker and
Clausing on the basis of physical experiments (column 9). Therefore, the conclusions
about the standard deviations based on simulated data are the same as for the data from
physical experiments.
(ii) In the second simulation experiment one thousand simulations were carried
out for each parameter design point. Noise design was not used. The values of the
performance characteristic Yu1 , u = I, 2, ... , 27, j = I, 2, ... , I 000 were generated using the
following procedure. In (6.56) Z 1" 1 = p + e,"1 was substituted for
1" p1" , i = I,2, ... ,6, where
e1"' is normally distributed random variable with zero mean, and 0: = O.OOI54 is added
to each value. The mean values y(1000) and the standard deviations s sv {1000)
calculated from I 000 simulations for each run of the parameter design are shown in
column (16) and (I7) ofTable 6.5. One can see that the mean values y{1000) shown in
column II are almost the same as these obtained by model (6.I8) and by the noise design
( column I5) The Standard deviations s"' (1000) agree weil with .~ computed by the
model (column I2) and are rather different from the obtained through noise matrix
(columns 9 and I6).
In the first simulation experiment the data were taken for discrete Ievels of the
noise according to the L 18 array, while in the second one a continuous distribution is
simulated. The conclusion is that the standard deviation computed on the basis of a noise
design is underestimated. Huele (1998) gives an explanation ofthis result. He shows that
if the high order terms (HOl) are significant Taguchi method underestimates the
variance. This can be seen from Table 6.5. In this table the ditferences between the
standard deviations computed by the noise matrix (column I2) are greatest for
experiments containing great high order terms (HOl) values, see for example run
No. I4.
338 CHAPTER6
6.9. Bibliography
It was shown in Section 6.3 that in case of constant error variances the steepest ascent
procedure can be employed for both mean value optimization and variance minimization
This method is described in more details in many books, For example, Box, Hunterand
Hunter (1978), Box and Draper (1987). Box and Fung (1986) consider steepest ascent in
quality improvement context. Several papers consider quality improvement problern as
dual response approach. Vuchkov and Boyadjieva (1988) discuss procedures based on
ridge analysis of mean and variance models for products with errors in factor Ievels.
Vining and Myers (1990) employ dual response approach for problems with both errors
in factor Ievels and external noise factors. Dei Castillo and Montgomery (1993), Lin and
Tu (1995), Myers and Montgomery (1995), Dei Castillo (1996) further employed this
approach.
Appendix A.6.1. Development ofthe algorithm ofsubsection 6.4.1
An algorithm for minimization of variance
a; =(b+2Bpfl:.(b+2Bp) (6.20)
is developed below, under the condition that the mean in mass production is equal to a
target value -r, i.e.
y(p) = b0 + prb + pTBp + tr (Bl:.) (6.18)
There are no constraints on the factor values.
First we introduce a new coordinate system by means of the Substitution
u=b+2Bp. (A.6.1)
According to (6.27) at the stationary point u, = 0. Therefore, the transformation (A.6.1)

shifts the origin in point p,, rotating the new axes u with respect to p. Keeping in mind
(6.28) we obtain from (A.6.1) the following formula for transition from the new
coordinates u to the old ones:
(A.6.2)
The variance ü! can be written in the new Coordinates as follows:

-2 T~
a. =u .w.u. (A.6.3)
Putting p from (A.6.2) in (6.18) we can write the performance characteristic's model in
the following form
(A.6.4)
This expression is written taking into account that B is a symmetric matrix and
(B-1 } = B- 1 . Removing the brackets in (A.6.4) we obtain the following expression:
(A.6.5)
At the stationary point u = 0 and
(A.6.6)
This equation coincides with formula (6.33) of the algorithm. Putting (A.6.6) into
(A.6.5) we can obtain
(A.6.7)
The type of the performance characteristic's response surface depends on the

quadratic form 2.urB- 1u. In the text that follows we consider the value
4
(A.6.8)
A weH known result from the matrix algebra (Gantmacher (1959)) is that two
quadratic forms z,.; and Y, one of which ( ä;) is positive definite, can be simultaneously
reduced to canonical forms
(A.6.9)
and
- 2
(1'• =.)!2,1 + .,2)!2 +. ··+.,m,
)!2
(A.6.10)
where f.Jpf.J 2 , . .. ,f.Jm are the eigenvalues ofthe matrix ~ l::1B- 1, i.e. the roots offollowing
characteristic equation:
340 CHAPTER6
The relationship between u and ~ is as follows:
(A.6.11)
where T is the matrix ofthe eigenvectors of _!_ ~- 1 B- 1 . Putting (A.6.11) into (A.6.2) and
4 e
taking into account (6.28) we obtain
(A.6.12)
Denote by .Umax the largest eigenvalue of the matrix ±~:1 B- 1 and by ~max its
corresponding co-ordinate. lt is weil known (Gantmacher (1959)) that .Umax is the
maximum ofthe ratio Y I o-;, i.e.
y
max 0: = .Umax. (A.6.13)
This maximum is attained on the principal axis of Y. corresponding to J.lmax . One can see
from (A.6.9) that in the direction ofthis axis
Let the target for the mean value be ji = T. Then Y = T- Ys and from (A.6.14)
follows that
(A.6.15)
Finding the maximum of the ratio Y I o-; under the constraint Y = r- Ys =const means
determining such a value of ~max which minimizes o-; under the condition y = T. One can
find this coordinate from (A.6.15) as follows:
~ =+~ T-
max
Ys
f.lmax
-
(A.6.16)
The signs of •- Ys and .Umax must always coincide so that the value under square root is
always non negative.
There are two solutions for ;max , because the central second order hyper surfaces
are symmetric with respect to the stationary point. The minimal variance under the
condition y = -r can be found from (A.6.10) and (A.6.16):
(6.34)
This way formula (6.34) ofthe algorithm is proved.

The coordinates of the point in which ä~ is minimal for y = -r can be obtained
from (A.6.12). Taking into account that the only non-zero coordinate of the optimal
solution in coordinates ; is ;max, this formula can be written as follows:
P"' ' 2 --. .!_B- 1 (+t

-
./!
max':>max
-b)-- -+.!_B-1t max':>max
./!
+ P, --
2 2
(6.35)
where is the eigenvector corresponding to the eigenvalue Pmax .

tmax
This way all formulae ofthe algorithm are proved.
Figure 6.18 shows a geometrical interpretation of the obtained results for m = 2
with two different response surfaces.
Figure 6.18. Simultaneous transformation of mean and variance of the performance characteristic
342 CHAPTER6
The Substitution (A.6.11) transforms er~ into a hypersphere (A.6.10) and Y into a
second order hypersurface (A.6.9). Equation (A.6.16) defines the radius of a sphere
which is tangent to the hypersurface corresponding to ji = r.
•
Appendix A.6.2. Development of the algorithm of subsection 6.4.2
Consider the case when in mass production ~ of the product parameters can be set on
their Ievels without errors. Their covariance matrix is defined as:
As shown in subsection 6.4.2 the variance in mass production can be presented in

theform
(6.41)
where Ap A2 , ... , Am are the eigenvalues of ~. and ~,~, ... ,Pm are new canonical
variables. The following equations link vector P = (~ P.z ... Pm) with
U =(u1 U2 ••. UmJ:
P= sru, (6.42)
or
u=SP, (6.43)
where S is a matrix of the eigenvectors corresponding to A1 , A2 , •.. , Am.

Without any loss of generality we can assume that the last ~ eigenvalues of ~.
are equal to zero: Am-m,+I = Am-m,+ 2 =... = Am =0. In the directions of the axes
Pm-m,+ 1,J!._..,+2 , ••• ,Pm the variance er~ is zero:
(A.6.17)
In (A.6.17) it is taken into account that all axes in P-space are orthogonal.
Any point on Pm-m, +1 , J!._.., +2 , ... , Pm axes provides er~ =0, but the solution should
also satiscy the condition ji = r. As for ~ > 1 the number of solutions is infinitely great,
we can choose any of them. For example, we can Iook for a point which is on Pm axis
and satisfies the condition ji = r.
Substituting u from (6.43) in (A.6.8) we obtain
(A.6.18)
Denote R =.!.srB- S and define the following block matrices:

1
where Pm is the last element of P which corresponds to A.m = 0, Rm is the last diagonal
e1ement of Rand Rm_ 1 is (m -1)x (m -1) matrix and r is (in -1) vector column. One
can easily verify that
- T T 1 -1 T
Y= r- y =PS -B SP=P RP=
. s 4
(A.6.19)
As noted above, the needed solution must lie on Pm axis and all other coordinates of P
must be zeros, i.e. P",_ 1 =0. Consequently, from (A.6.19) follows that
and
p = ±~T- Ys. (A.6.20)
m R
m
Substituting (6.43) into (A.6.2) and taking into account (6.28) we can compute the p-
coordinates ofthe optimal solution as follows:
Taking into account that all coordinates of the vector Popt except Pm are equal to zero,
we obtain:
1 -1 p (A.6.21)
POJ2 =ps ±-ß Sm m
. 2
where sm is the eigenvector corresponding to A.m.

•
CHAPTER 7
ROBUSTNESS AGAINST BOTH ERRORS IN PRODUCT PARAMETERSAND

EXTERNAL NOISE FACTORS
7.1. Introduction
In chapters 5 and 6 we considered only the effects of the noise in product or process
parameters on the response characteristics. However, products and processes are often
subject to external noises which can appear both in production process and product' s
usage. Taguchi calls them outer noises.
Consider For example, the truck tyre production. An external noise during the
production process is the environmental temperature. After moulding the tyre is left to
cool down. During this time the molecules of the rubber mixture continue to tie together
and the performance characteristics of the rubber are changing. These changes depend on
the rate of cooling which is a function of the environmental temperature. This
temperature depends on the season and varies within a twenty-four hours period
During usage ofthe truck tyre external noise factors are:
• Pressure. Despite of the fact that the producer prescribes a nominal air pressure
the real pressure usually varies within some intervals.
• Environmental temperature. If the environmental temperature is too high, the
cooling conditions are worsening which Ieads to loss of performance.
• Road conditions. The performance of a tyre is different on dry, wet and icy
surface. The road conditions in the mountains are much harder than for a straight
asphalt-paved road.
Though external noises are often determined by the environmental conditions
they can also be of a different nature. External noises can be some properties of the raw
materials used in a production process.
In this chapter the influence of both external noise factors and errors in product
or process parameters on the performance characteristics is studied. The following
notations are used:
Y
p = (p 1 P 2 . . . p m is a vector of product and/or process parameters,
e--\:I
fe em Y is a vector of the errors in the parameters,
nq f is a vector ofthe external noise factors.
344
ROBUSTNESS AGAINST BOTH ERRORS IN PRODUCT PARAMETERS 345
The performance characteristic in product usage is
y(p)= 17(p + e,n)+e. (7.1)
Engineers can reduce the external noise effect by choosing properly the product
parameters. This can be seen in Figure 7.1 where the contour plots of a performance
characteristic y are shown as a function of a product parameter p and an external noise
factor n.
p pmax
Pmin
Figure 7.1. Dependence of perfonnance characteristic's variation

on parameter x noise interaction
Suppose that the external noise factor n varies within the interval nmin ~ n ~ nrmx,
while the variation interval of the product parameter is Pmin ~ p ~ Prmx . If the parameter
is chosentobe Pmin the value ofthe performance characteristic varies between 44 and 80
units and the range ofvariations is 36 units. For p = Prmx the variation ofy is between 39
and 56 units and the range is 17 units.
An opportunity to reduce the performance characteristic's variance exists due to
the interactions between the product parameters and the noise factors. In order to study
them engineers can collect information about the variation ofthe external noises and then
conduct an experiment varying simultaneously the product parameters and the external
noise factors. Suppose that during the experiment the product parameters and the
external noise factors are set without errors, so that the measured value of the
performance characteristic in the experiment is
y(p)= 7]{p,n)+e. (7.2)
In order to solve a quality improvement problern we can follow the same idea as
in Chapters 5 and 6 and can derive models of both mean and variance in mass
production. Using the optimality criteria of Section 6.2 one can find the optimal
346 CHAPTER 7
parameter values that make the product robust against noises. Very often, however, an
exploration of mean and variance surfaces is more valuable for the engineer or the
scientist, giving them an opportunity to combine the results obtained through models
with their own experience and with some practical requirements, that can not be
formalized by equations. Canonical analysis of both mean and variance surfaces and
numerical search procedures are very useful.
In this chapter we do not consider models of mean and variance derived as
regression equations directly from the data. Such approach is possible if there are
replicated runs in the design or ifit is a Taguchi's crossed array. We defer this discussion
for Chapter 10.
7.2. Design of experiments
Suppose that during the experiment the factors are varied within the following intervals:
(7.3)
and
(7.4)
where p' and n' are given in natural scales of measurement.

Engineers should choose the interval (7.3) to include parameter values, which are
expected to provide good results, while (7.4) corresponds to the expected interval of
variation ofthe extemal noise factors during the production process and product's.
Coded values of the factors are often used in the design of experiments. The
values ofthe product parameters can be codedas follows:
P; =- 1-(p;- p; ),i = 1,2, ... ,m,

0 (7.5)
OJpi
where
,
P;o = z(p'
1
imin
, )
+ P;rrw<
and
The coded values of the extemal noise factors are
n; = - 1-(n; -n;0 ),i = 1,2, ... ,q, (7.6)

OJni
where
and
(7.7)
is the center of the noise factor n;

interval of variation during the experiment.
Assurne that the expectations of the extemal noise factors are E(n;) = n;0 .
Taking expectations of both sides of (7. 7) one can find the means of the coded extemal
noise factors:
The variances of the coded noise factors can be computed on the basis of (7. 6) as
follows:
(7.8)
where er 2 (n;) is variance of the i-th noise factor expressed in the original measurement
scale.
Assurne additionally that n;
is a normally distributed noise. It is weil known that
in this case all observations fall within the interval ± 3cr i (n;) around the mean value n;0
with probability 0. 997. Hence, the length of the interval (7 .4) can be accepted equal to
wni = 3cri(n;). Putting this value in (7.8) we obtain that the following variance of the
coded extemal noise factors:
(7.9)
Consequently, if the noise factors are normally distributed, the corresponding

coded factors arealso normally distributed with zero mean and variance 1/9.
The problern of robust product design with both errors in parameter settings and
external noise factors was defined and solved by Taguchi who used crossed arrays as this
was shown in Chapter 4. The nurober ofruns ofthese arrays is rather high. In an attempt
to decrease the cost of the experiments Taguchi suggested the idea of compounded
noise. He considers the best and the worst noise combinations as two Ievels of a single
factor called compounded noise. That means that for each run of the parameter design
matrix the performance characteristic is tested twice: for the best and for worst noise
combinations. As in Chapter 4 we use NP to denote the nurober of runs in parameter
348 CHAPTER 7
design matrix and N" in the noise matrix. In the case with compounded noise N" = 2 and
the total number of runs is 2 NP.
The problern with compounded noise is that it is difficult to decide which noise
combinations are the best and which are the worst. What is best and what is worst
depends on the interactions between the noise factors and the product parameters which
are not known before the experiments. The best noise combination for a given run of the
parameter design matrix therefore, could be the worst for another.
Another approach is to use the so-called combined arrays which are proposed by
Welch, Yu, Kang and Sacks (1990) for computer experiments and arealso used for real
experiments by Shoemaker, Tsui, and Wu (1991). In this case the product parameters
and the noise factors' Ievels are combined in a single array and the response is modelled
by regression equations. Using combined arrays one can reduce the number of
experimental runs.
Vuchkov and Boyadjieva (1992) also use combined arrays for experiments with
external noise factors. There are, however, two important differences between their
approach and those ofWelch, Yu, Kang and Sacks (1990):
• Only product parameters and external noise factors but not the errors in
product/process parameters are assigned to the colurnns of the combined arrays. This is
possible because we can take into account the transmitted error in a similar way as in
Chapter 5.
• Repeated observations are not necessary for building a model of variance in
mass production.
These differences decrease the number of experimental runs in comparison with
the combined arrays ofWelch et al. (1990).
TABLE 7 1 Comb.med array or two product parameters and twoextemal n01se actors
No. pl Pz nl nz y No. P! Pz nl nz y
1 -1 -1 -1 -1 Y! 13 -1 -1 1 1 YB
2 1 -1 -1 -1 Yz 14 1 -1 1 1 Y14
3 -1 1 -1 -1 Y3 15 -1 1 1 1 Y1s
4 1 1 -1 -1 Y4 16 1 1 1 1 Y16
5 -1 -1 1 -1 Ys 17 -1 0 0 0 Y!7
6 1 -1 1 -1 Y6 18 1 0 0 0 Y1s
7 -1 1 1 -1 Y1 19 0 -1 0 0 Y19
8 1 1 1 -1 Ys 20 0 1 0 0 Yzo
9 -1 -1 -1 1 y9 21 0 0 -1 0 Yz1
10 1 -1 -1 1 ylO 22 0 0 1 0 y22
11 -1 1 -1 1 Yn 23 0 0 0 -1 Yz3
12 1 1 -1 1 yl2 24 0 0 0 1 Yz4
The design of experiments can be chosen depending on the number of factor Ievels, the
method of data analysis, the expected model structure and other specific features of the
product or the process. The choice of the experimental design is discussed in Chapters 3
and 4. In this design m of the columns correspond to the product parameters P; and q
columns - to the noise factors n; . lt is important to remernher that during the experiment
P; and n; must be set on given Ievels without errors.
Table 7.1 showsanoptimal composite design for two product parameters (m =2)
and two external noise factors (q = 2).
7.3. Model building
7.3.1. MODELS OF MEAN V ALUE AND V ARIANCE IN MASS PRODUCTION

BASEDON SECOND ORDER REGRESSION MODELS
Consider a product or process with performance characteristic 17. Assurne that in mass
production it depends on the following variables:
• Product or/and process parameters p = (p1 p 2 ... PmY.They can be kept
on given values when experiments are carried out but in mass production they are subject
to errors e = (e1 e 2 emY .
r.
...
• Externat noise factors n = (nl n2 ... nq In the design Stage they can be
varied within given intervals but during the mass production and product's usage they
are uncontrollable and their values are random.
• Random noise & .
Assurne that e, n and & are independent and normally distributed with zero
expectations and the following covariance matrices:
The variance of the random noise is 0:.

Under the assumption for normality of distributions the third order moments of e,
n and & are equal to zero, while the fourth order moments are correspondingly
Assurne that the observations obtained from an experiment can be presented by

second order polynomial model:
350 CHAPTER 7
t
m-1 m m
y(p, n) = ßo +~/3;pj +L LßijpipJ + LßiiPi2 + ajnj +

j:;::} j=i+l i=l
(7.10)
This equation can also be written in matrix form as follows:
(7.11)
where
,4 is q x q matrix with elements

,4 = {aiJ I 2 for i 7: j
11 ajj for i = j '
g is m x m matrix with elements

g. = {ßij I 2 for i 7: j
11 ßjj for i = j '
and is m x q matrix with elements riJ' i = 1,2, ... ,m; j = 1,2, ... ,q.
9
In mass production errors ej occur in the parameters pj and during the
production process and/or after shipping there are random extemal noises nj. The
measured value of the performance characteristic is therefore, different from that
obtained in the experiment. It can be expressed as follows:
y(p +e,n)= 17(p +e,n)+ e =
(7.12)
Taking expectation with respect to e and n one can find the following model of
the performance characteristic's mean value:
(7.13)
The proof of this equation is given in Appendix A. 7 .1.

Equation (7.13) shows that the mean value of the performance characteristic in
mass production y(p) depends on product parameters p and on the second order
moments of e and n.
Using (7.12) one can also find a model of the performance characteristic's
variance as follows:
cr 2 (p) = var(p + e, n) =(ß+ 2a'p f L.(ß+ 2a'p )+
(7.14)
where HOT denotes high order terms and can be computed by the formula
m m-1 m q
HOT= i'fjJ;;cr: + L L /fijd;~ +2L a~cr~; +

j:::] j:::i+l
(7.15)
The proofs offormulae (7.14) and (7.15) are given in Appendix A.7.1.
For normally distributed external noises and coded factors we take into account
(7.9) and rewrite (7.13), (7.14) and (7.15) in the form:
y(p)= ßo +/f p +pra'p + tr(ß'L.)+i La;;.

m
i=l
(7.13a)
(7.14a)
and
m m-1 m
HOT= 2L~cr: + L Z:/fijd;~ +

i=l i=l j=i+l
m q
1 q-1 q 1
2Z:ai;
q
+- (
+L:L:ai~ )
+- ~~ r~d;. (7.15a)
81 ;~1 ;~1 j~1 9 L..J L..J
;~1 j~1
352 CHAPTER 7
There are many similarities between (7.13), (7.14) and (5.19), (5.22). It is not
surprising that (5.19) and (5.22) can be obtained as special cases of (7.13) and (7.14)
putting :En = 0. However, there are also important distinctions between (7.13), (7.14),
(7.15) and the models of Chapter 5. They are considered in Sections 7.3.3 and 7.4.
Before that in the next section we discuss the case of error free parameters in mass
production with performance characteristic's variation only due to extemal noises and
response errors.
As with cases with errors only in product parameters, if one merely replace a,ß,
.1'1, a', fJ and a!
in (7.14) and (7.15) by the corresponding estimates, a biased estimate of
variance in mass production is obtained. An unbiased estimate can be found as in
subsection 5.5.3 using the results of Section 5.4 with vectors fand B defined as follows:
f = (1 PJ ... Pm P1P2 Pm-1Pm P12 ... P! nl . .. nq
... nln2 ... nq_1nq n2

I ... n2
q P1n1 ... Pmnql
and
B=(ßo ßl ... Pm ßl2 Pm-l,m ßn Pmm al aq

al2 aq-l,q all aqq Yn Ymq)T ·
7.3.2. MODELS WITHERRORFREEPRODUCTPARAMETERS
Suppose that the production process is weil controlled, the components and the raw
materials are with low variation and the main engineer's concem are the extemal noises.
In this case errors in product parameters do not exist (e = 0).
The models of mean value and variance of product performance characteristic in
usage can be obtained by putting :E. = 0 in equations (7.13), (7.14) and (7.15) as
follows:
• model of the mean value
(7.16)
• model of the variance
(7.17)
where
q q-1 q
HOT= 2L a~a:; +L L a~O:iO:j.
i=l i=l j=l
(7. 18)
There is some similarity between equations (7 .16), (7. 17), (7 .18) and ( 5. 19),
(5.22) and (5.12), respectively. However, there are important differences between them:
i) The bias term tr(A :En) in the mean value (7.16) depends only on the non-
linearity of the regression model with respect to the external noise factors. Neither the
non-linearity with respect to product parameters (represented by matrix i$'), nor the
interactions between the product parameters and external noise factors (matrix t;) cause
bias in the mean value. Moreover, if the external noise factors are not correlated with
each other and :E n is a diagonal matrix, then
(7.19)
Therefore, in this case the bias in the mean value does not depend on product
parameters and can not be eliminated by their choice.
ii) Equations (7.17) and (7.18) have similar form as (5.22) and (5.12). However,
the vectors and the matrices in these equations are different and this is a reason for
different properties. The following conclusions can be drawn from (7.17) and (7.18):
• Equation (7.17) shows that a reduction of the performance characteristic's

variance through parameter design is possible only if there are interactions between the
product or process parameters p and the external noises n. By properly choosing the
product parameters one can elirninate only the first term in the right hand side of (7 .17),
that is
(7.20)
This part of the performance characteristic's variance depends on two sets of

regression coefficients:
a) interactions between the product parameters and the external noises which are
taken into account by the elements of matrix fj. Choosing proper values of product
parameters p one can minirnize or even eliminate a;(p) .
b) slope ofthe response surface with respect to noise factors (via a). Ifthere are
no interactions between the product parameters and the external noises (9 = 0) a
increases only the constant term of the variance, because in this case (7.20) is
independent of p.
Note that the parameter dependent part of the variance (7.20) does not depend
on the quadratic effects of the noise factors. It is shown in Section 7.3 that this can
simplify the experimental design.
• The lower bound ofthe variance attainable through parameter design is
q q-I q
a!u,(p)=H0T+a;=2:La~a~; +LLa~0:;0:1 +a;. (7.21)

i=I i=I }=I
354 CHAPTER 7
Further reduction of performance characteristic's variance can be achieved only if

the variances ofthe external noises can be decreased.
One can see from (7 .17) and (7 .18) that the non-linearity of the response surface
with respect to the external noises is taken into account in the variance model only via
a;; and a;i and it does not depend on product parameters. Therefore, this type non-
linearity can not be employed for variance reduction.

• The variance (7.17) does not depend on ß and B. Therefore, in contrast with
the case studied in Chapter 5 one can not employ the non-linearity with respect to
product parameters for quality improvement through parameter design. Another
difference is that when interactions between product parameters and external noise exist,
the variance depends on p even if the performance characteristic is linear function of the
parameters.
These conclusions are true only if the variances of the external noises do not
depend on product parameters. This assumption is true for many reallife situations.
Myers, Khuri and Vining (1992) proposed a model of variance which can be
considered as a special case of (7.17). Myers and Montgomery (1995) developed further
this approach. They consider the nominal values of product parameters p as non-random
factors and do not make difference between product parameters and external noise
factors. The errors in product parameters are considered as separate noise factors. The
noise vector n comprises both errors in product parameters and external noise factors.
Myers and Montgomery (1995) use the following model ofobservations:
A comparison with (7.11) shows that this model does not contain interactions
between noise variables and quadratic terms in noise variables. In (7.11) they are taken
into account by the term nr ,4n. Not surprisingly Myers and Montgomery (1995) obtain
a model ofvariance which differs from (7.17) only by Iack ofhigh order terms (HOT).
As shown by (7.18) the high order terms (HOT) depend only on the interactions
between noise variables and on the second order terms with respect to the noise factors
in the regression model. These terms are not included in the model of the performance
characteristic postulated by Myers and Montgomery (1995) and this is the reason why
HOTare not in their variance model.
In contrast with Myers and Montgomery (1995) we prefer to make clear
distinction between errors in product parameters and external noise factors because of
the following reasons:
• A separate consideration of the nominal values of product parameters and their
errors as factors unnecessarily increases the number of factors and hence, the number of
runs in a response surface design. As shown in Chapter 5 experiments with errors in the
product parameters are not necessary to predict the variance that they transmit to the
response.
• Models of rnean value and variance in rnass production have different properties
with respect to errors in product parameters and extemal noise factors. As shown in
Chapter 6 when extemal noise factors do not exist and the variation is only due to errors
transmitted frorn product parameters to response then the stationary points of rnean and
variance surfaces coincide. In this case the optimization procedures can be sirnplified and
sorne interesting properties ofthe quality irnprovernent problern can be revealed. In cases
with extemal noise factors such coincidence between the stationary points of rnean and
variance surfaces does not exist and this rnakes the optimization procedures different.
This problern is considered in the next section.
Example 7 .1. Constructed example 1.

Consider a product whose perforrnance characteristic Tl depends on a parameter
p and an external noise factor n. The intervals of variation of p and n are -1 :::;; p :::;; 1 and
-1 :::;; n : :; 1. Assurne that the noise n is normally distributed in product' s usage and its
variance is ~ = 1I 9 . F or the sake of sirnplicity we assurne that 0: =0.
W e study the variation of the perforrnance characteristic Tl due to the extemal
noise n for three polynomial rnodels as follows:
• Model with linear effects:
"(p,n)= 5 +2p-1.5n
TJ
10
9
8
7
6
5
4
3
2
1
0
-1 0 1
p
Figure 7. 2. Dependence of performance characteristic's variation on parameter x noise interaction for a

model with linear effects
Figure 7.2 shows Tl as function of p for n = -1,n = 0 and n = 1. The variation of

"(p, n) is between the straight lines corresponding to n = -1 and n = 1. One can see
that it does not depend on p and is always equal to 3. For exarnple, if p = -1 then
356 CHAPTER 7
ry(-I,-I)-ry(-I, I)= 4.5-1.5 = 3

and for p = I
ry(I,-I)-ry(I,I) = 8.5-5.5 = 3.
As n is normally distributed the interval of variation of the performance characteristic

due to the external noise is 6o-{p) = 3 or o- 2 (p) = 0.25 for any value ofp.
The variance can also be computed by formula (7.I7). In the case under
consideration all vectors and matrices in (7.I7) are replaced by scalars as follows:
Therefore, according to (7.I8) the high order terms are zero (HOT= 0) and formula
(7. I 7) reduces to
Figure 7.3 shows the variance ofthe performance characteristic as function of p.

Changing p one can not reduce this variance. As noted above this is only possible if there
is interaction between the product parameter and the external noise factor.
-1 0 1 p
Figure 7.3. Performance characteristic's variance for a model with linear effects
•Model with linear effects and interaction between the product parameter and the
external noise:
ry{p,n)= 5 + 2p -1.5n +3pn.
T]
10
9
~ -.!:~--~
fj A~-~-///
:r
2 1 ~~v
;1-----+~--r----------.~
Figure 7. 4. Performance characteristic's variation due to parameter x noise interaction
The values ofthe performance characteristic as function ofp for n == -1,n == 0 and
n = 1 are shown in Figure 7.4. The variation of 1J due to the external noise is greatest for
p == -1, where
1](-1, -1)-1](-1,1) == 7.5- (-1.5) == 9 .
For p == -1 the interval ofvariation of 1J is 6cr( -1) == 9, or cr 2 ( -1) == 2.25.

The optimal parameter value in this case is p = 0. 5 because
1J(0.5,0)== 7J(0.5,-1)== == 7J(0.5,1)== 6.0 and the interval of variation is zero, i.e.
cr 2 (0.5) == 0 .In this case
and formula (7. 17) reduces to
(7.22)
For p == -1 we obtain cr 2 ( - 1) == 2.25 which coincides with the value given above.
The optimal value of the product parameter can be found by equating the first derivative
of cr 2 (p) to zero:
dcr 2 (p) 6
dp == 9 (-1.5+3p)==O,
or Popt == 0.5.
358 CHAPTER 7
Figure 7.5 shows a 2 (p) for this case.
-1 0 1 p
Figure 7.5. Variance minimisation for a model with parameter x noise interaction
• Model with linear. quadratic and interaction effects:
1/(p,n)= 5 + 2p+ p 2 -1.5n + l.5n 2 +3pn.
The performance characteristic as function of p for n = -I,n = 0 and n = I is

shown in Figure 7.6. In this case the smallest difference between the values of the
performance characteristic is obtained for p = 0.5.
T)
10 (n=-1)
9
8
6
7 ///
5
4
3
2
(n=1)
1
0
-1 0 1 p
Figure 7. 6. Dependence of performance characteristic's variation on the noise

for a second order model
The variance computed by formula (7. 17) is
=(-1.5+3py x.!.+0.055555.
9
The only difference between this equation and (7.22} is coming from the term
2a: a:
1 = 0.055555. This is the part of the variance which can not be removed by
parameter design.
The optimal parameter value is p = 0. 5 as for the case of a model with linear and
interaction effects.
2\
-1 0 1 p
Figure 7. 7. Performance characteristic's variance for a second order model
The variance a 2 (p) is shown in Figure 7. 7.
Example 7.2. Copper extraction process optimization

•
Consider the process of copper extraction with ammoniacal sulphate brines. The
performance characteristic of interest is the degree of extraction, y [%]. It depends on
three factors: d3 - concentration of (NH 4 ) 2 S04 , [g/1], p 2 - concentration of NH4 0H,
[gll] and d 6 - extraction time, [h]. The temperature during the experiment should be kept
equal to 60 °C, but in the production process it varies within the interval 60 ± 2 °C. The
temperature is considered as extemal noise factor, n. The parameters p 1 , p 2 and p3 can
be set without errors during the extraction process. In the production process, however,
the factors p1 and p2 vary within an interval of 5% around their nominal values. The task
is to maximize the degree of extraction making the process insensitive to variations of
the temperature and concentrations of (NH 4 ) 2 S04 and NH4 0H.
360 CHAPTER 7
An experiment with 4 factors is carried out. The factor Ievels in the experiment
are shown in Table 7.2. They are set without errors. A ~ 8 orthogonal array is shown in
Table 7.3 together with the observed (y) and predicted (j/) response, and the variance
due to the temperature variations (s 2 ).
TABLE 7.2. Factor Ievels for the copper extraction experiment

Natural values~ lf p{ p~ p; n'
Coded values ,!. II [g/1] [g/1] [h] [OC]
-1 200 55 1 58
0 250 70 2.5 60
1 300 85 4 62
TABLE 7.3. Design ofexperiments, observations, predicted

response and variance for coooer extraction exoeriment
No. p] p2 PJ n y y(p) .s2
~
2 3 4 5 6 7 8
~
1 -1 -1 -1 -1 64.87 68.18 2.195
2 -1 0 0 0 76.61 77.91 1.144
3 -1 1 1 1 93.70 93.57 1.122
4 0 -1 1 0 79.57 79.90 0.994
5 0 0 -1 1 77.42 73.80 1.775
6 0 1 0 -1 84.74 86.49 1.027
7 1 -1 0 -1 75.58 78.75 1.433
8 1 0 1 0 91.55 91.44 1.045
9 1 1 -1 1 81.99 79.42 1.437
10 -1 -1 0 1 74.69 72.47 1.378
11 -1 0 1 -1 85.20 85.16 0.990
12 -1 1 -1 0 73.49 73.14 1.382
13 0 -1 1 1 81.78 79.90 0.994
14 0 0 -1 -1 70.50 73.80 1.575
15 0 1 0 0 86.41 86.49 1.027
16 1 -1 -1 0 74.34 74.46 2.249
17 1 0 0 1 86.97 84.19 1.200
18 1 1 1 -1 99.54 99.84 1.179
U sing the best subset regression program of MINITAB following model was
obtained:
The multiple correlation coefficient is R = 0.998 and the corresponding F-ratio is

F=414.31, while the critical value ofF-distribution is FT =F(0.05,7,10)=3.13. The
residual variance can be considered as an estimate of the response error variance, i.e.
s; s;
= = 0.44.
The models of mean value and variance of the performance characteristic in mass
production can be computed by (7.16) and (7.17). Asthereis only one noise factor :E. is
scalar, i.e. :E. = 1I 9. Quadratic effect of the extemal noise does not exist in the model
(a •• = 0) and Ais a scalar equal to zero.
The standard deviations of the errors in factors p 1 and p 2 are depending on their
nominal values and can be computed by formula (5.32):
(p ') sp;
(jl I = 3QQ X 50
This standard deviation can be expressed also through the coded value of the factor,
p;
taking into account that P; = (p;- 0 )! m;, i= 1,2. Therefore,
and
In a similar way one can find the standard deviation ofthe second factor as follows:
Hence, the variance matrix :E. is parameter-depending and is
The regression coefficients estimates, substituted in the mean and variance models (7.13)
and (7.14a) are
l
b0 = 81.05, b = (3.14 5.44 7.25Y ,a = a = 2.08,
0 0 0
A=O,B= [ o o 1.48 ,f=(O -0.57 -1.24Y.
0 1.48 0
One can see that tr(A:Eo} = tr(B:E.) = 0 and according to (7.13) the predicted
values in the experiment and in mass production coincide. The mean value of the
performance characteristic in mass production can be computed as follows:
362 CHAPTER 7
because for the coded noise E(n) = 0. For exarnple, the predicted degree of extraction in
point No.2 of the design with Coordinates p = (-1 0 oY is
y(p) = 81.05-3.141 = 77.91.
Formulae (7.14a) and (7.15a) can be used to compute the variance in mass
production. This model is of fourth order with respect to p 1 and p 2 because ~ and o;
depend on p:
and Pi,
correspondingly. Compute for exarnple, the variance for point
p = (-1 0 of. The error variances at this point are:
cr12 =[0.01666(-1 + s)Y = 0.00444
and
er;= [0.01666(0+4.6666}Y = 0.00605.
Substituting the regression coefficient estimates in (7.14a) we obtain
I
s (p)= (b+ 2Bp )r ~.(b+ 2Bp )+-g(a+fr
2 pf (a+ rr p) +HOT +s;.
~
The components ofthe variance are:
(b+2Bp)r ~.(b+2Bp)=
=l[~~J+ 2[~ ~~8 +Hlr rr 0

0.00605
0
0~]
l[;~J+{~ ~~ ~H~~Jl
=(3.14Y x0.00444 +(5.44Y x0.00605=0.2230,
and
~(a+r'p)'(a+r'p)=~r208+(0 -0.57 -124r[~~)]' =0.4807.

HOT can be computed by (7.15a). Taking into account that a;; = aif = /3;; = 0, oi = 0,
h23 = 2.96,y2n =-0.51,Y n = -1.24 we obtain
3
~ 1 X (-0.57 )2
HOT=- X 0.00605 = 0.00022.
9
Taking into account that s; = 0.44, the variance at point p = (-1 0 o) is
s 2 = o.223o + 0.4807 + o.ooo2 + 0.44 = 1.1439.
The variances at the design points are given in the last column ofTable 7.3.
As the target is to obtain maximal value of the response, the optimal parameter
values are found through grid search under the condition that ji- 3a> 95%. Three of
the best parameter combinations satisfying this condition are shown in Table 7.4.
TABLE 7.4. Optimalparameter values for the copper

extraction experiment
No. PI P2 P3 ji s2 .Y-3s
1 1 0.9 1 99.007 1.1586 95.778
2 1 1 1 99.848 1.1769 96.593
3 0.9 1 1 99.533 1.1736 96.283
The optimal parameter values are chosen to be PI = p 2 = p 3 = 1 which corresponds to

the following values in natural measurement scale. The concentration of (NH 4 ) 2 SO4 is
300 g/1, the concentration of NHPH is 85 g/1 and the extraction time is 4 hours.
•
7.3.3. GENERAL SECOND ORDER MODELS REVISITED
If the product is subject to effects of both errors in the parameters and external noises
then the response variation depends on parameters in a more complicated way. Recall
equation (7.13):
In this case the bias in the mean value
(7.23)
depends on the nonlinearities both with respect to errors in product parameters e and
external noise factors n. In the widely spread case ofuncorrelated noises it is equal to
m q
Yc = Lß;;d; + L aiicl.i ·
j::;} i=l
364 CHAPTER 7
Provided that a:
and a;j
are constant over the region of interest, the bias does not
depend on product parameters and can not be removed by their choice.
Under the same assumption of constant noise variances, the variance of the
performance characteristic in use (7.14) can be expressedas a sum ofthree terms:
(7.24)
where
cr;(p)=(ß+2g'pf ~.(ß+2g'p) (7.25)
is the variance of the error transmitted from the product parameters to the response,
(7.26)
is the variance due to the extemal noises, and
m m-1 m q
er; =HOT+a; =2Lß.:a: + L L ~a:~ +2La~a~ +

i=l j=i+l i=l
(7.27)
is a constant part ofthe performance characteristic's variance. Only cr;(p) and cr!,(p)
can be reduced or eliminated by parameter design because er; does not depend on
product parameters.
All terms in (7.24) are non-negative. Therefore, the joint action of the errors in
product parameters and the extemal noises always results in an increase of the total
variation. However, the effect ofnon-linearity ofthe performance characteristic, which is
essential for the variation transmitted from product parameters to the response, is not so
clearly expressed in the case und er consideration. The values of the product parameters p
which minimize (7.25) and (7.26), usually do not coincide with each other and the
minimum of the performance characteristic's variance er 2 (p) is a compromise between
the minima of er,; (p) and er!, (p). That is why the optimal parameter value does not
correspond to the extremum of the performance characteristic with respect to p unlike
the case without extemal noises. This is illustrated by Example 7.3. The effect of the
extemal noises on the performance characteristic's variance can be reduced if they
interact with product parameters. Nonlinearities with respect to the extemal noises ( a;;n;2
and a;1n;n) have no effect on the parameter dependent part of the variance
er; (p) + er!, (p). They only increase the constant part er; .
Example 7.3. Constructed example 1 (continued)

Recall the second order polynomial ofExample 7.1:
7]{p,n)= 5 + 2p + p 2 -I.5n + 1.5n 2 +3pn. (7.28)
Suppose that the product parameter is subject to error with variance d. = 0.5,
while the variance of the external noise is c?. = I I 9 . The components of the performance
characteristic's variance in usage are
• variance ofthe transmitted error (7.25):
• variance due to the external noise (7.26):

a:n(p)=a~(a+rPY =.!.(-I.5+3py,
9
• constant part ofthe performance characteristic's variance (7.27):
2 2 I 2 I
=2x1x0.5 +2xl.5 x-+3 x0.5x-=1.05555.
81 9
Figure7.8a shows the performance characteristic's variance and its components

a,;(pla!,(p)and a;, while Figure 7.8b is the function (7.28) for n = 0:
The minima of a ,; (p) and 17(p) correspond to the same parameter value p = -1.
The part of variance due to external noise a!, (p) is minimal for p = 0. 5. The minimal
performance characteristic's variance is obtained for a compromise parameter value equal
to Popt = -0.5. It can be computed by equating to zero the firstderivative of a 2 {p)as
follows:
6
= 4 X 0.5(2+ 2p)+-(-J.5 + 3p)= 0.
9
366 CHAPTER 7
Therefore, 6p =-3 and Popt =-0.5.
02
aJ.
10
9
8
7
6
5
~
4
3
2
1
0
0 p
-1 1
(a)
11
10
/
9
8
7
6
5
3
2
1
0
-1 0 1 p
(b)
Figure 7.8. Performance characteristic and its variance for mode1 (7.28)
•
7.4. Optimization procedures
7.4.1. PROBLEMFORMULATION
Optimal values of the product parameters can be found on the basis of models (7 .13) and
(7.14) using the optimality criteria defined in Section 6.2. Consider first the conditional
minimization of variance , while keeping the mean value on a target.
Let us see whether the analytical solutions of Chapter 6 can be used for
optimization in cases with both errors in product parameters and external noise factors.
Assurne that the variances of errors in factors are constant over the region of interest.
Denote b0 ,b,B,a,r the estimates of ß0 ,ß, 'E,a and tJ, correspondingly. Putting these
estimates in the models of the mean value and variance we obtain
(7.29)
and
(7.30)
where Yc and s; are estimates of Yc and a; obtained through substitution of

b0 , b,B,a, A, r ,s; for ß 0 ,ß, 'E,a."4 ,tJ and a; in (7.23) and (7.27).
The firstderivative of (7.29) is
ctY(p) = b + 2Bp.
dp
Putting it equal to zero we obtain the stationary point ofthe mean values surface:
I -I
p 11)1 =--B
2 b. (7.31)
The stationary point of the variance surface can be found from the equation
and has coordinates defined as follows:
(7.32)
368 CHAPTER 7
The stationary points of the mean value and variance surfaces do not coincide. As
the analytical solutions of Chapter 6 are based on their coincidence we see that these
results are inapplicable to this case. This conclusion is also true for the case when the
product is subject only to external noise factors and not to errors in product parameters.
In this case the stationary point of the mean value surface is given by (7. 31 ), while the
stationary point ofvariance surface can be obtained by (7.32) putting ~. = 0 as follows:
Pss =- ( f~"r
T )-I f~"ll. (7.33)
The second derivative of s (p) is

2
This is always a non-negative definite matrix because such are ~. and ~". Therefore, in
this case the contours ofvariance are ellipses (ellipsoids) or stationary ridges.
Figure 7. 9. Optimization of a two parameter product in the case when a specific target value is best
A geometrical interpretation of the optimization problern is shown in Figure 7. 9

for two product parameters. Though in Figure 7.9 the mean value surface has a saddle
point, the idea is the same for any other second order response surface. The variance is
minimal at the stationary point p,,. However, the solution must also satisfY the condition
y = T, where T is the target value for the performance characteristic. That is why the
y
solution is a tangent point of the contour corresponding to = T and the contours of
variance. There are two such tangent points: p 1 and Popt. The optimum is at Popt which is
nearer to p •• and corresponds to smaller variance than that for p 1 .
Note t~at the stationary points of mean and variance surfaces coincide if there are
not interactions between product parameters and noises (r = 0 ). In this case the
analytical solutions of Chapter 6 are valid.
7.4.2. OPTIMIZATION BY LAGRANGE MULTIPLIERS
Introduction
A solution of the optimization problern defined in Section 7.4.1 can be found using
Lagrange multipliers. lt is based on the ridge analysis of response surfaces, developed by
Draper (1963) and Myers and Carter (1973). Vining and Myers (1990) and Vuchkov and
Boyadjieva ( 1990a, 1992) employed these ideas for development of optimization
procedures for quality improvement. This approach is called by Vining and Myers dual
response optimization and is briefly discussed in Section 6.5.
In the next subsections we give the algorithms developed by Vuchkov and
Boyadjieva (1990,1992). For the sake of convenience we rewrite models (7.29) and
(7.30) in the following form:
(7.34)
and
(7.35)
Substitution of d1 , () and D into (7.34) and (7.35) can verify these equations.
Unconstrained optimization by Lagrange multipliers

Suppose that there are not any constraints on the values of product parameters p and
y
that we want to minimize the variance s2 under the condition = T .
Consider the following function:
370 CHAPTER 7
where p is undefined Lagrange multiplier.

For the optimal value ofp the firstderivative of rjJ is equal to zero:
drjJ = B + 2Dp - p(b + 2Bp) = 0 .

dp
Consequently,
(- pß+D)p ={pb-B)/2. (7.36)
The second derivative of rjJ is

d2r/J
- - = 2(- pB+D). (7.37)
dpdpT
The solution is a minimum if(7.37) isapositive definite matrix, i.e. -pB + D > 0 or
pB-D < 0. (7.38)
The values of the undefined multiplier p and the optimal parameters

Popt = (poptJ Popt2 PoptmY can be obtained from (7.36) and (7.38). Denote by Amin
...
and Amax the minimaland the maximal eigenvalue ofthe matrix n- 1Band by T-a matrix
of its eigenvectors.
As shown in Appendix A.7.2 the algorithm is as follows:
I. Compute Amin and Amax and the eigenvectors tj> i = 1, 2, ... ,m of n-IB.
2. Choose one of the inequalities:
(7.39)
(7.40)
(7.41)
3. Using equations (7.34), (7.35) and
(7.42)
find numerically or graphically values of f.J and p opt = (p opti p opt2 .. . p optm y which
satisfy one of the inequalities (7.39) or (7.40) or (7.41) and minimize the variance '§ 2
under the condition = 1:. y
Grid search or other optimization method can be used as a numerical algorithm.

A graphical procedure is as follows:
• Take a number of values of J1 which satisfy (7.39) or (7.40) or (7.41), for
instance JlpJ1 2 , ... ,Jlq· Compute a set of q vectors p f by putting JlpJ1 2 , ... ,Jlq into (7.42).
Use p 1 ,p 2 , ... ,pq in (7.34) and (7.35) to find yJ(p) and s} (p ), j = 1,2, ... ,q.
• Plot .y(p) and p1 ,p2 , ... ,pm against s 2 (p) .
• Find so~t (p) which corresponds to y(p) = T .
• Put s 2 (p)=so~,(p) in the plots of p1 (s 2 (p)Jp 2 (s 2 (p)J ... ,pJs 2 (p)] to find
Popt = (poptl Popt2 ··· Poptm Y·

Example 7.4. Constructed example 2.
A sequentially generated D-optimal design is given in Table 7.5. The values of y
in column 7 ofTable 7.5 are generated without errors in factors. A generator ofnormally
distributed random noise with E(t:) =0 and a" =0.4 is employed to generate response
noise. Stepwise regression is used to estimate regression model coefficients. The
following model is obtained:
Putting the coefficients ofthis model into (7.34) and (7.35) predicted mean value
y and standard deviation s are computed provided that the moments of errors in
product parameters and external noises are as follows:
E(e)= 0, E(n) = 0, Le = diag(0.1 2 ,0.3 2 ,0.2 2 } L0 = diag(119,1!9).
The results ofthese computations are given in colurnns 5 and 6 ofTable 7.6. Columns 7
and 8 show the mean value y and the standard deviation s obtained by 100 simulations
of the performance characteristic for each design point. The coincidence between y and
y as weil as between s and s is satisfactory.
372 CHAPTER 7
.. S imu Iate ddata with a sequentiallv generated desif?n

TABLE75
No. PI P2 P3 ni n2 y No. PI P2 P3 ni n2 y
I 2 3 4 5 6 I 7 I I I 2 3 4 5 6 7
I 0 -I I I 0 I4.43 I6 -I I 0 -I -I 13.48
2 I I -I I 0 -0.48 I7 -I I I 0 I 6.66
3 0 I I I -I 27.77 I8 I -I I 0 I I3.33
4 0 -I -I I -I -5.20 I9 I I I 0 -I 24.44
5 0 I -I -I -I I1.6I 20 -I -I I 0 -I 3.03
6 -I 0 I I I I4.82 21 -I I -I 0 -I 8.8I
7 I 0 I -I I -3.57 22 I -I I I 0 21.67
8 I -I 0 0 -I -1.68 23 -I -I -I I 0 5.52
9 I 0 I I -I 24.06 24 I I I -I 0 4.43
IO -I 0 I -I -I 7.06 25 -I -I I -I 0 0.74
11 -I I 0 I I I0.3I 26 I -I -I -I 0 -0.74
I2 I I 0 -I I -7.I4 27 0 0 I -I I -2.5I
13 -I -I 0 -I I I1.17 28 0 -I 0 -I -I 5.I7
I4 I I 0 I 0 13.80 29 0 I -I 0 I 5.86
I5 -I 0 0 1 -1 -0.70
Assurne that the target value is -r= 4. Using the estimates of the regression
coefficients we have found the following matrices:
[ h"
B= bi 2 12
h" I
b22
2 bh" I122J= [-0 97
0.56
0.56
2.15
263]
23 1.47 '
bi 3 I 2 b23 I 2 b33 2.63 1.47 3.16
r= ~2I[r" :" J= [429

r22
O®J
1.48 -3.02 '
r32 r33 6.o5 -2.17
and
D = (2Br r{~· ;n )(~~) [3 30 170 439]

= 1.70 3.28 3.66 .
4.39 3.66 7.24
The minimal and the maximal eigenvalues of n-IB are A,mm = -7.1847 and
A,max = I. 0380. According to (7.41) the Lagrange multiplier f.J should be within the
interval -0.1392 < f.J < 0. 9633. Giving several values of f.J within this interval and using
(7.42), (7.34) and (7.35) we obtain the plots shown in Figure 7.10.
One can see that for y= T = 4 the variance is so~t = 1.2051 and the optimal
parameter values are Popti = -0.6482, Popt 2 = 0.5639 and PoptJ = -0.2595.
Tab/e 7.6. Predicted mean va/ues and standard deviations ofthe

p erformance characteristic in mass productionfor the desif(n points
No. PI Pz P3 y s y s
1 2 3 4 5 6 7 8
1 0 -1 1 7.29 3.09 7.21 3.10
2 1 1 -1 -3.11 2.07 -3.06 2.06
3 0 1 1 14.83 5.18 14.49 5.15
4 0 -1 -1 7.48 3.75 7.61 3.44
5 0 1 -1 3.27 1.45 3.36 1.71
6 -1 0 1 3.96 2.27 4.05 2.37
7 1 0 1 11.92 5.58 12.43 5.80
8 1 -1 0 0.87 2.95 0.97 2.67
9 1 0 1 11.92 5.58 11.81 5.70
10 -1 0 1 3.96 2.27 4.16 2.32
11 -1 1 0 5.08 1.69 5.13 1.86
12 1 1 0 4.77 4.26 4.67 4.35
13 -1 -1 0 5.65 2.65 5.70 2.74
14 1 1 0 4.77 4.26 4.79 4.29
15 -1 0 0 3.21 1.29 3.17 1.41
16 -1 1 0 5.08 1.69 5.17 1.92
17 -1 1 1 8.77 3.70 8.71 3.49
18 1 -1 1 9.19 4.74 8.97 4.76
19 1 1 1 18.96 6.82 19.26 6.79
20 -1 -1 1 3.46 1.79 3.42 1.79
21 -1 1 -1 7.72 2.55 7.67 2.66
22 1 -1 1 9.19 4.74 9.10 4.85
23 -1 -1 -1 14.16 5.03 14.37 4.87
24 1 1 1 18.96 6.82 19.00 6.80
25 -1 -1 1 3.46 1.79 3.53 1.92
26 1 -1 -1 -1.13 3.07 -1.06 2.35
27 0 0 1 8.91 3.86 8.81 3.75
28 0 -1 0 4.23 2.14 4.28 2.01
29 0 1 -1 3.27 1.45 3.25 1.51
.Q.B .Q.7 .Q.6 0.1 0.2 0.3 0.4 0.5 0.6 .Q.4 .Q.3 .Q.2 .Q.1 0.0 0.1 3 4
~z ~
Figure 7.1 0. Variance s versus parameters P1.P2 , p 3 and Y
•
374 CHAPTER 7
Constrained optimization by Lagrange multipliers in a spherical region of interest

During experiments product parameters are varied within a given region of interest,
usually cube or sphere. If the optimal product parameters are inside this region as in
Example 7.3 the solution of the optimization problern can be found by the method in
subsection 7.4.2. However, if the parameter values obtained by this procedure are
outside the region of interest then the optimal parameter values should be fixed on its
border. If the border is defined by an equation, as it is in the case of sphere, Lagrange
multipliers can also be used.
Suppose that the spherical region of interest is defined as follows:
L P;2 = R2.
m
PT p = (7.43)
i=l
Another condition is
y=r. (7.44)
A minimum ofvariance under the conditions (7.43) and (7.44) can be obtained by
minimizing the following function:
where f.J and o are undefined Lagrange multipliers.

Minimizing rP as in the last subsection we obtain following algorithm:
1. Choose several arbitrary values of f.J, For example, f.J =f.Jj,j = 1,2, ... ,r.
2. Compute the minimal eigenvalues A.jmin of the matrices D- pjB and the
corresponding matrices of eigenvectors T1 .
3. Choose a set of q values of o for each f.J j, For example, oj 1 , oj 2 , ... , ojq .
4. Compute
(7.45)
5. Put p ß into (7.34) and (7.35) and compute y jl and j = 1,2, ... ,r;
I= 1,2, ... ,q.
AND EXTERNAL NOISE FACTORS
6. Plot y st and the components of p

11 , 11 against R for each f.J 1 , j = 1, 2, ... , r .
F or y = -r and R < 1 find the optimal parameter values p opt = {poptl p optz ... p optm f
and
-2
sopt·
For detailed description of this method and for an example see Vuchkov and
Boyadjieva (1992).
7.4.3. NUMERICAL OPTIMIZATION PROCEDURES
The procedure based on unconstrained optimization by Lagrange multipliers can be

employed in a constrained region of interest only if the solution is inside this region. F or
more complicated cases numerical procedures sirnilar to these of Section 6.5.2 can be
used.
Example 7. 5. Electrodeposit of copper coat.

Consider a process of electrodeposit of copper coat on plated-through holes of
printed boards. The board is submerged into a plating bath and current with a given
density is conducted through it. The thickness of the coat is considered to be the
performance characteristic y of the board. The coat should be uniform with average
thickness between 30 fD1l and 50 f.D'l. Pores, freckles and hollows are not desired.
The thickness of the coat depends on the following parameters of the board and
process: thickness of the board (p1 ), diameter of the hole (p2 ), current density (p3 ),
concentration of CuS04 in the electrolyte (p4 ), concentration of sulphuric acid, H 2 S04
(p5 ). The variations in the thickness ofthe coat also depend on the solution temperature
which is affected by the environmental temperature. The solution temperature is an
external noise factor n, which is uncontrollable in the production process, but during a
specially organized experiment it can be kept on given Ievels.
Boards with two thicknesses are produced in same bath and each of them has 3
types of holes. The problern is to find a set of product and process parameters which
guarantees uniform thickness of the coat between 30 fD1l and 50 fD1l for all three types of
holes. An experiment is conducted in which the factor Ievels are varied on 2 and 3 Ievels
as it is shown in Table 7.7.
ith
TABLE 7.7. Factor evelsfor e electrode XlSJt of copperQJate expenment
Levels
Factors Dimension Code -I 0 1
Thickness of the board mm PI 1.5 - 2.0
Diameter of the holes mm Pz 0.35 0.6 0.9
Current density A/dm 2 p3 I 2 3
Concentration of CuS04 gll p4 60 80 100
Concentration of H 2 S04 gll Ps 160 180 200
Temperature of the solution oc n 18 23 28
376 CHAPTER 7
An ~ 8 orthogonal array is chosen for the experiment. The diameters of the holes (p2 ) are
0.35 mm, 0.6 mm and 0.9 mm. The coded value of p 2 which corresponds to 0.6 mm is
Pz = P~- P 20 = 0.6-0.625 = -0.0 9 1.

W2 0.275
The design of experiments is shown in Table 7.8.
T ABLE 7.8. Design of experiments and Observations

for the e1ectrodeposit of copper p1ate experiment
No. P1 Pz P3 P4 Ps n y
I -I -I -I -I -I -I 36.8I
2 -I -I 0 0 0 0 42.39
3 -I -I I I 1 1 36.44
4 -1 -0.091 -1 -1 0 0 26.56
5 -I -0.09I 0 0 I I 42.28
6 -1 -0.091 1 1 -I -I 21.69
7 -1 I -1 0 -I I 13.39
8 -1 I 0 1 0 -1 21.61
9 -1 I I -I I 0 45.64
IO I -I -1 I 1 0 29.36
1I 1 -1 0 -1 -1 1 28.67
12 1 -1 I 0 0 -I 38.06
l3 1 -0.091 -1 0 I -I 33.00
I4 I -0.09I 0 I -I 0 38.56
I5 I -0.09I I -I 0 I 28.94
I6 I I -I I 0 I 21.78
I7 I I 0 -I 1 -I 32.50
I8 I I I 0 -I 0 22.44
Two metallographic specimens are taken form each board, corresponding to a

given design point. One of them is taken from the middle of the board and the other -
from one of the corners. The thickness of the coat is obtained by microscopic
measurements. lt is measured at six points of each hole: two at the upper, middle and
lower part of the hole. The average value of these measurements is shown in the last
column ofTable 7.8.
A stepwise regression analysis program is used to obtain the following second
order polynomial model with coded values ofthe factors:
The multiple correlation coefficient for this model is R = 0. 9973 . The corresponding F-
ratio is equal to 76.55, while the critical point ofF-distribution for significance Ievel 0.05
and degrees of freedom 12 and 5 is 4.6777. Therefore, the multiple correlation
coefficient is significant. The residual variance is s~ = 1.4362. It is considered as an
estimate of the output noise variance ~.
In this example only one external noise factor exists and there are no errors in the
product parameters. In this case the models of mean value and variance in mass
production are (7.16), (7.17) and (7.18). Substituting estimates for model coefficients
one can rewrite them as follows:
y(p) = b0 + bT p + pr Bp +tr(AL 0 ), (7.16a)
(7.17b)
and
q q-l q
HOT= 2 Lai~a~i +L :Lai~U:iU:J · (7.18c)

i=l i=l }=I
U sing the notations of Section 7. 3. 1 one can write
b0 =30.819,b=(o -9.843 2.186 o 4.347Y,a=O,
0 0 -0.925 0 -2.144
0 0 6.709 7.367 0
B=_!_ -0.925 6.709 0 -2.579 4.523
2
0 7.367 -2.579 0 -9.333
-2.144 0 4.523 -9.333 0
A=O,r=(-4.045 o o 3.192 oY.

The matrix L. = 0 because there are no errors in product parameters, while Ln is a
scalar Ln= 1/9, because there is only one noise factor. The bias term tr(AL 0 ) in the
performance characteristic (7. 16) and the high order terms HOT in (7. 17b) are equal to
zero because A = 0. Therefore, the mean value of the thickness of the board in mass
production can be computed by (7.46). An estimate ofthe variance ofthickness ofcoat
in mass production can be obtained from (7.17) and (7.20):
s2 =s/ +s; =_!_(-4.045p1 +3.192pJ2 +1.4362. (7.47)
9
The first term of this expression shows the effect of the solution temperature on
the variance. It depends only on the thickness of the board (p1 ) and on the concentration
378 CHAPTER 7
of CuS04 (p4 ) because according to (7.46) only these parameters interact with the
temperature ofthe solution (n).
Equations (7 .46) and (7 .4 7) can be used to minimize the variance of the coat
thickness under the condition that its mean value is within the interval (30 fJ11Z,50 fJ11Z) for
given solution temperature n, board thickness Pi and diameter of the holes p 2 . Consider
the case with solution temperature equal to the nominal (23 °C) which corresponds to
n = 0. The optimal process and product parameters can be found by grid search.
Assuming that n has normal distribution one can expect that with high probability the
values of the coat thickness to vary within the interval J± 3s . Hence, the parameter
values should be chosen to satisfy the inequality 30 Jlm :::; y ± 3s :::; 50 Jlm .
For the 2 mm thick board the value of Pi is fixed equal to 1. For Pi = the
minimal value of s} is s.~in = 0.080945 and is obtained with p4 = ' while the
maximum is s?max = 5.8199 is calculated by (7.47) and corresponds to p 4 = -1.
Therefore, for this board the values of Pi and p 4 are fixed to be equal to I and the
parameter p 2 takes only three values: p 2 = -1, p 2 = -0.091, and p 2 = 1, which
correspond to diameters of the holes 0.35 mm, 0.6 mm and 0.9 mm, and a search
J
procedure is used to fmd values of p 3 and p 5 for which 30fJ11l:::; ± 3s:::; 50J1m. These
computations show that the concentration of H2S04 should be fixed at its lower Ievel
J
160 g/1 (or p 5 = - ). The inequality 30 Jlm :::; ± 3s :::; 50 Jlm is satisfied for values of p 3
within the interval-(-0.025, 0.25) for all diameters of the hole. Table 7.9 shows the
results of the computations for three values of p 3 • For these three cases s? = 0.08
(mmY and s 2 = 1.52 (mmY.
TABLE 7..
9 Parameter values chosen for 2 mm thick board
Coded values Natural values
Pi P2 P3 P4 P5 p{ p~ Pi p~ p~ y ~ +3s,y- A
mm mm Aldm 2 g/1 g/1 mm mm
{-~~9
r9.87,47.25)
I - I -I 2 r5
0.6 1.75 100 160 r56
39.79 (36.10,43.48)
0.25 0.9 35.25 (31.56,38.94)
I
{ -i
-0;09 0 I -1 2 r5
0.6
0.9
2 100 160 r42
38.i7
35.47
r6.73.44.11)
(34.48,41.86)
(31.78,39.16)
1 {" -i
-0;09
0.25 I -I 2
r5
0.6
2.25 100 160 r29
36.56
35.69
t3 60,40.98)
(32.87,40.25)
0.9 (32.00,39.38)
The mean and variance contours for the coat thickness for 2 mm board, diameter
of the holes 0. 9 mm and concentration of CuSO 4 I60 gll are shown in Figure 7 .II and
Figure 7.I2, respectively.
Popt
0.
0.
r
0
p4 0
-0.
-0.
-0.
-0.
-1
-1 -0.5 0
... 0.5
p3
Figure 7.11. Contours for mean coating thickness, 2 mm board, diameter of the holes 0. 9 mm and
concentration of CuS04 160 gll
For 1. 5 mm thick board (p1 = -I) is impossible to find a point for which the
Y
variance attains its minimal value s2 = I. 52 (mm and the condition the thickness to be
between 30 f.D11 and 50 f.D11 is fulfilled. The optimal process parameter values are: current
density - 3 A I dm 2 (p3 = I), concentration of CuSO 4 - 80 g/1 (p4 =0) and concentration
of H2 S04 - 190 gll (p5 = 0.5). For these parameter values the variance of the
performance characteristic in mass production is s2 = 3. 24. The mean values of the coat
thickness corresponding to different diameters ofthe holes are given in Table 7.IO.
380 CHAPTER 7
1
1.52
0. !
0. f 2
1
0. <
0.
3
p4 0
-0. 4
-0.
5
-0. E
6
-0. !
7
-1
-1 -0.5 0 0.5
~
p3
Figure 7.12. Variance contours for coating thickness, 2 mm board, diameter ofthe holes 0.9 mm and
concentration of CuS04 160 g/l
T ABLE 7 10 Mean values and 3 s -intervals of coat thickness for 1 5 mm board

P2 p;(mm) y(mm) (Y -3s,Y + 3s)
-1 0.35 42.57 (37.17,47.97)
-0.091 0.60 39.72 (34.32,45.12)
1 0.90 36.30 (30.90,41.70)
•
7.5. Bibliography
Most authors do not make difference between errors in product parameters and extemal
noise factors when they design experiments for quality improvement. Taguchi (1986,
1987) clearly notes that these two types offactors exist, but in his crossed arrays they are
included in the same way. In the combined arrays proposed by Welch, Yu, Kang and
Sacks (1990) and used by Shoemaker, Tsui and Wu (1991) the authors do not make
difference between these two types of factors. In the approach used in this book the
errors in product parameters are not considered as separate noise factors in the combined
array, because the variation due to the transmitted error can be predicted without
experiments with these errors, provided that the moments of their distributions are
known. As noted in Section 7.2 this allows to reduce the number of experimental runs.
Vuchkov and Boyadjieva (1990,1992) propose models of mean value and
variance with both errors in product parameters and external noise factors. Myers, Khuri
and Vining ( 1992) propose models of variance in which the nominal values of product
parameters are considered as non-random factors, while the errors in product parameters
and external noises are noise factors. Box and Jones (1992) consider models for cases
when only environmental factors exist. Chapter 10 of the book by Myers and
Montgomery (1995) is devoted to robust product and process design, including model
based approach and the related problems of the design of experiments and optimization
Vuchkov and Boyadjieva (1995) consider algorithms for multicriterion optimization in
the problems of robust product and process design based on models derived in this
chapter.
Several papers are devoted to the so-called dual response approach, based on the
work ofVining and Myers (1990). We defer the discussion on these papers for Chapter
10.
Appendix A.7.l. Development of models for mean value and variance with both
errors in product parameters and external noise factors
Consider a second order polynomial model of the type (7 .1 0), which can be written in
matrixform as follows:
(7.11)
The notations used in this equation are the same as in Section 7. 3. 1. If the performance
characteristic is subject to both errors in product parameters and external noise factors
its measured value is given by the equation
y(p +e,n)= 77(p +e,n)+e =

=ßo + ß r (p + e)+ (p +eY go(p +e)+aT n +nr An +(p + eY t;n +&. (7.12)
The following assumptions about noises are used in this section:

• The elements of n and e and the output noise e are independent and normally
distributed random variables with zero expectations:
E(e)= O,E(n)= OandE(e)= 0.
• The covariance matrices of e and n are

382 CHAPTER 7
while the variance of the random noise e is er;.

From the normality of distributions follows that their third moments are equal to
zero:
while the fourth moments are
Removing the brackets one can rewrite equation (7.12) in the form:
y(p + e,n)= ßo + ßT p +PT ß'Jl+77. + 77n + 77en +e, (A.7.1)

where
1. Model of the mean value
We will prove the following equation:
y(p)= E[y(p + e,n)]= ßo + /f p +prß'p + tr(?J'L.)+tr~n). (7.13)

Proof
Taking expectations with respect to all noises we obtain from (A.7.l) following
expression:
(A.7.2)
By definition E(e) =0. It was proved in Appendix A.5.1 that
One can also compute

As e and n are independent we can write
E{1]..)= E(eT )9E(n) = 0.
Substituting these equations in (A.7.2) we obtain (7.13).

2. Model ofthe variance
W e will prove the following formula
cr 2 (p) = var(p + e,n) =(ß+ 2g'p )T :L.(ß+ 2g'p )+
(7.14)
where
m m-1 m q
HOT= i'L~cr~ + L L ~o7~ +2"L a~cr~; +

J=l i=l j=i+l i=l
(7.15)
Proof The variance of y(p +e,n) can be computed from (A.7.1) as follows:
cr 2 (p) = var(y(p + e, n)] = var(17.)+ var(17. )+ var(17•• )+ var(e )+
+ 2[cov(17., 11. )+ cov(17., 11•• )+ cov(17., 11•• )]+ 2cov[(17. + 11. + 11•• 1e]. (A.7.3)
The terms in the right hand side of(A.7.3) can be computed as follows:
2.1. According to equation ( 5.11) and ( 5 .12) the first term is
var(17.) = var(ßT e + 2pT 8'e+eT 8'e)=
m m-1 m
=(ß+2g'p)T:L.(ß+2g'p)+2"L~cr~ + L "L~o7~ +0:. (A.7.4)

i=l i=l j=i+l
384 CHAPTER 7
(A.7.5)
Consider the terms of(A.7.5).
(A.7.6)
q q-1 q
•var(nr14n)= 2 I ~a~; + I I ~if..if.1 . (A.7.7)

j::;} j:;:::} j::::::i+l
The proofof(A.7.7) can be obtained as for var(eriS'e) in Appendix A.S.l by

substituting a for ß, if.; for if; and 3a~, for Jl:
in (A.S.ll ).
(A.7.8)
because the third order terms of normally distributed vector n are equal to zero.
(A.7.10)
(A.7.11)
Putting (A.7.6)- (A.7.11) into (A.7.5) one obtains

q q-1 q
var(77J= (a+9r pfL 0 (a+9r p)+2Ia~a~, + I I~if.;if.1 (A.7.12)

i=l j:::-1 j::;i+l
m q
= trAL Ar
'? n '?'
L e = "\' ""r2a2a2
L..,.; L..,.; lJ z nJ ·
(A.7.13)
i~1 J~1
AND EXTERNAL NOISE F ACTORS
2.4. var(&) = u;. (A.7.14)
Taking into account that n and e are independent one can rewrite this equation as
follows:
(A.7.15)
(A.7.16)
= E( llnnr ~r )E(e) = 0 (A.7.17)
2.8. cov[(ll. + lln + 11.J, &] = cov(ry., &)+ cov(ryn, &)+ cov(ll.n, &) =0, (A.7 18)
because as e, n and & are independent one can write
cov{ry., &) = E(ry.& )- E(ry. )E(&) = 0.
In a sirni1ar way one can see that cov{ryn, & ) = cov{ll.n, & ) = 0.
Putting (A. 7.4), and (A. 7.12) - (A. 7.18) into (A. 7.3) we obtain (7.14).
•
Appendix A. 7.2. Derivation of algorithm for unconstrained optimization by
Lagrange multipliers
Consider the following function:
where f.J is undefined Lagrange multiplier.

F or the optimal value of p the first derivative of rjJ is equal to zero:
dr/J =B + 2Dp - f.J(b + 2Bp) = 0

dp
Consequently,
386 CHAPTER 7
(- ,uB + n)p = {,ub- 0)12. (7.36)
The second derivative of rp is
d2rp
- - = 2(- ,uB + D). (7.37)
dpdpT
The solution is a minimum if (7.37) isapositive definite matrix, i.e. -.uB + D > 0
or
,uB-D<O. (7.38)
The values of the undefined multiplier .u and the optimal parameters

Popt = (popti Poptz ... Poptmf can be obtained from (7.36) and (7.38). Let
A = diag(A.1 A. 2 ... A.J be a matrix of eigenvalues of n- 1B and by T-a matrix ofits
eigenvectors. lt is weil known that
(A.7.19)
and
(A.7.20)
Further on we use the substitution
p=T~ (A.7.21)
Multiplying (7.36) by Tr we obtain
Taking into account (A. 7.19) and (A. 7.20) one can rewrite this equation as follows:
and
(A.7.22)
Putting (A.7.22) into (A.7.21) one can obtain
p = -T(uA- It TT {,ub -B)/2 =-~ t t;t; (u;.,i -It {,ub- B), (A.7.23)
where t; are the eigenvectors of D- 1ß.
AND EXTERNAL NOISE FAC TORS
The inequality (7.38) can be written as follows:
TT (uB - D)T = f.l-A - I < 0 .
Consequently, for any lt; the following inequality holds:
f.l-A; -1 < O,i = 1,2, ... ,m. (A.7.24)
Denote by ltmin and ltmax the minimaland maximal eigenvalues of D- 1B. We obtain from
(A.2.24) the following relationships:
JL> Xmin
1 if ;t mm. <lt max <0 · (A.7.25)
(A.7.26)
and
(A. 7.27)
s
Consequently, the indefinite multiplier f.1 must be chosen to minimize 2 under the
conditions (A.7.25), (A.7.26), (A.7.27) and y = r. This explains the algorithm ofSection
7.4.2.
•
CHAPTER8
QUALITY IMPROVEMENT THROUGH MECHANISTIC MODELS
8.1. Introduction
Product or process models, based on specialized knowledge in the field of interest can be
used in computer-aided robust product design. This can be done before making a
prototype of the product. This way the ambiguity about the initial choice of the
parameter settings can be avoided and the product development stage can be shortened.
It also gives better understanding of the product behaviour under raw material or
component variations, manufacturing imperfections and environmental noises. In this
chapter, except Section 8.4, the factors arenot coded.
Consider For example, a very simple circuit (Figure 8.1).
Figure 8.1. Electrical circuit
An analytical model describing the output/input voltage ratio is
Uz _ B(D+C)
U:- A(B+C +D)+B(D+C)"
(8.1)
The output voltage U 2 can be computed exactly if the input voltage U 1 and the
resistances A, B, C, D are exactly equal to certain nominal values. However, in real
production resistor values usually vary within some tolerance intervals. As a result
different circuits of the type shown in Figure 8.1 give different values of the output
388
QUALITY IMPROVEMENT THROUGH MECHANISTIC MODELS 389
valtage U2 for a given inputvaltage U1, in spite ofthe fact that the nominal values of A,
B, C, D are the same for all circuits.
In practice models can describe much more complex products. Noises can also be
of different nature. For example, if a circuit comprises transistors it may be sensitive to
environmental temperature.
Robust parameter design can be carried out by experiments on a prototype as this
was shown in Chapters 4, 5, 6 and 7. However, the existence of an analytical model
makes things much easier. Computer experiments are much easier, safer, eheaper and
more convenient than real ones. They can be conducted even if the real product does not
exist. This is especially important for complex products or processes, such as complex
electronic circuits, sophisticated machines, cars, chemical processes and products, etc.
Several specific features of the computer experiments make them different from
the physical ones. The most important ofthem are:
• Analytical models are often complicated and the number of factors can be
higher than the usual for physical experiments.
• There is no random error in the response. Repeated observations give the same
result.
• An analytical model may not be an adequate approximation to the real process
or product.
The last problern is specific for each case and is beyond our scope. Further on we
assume that the analytical model is a good approximation to the reality.
If the mean values and variances of the noises in mass production are known, a
model based robust product design is possible. There are several alternative approaches
to quality improvement through mechanistic models:
• Use Monte Carlo computer Simulations of the performance characteristic in
presence of noises and compute its mean value and variance.
• Use Taguchi method as it was described in Chapter 4, but with simulated data
instead of data obtained from physical experiments. ·
• Use response surface methodology (Chapters 5, 6 and 7) with simulated data
instead of physical experiments.
• Use analytical models of the mean value and variance of the performance
characteristic in combination with optimization procedures.
In this chapter we focus our attentiop on the last two approaches.
390 CHAPTER8
8.2. Computing performance characteristic's mean value and variance using

mechanistic models.
8.2.1. CASE WITH ERRORS ONL Y IN PRODUCT PARAMETERS
First consider the case when the product or the process is subject only to errors in its
parameters. Assurne that a deterrninistic rnodel of the perforrnance characteristic
17 = 17(p, ß) is known. It rnay be nonlinear in parameters ß =(ß 1 ß 2 ßk Y.
The value ofthe perforrnance characteristic in rnass production is
y(p) = 17(p + e, ß)+ & , (8.2)
where p is a vector of product pararneters and e is a vector of errors in factors due to

tolerances and rnanufacturing irnperfections. Assurne that the errors in factors e and the
output noise & are independent. One can write the perforrnance characteristic's variance
in rnass production as follows:
(8.3)
where 0: = var & .

To cornpute d- we expand 1] = 7]{p +e,ß) in Taylor series up to third order with
respect to errors e. After sorne cornputations, which are given in Appendix A.8.1, we
obtain the following forrnula for perforrnance characteristic's variance in rnass
production:
i==l i=I i=l j=l,j;t:i
(8.4)
where J.l; 3 and J.l; 4 are the third and the fourth order rnornents of the error distribution,
and
These derivatives can be computed analytically or numerically.

Formula (8.4) can be simplified for normally distributed errors. In this case
3a7.
Jl; 3 =0 and /l; 4 = Putting these values in (8.4) we obtain:
m m m-1 m
d = :LA:o; +2LHi7a7 +4L :Lni;o;c~; +

i=l i=l j=l,jt:.i
(8.5)
It is shown in Appendix A.8.1 that the mean value of the performance

characteristic in mass production is equal to
Y = E[y(z,ß)]~ q(p,ß)+tr(H~.)+ fpJ;;;), (8.6)

i=l
where H is m x m matrix with diagonal elements H;; and offdiagonal elements H;1 . The
formulae for variance and mean value in mass production for second order polynomials
(5.10), (5.11) and (5.19) can be considered as special cases of(8.4), (8.5) and (8.6),
correspondingly. To show this it is enough to put all third orderderivatives equal to zero
(rY>
n
= r<i>
JJ
= r<i>
IJ
= o) and to notice that in this case
Ai = ßi + 2ßiipi + L/3;,P,
i=l.jt:.i
(8.7)
and
H=B. (8.8)
This conclusion shows that all analytica/ optimization procedures developed in

Chapter 6 are applicable jor the case when second order Taylor expansion oj the
mechanistic model can be used jor calculation of the product perjormance
characteristic.
There is a specific simplification of quality improvement problern when the
modeHing is combined with a numerical optimization procedure. In this case a /ow order
/oca/ Taylor expansion can be used. At each step of this procedure one needs to
compute the mean value and variance in one point of the factor space. Models (8.4},
(8.5) and (8.6) provide good approximation of the mean value and variance in a region
392 CHAPTER8
around a given point defined by the search procedure. This region depends on the ranges
of parameter's random variations which are usually not !arge. For example, if the errors
in parameters are normally distributed one needs an accurate model within the interval
±3 ai around the nominal value of the parameter pi . Therefore, at a given step first or
second order Taylor expansion in which all derivatives are computed for the current
values ofproduct parameters is satisfactory. This simplifies the computational procedure.
Another interesting feature of the approach based on analytical models is that it
does not use simulations of the noises. The moments of the errors if; ,Jii3 ,Jii4 are
estimated on the basis of observations from the real production process or from tolerance
intervals as this is shown in Section 5.3. Putting them in equations (8.4), (8.5) and (8.6)
one can obtain the mean value and variance of the performance characteristic in mass
production without any simulations. This feature of the procedure is useful in several
respects:
• lt can save time when the models are !arge and complex.
• The simulation errors due to use of limited sample size or low quality of
random number generators are avoided.
• Experimental designs, regression analysis, ANOVA., Daniel plots and other
statistical procedures arenot necessary. This saves time and efforts .
.• The values of derivatives can be used for analyzing product performance
characteristics in a given point of factor space.
The listings, containing different variants, contour plots, graphs of the effects of
factors and interactions, given in Chapters 3, 5 and 6 are applicable in analytical models
as weil.
Tolerance design can be carried out in the same way as in Section 6.6 with small
changes of the formulae for computing factor contributions. For example, if the original
analytical model is approximated by second order Taylor expansion, one can use for
tolerance reduction formula (6.54) with contributions computed as follows:
(8.9)
Example 8.1. Wheatstone bridge example

Taguchi (1986) gives an example in which the optimal values of a Wheatstone
bridge parameters are found. The circuit is shown in Figure 8.2.
vA',,B
(~:;J>
Ce F E
Figure 8,2, Wheatstone bridge
The problern is how to set the nominal values of the bridge parameters so that the
unknown resistance y to be measured accurately. The following notations are used: A, B,
C, D and F are resistances, E is power supply valtage and X is the reading of the
galvanometer.
An analytical model ofthe bridge is:
BD- - -X2- [A(C+D)+D(B+C) B(C+D)+F(B+C)].

y= I
C CE
Ifthe resistor Bis adjusted so that X= 0, the value ofthe unknown resistor is
BD
y=-.
c
For different bridges the deviations of A, B, C, D, E, Fand X from their nominal
values cause errors in the value of the unknown resistance y. That is why Taguchi
considers the deviations in the bridge parameters A. B. C, D, E, F and X as noise factors.
The nominal values of the resistances A, C, D, F and the valtage E must be chosen to
minimize the error variance. The value of the resistor B is not subject to optimization,
because it isavariable and is tuned to obtain X= 0. Taguchi uses orthogonal arrays L36
for both parameter and noise designs and computes the performance characteristic by the
analytical model with simulated noises. As each of the arrays has 36 rows, the total
number of runs is N = 36 x 36 = 1296. Further on Taguchi uses his method and obtains
optimal values ofthe bridge parameters.
Consider the solution of this problern by the model-based approach described
above. Denote p 1 , p 2 , p 3 , p 5 the values of the resistances A, C, D, F, correspondingly
and Iet p 4 be the voltage. Their intervals of variations during the simulations are chosen
by Taguchi and shown in Table 8.1. The true values for the parameters A, C. D, F vary
within intervals ±0.3% oftheir nominal values and for the parameter E within ±5% of
its nominal value. The error in the galvanometer reading X varies within an interval of
±0.2.10-3 A ofits nominal value,
394 CHAPTER8
TABLE 8..
I Factor Ievesm
I . Wheatstone bn"dIge examp1e
Factor Ievels
Factor Dimension Pimin = 1 P;o = 2 Pimax =3
A (pl) n 20 100 500
C(p2) n 2 10 50
D(p) n 2 10 50
E(p4) V 1.2 6 30
F(Ps) n 2 10 50
In order to obtain comparable with the Taguchi method results we compute the
values ofthe standard deviations in the same way as it wasdonein Taguchi's book:
where K;is the tolerance half interval given in percents, while P; are the values offactors
A, B, C, D, F. The values of o; change tagether with P; and this should be taken into
account in the computations by formulae (8.5) and (8.6).
As the error in the galvanometer reading X does not depend on the nominal value
its standard deviation can be computed as follows:
where K; = 0.2 x 10-3 A.

For the computations of the mean value and the variance we use formulae (8.5)
and (8.6) limiting the Taylor expansion to the second order. This is justified by the fact
that the optirnization is carried out by grid search and within a step this approximation is
accurate enough.
The derivatives, which are needed in formulae (8.5) and.(8.6), are computed both
analytically and numerically. The increments for computation ofthe numerical derivatives
are equal to O.OI{pimax - PimiJ, Pimm and Pimax being the intervallirnits.
For the sake of comparisons with the Taguchi results we use the signal-to-noise
ratio:
where y and d are computed by formulae (8.5) and (8.6).

Grid search technique is used for optirnization The optimal values of the
parameters are given in Table 8.2 tagether with the initial nominal values and the
parameters obtained by Taguchi method.
TABLE82 .. Parameter values fior the Wheatstone n eexamp1e

Parameters Dimensions Initial Optimal values by Optimal values by
nominal Taguchi method mode1-based approach
va1ues
A n 100 20 20
c n 10 50 2
D n 10 10 2
E V 6 30 30
F n 10 2 2
Varianced - 0.00861 0.00008045 0.000075678
(1" - 0.09279 0.008969 0.008699
3(1" - 0.27837 0.026900 0.026098
The variance obtained by the model-based approach is slightly smaller than for
the Taguchi method but it is 114 times smaller then for the initial nominal parameter
values. The 3 a half-interval of variation of the performance characteristic y is decreased
approximately I 0 times. This is achieved only by choosing proper parameter values.
The signal-to-noise ratio obtained as a result of optimization is equal to 47.23.
Further increase oftbis ratio can be achieved through tolerance design, i.e. by tightening
the tolerance intervals of the bridge parameters. The parameters' contributions to the
total variation are computed by formulae (8. 9). The contributions of C and D are almost
equal to each other (about 30%), while the contribution ofthe galvanometer Xis about
10%. The rest of the parameters practically do not affect the variance. lt is decided to
tighten the tolerance intervals of C and D ten times, and of the galvanometer X - 5 times.
With the new tolerances the standard deviation of y decreased from 0. 008699 to
0.0009311, i.e. more than 9 times and the signal-to-noise ratio is increased to 66.64. The
half-interval 3a is now equal to 0.0027933. For the parameters obtained by Taguchi
method with the same tolerance intervals the value of the standard deviation is
0.0010193, while signal-to noise ratio is 65.85.
To allow comparison the values of the signal-to noise ratio are computed by
Taguchi method and by the model based approach in the points of a ~ 6 orthogonal array
shown in Table 8.3. These computations arenot normally needed for the algorithm. The
bridge is adjusted so that X = 0 and in this case y = 2Q. The derivatives for the model-
based approach are computed analytically and numerically. The results do not differ too
much. The bias due to the term tr(HE.) in the model of mean value is equal to about
10-sn at all points ofthe ~ 6 array. In the last column ofTable 8.3 are given the signal-
to-noise ratios computed by simulations based on a crossed array containing 1296 runs
according to Taguchi method.
From Table 8.3 one can see that the signal-to-noise ratio obtained through
model-based approach with analytical derivatives almost always coincide or is very close
to the corresponding values obtained by Taguchi method. However, the results for model
based approach were obtained without simulation of noises, while the results for Taguchi
method are based on 1296 runs ofthe cross product design. The values ofthe signal-to-
396 CHAPTER8
noise ratio computed with numerical derivatives differ slightly from the values obtained
with analytical derivatives which is a result of inaccuracies in the numerical
computations. However, for practical use these results are quite satisfactory.
TABLE 8.3. Standarddeviationsand signal to noise ratios for the points of L 36 array
Analytical derivatives Numerical derivatives Taguchi
method
Standard Signal to Standard Signal Signal
deviation noise deviation to noise to noise
No. A c D E F ratio ratio ratio
a .; a .; .;
I I I I I I 0.04869 32.3 0.04818 32.4 32.2
2 2 2 2 2 2 0.09278 26.7 0.09252 26.7 26.7
3 3 3 3 3 3 0.32106 15.9 0.32098 15.9 15.9
4 I I I 2 2 0.02999 36.5 0.02918 36.7 36.4
5 2 2 2 3 3 0.07440 28.6 0.07408 28.6 28.6
6 3 3 3 I I 0.87118 7.2 0.87090 7.2 7.2
7 I 2 3 I 2 0.29997 16.5 0.29980 16.5 16.5
8 2 3 I 2 3 0.44724 13.0 0.44716 13.0 13.0
9 3 I 2 3 I 0.07922 28.0 0.07891 28.1 28.0
10 I 3 2 I 3 0.35312 15.1 0.35296 15.1 15.0
II 2 I 3 2 I 0.30064 16.5 0.30054 16.5 16.4
12 3 2 I 3 2 0.10564 25.5 0.10541 25.6 25.5
13 I 3 I 3 2 0.01291 43.8 0.01089 45.3 43.8
14 2 I 2 I 3 5.20123 -8.3 5.19970 -8.3 -8.3
15 3 2 3 2 1 0.37254 14.6 0.37244 14.6 14.6
16 1 3 2 1 1 0.07111 29.0 0.07076 29.0 29.0
17 2 I 3 2 2 0.90159 6.9 0.90149 6.9 6.9
18 3 2 I 3 3 0.36846 14.7 0.36856 14.7 14.7
19 1 1 3 3 3 0.16874 21.5 0.16859 21.5 21.5
20 2 2 1 1 1 0.27035 17.4 0.27018 17.4 17.4
21 3 3 2 2 2 0.40018 14.0 0.40009 14.0 14.0
22 1 2 3 3 I 0.00947 46.5 0.00645 49.8 46.5
23 2 3 I 1 2 1.05910 5.5 1.05877 5.5 5.5
24 3 1 2 2 3 5.11964 -8.2 5.11925 -8.2 -8.2
25 1 2 I 2 3 0.08584 27.3 0.08556 27.4 27.3
26 2 3 2 3 1 0.01339 43.5 0.01146 44.8 43.4
27 3 1 3 1 2 22.18513 -20.9 22.17860 -20.9 -20.9
28 I 2 2 2 1 0.01242 44.1 0.01030 45.8 44.1
29 2 3 3 3 2 0.02151 39.4 0.02037 39.8 39.3
30 3 1 1 1 3 14.22120 -17.0 14.21702 -17.0 -17.0
31 1 3 3 2 3 0.14059 23.1 0.14041 23.1 23.0
32 2 I I 3 I 0.01229 44.2 0.01015 45.9 44.2
33 3 2 2 I 2 2.20532 -0.8 2.20466 -0.8 -0.9
34 1 I 2 3 2 0.01339 43.5 0.01146 44.8 43.4
35 2 2 3 I 3 4.83077 -7.7 4.82935 -7.7 -7.7
36 2 3 1 2 I 0.79936 8.0 0.79927 8.0 8.0
•
8.2.2. PERFORMANCE CHARACTERISTIC'S VARIATIONS DUE TO BOTH

ERRORS IN F ACTORS AND EXTERNAL NOISES
Consider the case when the product or the process is subject to both errors in pararneter
settings and external noises. Suppose for exarnple, that a perforrnance characteristic of a
serniconductor-based circuit depends on cornponent tolerances and environrnental
ternperature. In real production process or usage this ternperature can not be controlled
and should be considered as randorn variable. If the range of ternperature variations is
known the problern of robust product design can be resolved using rnethods which are
sirnilar to those given in Chapter 7.
Denote the analytical rnodel by 17 = 17(p + e, n, B), where p = (p 1 p 2 .. . p m Y
is a vector of product pararneters, e = (e 1 e2 eJr is a vector of errors with zero
rneans, D = (n 1 n2 nq f is a vector of the external noise factors with rnean
E(D)= Da and B = (B1 B2 BkY is a vector ofknown pararneters.
...
Assurne that the perforrnance characteristic 17 can be approxirnated accurately

enough by a second order Taylor expansion of the rnodel with respect to p and D in the
neighbourhood ofthe point defined by p,D =Da as follows:
77(p + e, D, B) "=' 17(p, Da,B)+ f..r e +er He+
(8.10)
where
is m vector of first derivatives of 17 with respect to p,
is m x m rnatrix of second derivatives of 17 with respect to p,
is q vector of first derivatives of I] with respect to D,

398 CHAPTER8
is qxq matrix of second derivatives of 71 with respect to n,
is mxq matrix with elements y;1 , i =I, 2, ... , m; j =1, 2, ... , q.

Assurne that in mass production and usage e and n are mutually independent
random vectors with zero expectations and covariance matrices
and
As shown in Appendix A.8.3 the models of mean value and variance of the
performance characteristic in use ofthe product can be written as follows:
(8.11)
and
(8.12)
where
-at}+4L L/f;~d;o; +
m q m m-1 m
HOT= 2LA;f..li3/f;i +i"',LAni/-ln;3Hnii + L_H;;(pi4

i=l i=1 i=l i=l j=i+l
(8.12a)
For normally distributed errors f..li3 = f-lni3 =O,f..l; 4 =3a~, and f..ln; 4 =3a~;. Hence,
theHOTare
m m-1 m q
HOT= 2'LH;7a;4 +
i=l
Li=l j=i+l
L/f;~O:o; +2 'LH:p:j +
i=l
(8.12b)
i=l j=l i=l j=l
It is easy to see that if the model q(p,n 0 ,l/) is a second order polynomial as
(7.11) then equations (8.11) and (8.12) coincide with (7.13) and (7.14), respectively. For
this purpose it is sufficient to compute the derivatives for n = O,e = 0 and to notice that
A = ß+2t: p, An= a+fJ r p, H =t: and Hn =1'1. Therefore, using these notations, all
discussions and optimization procedures given in Chapter 7 for polynomial models can
be employed for analytical models as weil. The advantages mentioned in Section 8.2.1
arealso applicable for models (8.11) and (8.12).
8.3. Mixed models for mean value and variance
Often engineers have an analytical model of the product or process but find it difficult to
incorporate the extemal noises in it. Forthis purpose mixed models, which are partially
based on mechanism ofthe product (or process) and partiallyonexperimental data, can
be useful. In these models a part of variability (or bias in the mean value) can be
expressed analytically, while another part which is due to extemal noises can be
described through a regression equation. This is possible because the models of mean
value and variance (7. 13) and (7 .14), which are based on regression equations, are
special cases ofmodels (8.11) and (8.12).
A mixed model ofthe performance characteristic can be written as follows:
y(p +e,n,O) = q(p + e, ß)+ 77n + e.

The second term of this formula contains some coefficients of a polynomial
model of the form
(8.13)
or equivalently
q q-J q q m q
71n = ao + L
j::::}
aini + LL
i=l j;:i+}
ai)ninj + L
i=l
aiini2 + LL
j~J j~J
rijpinj. (8.14)
The vector a and the matrices 1'1 and fJ in (8.13) are defined as follows:
1'1 is qxq matrix with elements

400 CHAPTER8
~ is mxq matrix with elements Yu, i = 1,2, ... ,m andj = 1,2, ... ,q.
The errors in product parameters e are with zero mean and the mean of the
externa1 noise vector is E(n) = n 0 .
The performance characteristic's mean value is:
(8.15)
where 7J(p, ()) is an analytical model of the performance characteristic depending only on
product parameters and H is a m x m matrix of second derivatives of 7J(p, ()) with
respect top. The elements ofthis matrix are defined in Section 8.2.1.
The derivative of the polynomial part of the model is:
t1. n On I - = a + 2.-ln0 +~rp.

= OlJnD-Dg '?
A mixed model of the performance characteristic's variance can be obtained from

(8.12) as follows:
(8.16)
where HOTare computed by formu1a (8.12a) or (8.12b)

The elements of t1. and H can be computed from the analytical model 7J(p, ()) and
may contain product parameters p. The elements of a, .-1 and ~ do not contain product
parameters but must be estimated on the basis of an experiment with both product
parameters and external noise factors.
There are some specific features of the mixed models that allow engineers to use
relatively simple experimental designs and to keep the number of runs sma!L The bias in
the mean value in (8.15) depends on the estimated coefficients of the regression model
(8.13) or (8.14) through the term tr(A L 0 ). This term does not contain product
parameters p and is negligible if the external noise variances are small enough.
Consider the case when (8.13) does not contain second order terms with respect
to noise factors:
q m q
lJn = ao+ La;n; + LLYuPPJ· (8 17)

j:::J t:::l ;=1
Two Ievel factorial designs can be used in estimating the coefficients in (8 17), so
that independent estimates of a, and y,1 are obtained. As the elements of t1. and H can be
computed from the analytical model 7J(p, ()) they do not need to be estimated on the
basis of experiments. This allows the use of highly fractionated factorial designs. For
example, a resolution III fractional factorial design can be used with generator n1 = pipi,
if the interaction between pi and pi is negligible. Information about the significance of
interactions between product parameters can be obtained from the off-diagonal elements
of matrix H computed from the analytical model. If the value of ßii = 2[H];i is small, the
interaction PiPi can be considered as negligible.
Example 8.2. Cutting process optimization

Consider the surface roughness, y [.um] as a performance characteristic of the
meta! cutting process. It depends on two parameters: cutting tool speed, p{ [ m. min-I]
and cutting tool feed, p~ [ mm. r- 1 ]. There are also two noise factors: cutting angle, n{
[grad] and radius of the cutting tool nose, n~ [ mm]. The following relationship between
the performance characteristic and the process parameters is known
_ (p;rl945
17- 4 .05 74 (p;)o 17676
The parameter values in this equation are given in natural measurement scales.
In the production process the parameters can be set without ercors on their Ievels.
However, the surface roughness variance is considerable due to the noise factors. The
target is to minimize the variance keeping the roughness below 4 ,um.
T ABLE 8.4. Design fior meta cutting expenment

p{ p~ n'I n'2 y 1'/ rp
m.min- 1 mm.r- 1 grad mm ,um ,um ,um
280 0.1 45 0.4 1.03 0.0570 0.9730
85 0.1 45 0.4 1.27 0.0704 1.1996
280 0.5 45 0.4 9.86 0.5603 9.2997
85 0.5 45 0.4 12.45 0.6917 11.7583
280 0.1 75 0.4 1.10 0.0570 1.0430
85 0.1 75 0.4 1.30 0.0704 1.2296
280 0.5 75 0.4 10.82 0.5603 10.2597
85 0.5 75 0.4 12.56 0.6917 11.8683
280 0.1 45 1.2 1.10 0.0570 1.0430
85 0.1 45 1.2 1.32 0.0704 1.2496
280 0.5 45 1.2 10.28 0.5603 9.7197
85 0.5 45 1.2 13.05 0.6917 12.3583
280 0.1 75 1.2 1.22 0.0570 1.1630
85 0.1 75 1.2 1.34 0.0704 1.2696
280 0.5 75 1.2 11.71 0.5603 11.1497
85 0.5 75 1.2 13.74 0.6917 13.0483
402 CHAPTER8
The variance rrumrruzation is possible if there are interactions between the

pararneters p{ , p~ and the noise factors n(, n~. A full factorial design is carried out in a
laboratory keeping the process pararneters and the noise factors on their Ievels without
errors. The design and the performance characteristic's values are given in Table 8.4. All
variables in this table are given in their natural measurement scales. In addition to these
experiments another five runs are conducted in the design center. They are used in
s;
estimating the response error variance. It is found tobe = 0.835.
We consider the following model:
y= '1"/+(/J,
where 71 is computed by the known mechanistic model and rp is the part of the
performance characteristic due to the noise factors and their interactions with p{ and p~ .
lt can also be written in the form
As 71 can be computed by the mechanistic model, the "measured" values of rp can

be calculated as rp= y- '11· They are given in the last column ofTable 8.4. The values of
rp are used to fit the model given above. The following model is obtained:
(p = 4. 78987- 0.08173n(- 0.00656 p{n~ + 0.32008p~n( + 6.1455Ip~n~.
It was found that all model coefficients are significant at Ievel 0.05. The multiple
correlation coefficient R = 0.978 is also significant because F = 63. 74, while the critical
value at Ievel 0.05 is F(0.05,4,11) = 3.36.
Using the regression model we define the following estimates of the vectors and
matrices:
As in the equation we use the natural measurement scales for the pararneters and the
noises, the expectations of the noises are not zeros and are equal to
n~ 1 = E(n:)= 60andn~ = E(n;)= 0.8.

QUALITY IMPROVEMENT THROUGH MECHANISTIC MODEi..S 403
The standard deviations ofthe noises are computed as follows:
a = n{max -n{mm = 75-45 = 5

nl 6 6
and
- n~max - n;mm = 1. 2 -0.4 = 0.133.
an2- 6
6
As I:. = 0 and tr(AI:.) = 0 one can use (8.15) in order to compute the mean
value ofthe surface roughness in the production process:
~ (p' y41945
y(p',n')= 4.0574 (p:r 7676 +4.790-0.08173n~ 1 -0.00656p{n~2 +
+0.32008p~n~ 1 +6.146p~n~ 2 .
Substituting the expectations of the noises in this equation we obtain
(p'y41945
y(p',n') = y(p',n') = = -0.1138- 0.005248p{ + 24.1216p~ + 4.0574 (p;y 17676 .
The variance in mass production can be estimated by formula (8.16):
Putting the values of the elements of a, G and I:. in this equations we obtain the
following equation:
S = (- 0.08173 + 0.32008p; y X 25 + (- 0.00656p; + 6.146p; y X 0.01778 + 0.835.
The optimal parameter values are found through grid search based on the mean and
variance models. The optimal parameter values are P{opt = 241 m. min - 1 and P~opt = 0.1.
The corresponding mean value and standard deviation are y= 1. 092 J.lffi and
s = 0.956f.1111. One can see that for the optimal parameter values
y + 3s =l.092+3x0.956=3.959 f.111l,
404 CHAPTER8
y
that satisfies the constraint + 3s < 4 f.JTfl . Parameters providing smaller values of the
variance do exist but they do not satis:ty this inequality. Contour plots ofthe performance
characteristic's mean and variance are shown in Figure 8.3.
- -Perform. characteristic, - -Variance
100 120 140 160 180 200 220 240 260

~
Figure 8.3. Mean and variance contours for surface roughness
•
8.4. Response surface approach based on polynomial approximations
Sometimes analytical models are rather complicated and computing derivatives can be
difficult. In this case it may be easier to approximate the performance characteristic by a
polynomial model. Computing first the performance characteristic from the analytical
model in a number of points in the factor space one can then use the least squares
method to fit the data to a polynomial model. The choice of the design and the data
analysis procedures must take into account the fact that the simulated data do not
contain errors. A more detailed discussion on these problems is given in Section 8.5. On
the basis of a regression model of the performance characteristic one can use the
methods given in Chapters 5 and 6. In this section an application of this approach to
robust design of an electric circuit is given.
Example 8.3. Band-pass filter example

The problern under investigation is to choose the parameters of a band-pass filter.
The circuit diagram is shown in Figure 8.4.
Figure 8.4. Band pass filter
Consider as a performance characteristic (y) the standing-wave ratio (SWR) which

must not exceed 0.05. Seven parameters had to be chosen, five of them being
capacitances measured in pF and the other two - inductances measured in nH. An
analytical model of the circuit is known, but it is too complicated. That is why the
performance characteristic is approximated by a third order regression model of the type
(5.13) in which the terms containing p,3 are omitted. Three Ievel designs can be used for
such models and an L 36 orthogonal array is chosen. The values of y at its points are
computed by the analytical model and a polynomial model based on these data is built by
least square method. The factors, their Ievels in the experiment and their tolerance
intervals are shown in Table 8.5.
5 Factor eveIs tior bad

TABLEB .. 1 ter exampJe
n -pass fil
Factors Code Dimension Factor Ievels Tolerance

Pimin = -1 P,o =0 Pimax =1 intervals
Cl p{ pF 2 3 4 ±0.4pF
c2 p~ pF 2 3 4 ±0.4pF
c3 p; pF 2 3 4 ±0.4pF
c4 p; pF 80 100 120 ±5%of p;
es p; pF 50 60 70 ±5%of p;
LI p~ nH 170 195 220 -
L2 p; nH 90 95 100 -
406 CHAPTER8
The tolerances of C1, C2 and C3 are constant, for C4 and C5 they depend on the
nominal values and are given in percents, while for ~ and 1--z the tolerances are zero, i.e.
the inductances are not subject to random deviations.
The experimental design and the results of computations are shown in Table 8.6.
The following model is fit using stepwise regression procedure:
y = 0.1785-0.0459 p 2 - 0. 0592 p 3 -0.0381 p 5 - 0. 0297 p 1p 3 + 0. 0407 p 1p 4 + 0. 0766 p; +
To build models of mean value and variance in mass production one needs the
variances of errors in product parameters. Assurne that they are normally distributed and
their tolerance intervals are Ki = ±3ai. For the factors p 1 , p 2 and p 3 the tolerance
intervals lengths are independent of the nominal values of factors and are equal to
±0.4pF. Taking into account (5.31) one can compute the standard deviation of the
errors as follows:
CTi = 0: I mi = Ki I 3mi =0.413x 1=0.13333,i=1,2,3.
where mi = 1 is the interval of variation of the factors p 1 , p 2 and p 3 .

As the tolerances of p 5 and p 6 are given in percents of their nominal values
formula (5.32) must be used for computation ofthe error Standard deviation:
Consequently, during the optimization phase when ai depends on nominal value p'.
Putting these values and the regression model coefficients in (5.14) and (5.15)
one can compute the mean value and standard deviation of the performance
characteristic in mass production. For the design points they are given in Table 8.6.These
models are used for variance minimization through grid search, under the condition that
y:s; 0.05. The best result is obtained for p. =(-1,-1,0,0,0,1,-1Y. The optimal values
y s
are: = 0.010969and = 0.019601. The optimal parameter values in natural measuring
scale are: C1 = 2 pF, C2 = 2 pF, C3 = 3 pF, C4 = 100 pF, C5 = 60 pF, ~ = 220 nH,
Lz =90 nH.
TABL E 8.6. Parameter d ' fiband

es1gn or pass fi1lter example .
Factors SWR SWR Standard
computed in mass deviation
No. bymodel production in mass
production
PI P2 P3 p4 Ps P6 P1 y ji s
1 -1 -1 -1 -1 -1 -1 -1 0.1250 0.12834 0.08341
2 0 0 0 0 0 0 0 0.1674 0.17946 0.01597
3 1 1 1 1 1 1 1 0.2654 0.26841 0.07203
4 -1 -1 -1 -1 0 0 0 0.1293 0.12634 0.03415
5 0 0 0 0 1 1 1 0.0959 0.09056 0.02914
6 1 1 1 1 -1 -1 -1 0.3984 0.41041 0.08383
7 -1 -1 0 1 -1 0 1 0.4513 0.44909 0.06347
8 0 0 1 -1 0 1 -1 0.1726 0.16809 0.04705
9 1 1 -1 0 1 -1 0 0.1943 0.20398 0.08485
10 -1 -1 1 0 -1 1 0 0.2905 0.29373 0.07098
11 0 0 -1 . 1 0 -1 1 0.3701 0.36650 0.05390
12 1 1 0 -1 1 0 -1 1.0000 0.99958 0.10267
13 -1 0 1 -1 1 0 -1 0.1799 0.17522 0.04953
14 0 1 -1 0 -1 1 0 0.2635 0.26187 0.02684
15 1 -1 0 1 0 -1 1 0.3896 0.39558 0.04530
16 -1 0 1 0 -1 -1 1 0.3021 0.30336 0.06829
17 0 1 -1 1 0 0 -1 0.3224 0.32301 0.05652
18 1 -1 0 -1 1 1 0 0.2007 0.20897 0.06690
19 -1 0 -1 1 1 1 -1 0.2701 0.26529 0.05869
20 0 1 0 -1 -1 -1 0 0.1176 0.11013 0.03205
21 1 -1 1 0 0 0 1 0.1866 0.19472 0.04493
22 -1 0 0 1 1 -1 0 0.3528 0.36366 0.04715
23 0 1 1 -1 -1 0 1 0.1601 0.16207 0.04797
24 1 -1 -1 0 0 1 -1 0.1670 0.16727 0.04332
25 -1 1 0 -1 0 0 1 0.1802 0.17905 0.05033
26 0 -1 1 0 1 -1 -1 0.2247 0.22609 0.04492
27 1 0 -1 1 -1 0 0 0.3911 0.39677 0.04474
28 -1 1 0 0 0 -1 -1 0.2262 0.21829 0.04236
29 0 -1 1 1 1 0 0 0.2899 0.29627 0.04211
30 1 0 -1 -1 -1 1 1 0.2260 0.22776 0.06674
31 -1 1 1 1 0 1 0 0.3902 0.39153 0.05120
32 0 -1 -1 -1 1 -1 I 0.1849 0.18320 0.05133
33 1 0 0 0 -1 0 -1 0.2108 0.20720 0.03234
34 -1 1 -1 0 1 0 1 0.1480 0.14225 0.11526
35 0 -1 0 1 -1 1 -1 0.4222 0.42142 0.05741
36 1 0 1 -1 0 -1 0 0.1237 0.13055 0.04426
•
408 CHAPTER8
8.5. Other methods for quality improvement based on mechanistic models
8.5.1. USING COtv1BINED ARRAYS AND OPTIMIZING LOSS STATISTICS VIA

MODELLING THE UNDERL YING RESPONSE
This approach was developed in a number of papers on design and analysis of computer
experiments published by Sacks, Welch, Mitchell and Wynn (1989), Welch, Yu, Kang
and Sacks (1990), Welch and Sacks (1991). Shoemaker, Tsui and Wu (1991) give a
discussion about the applicability of this method for experiments with product prototype,
or with a physical process.
There are two important distinctions between this approach and the Taguchi
method based on simulations:
• Combined arrays are used instead of Taguchi's cross-product designs. Product
parameters and noise factors are combined in a single array. It is similar to the combined
array used in Section 7.2 with the difference that the errors in product parameters are
considered as separate noise factors. Therefore, these combined arrays have more
columns (and number ofruns) than the ones considered in Section 7.2.
• The response itself is modelled rather than the signal-to-noise ratio or expected
loss. A prediction model of the expected loss based on the fitted regression model is
used. In contrast Taguchi does not use response surface models.
The method can be described for r responses as follows:
I. Postulate a model (usually a polynomial) for each response y, (p, e, n ),
i = 1, 2, ... , r.
2. Design an experiment with product parameters (p) and noise factors (n) and
run a simulator to obtain the corresponding performance characteristics' values.
3. Use the data to estimate the unknown coefficients ofthe following polynomial
models:
k,
.Y, (p, e, n) = "f/J;JiJ .

J~l
4. Assess the model adequacy and improve the model if necessary. Contour plots
can be used at this step and if the prediction has low accuracy, they can suggest
subregions in the factor space for the next experiments. If necessary, reduce the size of
the input space to obtain a better prediction.
5. For given p predict the value ofthe loss statistics defined as follows:
i(p) = fJ i[Y1 (p, e, n}y2 (p, e, n} ... ,y1 (p,e, n)]g(n, e';tedn, (8.18)
where g(e, n) is probability density function of the noises and /[.] is loss function.
Authors usually employ quadratic loss and the density g(e, n) is tak:en as uniform
on a finite set of noise Ievels representing typical and extreme conditions. Monte Carlo
simulations are used for solving the integrals in (8.18}.
6. Minimize i(p) as function ofp.
7. Conduct a confirmatory experiment to evaluate the obtained optimal parameter
vector Popt· Forthis purpose a Monte Carlo experiment with fixed p = Popt and noise
factors varying according to g(e, n) can be carried out. Altematively a small computer
experiment can be conducted varying n and e for p = p opt.
8.5.2. MONTE CARLO EXPERIMENTS
A Straightforward method for solving the quality improvement problern is to plug the
loss statistic into a numerical optimizer and to use Monte Carlo simulators to compute
the integral (8.18}. However, due to the complexity of the analytical model Monte Carlo
experiments can be very expensive. Sacks, Welch, Mitchell and Wynn (1989) give
examples of such complex experiments from fluid dynamics, chemical engineering,
integrated circuit fabrication and other processes. For example, they consider a chemical
engineering problem, for which a single run of the code tak:es up to 20 minutes on Cray
X-MP. Running a Monte Carlo experiment with such models is impossible.
Further on we do not consider this approach. For more details on applying Monte
Carlo experiments for quality improvement see Logothetis and Wynn (1989}.
8.5.3. USE OF TAGUCHI METROD WITH MECHANISTIC MODELS
Taguchi method can be applied for quality improvement based on analytical models just
in the same manner as for physical experiments but taking the data from a simulator.
However, this approach is rather expensive. It has the same disadvantages as those
discussed in connection with physical experiments in Section 4.13.
8.6. Specific problems of quality improvement based on mechanistic models
There are some specific problems of quality improvement based on mechanistic models.
They arise in connection with the simulation codes complexity and absence of random
output errors.
The complexity of the models mak:es the solutions expensive. Therefore, it is
important to avoid simulations with several values of the noise factors. This can be
achieved by the methods given in Sections 8.2, 8.3 and 8.4. Ideally the cheapest solution
can be obtained if the analytical model is approximated well enough by second order
Taylor expansion. In this case equations (8.5) and (8.6) can be employed with the third
derivatives set equal to zero. A subsequent application of the analytical optimization
410 CHAPTER8
procedures of Chapter 6 gives an accurate and quick solution. Canonical analysis and
graphical tools can be used for exploring mean value and variance surfaces.
Models (8.5) and (8.6) arealso applicable for third order Taylor approximation of
the analytical model. In this case numerical optimization procedures must be used. They
are not very expensive because the computations based on models (8.5) and (8.6) are
much simpler than those with the original simulation code.
The method of Section 8.4, which is based on the use of response surface
approach, has similar properties with respect to computational complexity. The main
difference from the methods of Sections 8.2 and 8.3 is that the computation of
derivatives is replaced by leastsquares estimation of polynomial model coefficients.
The method of Section 8. 5. 1 based on combined arrays is more complicated than
this of Section 8.4 in two respects:
• Considering the errors in product pararneters as separate noise factors increases
the nurober of terms in the regression model, the nurober of design runs and the
dimensions of the matrices in least squares estimation procedures.
• The computation of loss statistic (8.18) is connected with Monte Carlo
simulations, while it is computed much simpler using the models of Sections 8.2, 8.3 and
8.4.
Computational problems are more difficult when the original analytical model can
not be satisfactorily approximated with second or third order Taylor expansions or
polynomials, respectively. To some extent the methods of Sections 8.2 and 8.3 can avoid
this difficulty by combining modeHing and optimization procedures. As it was shown in
Section 8.2.1 low order Taylor expansions can be used at each optimization step. This
allows the use of the simple formulae (8.5) and (8.6) for computing mean value and
variance, respectively. First or second order Taylor expansions are usually satisfactory.
However, the cost of computations in this case is increased due to the necessity of
numerical evaluation of derivatives at each optimization step.
Sacks, Welch, Mitchell and Wynn (1989) try to overcome this difficulty by
considering the response Y; (p, e, n} as a realization from a stochastic process or random
function of n and e. They compute the correlation function of this process and use it for
generalized least squares estimation of model parameters. Welch and Sacks ( 1991)
report several examples when this approach improved the results with regard to fitting
polynomials by least squares. In this case the problern of specifYing the correlation
function arises. The computational burden also increases because the correlation matrix
R in the generalized least squares estimator
is of dimension N x N, where N is the nurober of runs in the design.

Another difference between computer simulations and physical or chemical
experiments is the Iack of random error in the output of the simulator. In this situation
the statistical procedures for testing lack-of-fit reflects only systematic bias and some
deterministic measures of uncertainty is needed. For example, the maximum absolute

deviation of the predicted response y(p, e, n) from the computed by the original model
y(p, e, n) can be used.
The third problern is connected with the choice of designs for simulated
experiments when the procedures of Sections 8.4 and 8.5.1 are used. For the procedures
of Section 8.2 this problern does not exist because they do not use simulations. For the
rnixed models of Section 8.3 a problern of design of physical experiments with the
external noise factors arises. lt is weil studied in the statistical Iiterature and the most
important designs are given in Chapter 3.
The optimality criteria used for the physical experiments are inappropriate for the
simulated ones. For example, D-optimality criterion minimizes the sensitivity of the least
squares method estimates to errors in the response. When there are no response errors
this criterion is useless.
Sacks, Welch, Mitchell and Wynn (1989) proposed some optimality criteria. One
of them is the Integrated Mean Squares Error (IMSE) criterion which minimizes
J(Y(p, n, e)- y(p, n, e)Y ~(p, n, e}dndpde

R
for a given weight function ~(p, n, e) in the experimental region R.

Another optimization criterion is the Maximum Mean Squares Error (MMSE)
which rninimizes
max[Y(p,n,e)- y(p,n,e)Y.
R
A third criterion appeared in a panel discussion (Nair (1992)) and was proposed
by G. Box and by Sacks and Welch. lt minimizes the loss function over the space of
noise factors:
min J(y- rY g(e, n }dnde,
Rn,e
where g(e,n) is the probability density function ofn and e.

The design of experiments for simulations is a problem, not weil studied. Some
results of Sacks, Welch, Mitchell and Wynn (1989) show that the design sites can be
uniformly distributed over the factor space. Some of the well-known designs like Latin
cubes satisfy this condition.
At the end a stress should be laid on an advantage of the design of simulated
experiments. They are more convenient for implementing sequential procedures than
physical experiments. Engineers can carry out some initial simulations, then analyze the
results, draw conclusions, change the model and design, carry out new simulations, etc.
412 CHAPTER8
8. 7. Bibliography
The idea ofusing analytical models for quality improvement appeared in Taguchi's books
(Taguchi (1986, 1987)). Box and Fung (1986) proposed a variance equation based on
mechanistic model of the performance characteristic. They used second order Taylor
expansion and neglected high order moments of the variance distribution. The method of
Section 8.1 appeared in Vuchkov and Boyadjieva (1990b, 1994). An application of this
approach is given in Vuchkov and Boyadjieva (1995}. The approach of Section 8.5 was
developed in a series of papers: Sacks, Welch, Mitchell and Wynn (1989}, Welch, Yu,
Kang and Sacks (1990}, Welch and Sacks (1991}. For additional reading on design of
computer experiments see Sacks, Schillerand Welch (1989}, Currin, Mitchell, Morris,
and Ylvisaker (1991}, Welch, Buck, Sacks, Wynn, Mitchell and Morris (1992}, Morris,
Mitchell, and Ylvisaker (1993}, Mitchell, Morris and Ylvisaker (1994).
Appendix A.8.l. Derivation of formulae (8.4) and (8.6)
Derivation offormula (8.4)

Let q(p, ß) be a given mechanistic model of some performance characteristic. In
mass production the following value is measured:
y(p)= q(p +e,ß)+e, (8.2)
where e = {e1 e 2 •.• eJr is m vector of errors in factors. Suppose that errors
e; and ei,i :t:. j are independent with zero means and diagonal covariance matrix:
Denote the third and the fourth moments of the errors J-1; 3 = E(e;) and
J-1; 4 = E(e: ), correspondingly. Assurne that the output error e is independent between
runs and its moments are E(e)= 0, var(e)= cr;,cov(e.,e.)= 0, where u and v stand for
different runs. Under these assumptions the performance characteristic's variance in mass
production can be computed as follows:
m m m-1 m
CT 2 = LA~CT;2 + LH;~(ui4 -CTn+4L LH;~CT;2 CT: +
i=l i=l i=l j=IJ#
(8.4)
where .1; are elements ofthe following m x 1 vector offirst derivatives:
H;; and H;1 are elements offollowing m x m Jacobian:
H =_!_ o27]{p,ß)
2 opopT
We also use the notations
where
are elements offollowing m x m matrices of third derivatives, i = 1, 2, ... , m.
T(•l = _!__ o31](p,ß)

3! o pjopopT ·
Proof The proofis similar tothat given in Appendix A.5.2 for formula (5.10). A
third order Tay1or series expansion of 17(p + e, ß) is
17(p +e, ß) = 1](p, ß)+ ,1T e + eTHe+ e e, (A.8.1)
Taking into account that 7]{p,ß) is non-random, E(e)= 0 and E(e)= 0 we

obtain from (8.2) and (A.S.l) the following formula for the variance in mass production:
(A.8.2)
e
With mutually independent 6 and e, cov[e, (.1T e + eTHe + e)] = 0. Neglecting all
moments of error distribution higher than fourth, one can also write
var(ee) = 2cov(eTHe,ee) = 0. Under these conditions equation (A.8.2) can be
rewritten as follows:
414 CHAPTER8
The .first term in (A. 8. 3) is
var(~r e)= E(~r eer ~)= ~r E(eer ~ = ~rr..~ = f~:u,2 . (A.8.4)

j.::::]
The second term in (A.8.3) can be written as follows:
(A.8.5)
i=l j.::::l J=i+l
where v includes all possible covariances between pairs of errors., For example, e,e1 and
eA ( i,j,r,s = 1,2, ... ,m and i,j not coinciding with r,s).
Substituting H,, and H,, with ßii and ßu I 2 in (A.8.5) we obtain (A.5.11).
Therefore, the proof of formula (A.5.14) of Appendix A.5.2 can be used to rewrite
(A.8.5) as follows:
(A.8.6)
i=l i=) j.::::i+l
Taking into account that E(e)= 0 the third term in (A.8.3) can be written as
follows:
As the errors are independent, the i-th element ofvector E(eerHe) can be presented in
the form
) {J.I.. H .. for i = j = s .
L Lm E ( e .e .e H . = 13 u
m (A.8.8)
j = 1s = 1 l J s JS Ofor all othercases
From (A.8.7) and (A.8.8) one can obtain the following formula:
cov(~r e,erHe)= f~,J.1. 13 H,,. (A.8.9)

j.::::]
With E(e)= 0 one can write thefourth term in (A.8.3) as follows:
(A.8.10)
Taking into account that t =(erT( 1)e erTc 2le ... erT(mlef and having in mind the
independence of errors in factors we obtain the following expression for the i-th element
ofvector E(ee e):
r=l j=l s=1 ;=1,j~i r=-l,f-:1:-i
where the i,j-th element of matrix T(J) is denoted by z;jll. Using this formula one can
rewrite (A.8.10) as follows:
Putting (A.8.4), (A.8.6), (A.8.9) and (A.8.12) into (A.8.3) we obtain (8.4).
Derivation offormula (8.6)

•
We will prove the following formula:
y = EIY(z,ß)]~ 1](p,ß)+tr(HL.)+ ff.L;

z=1
3 7;;(;) (8.6)
und er the same assumptions and using the same notations as in Appendix A. 8 .1.
Proof Under the same assumptions as above one can find the expectation of
(8.2) from (A.8.1) as follows:
E[y(p )) = E(77(p + e,ß)+ & ) =
= 77(p, ß)+ E(erHe)+ E[(erT( 1)e erT( 2 )e ... erT(m)e~]. (A.8.13)

As the matrix H is non-random one can write
(A.8.14)
416 CHAPTER8
Taking into account that the errors in factors are independent we can also write
=E{~e[~e
L.."" l
2
L.."" T(;)+2~.-~l
~T(ile.e
L.."" L..""
)] ;k J k
]}= r'l3
11. rUl
ll .
(A.8.15)
i~l j~l pl k~ j+l
Putting (A.8.14) and (A.8.15) into (A.8.13) we obtain (8.6).

•
Appendix A. 8. 2. Development offormulae (8.11) and (8.12)
Consider the following model
17(p + e, n,B)"" 17(p, n 0 , B)+ tl e +er He+ 11: (n- n 0 )+
(8.10)
Suppose that the noises are with zero expectations ( E(e) = 0, E(n) = n 0 ) and
covariance matrices
and
Under these assumptions the models of mean value and variance of the performance
characteristic in product's usage can be written as follows:
(8.11)
and
(8.12)
where
L I1;Ji,3H., +2 L l1mf1ni3Hnil + LH,~

m q m m-1 m
HOT= 2 (ui4 - CJ,4 )+ 4L LH,~u,2 u~ +

i=l z::::l z=l z::::l j=i+l
(8.12a)
1. Proof ofEquation (8.11)

The value of the performance characteristic in the neighbourhood of p and n 0 ,
which is disturbed by the noises e and n, is
(8.16)
Taking expectation with·respect to e and n and bearing in mind that the noises
arenot corrected and E(e)= O,E(n)= n 0 , E(e)= 0 we obtain
y(p)= E[77(p + e,n,O)+ e] = 77(p, n 0 ,B)+ E(erHe)+
+ tJ.. (n- n 0 )+ E[(n- n 0 Y Hn (n- n 0 )]+ E{l9(n- n 0 )] + E(e)=
Proof of equation (8.12)

•
The variance ofthe performance characteristic can be calculated from (A.8.16) as
follows:
a- 2 = a- 2 [17(p + e,n,B)+ e] = var[7J(p,n 0 ,B)]+ var(g e)+ var(erHe)+
+ 2cov[~r e,~:(n- n 0 )] + 2cov[~r e,(n- noY Hn(n- n 0 )]+
+2cov[~re,er 9 ] +2cov[erHe,~:(n -n 0 )]+
+ 2cov[~: (n- n 0 l{n- n 0 YHJn -n 0 )]+ 2cov[~rn(n -n 0 }er 9(n- n 0 )]+
+ 2cov[(n- n 0 Y Hn (n- n 0 ),er 9(n -n 0 )]+

418 CHAPTER8
Taking into account that q(p,n 0 ,(1) is non-random and that the noises are not
corrected and with zero expectations this equation can be simplified because
var[p, n 0 , B] =
=2cov [ q{p,n 0 ,B)+!J.r e+erHe+ tl"(n -n 0 )+(n -noY HJn- n 0 )+er 9(n- n 0 ),e]=
=2cov [77(p,n 0 ,B}!J.r e +er He+ !J.:(n- n 0 )+ (n- D 0 ) Hn(n- n 0 )]=
= 2cov[!J.r e,(n- D 0 J Hn (n- n 0 )]=2cov[!J.r e,IJ.: (n- n 0 )]=
= 2cov[erHe, Ll: (n- n 0 )]= 2cov[erHe,(n- D 0 J Hn (n- n 0 )]=o. (A.8.18)
The values of var(!J.r e) and var(erHe) are computed in Appendix A.8.1 ((A.8.4)
and (A.8.6)). The same way one can compute var[Lir (n- n 0 )] as follows
var[!J.r(n-n 0 )]= /J.nr~n/J.n = ±IJ.:p~;' (A.8.19)

i=-1
and
i=-1 i=-1 i=i+l
The value of var[ er 9 (n- n 0 )) can be computed as in (A.7.13):
·
m q
var[er 9(n -n 0 ))= tr9~n9r ~.= LL~o7~; (A.8.21)

i~I j~I
Bearing in mind (A.8.9) we can write
2cov(!J.r e,erHe)= if!J.;pi3H;; . (A.8.22)

i=l
Similarly to this formula one can also derive
2cov[L1nr (n -n 0 Hn- D 0 J HJn- D 0 )]= 2t!J.n;/.in;3Hnii · (A.8.23)

i=l
The next term 2 cov[ /).r e, er t; (D- Da)] equal to zero because
cov( tl e,er t;(D- D0)] = E[ /).r eer t;(D- Da)]- E(/'l e)E[ er t;(D- Da)]=
=E(fJ.r eer t;)E(D- n 0 ) =0. (A.8.24)
In a similar way we obtain that
(A.8.25)
Finally we note that

var(e) = a-;. (A.8.26)
Putting (A.8.4), (A.8.6) and (A.8.18)- (A.8.26) into (A.8.17) we obtain (8.12)
•
Appendix A.8.3. Derivation of mean and variance models for third order
polynomials
Below are given the proofs of equations (5.14) and (5.15) of subsection 5.2.3.
Suppose that the model of the performance characteristic is a third order
polynomial:
m m-1 m m m-2 m-1 m
ry{p)= ßo + 'Lß.P; + L Lßifp•pi + 'Lß,;P,2 + L L LßiJkP;PJPk +

i=l 1=1 1=1 j=l+lk==- j+1
L Lßil)P; Pi.
m m m
+ Lß;,;P; + 2 (5.13)
i=l i:=l j-zl,j+:-i
Under the assumptions that the errors in product parameters e, are independent
and normally distributed the models of mean value and variance in mass production are:
and
420 CHAPTER 8
+HOT+d ;, (5.15)
where
(5.16)
Proof
The proofis based on equations (8.5) and (8.6). Compute following expressions:
1 02 (p) m
17 -=ß +3ß . p + "ß
H n = -;+,2
- Pj
2 vy i
u ni z . ~ . ii.f '
r=-1,}~1
Putting these expressions in (8.5) and (8.6) we obtain (5.14) and (5.15),
respectively.
•
CHAPTER9
QUALITY IMPROVEMENT OF PRODUCTS DEPENDING ON BOTH

QUALITATIVE AND QUANTITATIVE FACTORS
9.1. Introduction
Many performance characteristics depend on both qualitative and quantitative factors.

The values of the quantitative factors can be expressed numerically in a physical
measuring scale. Such factors are temperature, pressure, length, resistance, etc.
Qualitative (or categorical) factors' Ievels can be expressed in categories and can only be
named or numbered. Examples of qualitative factors are type of raw material, method of
treatment or measurement, type of equipment used in an experiment, operator, etc.
Several specific problems arise in connection with the existence of both
qualitative and quantitative factors. For example, a response surface design may be
unsuitable if the number of the qualitative factors' Ievels does not correspond to the
number of Ievels in the design. It is also not clear how to link qualitative factors' Ievels
with the Ievels of a quantitative factors design.
There are problems with the models as weil. Regression models must be
generalized to treat both qualitative and quantitative factors. The model selection
problern is important because it is associated with choice of design, prediction accuracy
of the mean value and variance of the performance characteristic in mass production or
product's usage, complexity of the optimization procedure, etc. The optimization
procedures must be modified to take into account the categorical nature of the
qualitative factors.
Another important feature of the case under consideration is that in mass
production the qualitative factors usually can be set without errors, while the Ievels of
the quantitative ones often are set with random errors.
Therefore, the following problems are of interest for the quality improvement of a
product or process depending on both qualitative and quantitative factors:
• Design of experiments,
• Defining a model of the performance characteristic and parameter estimation,
• Model structure selection,
• Derivation of models of the mean value and variance of the performance
characteristic in mass production or product' usage.
• Optimization procedures.
We follow the approach used in Chapters 5 to 8 with a stress laid on the
distinctions due to inclusion of qualitative factors. Assuming that regression models are
422
QUALITY IMPROVEMENT OF PRODUCTS DEPENDING ON BOTH 423
obtained by experiments without errors in factors, we use them to induce new models of
the mean values and variances in mass production. Optimization procedures based on
these models allow finding the optimal parameter values.
The models of performance characteristics depending on both qualitative and
quantitative factors are reduced to the forms given in chapters 5 and 7. This way the
results of chapters 5, 6 and 7 with minor changes can be used in the case under
consideration.
9.2. Models of performance characteristics depending on both qualitative and

quantitative factors
9.2.1. DUMMYVARIABLES
A qualitative factor can be represented through so called dummy or indicator variables.

They take finite number of values, chosen to ensure that a specific combination of Ievels
of the dummy variables corresponds to each combination of Ievels of the qualitative
factor. There are many different ways for defining dummy variables (Johnston (1972),
Draper and Smith (1981)). Further on we use r- 1 dummyvariables for representing a
qualitative factor with r Ievels. Each dummy variable indicates one of the r - 1 Ievels and
equals 1 if the qualitative factor is set on that level and 0 otherwise. One of the Ievels of
the qualitative factor is associated with level 0 of all dummy variables.
Consider for example, a raw material which can be of type 1, 2 or 3. These three
Ievels ofthe factor can be represented by two dummyvariables defined as follows:
_ {1 if raw material type 1is used

wt - ,
0 otherwise
w = {1 if raw material type 2 is used

2
0 otherwise
9.2.2. REGRESSION MODELS WITH BOTH QUALITATIVE AND

QUANTITATIVE FACTORS
In this chapter the quantitative product parameters are denoted by P;, the qualitative
ones - by v; and the quantitative external noise factors by n;. Assurne that the qualitative
parameters can be set without errors in the production process. Further on they are
represented by dummy variables w, . Cases with categorical external noise factors, which
are rather artificial for real production processes, are not considered. For the sake of
simplicity we start with models that do not contain external noise factors.
424 CHAPTER9
Models without external noise Jactors

Suppose there are m quantitative factors of interest: p = (p1 p 2 . •. pm Y. The
qualitative factors are v = (v1 v2
correspondingly. The total number of their Ievel combinations is ra = 1j r2 ... rd. For
representing a qualitative factor v; we use r; -1 dummy variables: w1 {i} w2 {i), ... ,w"_ 1 (i).
For example, if v; is at its t-th Ievel, then
w, (l·)={lfors=t , (9.1)
Ofor s ;t: t
where s = 1,2, ... ,r; -1, t = 1,2, ... ,r;. The total number of dummy variables is
r ='i + r 2 +... +rd - d.
Consider second order polynomials with quantitative and dummy variables. Two
important features ofthese polynomials should be taken into account:
• One can see from (9.1) that w, = w;. Therefore, one must not include in the
models both linear and quadratic terms with respect to dummy variables. Further on we
omit the quadratic terms .
.• Interactions between dummy variables representing the same qualitative
variable must be excluded from the model.
If linear and quadratic terms of any dummy variable are included in the
polynomial F has columns that coincide. If any of the interactions between dummy
variables, representing the same qualitative variable, is not excluded from the polynomial
there are columns in the extended matrix F which consist only of zeros. In both cases the
information matrix FrF is singular and the least squares estimates of the model
coefficients can not be computed.
Denote by
LLoi,wiwJ
i j>i
the sum of all admissible pairwise interaction terms between dummy variables.
A second order polynomial with quantitative factors and dummy variables is
written as follows:
i=l i j>i i=l

m-1 m m r m
+LL.B;Jl;P,+ Lß;;P;2 + LL~iwipJ+ 8 , (9.2)

i=l j=i+l i=l i=l i=l
where 8 is output random noise with zero mean and constant variance 0:. The values of
8 are independent between the Observations.
Example 9 .1.
Consider a model with two quantitative factors p 1 , p 2 and two qualitative factors
vl' v 2 . Factor v1 has two levels and is represented by a dummy variable w 1, while factor
v2 has three levels and is represented by dummyvariables w2 and w3 . They are shown in
Table 9 .1. It is easy to see that wj = wj2 and the product w2 w3 is equal to zero for any
combination of levels of w 2 and w 3 . A second order polynomial for this case is
1 Leve Is of quar1tat1ve
T ABLE 9.. . f1actors anddummyvan·ab1es
Qualitative factors Dummy variables
VI Vz wi w2 w3
1 1 1 I 0
1 2 1 0 1
1 3 1 0 0
2 1 0 1 0
2 2 0 0 1
2 3 0 0 0
•
Model (9.2) can be rewritten in matrixform as follows:
(9.3)
The following notations are used in (9.3):

• ßo is the intercept of the model,
• 8 = (81 82 ... 8, Y is a vector of the coefficients in the linear part of the
model with respect to qualitative factors,
• 'D is a symmetric r x r matrix with zero diagonal elements and off-diagonal
elements equal to
'D = {_!_8ij if wj and w j represent different qualitative factors

lJ 2 '
Ootherwise
• w = (wl w2 .. . w r y is r-vector of dummy variables,

• ß = {ß1 ß2 ... ßJr is m-vector ofthe coefficients in the linear part ofthe
model with respect to quantitative factors,
• 11 is m x m matrix of the coefficients in the second order terms with respect to
the quantitative factors. It was defined in Chapter 5 as follows:
426 CHAPTER9
I I
ßJI 2ß12 2_ß1m
I I
11= 2ß12 ß22 2_ß2m
... ...
I I
2_ß1m 2_ß2m ßmm
• .L is rx m matrix of the coefficients in the interaction terms between qualitative

and quantitative factors of the form:
/12
.L=
['" /21
/r1
/22
Jr2
It is possible to rewrite model (9.3) in the form (5.I7) and therefore, to use the
results of Chapters 5 and 6. We will make distinction between the following two groups
ofmodels:
i) There are no interactions between qualitative and quantitative factors. although
there might be interactions within each group.
In this case the model (9.3) reduces to:
(9.4)
where
(9.5)
One can see from (9.4) that the intercept ß0 , is different for every combination of
the qualitative factors. The linear and the second order terms with respect to product
parameters do not depend on qualitative factors.
ii) There are interactions between qualitative and quantitative factors.
The model (9.3) is ofthe form
(9.6)
where
ß, = ß+.LT W, t = I,2, ... ,r 0 . (9.7)
The only difference between this model and (9.4) is that in (9.6) both intercept
ß01 and the linear terms ß/ p depend on qualitative factors. The second order terms with
respect to product parameters do not depend on qualitative factors.
Example 9.2.
Consider an example with 3 quantitative (pi,p 2 ,pJ and two qualitative (vi,v2 )
factors. The first qualitative factor has two Ievels: vi (!} vi (2) and the second one has
three Ievels: v2 (1), v2 (2), v2 (3). The first categorical factor can be represented by one
dummyvariable wi, while for the second we need two dummyvariables w2 and w3 . The
correspondence between the Ievels of the qualitative factors and the dummy variables is
shown in Table 9.1.
Suppose that the product performance characteristic is given in the form (9.2) as
follows:
(9.8)
This model can be written in the form (9.6). The intercept of(9.8) is ßo = 15, while the
vectors and matrices in (9.6) are defined as follows
p=(pi Pz P3Y,w=(wl Wz w3Y,
8=(1 3 5Y,ß=(7 9 11y,

5] [1.5
6 ,.L= 4.5
2.5
5.5
3.5]
6.5 .
0.7 7.5 8.5 9.5
•
Models with external noise Jactors
Suppose that both product parameters p = (pi p2 pm Y and external noise
factors n = (n 1 n2 nq f are measured without errors in the experiment and the
model ofthe performance characteristic is a second order polynomial:
m m-l m m q
y(p, w, n) = ßot +LßaP, +L L ß;,P,P, + Lß~~P,2 + L a;n; +

,-I t=l t=l
+I f
q q-I q q
+
m
+La;;n;z + L L a;,n;n; + LL Y;,P;n, rpuw,nJ li (9.9)

1::::1 i::::l J=i+l i=l ;=1 i=l j=l
428 CHAPTER9
or in matrix form:
(9.10)
where ßot>ßt>w and 11 are defined as in the previous subsection. The interactions between
qualitative and quantitative factors are taken into account through ß 1 which is defined by
(9.7).
The other notations are as follows:
• a = (a 1 a 2 ... aq f is q-vector of coefficients in the linear part of the
model with respect to the external noise factors.
• .4 is q x q matrix which contains the coefficients in the second order terms with
respect to noise factors:
1 1
aii -ai2 2alq
2
1 1
... 2a2q
.4= -ai2
2
a22
1 1
2aiq 2a2q aqq
• 9 is m x q matrix of coefficients in the interaction terms between quantitative
I
and external noise factors:
rl2 ...
9=
['"Y21
Yml
r
r
22
m2
...
...
...
r,.
Y2q
r mq
'
• -; is r x q matrix of coefficients in the interaction terms between qualitative and

external noise factors:
[~" ~'']
rpl2 ...
...
'?= (/).21
(/)22 rp2q
(/),1 (/) r2 rp,q
Equation (9.1 0) can be written in a form similar to (7.11 ):
(9.11)
where
(9.12)
The changes oflevel combinations ofthe qualitative factors affect only ß 01 ,ß1 and
a 1 in equation (9.11). The quadratic effects and the interactions of product parameters
and external noise factors do not depend on them.
Example 9.3.
Suppose that the performance characteristic depends on 3 quantitative and two
qualitative factors defined as in Example 9.1 but there are two noise factors as well:
n1 and n2 . Let a model ofthe form (9.9) is given as follows:
(9.13)
Model (9.13) can be written in matrixform through equations (9.11) and (9.12).
Note that the terms, which do not contain noise factors, are the same as in Example 9.2.
That is why we use the definitions of the transformed coefficients ß01 ,ß1 , the vectors
p,w,o,ß, and the matrices 8', V and 9which are given in Example 9.2. Additionally for
presenting (9.13) in the form (9.11) and (9.12) the following vectors and matrices are
defined:
A= ( 1.7 1.1) A= (0.9

1.1 1.9 •'?2.9 3.9 ,T
01
1.9) ~= [ 21 1.1)
· 3.1 .
.
4.1 5.1
•
430 CHAPTER9
9.3. Design and analysis of experiments with both qualitative and quantitative
factors
In Section 9.1 we mentioned two problems linked to the design of experiments with both
qualitative and quantitative factors:
• The number of factor Ievels of the existing response surface designs might not
coincide with the number of Ievels of the qualitative factors,
• The Ievels of the qualitative factors have to be assigned in an appropriate way
to the Ievels of the design.
In this case, as usual for the model-based approach, Taguchi's crossed arrays are
not needed. If there are errors only in the product parameters a combinatorial or
response surface design is used. For cases with errors in parameters and external noise
factors the combined designs described in Section 7.2 are suitable.
It might happen that the number of Ievels of qualitative factors coincides with the
number of Ievels in a response surface design. Consider for example, an experiment with
two quantitative factors: p 1 and p 2 and one qualitative factor v with two Ievels. If one is
interested only in main effects and interactions among factors a two Ievel full factorial
design is appropriate. In this case it is convenient to code the Ievels of v by -1 and 1.
If the number of Ievels of qualitative factor does not coincide with the number of
Ievels of the design one has to adapt the design, not the problern. There are two possible
choices:
i) Use an existing multilevel design. There are many combinatorial designs with
different number of Ievels like Latin and Graeko-Latin squares, Youden squares,
Balanced Incomplete Block designs (BIB-designs) and orthogonal arrays (see for
example, Taguchi and Konishi (1987)). Areal example (Example 9.5) is given in Section
9.7, where an orthogonal array L18 (2 1 x 37 ) is used.
ii) Generate a special design for the problern under consideration. Draper and
John (1988) give examples of a thorough analysis of the problern, which can show how
to choose a design, taking into account the sequential nature of the experimentation.
A computer-based approach is also possible which ensures a flexibility of the
design choice and can be used in rather generat context. It employs algorithms for
sequential generation of D-optimal designs. Some of them are considered in Chapter 3.
In order to apply these procedures with both qualitative and quantitative factors one can
use polynomials with quantitative variables and allow dummy variables to take only
values 0 and 1 during the search. As mentioned in Chapter 3, the designs can be
generated in blocks to use the information obtained at the earlier stages of the
experiment. In example 9.4 of Section 9 7 a sequentially generated nearly D-optimal
design is employed. Atkinson and Donev (1992) consider in details algorithms for
computer generation of D-optimal designs for models with both qualitative and
quantitative factors.
The choice of a design is linked with the methods for data analysis used after the
experiment. If decisions are based on examination of the main effects and interactions
orthogonal designs are appropriate, because they ensure uncorrelated estimates. These
effects can be studied using ANOVA or normal plots.
Usually the sequential procedures for generating D-optimal designs produce
asymmetrical designs. In this case the information matrix FTF and the covariance matrix
(Fr F )- 1 are non-diagonal and the regression coefficients estimates are correlated which
makes the independent interpretation of the effects impossible. This would not cause
serious problems if numerical procedures are used for model building and finding optimal
product parameter values. For example, regression analysis and numerical procedures for
optirnization, contour plots or canonical analysis can be employed. Fora choice between
models (9.4) and (9.6) partial F-ratio (see Section 2.3.7), best possible regression or
stepwise regression is suitable. Of course a combination between numerical methods and
individual interpretation ofthe effects is always desirable.
9.4. Models of mean value and variance in mass production and usage of the
product
The models of the performance characteristic given in Section 9.2.2 formally coincide
with the models used in Chapters 5 and 7. Therefore, the results obtained in those
chapters can be easily adapted to cases with both qualitative and quantitative factors.
Suppose that in mass production the product or process is subject to errors in
parameters e =(e1 e2 ..• eJr and extemal noises n =(n1 n2 ... nqf. Suppose
that experiments without errors in the factors were conducted and a regression model of
type (9.11) was obtained. In presence of errors in the parameters and extemal noise
factors the performance characteristic can be written as follows:
y(p,w,n)= 17(p +e,n)+e =
(9.14)
This equation Iooks exactly like (7.12). The only difference is thata"p, and Pot are
substituted in (9.14) for a,p and Po of (7.12). As the categorical variables do not
contain errors in production process or usage, a"p, and Por are not random and the
models of mean value and variance in mass production and usage do not differ from
those obtained in Chapter 7. They can be written sirnilarly to (7.13) and (7.14) as
follows:
y(p)= E(y(p, w,n)]= 17(p, w)+ tr (ß'~.)+tr~n)=
(9.15)
and
432 CHAPTER9
(9 I6)
The high order terms can be computed by (7.I5):
where if; , i = I, 2, ... , m and if.; , i = I, 2, ... , q are variances of the errors in factors and of
the external noise factors, correspondingly.
The following conclusions can be drawn from (9.I5) and (9.I6):
• The bias in the mean value tr('?i L.) + tr(rl L.) does not depend on
qualitative jactors. However, the mean value itself is their function via ß0 , and ß,.
• The variance u 2 (p) depends on qualitative jactors only through their
interactions with the quantitative and the noise factors. Actually formula (9.I6) shows
that u 2 {p) is linked with the qualitative factors only through a; = ar + w r-; and
ß, = ß+ wr L .. The matrices -; and L contain regression coefficients of the qualitative
factors' interactions with the noise factors and the product parameters, correspondingly.
If there are no such interactions then a, = a, ß, = ß and the qualitative factors do not
affect the variance. This conclusion shows how important the interactions in quality
improvement problems are.
• High orderterms (HOT) are not affected by qualitative factors.
In cases when only errors in product parameters exist and there are no external
noises, the models of the mean value and the variance in mass production can be
obtained as special cases of (9.I5), (9.I6) and (9.17)
(9.I8)
u 2 {p)=(ß, + 21ipfL.(ß, +21ip)+HOT + 0: (9.I9)

and
m m-1 m
HOT= i'[Ji;;u: + L L{iijif;~. (9.20)

z=1 i=l ;=i+1
The conclusions about the influence of qualitative factors given above are true for these
cases as weil.
Formulae (9.18) and (9.19) are similar to (5.19) and (5.22). They are suitable
when error distribution is normal. If this condition is not satisfied one can use (5.10)
instead of ( 5.19), substitutins ß 1 for ß.
Formula (9.19) is applicable ifthe bias due to substitution ofestimates for model
coefficients is negligible. Otherwise we can use formula (5.48) as in subsection 7.3.1,
with vector (} defined as follows:
o =<Pot ß11 ... Pmt ß12 Pm-l.m ß11 ... Pmm a11 aqt
9.5. Optimization procedures
9.5.1. INTRODUCTION
With the models obtained in Section 9.4 the robust product design reduces to an
optimization problem. The optimality criteria of Section 6.2 are suitable for the case
under consideration as weH. The optimization methods described in Chapter 6 and
Section 7. 4 have to be modified to take into account some specific features of the
optimization problem, when both qualitative and quantitative variables are included in the
model. Two ofthem are ofspecial interest:
• The fact that the qualitative factors can take only discrete values makes some
differences in the application of the analytical optimization procedures of Chapter 6 and
Section 7.4.
• Qualitative variables do not affect the second order terms of performance
characteristic's models (9.15) and (9.18) and the models ofvariance (9.16) and (9.19).
9.5.2. ANAL YTICAL SOLUTIONS OF THE OPTIMIZATION PROBLEM IN

CASES WHEN ONLY THE ERRORS IN PRODUCT PARAMETERS ARE TAKEN
INTO ACCOUNT
The smaller the better and the !arger the better cases
As shown in Chapter 6 the stationary points of the mean value and variance surfaces
coincide with each other. If there are no constraints on the parameter values pi>
i = 1,2, ... ,m, their coordinates can be obtained similarly to (6.28) by putting the first
derivatives of(9.18) and (9.19) equal to zero:
(9.21)
where bl = (btl bt2 btm r is a vector of estimates of ßt = (ßt] ßt2 ßtm y

and B is an estimate of B.
434 CHAPTER9
As b, depends on qualitative factors, there are distinct stationary points for each
combination of their Ievels. That is why the optimization procedure in this case is as
follows:
i) Compute P., using (9.2I) for all possible combinations of qualitative factors
Ievels.
ii) Put p ., in (9 .I8) and choose that combination of qualitative factors Ievels
which corresponds to an extremum of y(p). This combination minimizes the variance as
weil.
The procedure is much simpler if there are no interactions between qualitative
and quantitative factors. In this case the coefficients in the linear terms of the regression
model do not depend on qualitative factors and b, = b for all possible combinations of
their Ievels. Hence, the variance does not depend on qualitative factors and the stationary
point coordinates are
I -1
p s = --B
2 b. (9.22)
In this case the extremum of the performance characteristic is found from (9.18)
by separating the terms with qualitative and quantitative factors, because only the
intercept b0, depends on the categorical variables. The optimization procedure is:
i) Using (9.5) find the combination of qualitative factors' Ievels that provide
extremal (minimal or maximal) value of b01 , taking into account that
Yst =bOt - _!_ b;ß-1b, + tr(B:E.). {9.23)

4
ii) Compute the optimal values ofthe quantitative factors by (9.22).
A speci.fic target value is best

Target values r, can be different for the admissible Ievel combinations of the qualitative
factors (see Example 9.4). Denote their number by r•. Ifthe target is the same for all of
them, we use the notation r = '" t = I, 2, ... , r•.
With some modifications the method described in Section 6.4.1 is suitable for this
case. Denote f/Jmax the maximal eigenvalue of the matrix :E~ 1 B- 1 I 4 and Iet tmax be the
corresponding eigenvector. The stationary point of the response surfaces described by
(9.18) and (9.19) is found by (9.21) for any combination of Ievels of the qualitative
factors. The optimal parameter values are computed by analogy with (6.35) as follows:
-
P•tl,2 -
+ _!_ B-1
Pst - 2 tmax
~ r,f/Jmax
- Yst
'
(9 24)
·
where Y., can be computed by (9.23).
The minimal value of the parameter-dependent part of variance for t-th
combination of qualitative factor Ievels is
a-2(p •t )= Tt-Yst . (9.25)

iftmax
If the target is the same for all combinations of qualitative factor Ievels r is
substituted for T1 in (9.24) and (9.25) and the best combination of Ievels is the one
a
providing a minimum of 2(p.l) computed by (9.25).
A geometric interpretationoftbis solution related to the discussion in Section 6.4
is relevant here as weil (see Figure 6.3). Orientation of the axes of mean value and
variance surfaces depends on the matrices of the following quadratic forms: pTBp and
pTBT:E.Bp. The directions of these axes are the same for all Ievel combinations of the
qualitative factors, because B and BT:E.B do not contain categorical variables. Formulae
(9.23), (9.24) and (9.25) show that the optimal parameter values p.11 •2 , the value ofthe
performance characteristic at the stationary point ji81 and the minimal value of the
a
variance 2 (p •t ) depend on the qualitative factors.
For cases when there are no interactions between qualitative and quantitative
factors the following equality exists: b 1 = b. Therefore, the stationary point (9.22) is the
a
same for all combinations of qualitative factor Ievels. However, Ysl' P•t!2 and 2 (p.r)
depend on categorical variables via b01 • In spite of the fact that the variance surface is
independent from qualitative factors, its tangent points with the mean value surface are
functions ofthe dummyvariables via Yst and b01 •
It is tempting to use the ridge analysis of Section 6.4.2, as the qualitative factors
can be set without errors in mass production. However, this method can not be applied
because of the discrete character of the qualitative factors. The method of Section 6. 4. 2
can produce values of the categorical variables that do not really exist. This method is
appropriate only if some quantitative factors can be kept without errors during the
production process.
9.6. Other optimization problems
If both errors in product parameters and external noise factors are of interest one can
apply the procedures of Section 7.4 taking into account that at>ßt and ß 01 in equations
(9.15) and (9.16) are functions of the qualitative factors. If there are no interactions
between qualitative and quantitative factors the search of optimum parameter values can
be separated with respect to each of them, because in this case the variance does not
depend on categorical variables. When there are such interactions an optimal set of
quantitative factors is found for each combination of qualitative factor Ievels. The best
combination provides extremal value of the performance characteristic's mean value.
If constraints are imposed on the factor Ievels the stationary points might be
outside the region ofinterest. In this case the methods described in Section 9.5.2 arenot
436 CHAPTER9
suitable and methods like grid search or contour plots can be used for finding optimal
parameter values.
9.7. Examples
Example 9.4. Production ofresistors

Consider a vacuum thermal process in the resistors production. Performance
characteristic is the resistance y (n). It depends on two quantitative factors: current
p{ (A) and time of metallayer deposition p~ (s) as weil as on one qualitative factor (type
of ceramics) with two Ievels (I and II). A priori is known that the standard deviations of
the errors in quantitative factors e{ and e~ are 0.5 A and 1 s, respectively. The
qualitative factor is represented by a dummy variable w with Ievel 1 for ceramies I and 0
for ceramies II. The target values are r 1 = 4Q and r 2 =30Q for ceramies type I and II,
correspondingly.
A second order D-optimal design is sequentially generated using the procedure of
Section 3.4.4. The Ievels ofthe quantitative factors are shown in Table 9.2.
TABLE 9.2. Level sof quantitative f actors

Code
Factors -1 0 1
p{(A) 35 45 55
p~ (s) 30 40 50
The design and the observed values of the performance characteristic are given in
Table 9.3.
TABLE 9.3. Experimental design, Observationsand predicted mean values and standard deviations of
.
the transm1tted error m mass product10n
No. PI Pz w y y{p,w) s;,(p, w)
1 -1 1 l 4.08 3.987 0.03092
2 1 -l 1 3.64 3.546 0.11268
3 -1 -l l 4.35 4.312 0.05777
4 1 1 1 3.30 3.221 0.10156
5 -l -l 0 32.60 32.479 0.12835
6 l l 0 28.00 28.434 0.19604
7 -l 1 0 30.50 31.074 0.07868
8 l 0 0 29.00 28.953 0.20551
9 0 -l 0 31.00 31.464 0.16990
10 0 0 l 3.53 3.889 0.04194
11 l -l 0 30.00 29.839 0.22071
12 0.1 l 0 30.75 29.924 0.14224
13 -1 0 0 31.90 31.593 0.09996
14 -l -l l 4.35 4.312 0.05777
Stepwise regression procedure is used for model building. The interaction effect
between the quantitative factors is insignificant and is eliminated by a stepwise regression
procedure. The following model with interactions between qualitative and quantitative
factors is obtained:
y = 30.5773- 26.6913w -1.3195p1 - 0. 7025p2 +
+0. 9368p1w + 0. 5398p2 w- 0. 3053p12 + 0.1831p;.
It can be rewritten in the form (9.6), (9.5) and (9.7) as follows:
A A(p ,w ) = bOl+bl T p+p T Bp,

y=y
where
and
The notations h01 , b 1 , B, d, D, band L are used for the estimates of ßol' ßl' lf,
o, V, ß and L , respectively.
The intercept of y is b0 = 30.5773. The vectors and the matrices are defined as:
b=(-13195 -o.1o25y,
B= (
-0.3053 0 J
,L=(0.9368 0.5398).
0 0.1831
Since there is only one qualitative factor, d has only one element d 1 = -26.6913
and the matrix of the interactions between the qualitative factors has elements equal to
=
zero: D 0.
The residual variance s~ = 1. 7077 I 6 = 0.28462 can be considered as an estimate
of error variance 0:. The standard deviations of errors in the coded quantitative factors
are a 1 = 0.1 and a 2 = 0.1 and their covariance matrix is L. = diag(0.01,0.01). They are
computed taking into account ( 5.31) and the fact that the standard deviations in natural
measurement scales for both factors are a;
= ~ = 1, while the intervals of variation are
w 1 = w 2 = 10. Therefore, a; = cT, I w; = 0 .1, i = 1, 2.
The mean values of the performance characteristic in mass production are
calculated by (9.18) after substituting y for 77(p). First we compute
438 CHAPTER9
The mean value in mass production is
y(p, w )= y+tr(m:.)= 30.5761-26.6913w-1.3195p -0.7025p2 + 1
+0.9368p1w + 0.5398p2w -0.3053p: +0.183lp~.
The variance of the performance characteristic in mass production is computed by

(9.19):
where
m m-1 m
HOT= 2Lß;;cr: + L Lb;;cr; cr;.
j:=l •=1 j~i+l
2
First compute
r
b1 =b+Lw= (-1.3195) + (0.9368) w= (-1.3195+0.9368wJ
-0.7025 0.5398 -0.7025+0.5398w
and
2Bp = 2(- 0.3053 0 J(p1 J = (- 0.6106p1 J.
.
0 0.1831 p2 0.3662p2
Hence,
-1.3195 + 0.9368w- 0.6106p1 J
(
~~-= -0.7025 + 0.5398w + 0.3662p 2
As the interaction between p 1 and p 2 is insignificant ( bii = 0 ), the second term in the
formu1a for high order terms is zero and
HOT= ifA;cr: = 2[(- 0.3053Y

i=l
X 0.1 4 +0.183 e X 0.1 4 ]=0.000025345.
Hence, in this examp1e the high order terms are negligible.

The predicted performance characteristic's variance in mass production is
s 2(p, w) = o.28462+
(
-1.3195+0.9368w-0.6106pl
+ -0.7025+0.5398w+0.3662p2
0.01
)T( 0
0
X
-1.3195+0.9368w-0.6106pl
0.01 -0.7025+0.5398w+0.3662p2
)
or
s 2 (p,w)= 0.01(-1.3195+0.9368w-0.6106py +
+ 0.01(- 0.7025 + 0.5398w + 0.3662pzY +0.28462.
The values of y(p, w)

and the standard deviation of the transmitted error
s (p, w)
1, for the design points are shown in Table 9.3. The transmitted error variance is
defined as follows: st; (p, w) = s 2 (p, w)- s; .
The next step is to find parameter values that provide minimal variances under the
condition that the means are equal to T1 = 40 and T2 = 300 for ceramies type I and II,
correspondingly. The method of Section 9.5.2.with specified target value is used.
Compute
. { 3.8660, for w = 1
h01 = b0 + d1w = 30.5773- 26.6913w= ;
30.5773, for w = 0
b ={(-0.3827 -0.1627},forw=l
t (
-1.3195 -0.7025 )T ,forw=O '
The eigenvalues of matrix ±L~ 1 B- 1 and their corresponding eigenvectors are

equal to
ifJ1 = -81.882; t 1 = (10 o},
ifJ2 = 136.575; t 2 = (o 10}.
The coordinates of the stationary point and the corresponding predicted value of
the performance characteristic are computed using (9.21) and (9.23). The following
values are obtained:
-{(-0.6267 0.4444},forw=l
Pst - (-2.1609 1.9189 )T , for w = 0 '
_ _ { 3. 9685, for w = 1
Yst- ·
31.3278, for w = 0
440 CHAPTER9
--y
1.5
0.5
P2 0
-0.5
-1
-4 -3 -2 -1 0
P1
Figure 9.1. Contour plots of the resistance y and the transmitted error variance s,;
in mass production, type I ceramies (w = 1).
The optimal parameter vectors (Figure 9.1, Figure 9.2) and the corresponding
minimal values of s;(p.1 ) are computed using (9.24) and (9.25):
_ {(- 0.6267 0.8590f ,(- 0.6267 0.0299f, for w = 1

y(
P•t- (-4.2464 1.9189 , -0.0755 1.9189)r , for w = 0 '
_ 2 (p )={0.0002557,forw=1
s. ~,w .
0.0162418, for w = 0
One can see that the optimal solutions for w = 0 (r = 300) areoutside the region
of interest defined by the inequalities -1 ~ P; ~ 1, i = 1, 2. For this case a graphical
solution (Figure 9.2) is found at the point P•opt = (0.043 1f. Formula (2.28) is used for
calculating the optimal parameter values in natural measuring scales:
For the first factor (i = 1) the values w1 = 10 A and p{0 = 45 Aare found from Table 9.2
and the optimal solution in natural units is computed using (2.28):
P{opt = 0.043 X 1Ü + 45 = 45. 43A.
The optimal value of the second factor is P~opt = 50 s which corresponds to p 2 opt = 1. In
the optimal point s,; (p opt> w) = 0. 01926 ' while the variance of the performance
characteristic is s (p, w) = s,; (p, w)+ s; = 0.01926 + 0.28462 = 0.30388.
2
P• • Pst
1.5
-2 -1 0
P1
Figure 9. 2. Contour plots of the resistance y and the transmitted error variance ~;
in mass production, type II ceramies (w = 0).
Subsequent experimental work can be done for the case when w = 0 because it
can be expected that the optimal parameter values for this case wou1d be out of the
initially chosen region of interest. It can be expected that the variance would be reduced
more if p 2 is shifted towards higher values.
For the case w = 1 ( r= 40) both analytical solutions are within the region of
interest and the variance is one and the same for each of them. The following optimal
parameters are chosen: Popt = (- 0.6267 0.0299 Y.
The optimal parameter values in
natural measuring units are: P{opt = 38.733 A and P~opt = 40.299 s. At this point the
variance of the performance characteristic is S 2 (p, w) = s,; (p, w)+ s; =0.28488' while
the variance ofthe transmitted error is s;(pop" w )= 0.0002557.
1
•
442 CHAPTER9
Example 9.5. Uhrasonie embedding ofmetal pin into a plastie part.

Consider the proeess of ultrasonie embedding of meta! pin into a plastie part. The
produet is a eomponent part of a gear-ehange eontrol handle. The pin is embedded into
the plastie part through vibrations with frequeney 22 kHz and is moved into a hole
seraping plastie material. The vibrating eomponent ean be either the pin or the plastie
part. The seraperl plastie material is melting down beeause of the high temperature due
to vibrations and is filling the free spaee between the pin and the part. The pressing-out
foree of prototype parts is used as a measure of the eoupling strength.
There are three performanee eharaeteristies: deviation jrom paralle/ism y 1 (mm),
pressing-outforce ofthe prolotype part y 2 (N) and embedding time y 3 (s). The following
requirements are defined for eaeh of them: y 1 :;; 0.045 mm, y 2 > 550 N, y 3 < 1 s. The
performanee characteristies depend on three quantitative and two qualitative factors.
Two of the quantitative factors are controllable parameters of the embedding process and
can be set without errors during the experiments. They are embedding force p1 (N) and
embedding depth p 2 ( mm) . The third quantitative faetor is the error in the clearance
between the pin and the plastie part n (mm). It is defined as n = D2 - d 1, where D2 and d 1
are the diameters shown in Figure 9.3. This variable is important, beeause the amount of
seraperl and melted plastie material and the eoupling strength depend on it. The error in
the elearanee is partially eontrollable during the experiment but not in the produetion
proeess. Therefore, it is eonsidered as external noise faetor. The first qualitative faetor is
vibrating component v1 with two Ievels: 1 (plastie part) and 2 (meta! pin). Another
qualitative faetor isform ofthe pin v2 • This faetor has three Ievels (Figure 9.3.).
Form I Form 2 Form 3

a) b) c)
Figure 9.3. Ultrasonic embedding of metalpin into a plastic part

Table 9.4 shows the qualitative factors and their natural and coded Ievels as weil
as their presentation through durnrny variables.
TABLE 9.4. Cualitative factors Ievels and dummy variables

Qualitative Natural Coded Dummy variables
factors Ievels Ievels wi w2 w3
Vibrating Plastic part 1 1 - -
component (v1 ) Metalpin 2 0 - -
Form Form 1 1 - 1 0
ofthe Form2 2 - 0 1
pin (v2 ) Form3 3 - 0 0
The Ievels of the quantitative factors are shown in Table 9.5. Apriori is known
that in the production process the embedding force is varying in constant tolerance
interval ± 13 N, while the tolerance interval ofthe embedding depth is ± 0.1 rnrn.
T ABLE 9.5. Quantitative factors and their Ievels

Quantitative factors Naturallevels Coded Ievels
160N -1
Embedding force (p1 ) 220N 0
280N 1
3.4mm -1
Embedding depth (p2 ) 4.2mm 0
5.0mm 1
O.Omm -1
Error in the clearance (n) 0.05 mm 0
0.1 mm 1
Assuming that the performance characteristics can be described by second order

polynomials with respect to all factors except v1, we choose as a parameter design the
orthogonal array ~ 8 (2 1 x 37 ), given in Table 4.7. The qualitative factors v1 and v2 are
assigned to columns 1 and 2, correspondingly; the factors p 1 , p 2 are assigned to columns
3 and 7; while the noise factor n is assigned to column 5. Columns 4, 6 and 8 are not
used. Unfortunately, the noise factor n could not be fixed easily to the Ievels given in
column 5 of the orthogonal array ~ 8 (2 1 x 37 ). However, it was possible to measure the
real values of the noise factor during the experiment and they are given in the final design
in Table 9.6. After this change the design is no moreorthogonal but this should not be an
obstacle for the analysis, if the choice of the optimal parameter values is based on
numerical optimization procedures and contour plots rather than on interpretation of
individual effects of factors and interactions.
The final design, the measured values of the performance characteristics and the
corresponding predicted mean values and variances are shown in Table 9.6.
"""
"""
"""
T ABLE 9.6. Design of experiment, Observationsand predicted means and standard deviations in mass production
No PI p2 n wi w2 w YI 5\ str.I SI y2 ji2 s,r,2 s2 y3 .Y3 s3

S:r,3
2 3 4 5 6 71 8 9 10 11 II 12 13 14 15 1 16 17 18 19
1 -1 -1 -1 1 1 0 0.041 0.0429 0.0049 0.0051 350 353.3 135.1 135.3 0.83 0.84 0.16 0.16
2 0 0 -0.2 1 1 0 0.032 0.0329 0.0042 0.0044 380 375.3 61.6 62.0 0.44 0.46 0.04 0.05
3 1 1 1 1 1 0 0.080 0.0817 0.0152 0.0153 700 701 31 31.8 2.03 2.04 0.27 0.27
4 -1 1 -0.2 1 0 1 0.022 0.0223 0.0027 0.0030 850 847 245 245.2 1.21 1.23 0.11 0.11
5 0 -1 0.4 1 0 1 0.042 0.0437 0.0084 0.0085 310 314.2 37.8 38.5 0.55 0.57 0.08 0.08
6 1 0 -0.8 1 0 I 0.022 0.0239 0.0024 0.0027 650 648.6 46.2 46.8 0.53 0.53 0.12 0.13
7 -1 0 -0.6 I 0 0 0.045 0.0452 0.0029 0.003I 490 494 128.9 129.1 1.32 1.32 O.I4 0.14 (""}
8 0 1 -0.2 1 0 0 0.022 0.0243 0.0041 0.0043 930 922.9 203.2 203.3 0.97 0.97 0.04 0.05
9 1 -1 0.4 1 0 0 0.067 0.0677 0.0106 0.0107 300 297.9 75.3 75.6 0.62 0.65 0.20 0.21 ~
10 -1 0 1 0 1 0 0.050 0.0509 0.0129 0.0129 380 381.1 49.2 49.7 0.73 0.74 0.03 0.04
11 0 1 -1 0 1 0 0.022 0.0233 0.0019 0.0023 710 709.7 37.7 38.4 0.52 0.54 0.03 0.04 ~
12 1 -1 -0.2 0 1 0 0.042 0.0431 0.0085 0.0086 300 299 239.3 239.4 \0
0.43 0.44 0.17 0.17
13 -1 1 0.4 0 0 1 0.050 0.0512 0.0085 0.0086 1160 1161.6 225.1 225.2 1.29 1.31 0.09 0.09
14 0 -1 -0.8 0 0 1 0.014 0.0144 0.0023 0.0026 370 368.3 51.5 52. I 0.25 0.26 0.07 0.08
15 1 0 -0.2 0 0 1 0.031 0.0333 0.0083 0.0084 640 639.9 27.7 28.7 0.22 0.20 0.16 0.16
16 -1 -1 -0.2 0 0 0 0.031 0.0332 0.0043 0.0045 360 356.7 17.5 19.0 1.18 1.19 0.14 0.14
17 0 0 0.4 0 0 0 0.041 0.0421 0.0105 0.0106 820 820.8 69.4 69.8 0.54 0.55 0.08 0.09
18 1 1 -0.6 0 0 0 0.031 0.0321 0.0054 0.0051._ 800 807.4 140.9 141.1 0.45 0.49 0.14 0.14
- - - - -
Second order models (9.11) with dummy variables and external noise factor are fit to
data. They are of the form
(9.26)
The coefficients b01' b 1 and a 1 depend on the qualitative factors and are equal to
h01 = b0 + dr w + wTDw, (9.27)
b 1 =b+Cw (9.28)
and
a 1 = a + <I>r w. (9.29)
In formulae (9.26)-(9.29) a,al'b,bl'd,A,B,D,r,Land <I> are estimates of a,a~'ß'ß~'8'

"4, Z', V, tJ, .L and "1, correspondingly.
There is a single external noise factor in the problern under consideration and
Therefore, n, a and A can be replaced by scalars: n =n, a =a 1 and A =a 11 . The intercept
of the regression is denoted b0 The other vectors and matrices in (9.26) are defined as
follows:
B= [ b"
1
-bl2
2
~b J
2
b
12
22
,L = [/"
/21
/31
1"
/22
/32
l
, D =
1
0
-dl2
2
1
-dl3
1
-dl2
2
0
0
1
-dl3
2
0
0
2
Taking into account these notations we can rewrite equation (9.26) in the form:
Stepwise regression is used for parameter estimation of all performance

characteristics. The values ofsignificant estimates are shown in Table 9.7.
446 CHAPTER9
TABLE 9.7. Values ofsignificant regression coefficient estimates

Estimates Performance characteristics
Y1 y2 Y3
ho 0.0302 741.326 0.4600
b1 - 15.925 -0.5233
b2 0.0046 338.455 0.3362
bll 0.0090 - 0.3564
b12 - - 0.1266
b22 - -35.067 -
a1 0.0221 198.727 0.1431
a11 0.0113 - 0.0985
Yn 0.0065 -125.616 0.3795
r21 - 348.830 -
d1 0.0061 - 0.1869
d2 -0.0020 -227.966 -
d3 -0.0020 -119.524 -
d12 - -174.167 -0.1793
dl3 -0.0104 101.551 -
/ll - - 0.3929
/12 -0.0152 - -
/21 0.0145 - 0.4751
/22 - - -0.2262
/31 - 16.8952 -
/32 - - -0.1772
9'n -0.0066 61.267 -
9'21 - -440.617 -
9'31 - - -
The multiple correlation coefficients R for these models are significant. They are
given in Table 9.8 where the following values are shown: F-ratio (F), critical point OfF-
distribution for significance Ievel 0.05 (Fr), residual degrees of freedom (v R), residual
variance (s~) and degrees of freedom for the variation explained by the model (v M).
. ificance tests of mul.

TABLE 9.8. D ata fior s1gn Uple . coeffic1ents
I correIat10n .
Performance
characteristic R F Fr VM VR s2R
Y1 0.9992 9999 4.68 12 5 0.0152xl0-4
Y2 0.9999 1671.12 5.90 13 4 52.493
Y3 0.9997 473.21 5.90 13 4 6.023 X }0-4
Regression models are used for building models of mean and variance of the
performance characteristics during the production process. The noise variance matrices
L. and L are found as follows. The coded standard deviations of the errors in product
0
parameters PI and p 2 are computed by (5.31):
a = a; =___!I_= 0.07222
1
lü 1 3 X 60
and
0'2 = a;
lü 2
=____Q:.!__=0.04167,
3x0.8
where m1 = 60 N and m2 = 0.8 mm are half-intervals ofvariation of PI and p 2 •

Hence, the variance matrix of errors in product parameters is
L. = diag(a 12 ,a; )= diag(0.005216,0.001736).
The variance matrix of the noise factors Ln has only one element. As shown in
Section 5.3.2 it is equal to a~ = (113Y = 1/9.
The estimates given in Table 9.7 are substituted for the coefficients in (9.15),
(9.16) and (9.17). Computed mean values y
and standard deviations s of the
performance characteristics for the design points are given in Table 9.6. The variation of
the performance characteristic can be resolved into two components: variation due to
transmitted error with standard deviation str and output variation. The values of s1r are
given in Table 9.6 for comparison with the standard deviation of the total variation s.
One can see that the transmitted variation is prevailing.
The optimal parameter values are found through grid search. Only combinations
of parameters, which satisfy the requirements yi < 0. 045 mm, y 2 > 550 N, y 3 < 1 s, are
taken into account. As noted in Chapter 6 if Y; in these inequalities was replaced by y,
then for "optimal" values near the borders of these intervals (y
1 "'"'0.045 mm,
y 2 "'"'550 N,y 3 "'"' 1 s ) a Iot of the products would be defective. In order to avoid this
y
problern the following inequalities are used in the grid search procedure: 1 + 3s1 < 0. 045
y y
mm, 2 - 3s2 > 550 N and 3 + 3s3 < 1s. Few combinations of the parameter values are
found, which satisfy these inequalities, two of them with the smallest standard deviations
are given in Table 9.9. The second combination is chosen because it ensures higher
pressing-out force of the prototype part and lower standard deviation than the first one.
With respect to the other performance characteristics both combinations provide almost
the same results. The optimal parameters are embedding force p;apt = 178 N
(p1apt = -0. 7), embedding depth p;apt = 4.52 mm (Pzapt = 0. 4 ), the meta! pin must be
chosen as vibrating component, and form 1 ofthe pin provides best results.
448 CHAPTER9
T ABLE 9. 9. Optimal parameter values found through grid search

No. PI Pz wi Wz w3 ß, +3s, SI Jz - 3sz Sz .Y3 + 3s3 s3
I -0.7 0.35 0 I 0 0.044I 0.0062 558.58 I9.24 0.8765 0.0626

2 -Q.7 0.40 0 I 0 0.0443 0.0062 582.00 I6.64 0.8760 0.0623
The following models of the mean values and variances of the performance
characteristics were obtained for wi = w3 = 0 and W 2 = l:
• For the deviation from parallelism yi (mm):
YI = 0.029453+0.014500pi +0.004653p2 +0.009034p;

and
• For the pressing-out force ofthe prototype part y 2 (N):
y2 = 513.2990+ 15.9255pi +338.4550p 2 -35.0666p;

and
s; = 6786.498 + 6752.278 PI -18833.188 Pz + 1753.264p; -
- 9734.472pip2 + 13528.80lp;.
• For the embedding time y 3 (s):
~ 2
y3 =0.472790-0.048199pi +0.109973p2 +0.356400pi +0.126500pip2.
s32 =0.00324I+0.011759pi -o.oooo63p 2 +O.OI8680pi2 +

+ 0.00094lpip2 + 0.000083p;.
They are used to obtain the contour plots shown in Figure 9.4, Figure 9.5 and
Figure 9.6. The contour plot of yi + 3si is given in Figure 9.4a, while the plot of the
standard deviation si - in Figure 9.4b. The bold line in Figure 9.4a corresponds to
YI + 3si = 0.045 and divides the region of interest into two parts. The left one contains
the admissible values ofproduct parameters for which yi + 3si < 0.045.
0.5
-0.5
·'~----~--~~~----~--~~
.J -0.5 0 0.5
a)
PI
..
j_ j 1
0.006 0.007 0.008 0.009

0.5
- -...
p :
Gpt 1
I
I
I
I
I
I
I
-0.5 I
I
I
I
I
I
.J I
I I I
.J -0.5
b)
Figure 9.4. Contour plots for the deviation from parallelism (a) }\ + 3s1 (b) standard deviation s1
Figure 9. 5 and 9. 6 have similar meaning for the second and the third performance
characteristic.
450 CHAPTER9
a)
b)
Figure 9.5. Contour plots for the pressing-out force (a) Y2 + 3s2 (b) standard deviation s2
a)
I I I
0 05 o ob
o.\01 0 0~
0. h·
~11o
0.5
I I
IL &l
I
Icl.c &
I
1d.c 91I
I
P.P
I
I
-0.5 I
.1
I
I I
I
·I -0.5
b)
Figure 9. 6. Contour plots for the embedding time (a) y + 35
3 3 (b) standard deviation 532
Figure 9.4 shows that the variation of the deviation from parallelism does not
depend on the embedding depth p 2 . This can also be seen from the equation for s12 . The
value of this performance characteristic should be as small as possible. One can see from
452 CHAPTER9
y
Figure 9.4 that the minimal value of 1 in the region of interest corresponds to
p 1 = p 2 =1. The variance is minimal for p 1 =-1. However, for this value the embedding
time y is out of specifications.
3
The contour of the standard deviation s2 for the pressing out force is shown in
Figure 9.5b. lt corresponds to a ridge and along the ridge crest the standard deviation is
almost zero. Therefore, a minimal variation ofthe pressing out force can be obtained for
many different parameter values combinations. The optimal operating point is chosen at
the ridge crest and corresponds to small value of the embedding force p 1 . This parameter
y
can not be great because this violates the constraint with respect to 1 •
The surface of standard deviations for the embedding time (Figure 9. 6b) also has
a ridge. The variance is almost zeroing for values of the embedding force p 1 within the
interval -0.4 ~ p 1 ~ -0.15. The optimal operating point is chosen to satisfY the
constraints with respect to embedding time j/3 . It can not be chosenon the ridge crest of
the surface shown in Figure 9.6b because this will cause violation of the constraint for
the deviation from parallelism j/1 .
•
9.8. Bibliography
Regression analysis with dummy variables is given in many books, for example Draper
and Smith (1981), Chaterjee and Price (1977), Johnston (1972), Kleinbaumet al. (1988),
etc.
For construction of classical combinatorial designs see Fisher ( 1966), Cox
(1958), Hicks (1982). More theoretical texts on combinatorial designs are Raktoe et al.
(1981) and Street and Street (1987). Combinatorial designs, which are often used in
quality improvement problems, are the orthogonal arrays, see Taguchi and Konishi
(1987). Metbads for formation of multilevel orthogonal arrays, using two-level and
three-level orthogonal arrays are given by Logothetis and Wynn (1989). Wong and Wu
(1992) developed new orthogonal arrays.
Some problems ofthe application ofresponse surface designs for quantitative and
qualitative variables are discussed by Draper and John (1988). Atkinson and Donev
(1992), Donev ( 1988) and Donev ( 1989) considered methods for construction of nearly
D-optima1 designs with both qualitative and quantitative factors. Theoretical texts on this
problern are written by Kurotchka (1981), Wierich, W. (1986) and Lim et all (1988).
Many software packages include regression analysis with dummy variables, for
example MINITAB, DESIGN EXPERT and ECHIP (see Wheeler et al. (1993)). ECHIP
contains some Taguchi's orthogonal arrays as weil.
CHAPTER10
OTHER METHODS FOR MODEL BASED QUALITY

IMPROVEMENT
10.1. Introduction
Experimenters are not always aware of what the noise variables are, or can not organize
an experiment with them. However, they know that the observations are heteroscedastic,
i.e. their variance varies with the factor Ievels. In this situation once again we come
across the problern of variance minimization, while keeping the mean value on a target.
A model-based solution is readily obtainable on the basis of repeated observations. They
make possible the estimation of mean value and variance at each design poini as well as
the subsequent derivation of regression equations, which can give the solution of quality
improvement problern by optimization procedures similar to one of those, considered in
Chapters 6 and 7. This approach is discussed further in Section 10.2. Graphical tools for
studying individual location and dispersion effects of factors and their interactions are
presented in subsection 10.2.4. They use repeated observations, but with some
modifications are applicable for non-replicated experiments (Section 10.3) as well. In
Section 10.4 we discuss how the information about the individual effects can simplify the
optimization procedures using PERformance Measures Independent of Adjustment
(PERMIA). Multiple response optimization via constrained confidence regions is briefly
discussed in this section as well.
All methods considered so far are based on the assumption that the product
parameters and the external noise factors can be set to given Ievels without errors during
the experiments. If the data is collected from a production process this assumption may
not be correct. Methods for mean and variance model derivation for this case are
described in Section 10.5.
Taguchi (1986) considers a problern for quality improvement of a product (or a
system) depending on a factor which changes according to the intentions ofthe operator.
He named this factor signal jactor and the corresponding system dynamic system. The
problern is how to achieve a reliable signal factor effect, while minimizing the error
effects on the performance characteristic. An idea how the response surface
methodology can be employed for solving this problern is introduced in Section 10.6.
453
454 CHAPTERIO
10.2. Model building based on replicated Observations
10.2.I. PROBLEM STATEMENT
Suppose, the experimenter is aware that the variance is non-homogeneaus over the
factor space, but the noise factors can not be identified nor an experiment to study them
can be conducted. The variance heterogeneity can be discovered through residual
analysis (see Section 2.3.8). lt can also be revealed ifrepeated observations at the design
points are available and dot-plots ofthe response values are obtained for allexperimental
configurations.
Suppose that an experiment is conducted on the basis of a response surface
design with N distinct points and n observations are taken at each point. The total
number of observations is Nn. The experiments can be conducted in two different ways:
• The design variables are set to their Ievels before each measurement of the
response. Errors in the settings ofthe factor Ievels, ifany, will affect the response.
• All n repeated observations are made before re-setting the product parameters
or process variables to new Ievels corresponding to a new design point. In this case the
errors · in product parameters are not taken into account and the variance non-
homogeneity is only due to some external noise factors, for example material
heterogeneity, environmental factors, etc.
The models considered in the next subsections can also be applied when the
experiments are conducted according to a Taguchi crossed array, consisting of N 1- point
parameter design and N 2 -point noise design. In this case substitute N = ~ and n = N 2 in
all formulae given in this section.
I 0.2.2. REGRESSION MODELS FOR THE MEAN VALUE AND VARIANCE
Using repeated observations one can compute the sample means and variances at each
design point as follows:
I
.Y. =- LY.,
n
(IO.I)
n J=I
and
2 1 ~'-·
s.=n-I~v.,-Yj),
- \2 (I0.2)
U= I,2, ... ,N.

OTHER METHODS FOR MODEL- BASED QUALITY IMPROVEMENT 455
The values of .Y. and s;, u = 1, 2, ... , N can be considered as two responses at the
design points and ordinary least squares can be used to fit the two mode1s as follows:
•_Model ofthe mean value
(10.3)
• Model of the variance
(10.4)
where ()y;, ()m are estimates ofthe regression coefficients and fr./m are known functions
ofproduct parameters. Equations (10.3) and (10.4) are usually polynomials.
Often log-variances or Iog-standard deviations are used to fit a model instead of
(10.4), see Logothetis and Wynn (1989), Myers and Montgomery (1995). This choice is
based on the following idea. lf the observations are normally distributed, then their
variance CF 2 has a i - distribution (Figure 10.1). By cp(•) in Figure 10.1 we denote
probability density function. A log transformation shrinks the long tail of i -
distribution making the distribution of lnCF 2 approximately normal. It is known that the
least squares estimates are efficient for normally distributed observations. Hence,the Iog-
transformation improves the efficiency of the estimates. Bartlett and Kendall (1946) give
a proof of the approximate normality of log-variance distribution.
tp(y) tp( (Y2)
Figure 10.1. Probability density functions of y, CF 2 and ln CF 2
Let a model ofthe log-variances is
:e = L e.J.; .
k,
log (10.5)
i=l
456 CHAPTERIO
This model possesses some additional advantages. As the distribution of log s2 is

approximately normal all procedures of the classical regression analysis can be applied.
Another advantageisthat the Iog-transformation often Ieads to a simplified model (I0.5)
as compared with (I0.4). This is considered in Chapter 2.
I0.2.3. VARIANCE ESTIMATES BASEDON RESIODALS
A problern with the approach given in subsection I0.2.2 is that the sample variance
computed by (I 0.2) is inefficient for small number of observations. Rao and
Subrahmaniam (I97I) recommend using (10.2) only if the number of observations at
each design point is n ~ 10 .
Some improvement of the efficiency of the variance estimates can be obtained
through the residuals of the performance characteristic's model. The idea of the
improvement comes from the fact that the residuals are computed on the basis of all
observations, while for the sample variance (10.2) only n observations are used.
Horn, Horn and Duncan (1975) and Carroll and Ruppert (1988) give surveys on
variance estimates based on residuals. The idea and some of these estimates are herewith
briefly discussed.
Suppose that a design with N points is conducted and n Observations are made at
each design point (n ~ 2). Using unweighted least squares one can compute the
following estimates:
(10.6)
where y = (y y
1 2 YN) is Nvector ofmean values computed by (10.1).
The residuals are
e.; = Yu;- Ji.,
u = 1, 2, ... , N; i = I, 2, ... , n,
and Y. is the predicted response obtained by use of BLS in the model.

The diagonal elements m.. of the matrix M = F(FrFtF are used for
computation of the variance estimates based on residuals. As noted in Chapter 2 they are
called leverages and their values fall in the interval 0 ~ m•• ~ I.
Horn, Horn and Duncan (I975) recommend using the following estimates based
on residuals:
• Estimates based on average squares of residuals:
2 1~ 2
S1u =- ,t_. eui, (10.7)
n u~I
• Almost unbiased estimates:
(10.8)
These estimates are always positive because n ~ 2 and 0 s m•• s 1.
• Minimumnorm quadratic unbiased estimates (MINQUE).

Denote the vector of variance estimates at each of N design points by
si = (s 2
13 s;
3 s~J. 1t can be estimated as follows:
2 1 -1~{ )•2 (10.9)

53 =-T L.,\eui '
n i=l
where
The notation (• t means that each element of the vector or the matrix (•) is
squared.
According to the MINQUE, developed by Rao (1971a, 1971b, and 1972) the
matrix T is non-singular for n ~ 2, provided that M is also a non-singular matrix. Some
of the elements of si may have negative values. That is why if an estimate is smaller than
a positive number 8, it should be replaced by the corresponding sample variance (10.2)
or by 8. As shown by Horn and Horn (1975), the probability of obtaining negative
elements of si decreases, as n increases.
Horn and Horn (1975) compare the variance estimates. All estimates computed
by (10.2), (10.7), (10.8) and (10.9) are consistent. Unbiased are the sample variance
(10.2) and MINQUE (10.9). The estimate (10.8) is unbiased only if the regression
coefficient estimates are computed by the weighted least squares with weights equal to
the true values ofvariances. The estimate (10.7) is biased.
The standard deviations of(10.8) and (10.9) are higher than for (10.7).
Example 10 .1. Window-forming in integrated circuit fabrication revisited

In Chapter 4 (Example 4.2) we considered an experiment for improving window-
forming process in integrated circuit fabrication. The target is to obtain average window
size in the interval between 3 pm and 3.5 pm with minimal variation of the size. In
Example 4.2 Taguchi method is used to solve this problem. In this example the solution
is obtained through model based approach. We use the data from Example 4.2 (Table
458 CHAPTER 10
4.21) which is obtained through an experiment based on L, 8 orthogonal array with 12

repeated observations at each design point. The average window size y and sample
variance s!
are computed for each point ofthe orthogonal array:
12
- I~
Yu =uLJYui
I~ I
and
The design of experiments, the average window size y and the sample variance s! are
shown in Tabie 10.1.
T ABLE 10.1. L, 8 array, average window size y and sample variance s! for window
fiormmg process.
No. PI P2 p3 P4 Ps p6 YI =y s2
SV y 2 =Ins!
~ -1 -1 -1 -I -1 -I 2.695 0.0007727 -7.166

2 -1 -1 0 0 0 0 2.832 0.0004750 -7.652
3 -1 -1 1 1 I I 2.804 0.0652811 -2.729
4 -1 0 -1 -1 0 0 3.208 0.0045114 -5.401
5 -I 0 0 0 I I 3.268 0.004I295 -5.490
6 -1 0 1 1 -1 -1 3.642 0.0083424 -4.786
7 -1 1 -1 0 -1 I 3.283 0.0074788 -4.896
8 -1 1 0 1 0 -1 3.028 0.0020205 -6.204
9 -I I 1 -I I 0 2.967 0.0020242 -6.203
10 1 -1 -1 1 1 0 3.288 0.0007841 -7.151
11 I -I 0 -1 -1 1 3.161 0.0084992 -4.768
12 1 -1 1 0 0 -I 3.260 0.0018000 -6.320
13 1 0 -1 0 1 -1 3.734 0.0033356 -5.703
14 1 0 0 1 -1 0 3.550 0.0008000 -7.131
15 I 0 I -1 0 1 3.419 0.0048083 -5.337
16 1 1 -1 1 0 1 2.494 0.0138083 -4.282
17 1 1 0 -1 1 -I 2.904 0.0069538 -4.968
18 1 1 I 0 -1 0 2.928 0.0047788 -5.344
Using the data of Tabie 10.1 and best subset regression tooi in MINITAB two
modeis are fitted: one for the mean vaiue (y1 = y) and one for the Iogged sampie
variance (y2 =Ins!):
and
.Y2 = -7.058 +0.130pl + 0.407p2 +0.208p3- 0.210p4 +0. 193p6-
The analysis ofvariance for these models is shown in Table 10.2. The computed
F-ratio is high and shows that the prediction ofthe responses is accurate enough.
..
TABLE102ANOVAfi or themodl
e s of averaEe s1ze andlogg<ed vanance
Model Multiple Degrees of Residual Residual F- ratio Critical
correlation freedom for the degrees of variance value for
coefficient R model vM freedom Vn s2R F(a=0.05)
YI 0.999 13 4 0.00027 541.33 5.9

Y2 0.999 15 2 0.0066 251.09 19.43
The optimal parameter values are found using a grid search under the following
conditions:
and
The second constraint is based on the results of a preliminary grid search and is
chosen to eliminate most of the parameter combinations with great variance values. Five
ofthebest operating conditions are shown in Table 10.3.
T ABLE 10.3. Operating conditions found by grid search

No. PI P2 P3 P4 Ps P6 YI y2 =Ins;, .s..
1 -0.7 -1 -1 1 -1 -1 3.259 -9.974 0.00693
2 -0.7 -1 -0.9 1 -1 -1 3.253 -10.020 0.00677
3 -0.7 -1 -0.8 1 -1 -1 3.247 -10.040 0.00671
4 -0.7 -1 -0.7 1 -1 -1 3.241 -10.034 0.00673
5 -0.6 -1 -0.8 I -0.9 -1 3.257 -9.990 0.00688
460 CHAPTER10
The last column of Table 10.3 shows the values of the standard deviations. The
parameter values corresponding to the third row of Table 10.3 are chosen as a final
solution. Therefore, the optimal process parameters are distance between the wafer and
the hot plate - 2.45 mm, photoresist thickness - 11500 A, bake temperature- 106 °C,
aperture - 185 divisions, exposure time - 0.11 s, bake temperature after development -
110 °C. Under the assumption of normality of errors the window size is expected to vary
within the interval y1 ±3ssv = 3.247± 0.02,um.
Table 10.4 presents a comparison between product parameter combinations
chosen in 4 different ways: the initial operating conditions, operating conditions chosen
through Taguchi method (see Example 4.2), the best operating conditions in the design
(point No. 10 of the design) and operating conditions chosen through model based
approach.
TABLE 10.4. Operating conditions chosen by four different ways

p; p~ p~ p; p; p~ y A2
s:rv ssv
mm A "C div. s "C pm (pm/ pm
Initial 2 12500 110 180 0.11 110 3.460 0.0411 0.2027
conditions
Taguchi 5 12500 110 180 0.13 115 3.317 0.0035 0.0592
method
Bestdesign 5 11500 105 185 0.15 115 3.289 0.00078 0.0280
point
Modelbased 2.45 11500 106 185 0.11 110 3.241 0.000045 0.0067
approach
Compared to the initia1 operating conditions, Taguchi method decreased the

standard deviation 3.42 times. The reduction of standard deviation when the parameter
combination corresponds to point No. 10 ofthe design is 7.24 times, whi1e the operating
conditions chosen through mode1 based approach provide a reduction of the standard
deviation of 30.21 times. The contours of y1 {p2 ,p5 ) and ssv(p 2 ,p5 ) for
p 1 = -0.7,p3 = -0.8,p4 = 1,p6 = -1 are given on Figure 10.2 and 10.3,
correspondingly.
Figure 10.2. Contours ofthe mean values j\ (p 2 , ps) for P 1 = -0.7, P 3 = -0.8, P 4 = 1, P6 = -1
Figure 10. 3. Contours of the standard deviations Ssv (P2 , Ps) for
p 1 =-0.7,p 3 =-0.8,p4 =1,p6 =-1
•
462 CHAPTER10
10.2.4. GRAPHICAL TOOLS FOR STUDYING LOCATION AND DISPERSION

EFFECTS
The half-normal plot is an appropriate tool for studying individual location and
dispersion effects.
Suppose that a two-level experiment is conducted with m product parameters and
the model ofthe mean (10.3) takes the form
m m-1 m
y=ho + "f.bipi + L "f.bifpipi, (10.10)
i=l i=l j=i+l
where -1 ~ pi ~ 1, i = 1, 2, ... , m .
A factor has location e.ffect if the average response changes considerably as the
factor Ievel changes from low to high. The location e.ffect of a factor pi is equal to 2hi,
while the location effect of an interaction pipi is 2hii.
Often a small part of the factors or interactions has significant effects. This
property is known as sparsity of e.ffects. Factors or interactions with !arge effects are
called active, the rest are inert.
A half-normal plot can graphically present the location effects. Roughly the inert
effects willlie on a straight line, while the active effects will deviate from the straight line
and occur in the corners of the plot. Note that the plot may Iook roughly linear and
without effects in the corners in two cases:
• if there are no active effects,
• if all effects are active.
Therefore, if all effects arrange as a straight line, a significance test on them is
recommended.
Dispersion effects can be studied in a similar way. Consider the following log-
variance model obtained through a full or fractional design with replications:
m m-1 m
logs 2 = c0 + "f.cipi +
i=l
L "f.cifpipi.
i=l J=i+l
(10.11)
The effects of factors and their interactions are 2ci and 2ciJ, correspondingly. A
half-normal plot ofthe dispersion effects will show which ofthem are active.
The location and dispersion effects can also be studied using dot-plots.
Example 10. 2. Purification of cobalt solutions

The performance characteristic of the process of cobalt solutions purification is
the residual concentration of cobalt, y [mg/1]. In this example it is studiedas a function of
five factors: initial concentration of cobalt, p{ [mg/1], concentration of activating
OTHER METHODS FOR MODEL- BASED QUALITY IMPROVEMEN T 463
admixture copper antimonid, p~, [mg/1], temperature, p;, [ 0 C], alkalinity (pH) of the
solution, p~ and zinc powder concentration, p;, [g/1]. A half fraction of a two Ievel full
factorial design is carried out. The generating relation is chosen to be p 5 = p 1p 2 p 3p 4 .
Four repeated observations are made at each design point. Table 10.5 shows the
correspondence between the natural and the coded factor Ievels.
TABLE 10 5 Naturaland coded Ievels ofthe factors

Natural~ p{ p~ p; p~ Ps
Coded .J.. mgll mgll oc - g/l
-1 10 5 60 3 0.25
1 50 20 70 5 0.75
The location and the dispersion effects of the factors and their interactions can be
studied using the design of experiments, the observations, as weil as the mean value and
sample variances for each design point, given in Table 10.6.
The following models ofmean value (y1 = y) and logged variance (y2 =Ins!) are
obtained:
)\ =9.245+6.019p l -0.684p2 -0.767p3 -l.266p4 -5.475p5 -0.97lplp2-
and
j/2 = -2.371+ 1.588pl -0.206p2 +0.373p3 +0.326p4 -l.740p5 +
The location effects of the factors P; and the interactions P;PJ are equal to the
doubled values of the regression coefficients in the first model: 2b; and 2b;1 . The
dispersion effects are obtained in a similar way from the second model.
Half-normal plots of the location and the dispersion effects are shown in Figure
10.2 and Figure10.3, respectively. Factars p 1 and Ps and interactions P1P5 ,P2P3 ,P4 P5
have significant location effects, while only factors p 1 and p 5 have significant dispersion
effects.
~
0'1
~
TABLE 10.6. E ·- 1d
---------~------. -- -- d data for cobal - ---------- ------
No. Factors Repeated observations Mean Variance
PI P2 P3 P4 Ps YI =y s2 y 2 =Ins~
SV
1 -1 -1 -1 -1 1 1.05 l.IO 1.00 1.05 1.0500 0.00167 -6.39693

2 1 -1 -1 -1 -1 28.25 30.00 27.00 29.00 28.5625 1.59896 0.46935
3 -1 1 -1 -1 -1 8.50 8.87 9.00 8.75 8.7800 0.04527 -3.09518
4 1 1 -1 -1 1 0.45 0.52 0.45 0.65 0.5175 0.00889 -4.72264
5 -1 -1 1 -1 -1 6.71 7.55 6.50 6.75 6.8775 0.21303 -1.54635
6 1 -1 1 -1 1 2.25 2.70 2.62 2.87 2.6100 0.06847 -2.68141
7 -1 1 1 -1 1 0.32 0.55 0.45 0.45 0.4425 0.00889 -4.72264
8 1 1 1 -1 -1 35.00 37.75 33.75 34.50 35.2500 3.04167 l.l1241
9 -1 -1 -1 1 -1 3.20 3.10 3.50 4.00 3.4500 0.16333 -l.8ll96
10 1 -1 -1 1 1 21.50 22.12 22.50 21.50 21.9050 0.24277
11 -1 1 -1 1 1 0.20 0.17
-1.41565
~
0.25 0.23 0.2125 0.00123 -6.70481
12 1 1 -1 1 -1 16.75 18.00 12.50 15.25 15.6250 5.60417 t.72351 I
13 -1 -1 1 1 1 0.25 0.45 0.37 0.45 0.3800 0
0.00893 -4.71797 -~
14 1 -1 1 1 -1 13.50 13.20 15.50 16.20 14.6000 2.18000 0.77933 I
15 -1 1 1 1 -1 4.25 4.81 4.80 4.62 4.6200 0.06847 -2.68141
16 --
1 1 - -
1 1 1 ·- _ _l.g_- _3.25 _ _ _l.6.Q._ - _2. 70 _).042~ 0.21656 -1.52990
Absolute po
1
effects
of Y1 10 -
5 -
0
Normal scores
Figure 10.4. Halfnormalplot ofthe location effects
Absolute35 -
effects 3.o
of y2 2.5
2.0
1.5
1.0
1
Normal scores
Figure 10.5. Halfnonnal plot ofthe dispersion effects
Using these plots and taking into account the signs of the coefficients in the
models we come to the following conclusions. Both residual concentration of cobalt (y1 )
and the logged variance (y2 = ln s!) can be decreased by choosing p 1 = -1, p 2 and p 3
with different signs and p 5 = 1. This is confirmed by point No. 11 of the design which
provides minimal mean value and variance of the residual concentration of cobalt as
compared to the other design points: y = 0.212,s! = 0.00123.
466 CHAPTER 10
10.3. Location and dispersion effects from non-replicated observations
Box and Meyer (1986a, 1986b) showed that location and dispersion effects could be
studied also from non-replicated experiments. Suppose that a two-level design is
conducted and one observation is made at each design point. A regression equation
y
similar to (10.10) can be fitted with replaced by y. Using this equation one can study
the location effects by a half-normal plot. However, since no repeated observations were
taken an equation for log-variance oftype (10.11) can not be obtained. Box and Meyer
(1986) showed that in this case the dispersion effects could be studied on the basis of a
ratio ofthe following type
F = ln(s 2
'
(i+)J
s2(i-) ,
(10.12)
which is computed for a given regressor f. Fora two Ievel design j is a factor P; or an
interaction p1p 1 •
In (1 0.12) s 2 (i+) is the sample variance ofthe residuals when the elements of i-th
column ofthe design are at Ievel +I and s 2 (i-) corresponds to factor level-1. Box and
Meyer note that the assumptions for the usual F-test arenot satisfied for F; and hence,
(10.12) can not be used for test of significance. A high positive value of F; shows that
s 2 (i+) is much !arger than s 2 (i-) and vice versa, while a !arge negative value indicates
that s 2 (i-) is much greater than s 2 (i+). In both cases the dispersion effect is !arge. The
dispersion effects F; can be graphically presented through half-normal or dot-plots.
The location effects influence the dispersion effects computed on the basis of
residuals because the residuals depend on the mean value. The values F; would be
appropriate measures for the dispersion effects only if all of the location effects,
including the overall mean, were known to be zero. As this usually is not the case, the
location effects should be removed by computing the residuals after eliminating all
suspected location effects.
An alternative approach to find the active factors is to use Bayes plots of
posterior probabilities. For details on computing posterior probabilities see Box and
Meyer (1986a), Box (1988) and Box and Meyer (1993).
Analysis of the individual location and dispersion effects is particularly useful
under the hypothesis for sparsity of effects. A screening experiment based on factorial or
Placket-Burman designs is usually carried out to identify the active factors. Box (1988)
notes that "fractional factorial designs and other orthogonal arrays, of course, provide us
with only a very elementary idea of the nature of the relationships 77(x) and u(x). The
"optimization" procedure used to exploit location and dispersion effects from such
designs is, therefore, necessarily cruden Further on Box (1988) notices that when more
OTHER 'METHODS FOR MODEL- BASED QUALITY IMPROVE'MENT 467
is known about the functional relationships (e.g. from response surface studies or from
mechanistic modeling) more precise conclusions can be drawn.
Example 10.3. Magnesite refractory production

Consider the production of magnesite refractory materials. There are two
performance characteristics of interest: crushing strength after pressing, y 1 and bulk
porosity after pressing, y 2 . Four factors are varied during an experiment as follows:
proportion of magnesite clinker, p{ [ mass % ], proportion of graphite, p~ [ mass % ],
proportion of coke p; [mass %], proportion of coal-tar pitch p~ [mass %]. A full
factorial design is used during the experiment. The correspondence between the natural
and coded values ofthe factors is shown in Table 10.7.
The engineers' aim is to obtain maximal crushing strength and minimal bulk
porosity of refractory materials. In the same time the variations due to inaccurate
weighing should be kept as small as possible.
A two Ievel full factorial design is carried out. The design and the observed
response values are given in Table 10.8. Regressionmodels of the following type are
estimated for the two performance characteristics:
4 3 4 2 3 4
Y= bo + L_b,p, + L L bup,pf + L L LbuzP,PJPz·

J::\ j=i+-1 1=1 j=i+il=j+l
T ABLE 10.7. Naturaland coded values offactors

m magnes1te ref ractol) expenment
Coded values ~ -I I
Natural values -!. -!.
Proportion of magnesite 75 95
clinker, p{ [mass %]
Proportion of graphite, p~ 7 3
[mass %]
Proportion of coke p; 5 15
[mass %]
Proportion of coal-tar pitch 6 10
p~ [mass %]
Half-normal plots are given for y 1 and y 2 in Figure 10.6 and 10.7, respectively.
They show that most of the location effects are insignificant. After removing the
insignificant terms the following models are obtained
YI = 2346-247 PI- J05p2 -441p3 +8.92p4 (10.13)

and
j/2 = 10.32+ 1.36pl +0 50p2 + 148p3 -4 03p4 +0.50plp4 (10.14)
The analysis ofthese models is shown in Table 10.9.
468 CHAPTER 10
TABLE 10.. . of magnes1te

8 Des1gn
Factorsand
No PI P2 P3 P4 P1P2 P1P3 P1P4 P2P3 P2P4 P3P4
1 2 3 4 5 6 7 8 9 10 11
1 -1 -1 -1 -1 1 1 1 1 1 1
2 1 -1 -1 -1 -1 -1 -1 1 1 1
3 -1 1 -1 -1 -1 1 1 -1 -1 1
4 1 1 -1 -1 1 -1 -1 -1 -1 1
5 -1 -1 1 -1 1 -1 1 -1 1 -1
6 1 -1 1 -1 -1 1 -1 -1 1 -1
7 -1 1 1 -1 -1 -1 1 1 -1 -1
8 1 1 1 -1 1 1 -1 1 -1 -1
9 -1 -1 -1 1 1 1 -1 1 -1 -1
10 1 -1 -1 1 -1 -1 1 1 -1 -1
11 -1 1 -1 1 -1 1 -1 -1 1 -1
12 1 1 -1 1 1 -1 1 -1 1 -1
13 -1 -1 1 1 1 -1 -1 -1 -1 1
14 1 -1 1 1 -1 1 1 -1 -1 1
15 -1 1 1 1 -1 -1 -1 1 1 1
16 1 1 1 1 1 1 1 1 1 1
s 2(i-) 2.21 2.73 2.07 2.89 2.94 1.25 1.93 3.02 3.82 2.03
s 2(i +) 3.31 2.90 3.40 2.74 2.25 3.76 2.77 2.08 0.93 2.99
F;. 0.80 0.12 0.99 -0.11 -0.54 2.20 0.72 -0.74 -2.82 0.77
s 2 (i-) 0.89 0.57 0.81 0.60 0.78 0.53 0.94 0.64 0.64 0.90
s 2(i +) 0.52 0.86 0.64 0.84 0.47 0.88 0.42 0.68 0.76 0.47
F;. -1.06 0.80 -0.49 0.66 -1.01 1.02 -1.62 0.12 0.36 -1.33
refractory expenments
interactions Responses Residuals
P1P2P3 P1P2P4 P1P3P4 P2P3P4 YJ y2 res y1 resy2
12 13 14 15 16 17 18 19
-1 -1 -1 -1 25.7 11.15 1.225 -0.3600
1 1 1 -1 19.8 13.80 0.275 0.5650
1 1 -1 1 13.7 12.15 -4.675 -0.3550
-1 -1 1 1 12.2 13.92 -1.225 -0.3100
1 -1 1 1 14.7 14.38 -0.950 -0.1000
-1 1 -1 1 11.7 16.84 1.000 0.6350
-1 1 1 -1 8.4 16.29 -1.150 0.8150
1 -1 -1 -1 10.1 16.31 5.500 -0.8900
-1 1 1 1 43.7 1.36 1.375 -1.0775
1 -1 -1 1 38.6 5.88 1.225 -0.2875
1 -1 1 -1 37.3 5.07 1.075 1.6375
-1 1 -1 -1 32.0 7.35 0.725 0.1875
1 1 -1 -1 35.7 5.68 2.200 0.2725
-1 -1 1 -1 22.2 9.49 -6.350 0.3525
-1 -1 -1 1 28.3 5.57 0.900 -0.8325
1 1 1 1 21.3 9.88 -1.150 -0.2525
2.60 3.33 2.78 3.35
2.94 2.16 2.40 2.04 for y 1
0.24 -0.87 -0.29 -0.99
0.68 0.80 0.54 0.75
0.77 0.63 0.83 0.51 for y2
0.23 -0.49 0.87 -0.79
470 CHAPTER 10
20~--------------------------,
Absolute
effects
ofY1
10-
P,
0
0 0 0 0 °
o- ooooo
Normal scores
Figure 10. 6. Half normal plot of the eroshing strength after pressing, y1
Absolute 8
effects 7 -
of y2 s -
5 -
4 -
3 -
P,
0
2 -
1- 0 0
o- oooooooo o
1
Normal scores
Figure 10. 7. Half normal plot ofthe bulk porosity after pressing, y2
T ABLE 10 9 ANOVA table for models (10 13) and (10 14)
Residual Degrees of freedom Multiple F-ratio Critical value of
variance correlation F-distribution
coefficient
Model s2R Residual, vR Model, VM R F Fr (a=0.05)
(10.13) 10.07 ll 4 0.971 45.50 3.36
(10.14) 0.746 10 5 0.989 89.46 3.33
The multiple correlation coefficient is significant for both models. As the critical
values of F-distribution are much !arger than the calculated F-ratios one can think that
the models are satisfactory.
OTHER METHODS FOR MODEL- BASED QUALITY IMPROVEMENT 47I
The half normal plots and the models show that by the magnitude of the loeation
effeet on YI the faetors are arranged as follows: P4.P3 , p 2, pi. The loeation effeets on y 2
are arranged as follows: P4.P3,pi,pip4,p2.
Before plotting the dispersion effeets the influenee of faetors with signifieant
loeation effeets should be eliminated. Compute the residuals ei = YI - YI and e2 = Y2 - Y2
and the ratios
2
F =ln(s (i+)) =2ln(s{i+))·
' s 2 (i-) s(i -)
for eaeh response. The values of the residuals are shown in eolumns (I8) and (I9) of
Table I 0. 8 and the values of s(i + ~ s(i -) and F; are given in the last 6 rows of the same
table. Half-normal plots of F; for YI and y 2 are shown in Figure 10.8 and 10.9,
respeetively. Only the interaetions p 2p 4 and PIP3 have signifieant dispersion effeets on
the eroshing strength YI . This ean be seen also from the plots of residuals ei against p 2p 4
and pip3 whieh are given in Figure 10.IO and I0.1I, respeetively. The dispersion effeets
for the bulk porosity y 2 are rather small and ean be ignored.
If the target was to obtain only maximal eroshing strength yi and minimal bulk
porosity y 2 , the best ehoiee would be point No. 9 from the design (PI= p 2 = p 3 =-I,
p 4 =I and YI = 43. 7,y2 = I.36). Figure IO.IO and IO.II show that the dispersion effeets
of the interaetions on the eroshing strength YI are minimized if PIP3 =-I (the faetors
PI and p 3 have different signs) and p 2 p 4 =I (p2 and p 4 are with eoineiding signs).
Points No. 2,5,12,15 from the design satisfy these eonditions. However, as one ean see
at these points the value of the eroshing strength is mueh smaller and the value of bulk
porosity is mueh higher than for point No. 9. As a eompromise one ean ehoose points
No. IO or I I.
3~--------------------~~2~p'4o~
Dispersion
effects F.i
ofY 1 2-
1- 0 0
0 0 0 0 0
0
oo
oo
Normal scores
Figure 10.8. Halfnormalplot ofthe dispersion effects, F; for eroshing strength YI

472 CHAPTER 10
Dispersio'l 5 _
effects F.i
ofy
2 1.0-
0
0.5 - 0 0
0
0
0
0.0 -<-r------,-----------,--J
Normal scores
Figure 10. 9. Half normal plot of the dispersion effects, F; for bulk porosity y 2
Residuals
ofy1 5 -
0
0 -
0
8
0 @
-5- 0
0
-1
Figure 10.1 0. Residual plot of e1 against p 2 p 4 for eroshing strength
Residuals
ofy1 5 -
0
•
0
0-
§
ö 0
-S- 0
·1 0
~p3
Figure 10.11. Residual plot of e1 against p1p 3 for eroshing strength •

10.4. More about the optimization procedures for robust product design
The analysis oflocation and dispersion effects by graphical methods can be supplemented
with more formal optimization algorithms on the basis of equations (10.3) and (10.5).
The optimality criteria, the dual response approach and the other optimization algorithms
of Chapters 6 and 7 can also be used in this case. Two remarks related to Sections 10.2
and 10. 3 are appropriate
The first remark concerns so-called PERformance Measures Independent of
Adjustment (PERMIA) introduced by Leon et al. (1987). As shown in Chapter 4
Taguchi's optimization procedure reduces the variance of the performance characteristic
by minimization of a performance measure and then adjusts the mean to a desirable
value. This procedure is effective when the vector of design parameters p can be
considered as consisting of two subvectors PI and p2 and the existence of a PERMIA is
assumed, influenced only by PI . The Ievels of parameters PI are chosen to minimize the
PERMIA and the mean is set to the desired value through a subsequent adjustment of
p 2 . Note that PERMIA may not exist.
The model-based optimization procedures do not need the concept of PERMIA
and that is one oftheir advantages. However, if a PERMIA exists, this can simplify them.
Suppose there are some parameters p2 which have considerable effects on the mean
values, but almost no effects on the variance. In this case the variance function can be
considered as PERMIA. The optimization procedure can be divided into two stages.
First the variance can be minimized with respect to PI. Second the mean is adjusted to
the target through p2 . As the number of parameters is reduced, the optimization
procedure at the second stage is simplified.
Studying location and dispersion effects through the graphical tools given in
Sections 10.2 and 10.3 can help to answer the question whether the variance can be
considered as PERMIA or not.
The second remark is about an opportunity to use models of type (10.3) and
(10.5) for multiple response optimization. Dei Castillo (1996) developed a procedure to
this end. It can be used if the region of interest is sphere with radius p which is presented
by the inequality pr p :-::; p 2 •
Suppose there are r performance characteristics of interest. Adequate quadratic
models of means and variances are known for each of them, so the total number of
models is 2r. Each mean or variance can be considered as a response and the constrained
stationary points of the response surfaces can be found by Lagrange multipliers (see
subsection 7.4.2) together with the corresponding optimal values of the 2r Lagrange
multipliers f.J; .
Dei Castillo (1996) defines a primary response (for example, yP) and optimizes it
subject to the following constraints:
(10.15)
474 CHAPTER IO
j = I,2, ..,2r
and
where mis the number of product parameters and sJ are the response variance estimates.
Inequalities (I 0 .I5) are introduced in subsection 3. I 0. 3 where definitions of the
vectors of 81 and the matrices Va1 are also given. These inequalities define a region in
the factor space which is an intersection of the 2r stationary points PsJ. Notice that this
region may not exist. The values of a 1 are chosen so that
giving an overall confidence of I OO(I- a) %.
10.5. Parameter estimation in the case with errors in factor Ievels
I0.5.1. INTRODUCTION
The variance models in Chapters 5 to 9 are derived analytically, provided that a model of
the performance characteristic is known. This model is usually obtained by regression
analysis under the assumption that the observations come from an experiment without
errors in the factor Ievels. In this case the model is estimated by unweighted least
squares.
The assumption for Iack of errors in factor Ievels is realistic in many cases. lt
considerably simplifies data analysis, improves reliability of inference and makes usage of
experimental designs with relatively small number of runs possible. That is why methods
based on the assumption for Iack of errors in factor Ievels during the experiments are
recommended whenever such experiments are possible. Taguchi method is based on the
same assumption, because both parameter and noise designs are supposed to be
conducted with fixed Ievels of the factors.
In some cases the assumption for Iack of errors in the factors during the
experiment may not be correct. This can happen when the experiments can not be carried
out in a Iabaratory and the only way to get information is to make observations on a real
production process.
The mechanism of error transmission from factors to response has been
considered in Chapters 5 and 6. For a product with performance characteristic, whose
dependence on factors is non-linear and the factors are subject to errors, the observations
are heteroscedastic, i. e. their variances at the design points are not equal. In this case the
unweighted least squares method provides biased and inefficient estimates of the
regression coefficients.
Unbiased and efficient estimates can be obtained through weighted least square
method, provided that the variances of observations a 2 (y. ~ u = 1,2, ... ,N are known.
These estimates rninirnize the sum ofsquares ofthe weighted residuals:
(10.16)
As discussed in Chapter 2 the rninimization of (10.16) results in the following

formula for computing the estimates:
(10.17)
where :E=diag[a 2 (yJ a 2 (yJ ... a 2 (yN)].

Equation (10.17) provides best linear unbiased estimates (BLUE) if the elements of :E
are known. However, this is usually not the case in quality improvement problems.
If the standard deviations a(y 1 1,a(y 2 ~ ••• "a(yN) are roughly equal, the bias
and the efficiency loss of the unweighted least squares estimates are likely to be
insignificant. Carroll and Ruppert (1988, p. 16) recommend unweighted least squares if
the standard deviations do not vary more than a factor of 1. 5: 1, while if this factor is 3 :1
or more weighted least squares must be used. Notice, that a case of small differences
between the response standard deviations is of no interest, because reduction of the
performance characteristic's variability by choice of product parameters is small.
In the next subsections we consider weighted least squares estimation when data
obtained from experiments with errors in the factor Ievels.
10.5.2. WEIGHTED LEAST SQUARES ESTIMATION BASED ON REPEATED

OBSERVATIONS
Suppose that the experimental design has N points with n observations at each of them.
In this case the elements of :E can be estimated from the repeated Observations. They can
be computed as sample variances (10.2) of the repeated Observations or as variances
based on residuals (subsection 10.2.3).
Several authors study the properties of the weighted least squares estimates
(WLSE) based on repeated observations. Rao and Subrahrnaniam (1971) noted that the
sample variances (10.2) should be used only when n ~ 10. Vuchkov and Boyadjieva
(1987) showed that ifthe weights are estimated through sample variances (10.2) or are
based on residuals as in Section 10.2.3 then the WLSE are unbiased provided that the
response errors are symmetrically distributed. They are also consistent under some mild
conditions given by Vuchkov and Boyadjieva (1987). The use of sample variances (10.2)
476 CHAPTER 10
with small number of observations may give less efficient estimates than the unweighted
least squares. They are comparable in terms of efficiency with the estimates based on
residuals only for great number of repeated observations (n ~ 10). Simulations showed
that best efficiencies could be obtained by weights calculated through almost unbiased
estimates ofvariances (10.8).
10.5.3. WEIGHTED LEAST SQUARES: THE UNREPLICATED CASE
If the observations are not replicated or if the number of replications is small estimates of
the regression coefficients can be obtained by considering the response variance as a
function of factors and using it for estimation of the elements of L: . This function can be
either analytically derived or obtained as an empirical model. Carroll and Ruppert (1988)
review various methods for variance function estimation. Most commonly used are the
generalized least squares and maximum likelihood methods. We will only show how
generalized least squares can be used in quality improvement problems without going
into details of this specialized field.
Assurne that the mean of the performance characteristic in mass production or
use can be modeled as follows:
k
Yu =E(yJ=lJu(B,pJ= LBifu =Brfu, (10.18)
l"'-1
where J; are known functions ofthe factors p.

The variance in mass production ofthe product depends on 'lu (B,pJ:
(10.19)
where g(•) is a known function offactors and ocr are coefficients.

Two different versions of the generalized least squares are possible depending on
the information available for the function (10.19). In the first case the variance function
(10.19) is known and only the coefficients B in (10.18) are to be estimated from
experimental data. In a more complicated case (10.19) is unknown.
Consider the case with a known variance function (10.19). Suppose that models
(10 18) and (10.19) are known and only the coefficients Bi have tobe estimated. In
quality improvement problems this situation occurs when the moments of noises are
estimated from independent observations or are computed on the basis of tolerance
intervals as shown in Section 5.3. In this case the variance model (10.19) can be
analytically derived as demonstrated in Chapters 5 and 7. Ifthe product is subject only to
errors in factors, the variance model is (5.22), while when both errors in factors and
external noises exist model (7.14) can be used The only unknown parameters in both
equations (10.18) and (10 19) are Bi, i = 1,2, .. ,k. They must be estimated on the basis
of data obtained from experiments with product parameters and external noises. Forthis
case a generalized least squares algorithm (Carroll and Ruppert (1988), p.13) can be
adapted. We obtain the following procedure:
1. Start with an initial estimate 00 . Usually this is an estimate obtained by
unweighted least squares.
2. Substitute 00 into (5.22) or (7.14) to find an estimate of ~. Denote it by :t.
3. Compute WLSE as follows:
(10.20)
4. With the estimates obtained by (10.20) iterate steps 2 and 3.

Carroll and Ruppert (1988) noted that the iterative weighted least square need
converge, but the convergence is usual. An increase of the number of iterations will not
always improve the estimates. Carroll and Ruppert (1988) recommend at least two
iterations in order to eliminate the effect of the inefficient unweighted least squares
estimates.
When converging, the procedure given above provides, asymptotically normally
distributed estimates with mean () and covariance matrix (Fr~- 1 F t for any starting
estimate ()0 and any number of iterations.
If the noise variances are not known they can be considered as unknown
coefficients ()" in (5.22) or (7.14) and should be estimated together with (} by
generalized least squares. Generally a non-linear estimation procedure is needed because
the noise variances are non-linearly incorporated into (5.22) and (7.14). Forthis case a
procedure of the generalized least squares which is given by Caroll and Ruppert ( 1988,
p. 69) can be adapted for parameter estimation.
It worth's to put efforts in estimating the error variances in advance as this
considerably simplifies the estimation procedure. Necessary information for such
estimation is often available from routine everyday observations.
10.6. Response surface approach to robust design of signal-dependent systems
Taguchi (1986) describes a class of systems (or products) with performance

characteristics changing due to the user' s intention or due to some external
circumstances. The user' s intention is transferred to the system through a variable, called
by Taguchi signal factor. An example given by Taguchi is the braking system of a car
which has to reduce the speed quickly or slowly depending on the driver' s intention. lt is
transmitted to the car by pressing the brake pedals. The braking system must be designed
to ensure a stable behavior of the car when stopping. However, there are noise factors
such as road conditions, tyre type, front tyre air pressure, etc. The parameters of the
braking system must be chosen so that the effect of noise factors is minimal. Taguchi
478 CHAPTERIO
calls products of this type "dynamic systems". Grove and Davis (1992) give other
examples of such systems.
Taguchi uses cross product designs (see Section 4.4) with an outer array and
Iayout of signal and error factors for this type of problem. U sing ANOVA and graphical
representations of the effects he chooses the product parameters to minimize the signal
to noise ratio. Ifthe relationship between the performance characteristic y and the signal
factor s is linear:
y=ßs,
Taguchi defines the signal to noise ratio as follows:
where
and ß is estimated by least squares:
~:S.Y.
/3 = ..:.:•;::-:~,------
~>=
u;J
Note that Taguchi uses the term "dynamic characteristics" in a different way from
engineers. In engineering a dynamic characteristic is always a function of time or
frequency and describes the transient process of the system. Fixing the signal factor to
given Ievels during the experiment, Taguchi studies the steady state and not the transient
process.
We will try to find a response surface solution to the problern for quality
improvement of signal-dependent systems. We consider the signal s as non-random. The
system should be sensitive to it in order to provide proper reaction to the user' s intention
and it should be insensitive to noise factors.
Using the notations of the previous chapters we can write down a second order
polynomial model of the performance characteristic as a function of product parameters
P;, external noise factors n; and signal factor s as follows:
m mm q qq mq
y(p,n,s)= ßo + "f.ß;P; + LLßiJpipf + "f.a;n; +"f."f.aifninf + :L:~::rifpinf +

1=l 1=l ;=I I=l i=l J=l 1=l j=l
m q m q
+ß s+ß
S SS
S2 + ""ß(ps)ps+
.L.... I
""a(ns)n
L....
I J
s+ """"l('(pns)pn.s+s
.L.... .L....
j I) l } •
(10.21)
F1 }=1 1=1 }=1
Experiments are required in order to estimate the coefficients in (10.21). Combined

arrays similar to those in Section 7.2 are appropriate, the only difference is that
additional column for the signal factor s has to be added to the design. Outer array is not
needed and this helps keeping the number of runs low. Linear least squares can be used
to estimate model parameters.
For the purpose ofanalysis it is convenient to rewrite (10.21) in matrix form:
+a:ns+prs~n+s, (10.22)
where ßo ,ß, a, n, p,.4. 'E.t; have the same meaning as in Chapter 7, while ans ,ßps and ~
are defined as follows:
~ . m x q matnx
1s · . - 12
. -1 , 2, ... ,m,J-
' w1t' h elements K'if(pns) ,1- , , ... ,q.
Equation (10.22) can also be written in the form
(10.23)
where
a~ = a+a~ss,
tJs =tJ+~.
480 CHAPTER10
a;
Equation (10.23) can be obtained frorn (7.11) by substitutins ß0 , , ,/f". ,tJ • for
ßo, ar ,{!", tJ, correspondingly. One can see that (10.23) is a second order polynornial of
product pararneters and extemal noise factors with coefficients dependent on a non
randorn signal factor s. That is why equations (7.13) and (7.14) can be used to cornpute
the rnean value and variance after appropriate substitution of the coefficients. They can
be written as follows:
(10.24)
and
(10.25)
where HOT is cornputed by (7 .15) after Substitution of rij by rij + s Kif .

Equations (10.24) and (10.25) depend on the value ofthe signal factor and can be
used in different ways. For exarnple, the rnean value y(p, s) and the variance a 2 (p, s)
can be cornputed for sorne given value ofthe signal factor. This will, however, provide a
very restricted knowledge ofthe systern's behavior
The signal factor s can be considered as a variable and contour plots can be
drawn considering sorne of the product pararneters as a second factor. Nurnerical
procedures and tables of variants are appropriate when the joint effect of several product
pararneters and the signal factor is of interest.
When the signal factor is varying in a given interval an integral characteristic of
response variability can be defined:
1
I=-
n
Lan
i=l
2
(p,si),
where si are equally spaced values of the signal factor, their nurnber in the interval of
variation being n.
The product pararneters can be chosen to rninirnize I under the condition that
y(p, s) is within a given interval when s changes.
This approach can be extended for rnore than one signal factor. All coefficients in
( 10. 23) should be considered as continuous functions (for exarnple, polynornials) of the
signal factors. They can be substituted in (10.23) and the coefficients of the obtained
rnodel can be estirnated by the least squares algorithrn. With these estirnates (10.24) and
(10.25) can be used in the sarne way as for the single factors.
OTHER METHODS FOR MODEL - BASED QUALITY IMPROVEMENT 481
10.7. Bibliography
More on variance function estimation can be found in Carroll and Ruppert (1988).
Design of experiments for estimating both mean and variance functions is proposed by
Vining and Schaub (1996). Methods for estimation oflocation and disperssion effects are
considered by Walfingerand Tobias (1998), Pau (1999), Bergman and Hynen (1997),
Ferrer and Romero (1995) Wiklander (1998), Rosenbaum (1999), Pau and Santer
(1998), Steinberg and Bursztyn (1998), Ghosh and Duh (1992). Engel (1992), Hamada
and Neider ( 1997), Engel and Hueie (1996), Lee and Neider ( 1998) consider the use of
generalized linear models in quality improvement. Taguchi (1986), Grove and Davis
(1992), Park (1996) give examples for parameter design for dynamic characteristics.
Robust design of products with dynamic characteristics is discussed by Miller and Wu
(1996), Lunani, Nair and Vasserman (1997), McCaskey and Tsui (1997).
482
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500
SUBJECT INDEX
Adjustment parameter 209 fractional factorial 3 1, 123,

Aliasing I 07, I24, I97 401
Almost unbiased estimates 457 full factorial 3I, I 06, 109
Analysis of variance (ANOVA) I5, 32, incomplete randomized
57,1I9, 207 block 38
Array multilevel 430
combined 348 noise 195
crossed I98,34 7 orthogonal I1 0
orthogonal 194,196,430 parameter I94
outer 479 product I93
A-optimality I 00 randomized block 33
Bias 240,272,353,432 response surface II,96,430
Blocking 133 robust product 6,300
Canonical analysis I69, I7 5, 4 3 I rotatable 99, II1, I45
Compounded noise 347 second order I42
Confidence intervals 53 split plot 200
Cantrast 114 symmetric 148
Contribution ratio 205 system I93
Correlation coefficient tolerance I94,21I,325,392
adjusted multiple 68 Design ofexperiments 8, 31,430
multiple 61 Desirability function I70,314
partial68 D-optimality 100, I10
D-efficiency I 03 Dualresponse optimization 369,381
Defining cantrast 125 Dummy variable 423
generalized I28 Dynarnic system 453,478
Degrees of freedom I7, 23, 60 Effects 116
Design active 462
A-optimal III dispersion 246,453,462-473
combinatorial430 individual 118
combined 348,430 inert 462
composite 144 interaction 1I6
continuous I 0 I location 245,453,462-473
cross product I95 main 1I6
D-optimall1I,I46,I53 quadratic 245,353
engineering 8 E-optimality I 0 I
E-optimal 111 Errors in factors 7,397,474
501
Expected loss 193,288 MINQUE457

External noise 7,344,349,399,427 Model
Factars 14, 40 analytical 389
adjustment 246 deterministic 390
categorical422 mechanistic 388
coded 41 mixed 399
control 208,246 regression 42,423
noise 397,427 Model of
qualitative 14,318,422 mean value in mass
quantitative 14,318,422 production 243,256, 349,
signal 453,477 382,391,423,431,454
G-efficiency 103 variance in mass production
Generatingrelation 124 243,256, 349,383,390,423,
Goodness-of-fit 8 431,454
G-optimality 10 1 Monte Carlo 409
Graeko-Latin square 36, 197 Multiple correlation 61
Grid search 168,319,436 Normal
Heterogeneity 454,474 distribution 78
Heteroscedasticity 261,453,474 equations 47
Highorderterms 244,262,438 score 78, 119
High order distribution moments 262 probability paper 78
Indicator variable 423 Off-line quality control 6
Lagrangemultiplier 369,473 Orthogonality 98, 196
Latin square 34 On-line quality control 5
orthogonal 36 Outlier 74, 79
Leastsquares 45, 113 Performance characteristic 1,202
generalized 476 PERMIA 453,473
ordinary 45, 82 Plot
weighted 82,475-477 contour 10,42,320,431
Leverage 74, 92 dot 466
Linear graph 201 normal 77, 119, 151
Loss function 191,288,313 half-normal 77, 79, 119,462
Manufacturing imperfections 2 residual 74
Matrix44 Probability measure 10 1
covariance 48 Region ofinterest 41,97
extended design 44 Region of Operability 97
information 4 7, 101 Regression 40,42
noise 194,348 linear 43
of regressors 44 stepwise 66,431
parameter design 194,348 Regressionanalysis 39, 113
singular 424 linear 43
upper triangular 198 Repeated observations 453
Mean squared error 193 Replicated observations 454
502
Residual45, 73,90,119,456
analysis 73
deleted 77
jack-knife 77
plot 74
standardized 76
studentized 76
variance 59
Resolution 126
Response 41
Response surface 10, 41
Response surface methodology 9, 11
Ridge analysis 435
Robustness 292
Robust product 203
Screening experiments 466
Sequential generation ofdesigns 153,185
Signal-to-noise ratio 202,291
Sparsity of effects 462
Stationary point 11,175,301,434
Steepest ascent 135
Sum of squares 17
pooled 204
residual 17, 22, 45, 57, 82
total 16, 57
Taguchi method 9,190
Taylor series expansion 42, 391
Test for Iack of fit 56, 60, 88, 118
Transformation 80
Box-Cox 81
logarithmic 81
non-linear 81
power 81
square root 81
Transmission of errors 23 7,292
Variation
between groups 17
within groups 17
pure 205
residual 16
Youden square 38
503
AUTHOR INDEX
Adler 184 Cook 74, 76, 84

Akao 312 Cornell 96,184,317
Allen 68 Cox 39, 82, 84,184,452
Atkinson 74,84,184,430,452 Cramer 252
Baker 233 Creveling 233
Bandemer 184 Currin 412
Barker 328,333,335,337 Damgaliev 155,156
Bartleu 455 Daniel84
Beggs 275 David 78
Behnken 147 Davies 138,317
Beightler 3 17 Davis 234,478,481
Belsley 84 Dehnad 234
Bendell234 Dei Castillo 315,338,4 73
Bergman 481 Deming 184
Bites 317 D'Erico 211
Bisgaard 234 Derringer 171
Box 127,135,138,143,145, 147,151,154, DeVor 233
170,182,184,205,234,275,289,302,338, Disney 233
381,412,466 Donev 155,156,184,430,452
Boyadjieva 314,317,338,348, 369,375, Draper 54,62,66,68,74,82,84,96,98, 127,
381,412,475 138,145,
Buck 412 Duncan456
Burman 148 Duh 481
Bursztyn 481 Elsayed 192
Bury 84 Enge1481
Campbell 184 Ermakov 184
Carroll84,456,475-477,481 Farrel156
Carter 184,302,369 Fedorov 100,103,155,184
Chang 234 Ferrer 481
Chaterjee 84,452 Fiacco 317
Chatfield 84 Fisher 36,184,452
Chemova 184 Fowlkes 233
Chinchilli 184 Fung 234,275,338,412
Clausing 328,333,335,335 Galil155
Cochrain 39, 84 Gantmacher 175,176,186,339,340
Conn 168 Ghosh 184,233,481
504
Gill I68,3I7 Lim452

Gien 233 Lin315,338
Goupy I84 Lochner 234
Granovsky I84 Logothetis 39, 77,82,84, I97,233,409,
Grieko 227 452,455
Grove 234,478,48I Lucas 146
Hahn 8I,252 Luenberger 168,317
Hamada 48I Lunani 481
Hardin ISS Markova 184
Rarrington I 7I Matar 234
Hartley 146 McCaskey 481
Herzberg I46, I84 McCormick 317
Hext 138 Mead 184
Himmelblau 3 I7 Mendenhall 84
Himsworth I38 Meyer 466
Hicks 84,452 Michaels 2I3
Hoke I47 Miller 481
Horn 456,457 Mitehen 155,408-412
Hsiang 192 Mizuno 312
Huele 327,337,481 Montgomery 96,184,234,315,338,354,
Hunter 39,84,96, 127,145,154, I70, 182, 381,455
184,338 Morgan 184
Hynen 48I Morris 412
John 184,430,452 Morrison 214,275
Johnston 423,452 Murray 317
Iones 289,38I Myers 54, 96, I84,233,302,314,338,354,
Kackar 227,233,234 369,38I,455
Kang 348,380,408,4I2 Nair 234,481
Kendall 68,455 Nalimov 146, 184
Khuri 96,184,354,381 Näther 184
Kiefer I 00-I 03, I11, ISS, I 56,184 Neider 48I
Kirkpatrick 84 Novik 138
Kleinbaum 68,69, 74,77,452 Papazov 275
Konishi 197,233,430,452 Park 233,481
Kono 154,156 Pau 48I
Krug I54,162 Pazman I84
Kuh 84 Peace 233
Kurotchka 452 Pesotchinsky I 59
Ladson 168 Peterson I84
Lee 481 Phadke 227,233
Leon 473 Plackett 48, 84, I48
Liakov 13 Price 84,452
Lieberman 168 Pridemore 234
505
Pukelsheim 184 289,332,380,392,412,430,452,453,477,

Raktoe 452 481
Ramirez 205 Tsui 348,380,408,481
Rao 48,84,456,457,475 Titterington 155
Rechtshafner 147 Tobias 481
Reklatis 168 Torsney 155
Romero 481 Tu315,338
Rosenbaum 481 Tydwell82
Ross 233 Vasserman 481
Ruppert 84,456,475-477,481 Vining 314,354,369,381,481
Rustagi 317 Volk 84
Ryan 234 Vuchkov 82,84, 154,155,156,159,162,
Sacks 348,380,408-412 184,275,301,306,314,317,338,348,369,
Sakaguchi 154 375,381,412,475
Santer 481 Walbran 156
Scheffe 84 Warnpier 184
Schaub 481 Weisberg 74, 76, 84
Schiller 412 Welch 155,348,380,408-412
Seber 48,69, 84 Welsch 84
Shapiro 81,252 Westlake 14 7
Shoemaker 348,380,408 Wetz 62, 143
Silvey 155,184 Wheeler 452
Sincich 84 Wierich 452
Sloane 155 Wiklander 481
Smith 54, 66, 68, 74, 84,423,452 Wilde 317
Sokolov 154 Wilson 99, 135
Solakov 84 Wolfinger 481
Speeny 227 Wolfowitz 102
Spendley 138 Wong 452
Stablein 184 Wright 317
Stancheva 275 Wu 210,233,234,452
Steuer 317 Wu, CFJ 348,380,408,481
Stoyanov 317 Wynn 39, 77,82,84,154,197,234,
Street 452 408-412, 452, 455
Steinberg 481 Yates 36
Stuart 68 Ylvisaker 412
Subrahmaniam 456,475 Yonchev 155,317
Suich 171 Yu 348,380,408,412
Sutherland 234 Zaino 211
Swain 317 Zhigliavsky 184
Swann 138,317
Taguchi 190,192,193,194,197,210,214,
233,234,
TOPICS IN SAFETY, RISK, RELIABILITY AND QUALITY
I. P. Sanderand R. Badoux (eds.): Bayesian Methods in Reliability. 1991

ISBN 0--7923-1414-X
2. M. Tichy: Applied Methods of Structural Reliability. 1993 ISBN 0-7923-2349-1
3. K.K. Aggarwal: Reliability Engineering. 1993 ISBN 0-7923-2524-9
4. G.E.G. Beroggi and W.A. Wallace (eds.): Computer Supported Risk Management. 1995
ISBN 0-7923-3372-1
5. M. Nicolet-Monnier and A. V. Gheorghe: Quantitative Risk Assessment ofHazardous Materials
Transport Systems. Rail, Road, Pipelinesand Ship. 1996 ISBN 0-7923-3923-1
6. A.V. Gheorghe and R. Mock: Risk Engineering. Bridging Risk Analysis with Stakeholders
Value. 1999 ISBN 0-7923-5574-1
7. I.N. Vuchkov and L.N. Boyadjieva: Quality lmprovement with Design of Experiments. A
Response Surface Approach. 2001 ISBN 0-7923-6827-4
SPRINGER SCIENCE+BUSIN ESS MEDlA DORDRECHT

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QUALITY IMPROVEMENT WITH DESIGN OF EXPERIMENTS

TOPICS IN SAFETY, RISK, RELIABILITY AND QUALITY

Editorial Advisory Board

ISBN 978-1-4020-0392-9 ISBN 978-94-009-0009-7 (eBook)

Printedon acid-free paper

All Rights Reserved

Irina, Maria, Ivan

Ilia, Boyan, Kamen

1. INTRODUCTION TO QUALITY IMPROVEMENT 1

2. STATISTICAL METHODS FOR DATA ANALYSIS 14

3. DESIGN OF REGRESSION EXPERIMENTS 96

about the model aod the region of interest 159

4. TAGUCHI'S APPROACH TO QUALITY IMPROVEMENT 190

5. QUALITY IMPROVEMENT THROUGH REDUCTION OF THE

5.1. Transmission of errors from product parameters to the response 237

7. ROBUSTNESS AGAINST BOrn ERRORS IN PRODUCT

8. QUALITY IMPROVEMENT mROUGH MECHANISTIC MODELS 388

9. QUALITY IMPROVEMENT OF PRODUCTS DEPENDING ON

10. OTHER METHODS FOR MODEL BASED QUALITY

AND V ARIANCE 454

SUBJECT INDEX 500

AUTHOR INDEX 503

Ivan Vuchkov Sofia, Bulgaria

INTRODUCTION TO QUALITY IMPROVEMENT

1.1. Why do deviations occur?

Consider the different sources of performance characteristics variations in this

1.2. Random variations.

Usually 6 is a normally distributed random variable with zero mean and

and the variance

f(y) j(y) j(y)

LSE r USL LSE 71 r USL y LSE r 11 USL y

Figure 1.2. Comparison ofthe target value to the specification limits

1.3. On-line and off-line quality control

Figure 1.3. Optimalparameter selection

1.4. Performance characteristics, product parameters and noises

Figure 1.4. Performance characteristics, product parameters and noises

There are 3 groups of random disturbances:

i) Errors in productlprocess parameters. In mass production the product/process

Supposedly product's parameters can be controlled in an experiment, but they

1.5. Design of experiments and data analysis

20:::; x;:::; 60,

while all other components are kept constant.

y = 617.46- 3.0292x; + 4.1148x~ + 0.00917 x;x~ + 0.05041x~- 0.07259x~ 2 . (1.1)

T ABLE 1. 1 Experimental design and Observations

Figure 1.6. Elongation contour plot

1.6. Model based robust engineering design

In this book we extend the applications of response surface methodology to quality

s2 = I7.407- 0.059x{- 0.139x~ -0.00009x{~ +0.00114x{ 2 +0.00235x~ 2 . (1.2)

The variance surface corresponding to (1.2) is shown in Figure 1.7. A contour

A simultaneaus exploration of mean and variance surfaces can be very helpful in

STATISTICAL METHODS FOR DATA ANALYSIS

A product or production process can be improved by studying the causes of deviations

Basic knowledge of elementary probability, simple statistical data analysis

2.1. Analysis ofvariance

2.1.1. ONE WAY CLASSIFICATION

TABLE21 0 ne-way ayout

The total mean of all observations is

It can be split into two parts (see Appendix A.2.1) :

QR = LL(yif- yif. (2.6)

degrees offreedom correspondingly.

The variance s~ shows the variation explained by the factor, while s;

lf the Observations are normally distributed the F-ratio has a Fisher-Snedecor

As it is shown in Appendix A.2.2 if the number of observations for all factor

Bi= LYij> (2.14)