American Society for Quality

D-Optimal Fractions of Three-Level Factorial Designs

Author(s): T. J. Mitchell and C. K. Bayne
Source: Technometrics, Vol. 20, No. 4, Part 1 (Nov., 1978), pp. 369-380
Published by: Taylor & Francis, Ltd. on behalf of American Statistical Association and American
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 TECHNOMETRICS
?, VOL. 20, NO. 4, NOVEMBER1978

Thefollowing
paper withitsdiscussion
and responsewas thesecondof two invitedpaperspresentedin the
TECHNOMETRICS Sessionofthe138thAnnualMeetingof theAmerican Statistical
Association
heldat San Diego,
August14-17, 1978.
California,

Fractions
D-Optimal ofThree-Level
Factorial
Designs

T. J. Mitchelland C. K. Bayne
UnionCarbideCorporation
NuclearDivision
Oak Ridge,TN 37830

D-optimalfractions
ofthree-level
factorial
designsforp factors
areconstructed forfactorial
models(2 < p < 4) andquadratic
effects response models(2 < p < 5). Thesedesigns
surface are
generatedusingan exchange formaximizing
algorithm IX'XI andan algorithm whichpro-
ducesD-optimalbalancedarraydesigns.ThedesignpropertiesfortheDETMAX designsand
thebalancedarraydesignsare tabulated.An exampleis givento illustratetheuse of such
designs.

KEY WORDS
Balanced array
D-optimal
Factorialeffects
Fractionalfactorialdesign
Quadratic responsesurface
Three-leveldesign
1. INTRODUCTION
Three-levelfactorialand fractionalfactorialde-
signsforp-factorexperimentsare used primarilyto
fitfactorialeffectsmodelsor quadraticresponsesur-
face models to data.
In the factorialeffectsmodels, the parametersof
interestare themain effectsand interactionsof thep
factors,which may be qualitative or quantitative.
Most of the available designsare the classical 3P-q
fractionalfactorials[11],exceptforsome orthogonal
main effectsdesigns [1]. For the formerdesigns,the
numberof runsn mustbe a powerof 3; forthelatter,
n mustbe a multipleof 9. Verylittleworkhas been
done on non-orthogonaldesigns,whichmay be re-
quired iftheexperimenter has insufficient
runsavail-
able to use an orthogonaldesign.
More attentionhas been given to the quadratic
Received February1977; revisedNovember 1977
369
responsesurfacemodels,whichexpressthe response
as a second orderpolynomialin p quantitativefac-
tors. Probably the most widely used experimental
designs for these models are the centralcomposite
designsof Box and Wilson [8] and the3-leveldesigns
of Box and Behnken[5]. In recentyearsotherdesigns
have been proposed,withand withouttherestriction
to threelevels. [3, 9, 13, 16, 20, 25, 26, 30, 21] This
laterwork has been stimulatedin part by the recent
interestin designs that are optimal withrespectto
some designcriterion,usuallya functionof the vari-
ance-covariancematrixof the estimatedparameters.
In thispaper we shall presentnew fractionsof 3-
leveldesignsforbothtypesofmodels.The numberof
variables considered here is small: p < 4 for the
factorialeffectsmodels and p < 5 forthe quadratic
responsesurfacemodels.We shall devotemostofour
attentionto cases in whichthe numberof runsis less
than twice the numberof parametersin the model.
For largervalues of p and n, the constructionof a
reasonably extensivecatalog of designs using our
methods would at present require a prohibitive
amount of computertime, especially since we are
attemptinghere to find the "best" design (in the
specialsensedescribedbelow). Althoughthisscope is
modest,we feel that the designsgiven here will be
usefulin practice,especiallyif theexperimentalruns
are fairlyexpensive.
Our main criterionwill be thatof "D-optimality,"

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370 T. J. MITCHELL AND C. K. BAYNE

that is, we attemptto maximize X'X I, whereX is
definedby the usual linearmodel
E(y) = XO (1.1)
In (1.1), y is the n X 1 vectorof observations(inde-
pendentlydistributed, each withvariancea2) and ( is
a k X 1 vectorof coefficientsto be estimatedfromthe
data. The n X k matrixX, sometimescalled the
"expanded designmatrix,"dependson the model as
well as the design.
For a reviewof the historyof the conceptof D-
optimalityand the work done in this area, see
St. Johnand Draper [28]. We have chosenthiscrite-
rion because we are convinced that it is a good
"portmanteau" criterion[7], and because we have
had some previousexperiencein constructing designs
to satisfyit [22].
In Section2, we shall discussour two main meth-
ods of construction:the DETMAX algorithmand
thebalanced arrayapproach. In Sections3 and 4, we
discuss the propertiesof the designs we have con-
structedforthefactorialeffects modelsand quadratic
responsesurfacemodels,respectively. In some cases
the balanced array designscan be organizedto run
sequentially,as is indicatedin Section5. In Section6,
an exampleof the applicationof one of the D-opti-
mal designsis given.
2. METHODS OF CONSTRUCTION
2.1. DETMAX
The computeralgorithmDETMAX [22] is an ex-
changealgorithmwhichwas writtento findan n-run
designthatmaximizesIX'XI, givenn, a specified
model, and a set of "candidate" designpoints. Al-
though this algorithmhas worked well in a large
numberof testcases, thereis no guaranteethatin a
given case a global maximumwill be found. Our
approach is to run the algorithm10 times in each
case, each time startingwith a different
randomly
selectedinitialn-rundesign.The algorithmthenim-
proves the startingdesign by adding or removing
points according to the "excursion" scheme de-
TABLE 2.1-For balancedarraysofstrength 2, thearrangement of
the nine combinationsof two variablesintopermutation-invariant
sets. Set i containsni combinations.The last threeentriesin rowi
give thenumberof -I's, O's, and l's in each combinationin set i.
Set(i) ni -1 0 1
1 1 2 0
2 2 1 0
3 2 10
4 1 0 2
5 2 0 1
6 1 0 0
TECHNOMETRICS ?, VOL. 20, NO. 4, NOVEMBER 1978
scribedin [22], untilno further improvement is pos-
sible. The "best DETMAX design" is that which
gives the largestdeterminant in the 10 tries.
Occasionally,two non-equivalentdesignsgivethe
same determinant.To help settle ties, we consider
Vavgand Vmax,where
Vavg= average variance of the fittedresponsey
over the 3P factorialpoints,and
Vmax= maximumvarianceof overthe3P facto-
rial points.
Suppose two designsD1 and D2 are tiedforthehigh-
est X'X . Then if Vavg(D,)> Vavg(D2)and Vmax(Di)
> Vmax(D2)we eliminateD1 fromfurtherconsid-
eration.This procedureis applied successivelyto the
set of tied designsuntilno further eliminationsare
possible. The designsremainingare reportedas the
"best DETMAX designs."Note thatunderthispro-
cedure, if two designshave the same IX'X , Vavg,
and Vmax,one of them will be eliminated,even
thoughtheymay not in factbe equivalent.
2.2 BalancedArrays
Balanced arrayswere introducedand firststudied
by I. M. Chakravarti[10] and called partiallybal-
anced arrays.Our reasonforconsideringthemhereis
that most of the "pattern" designsput forwardby
otherauthorsas fractionsof three-level designsturn
out to be balanced arrays.We are therefore interested
in findingthebest balanced arrays(in thesenseof D-
optimality)forthevariouscases in thisstudy,and in
comparingthesedesignswiththedesignsconstructed
by DETMAX.
We shall introducethe definitionof a balanced
array by giving the requirementsfor a three-level
designto be a balanced arrayof strength 2. General-
izations to three-levelbalanced arraysof strengtht
are straight-forward.
Consider firstthe nine possible combinationsof
two three-levelvariables. In Table 2.1, these are
sortedintosetsdependingon thenumberof - l's, 0's,
and l's presentin each combination.For example,set
3 consistsof the two combinations(-1, 1) and (1,
-1) whichcontainone 1 and one -1. Note thatthese
sets are permutation-invariantin the sense that the
combinationswithineach set can all be obtained
fromone anotherby permutingthe two variables.
Now forthedefinition. An n X p designmatrixA is
definedto be a balancedarrayofstrength 2 ifanytwo
columnsof A containall thecombinationsin set i of
0 Table 2.1 exactlyXi times,i = 1, 2, ..., 6. The key
requirements are
1 (i) everycombinationin set i appears the same
0 numberof times,e.g., if (0, 1) appears once,
1 then(1, 0) mustappear once, and
2 (ii) Xi is thesame no matterwhichtwocolumnsof
A are considered.

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 D-OPTIMALFRACTIONSOF THREE-LEVEL
FACTORIAL
DESIGNS 371

In general,a balanced arrayof strengtht is defined TABLE 2.2-For balanced arraysofstrength3, thearrangementof
by considering the 3t combinations of t vari- the27 combinations of threevariablesintopermutation-invariant
possible
sets.Set i contains
nl combinations. Thelastthreeentriesin rowi
ables, sorting these into permutation-invariant sets,
givethenumber of - I's, O's,andI's ineachcombination inseti.
then requiringthat set i appear X1times in any t
columnsofA. For balanced arraysof strengths 3 and Set (i) -1 0
ni 1
4, the into
arrangement permutation-invariant is sets
shown in Tables 2.2 and 2.3, respectively. 1 1 3 0 0
All the models we shall considerin thispaper (in-
2 3 2 1 0
cludingthe factorialeffectsmodels) can be parame-
terizedas polynomialsin designvariableswhoseval- 3 3 2 0 1
ues are (-1, 0, and 1), so everyelementof X'X has 4 3 1 2 0
the form: 5 6 11 1
n P 6 3 1 0 2
M(rl, r2, , rp) = E Xiurt (2.2.1)
=l i=l
7 1 0 3 0
wherethe r,'s are non-negativeintegers.For a bal- 8 3 0 2 1
anced arraydesign,M(r1,r2, * , r,) dependsonlyon 9 3 0 1 2
5, thevectorof Xi'sassociatedwiththearray,as long 10 1 0 0 3
as the strengtht is not less than the numberof non-
zero r's in (2.2.1). If t is sufficiently
large,therefore,
X'X is completelydetermined by1. For thequadratic aware of it at the time). Instead,our computerpro-
response surfacemodel, forexample, t > 4 will do gramsubmitseach X'X to a subroutinewhichcalcu-
sinceeveryelementof X'X is a designmomentofthe lates the determinant.
form(2.2.1) where i=,P r, < 4. For each model in Once a D-optimal k has been found,therestill
thisinvestigation, we consideredonlythosebalanced remainsto be foundthe designmatrixitself,i.e., the
arrays with the minimum strengthneeded to express balanced arraywiththespecifiedX. In general,it will
X'X as a functionof .. The D-optimal balanced not be known whethersuch an array even exists.
array of this minimumstrengthwill have IX'XI at However,in the importantcase wherethe strengtht
leastas greatas thatforany balancedarrayofgreater of the arrayis equal to the numberof variablesp, I
strength. This is because a balanced arrayof strength immediately determinesthe array.For the remaining
t' is also a balancedarrayof strength t,wheret < t'. situations(t < p), we have writtena tree-searchal-
Having determined the appropriatestrength,we
set out foreach model the expressionforeach ele- TABLE 2.3-For balanced 4, thearrangement
arraysofstrength of
mentof X'X as a functionof 5. For example,if the the81 combinations offourvariables
intopermutation-invariant
sets.
Seti contains
nicombinations. Thelastthreeentriesinrowi givethe
designmoment ,u=In xiuxjuappears in X'X, and ift number
= 2, it is easily shown (using Table 2.1) that this of-I 's, O's,andI's ineachcombination inseti.
momentis X, - X,.We thenapplieda straightforward
search procedureto findall "D-optimal" X's subject Set(i) ni -1 0 1
to there being n runs in the experiment.To save
1 1 0 0 4
computertime,we restricted our searchto X,'sin the
set(0, 1,2)for n < 3tand to theset(0, 1,2,3)for3t < 2 1 0 4 0
n < 2 X 3t,wheret is the strength of the array.The 3 1 4 0 0
choice of theserangesforthe Xi's was motivatedby 4 4 0 1 3
the factthat in an orthogonalarray,all the Xi's are
5 4 0 3 1
equal to n/3t. Assumingthatthe best arraysare "as
close as possible" to the orthogonalarray(whichis 6 4 1 0 3
unattainableunless n is a multipleof 3t), we chose 7 4 1 3 0
our Xi'sto be fromtheset of integersthatare nearest 8 4 3 0 1
neighborsor nextnearestneighborsto n/3t. 9 4 3 1 0
A refereehas pointed out that in some cases not 10 6 0 2 2
only X'X but its determinantcan be expresseddi- 11 6 2 0 2
rectlyas a functionof . See, forexample,thepapers
by Hoke [17] and Srivastavaand Chopra [29]. For 12 6 2 2 0
the purposes of this investigation,however,we did 13 12 1 1 2
not attemptto derivethe appropriateexpressionfor 14 12 1 2 1
each of our models (althoughwe would have used 15 12 2 1 1
Hoke's [17] resultforthe QRS model had we been

TECHNOMETRICS
?, VOL. 20, NO. 4, NOVEMBER1978

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372 T. J. MITCHELL AND C. K. BAYNE

TABLE 2.4-An exampleofthematrixTfor a balancedarraywitht added sequentiallyto the design,and T is updated

= 2, p = 3, and parametervectorX = (,, 2,Xs, X4,XA,X)'. each time. If the additionof the (s + 1)thrun,say,
causes any elementof T to exceedthevalue specified
PairofVariables
Levels by the balanced arrayparameters5 (see Table 2.4),
12 13 23 thatdesignis designateda "failure"and a newchoice
forthe (s + 1)th runis tried.If all possible(s + )th
-1 -1 Xi X1 XI runslead to failures,a new choice forthe sthrun is
-1 0 X2 X2 2 made, and we tryagain to finda suitable(s + 1)th
run. If this process is continuedsystematically, we
-1 1 X3 X3 \3 willeitherfinda balanced arraywithparameters5 or
0 -1 X2 2 2 we will knowthatnoneexists.This algorithmis really
0 0 X4 X4 x4 nothingmore than a systematicsearchover all pos-
sible designs,in whichsome timeis saved by utilizing
0 1 Xs X\ Xs the fact that no designthat failsin less than n runs
1 -1 3 X3 3 can be part of the n-rundesign we are seeking.Al-
1 0 Xs Xs Xs thoughit was adequate forthe purposesof the pres-
ent investigation,it is too inefficient
to be used gener-
11 X1 66 \6 ally.
3. FACTORIAL EFFECTS MODELS

gorithm,whichwe now brieflydescribe,to findthe
arraycorrespondingto a given .. We firstnote that
for any 3-leveldesign we can constructa 3t by (P)
matrixT, each row of whichcorrespondsto a differ-
ent combinationof levels of t variables and each
columnof whichis associatedwitha different t-tuple
ofp variables.The entryin row r and columnc of T
will be the numberof runsin whichthecombination
of levels identifiedby r appears in the t-tupleof
variables identifiedby c. For a balanced array of
strengtht, everyelementof the rthrow of T will be
the same, namelythe elementof I associated with
that combinationof levels. An example of T for a
balanced arraywitht = 2, p = 3, and parameters. is
shown in Table 2.4.
To build up a balanced arrayof strength
t,we start
with an emptydesign and a null T. New runs are
TABLE 3.1-Summary of modelsand cases considered.In all of
thesemodels,interactionsamong threeor more variablesare as-
sumedto be negligible.
3.1. Choice of Models and Cases Considered
Our choice of models forthis studyfollowsfrom
the approach of Addelman [1, 2] and of Box and
Hunter[6], in whichit is assumed thatthe variables
can be dividedinto two groups:majorvariablesand
minorvariables. Two different interactionschemes
are considered:
(a) Major variablesinteractwitheach other,but
not withminorvariables.
(b) Major variablesinteractwitheach other,and
withminorvariables.
In neitherscheme do minorvariables interactwith
each other.
The models which arise fromthis approach are
given in Table 3.1 forp < 4. In thisstudywe have
obtained designs for each of these models, for the
values of n shown in the table. Because of space
limitations,we shallpresentthepropertiesand design
pointsof onlya fewofthesein thispaper.A complete
set oftablesmaybe foundin our back-upreport[23].

Main First-Order
3.2. Parameterization
Model p k
Effects Interactions
One of thefeaturesof theD-optimalitycriterionis
2.0 2 5 A,B - 5<n<18
thatit does not dependon the particularparameter-
2.1 2 9 A,B AB 9 n 18 ization used, i.e., a designthat is D-optimalforone
3.0 3 7 A,B,C - 7 n<18 parameterizationof a model is also D-optimal for
3.1 3 11 A,B,C AB 11 <n27 any reparameterization of the same model.
3.2 3 15 A,B,C AB,AC 15 n 27 For the main effectsmodel (no interactions),it is
3.3 3 19 A,B,C 19 < n g 27
AB,AC,BC assumed thatthe responseis an additivefunctionof
4.0 4 9 A,B,C,D - 9< n18 the effectsof the individual factors.However, no
4.1 4 13 AB 13 n <27
4.2 4 21
A,B,C,D special functionalform(e.g., linear)is assumed.Per-
A,B,C,D AB,AC,BC 21 < n < 27
4.3 4 21 haps the most familiarversionof this model is the
A,B,C,D AB,AC,AD 21 < n < 27
4.4 4 29 A,B,C,D
one usuallygivenin presenting themaineffectsmodel
AB,AC,AD, n=29;n=3r,
BC,BD 10 r 18 in the analysisof variance.For p = 2, thisis:
4.5 4 33 n = 3r, 11 < r < 27 = 1,2, 3;j = 1,2,3
A,B,C,D AB,AC,AD, E(y0i) = g + at + ,j
BC,BD,CD
(3.2.1)
TECHNOMETRICS ?, VOL. 20, NO. 4, NOVEMBER 1978

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 D-OPTIMALFRACTIONSOF THREE-LEVEL
FACTORIALDESIGNS
wherethe subscriptsi and j referto the levelsof the
firstand second factors,respectively.The linear re-
'z ai = 0 and , fi = 0 are usuallymade,
strictions
so there are five independentparameters.In con-
structingthe designsforthispaper, we have chosen
an equivalent formfor the expressionof the main
effectsmodel in p variables:
E(y) = f0 + , (ixi + fiix,2) (3.2.2)
t=1
wherewe assumethatthethreelevelsofeach xi are in
thecoded form(-1, 0, 1). This representation of the
model as a polynomialis strictlyforour own conve-
nience; the variables can be qualitative or quan-
titative.
If two-factorinteractionsare introducedinto the
model,termsof the formpij are added to (3.2.1), for
example,where?i pij = 2j pij = 0. This is equiva-
lentto adding fournew independenttermsforeach
interaction.In our alternativeparameterization,if
variables x, and x2 interact,the terms p,11xx2+
p12x1x22+ p21X12x2 + p22x12x22
are added to (3.2.2).
Althoughwe have used this parameterizationto
constructthe designs,the analysis,whichwill prob-
ably be done with a standard regressionprogram,
should use whateverparameterization is mostmean-
ingful to the experimenter.
3.3 Design Properties
In everycase in whichboththeDETMAX and the
balanced arraymethodswereused, thebestdetermi-
nantwas thesame forboth.We present,in Table 3.2,
propertiesof the best balanced array designs for a
selectedsubsetof the cases listedin Table 3.1. Since
these designs were chosen using a single criterion
only,theyshould be consideredsimplyas potential
candidates to be compared withdesignsdevisedby
othermeansbeforea finaldesignis selectedin a given
practicalsituation.
The "D-efficiency"[4] in Table 3.2 is equal to (IX'
X I/I X*X*)x/k, where X* is the expanded design
matrixthatwould resultifwe wereable to fractionate
our n runsas finelyas we pleased and distribute them
optimally over the designspace. There may be several
such X*, but theyall yield the same X*'X*. In the
presentsetting,the most obvious X* is obtained by
placing n/3P "runs" at each of the 3P points in the
factorialdesignspace. In Table 3.2 we give the nor-
malizedvalue IM* = IX*'X* /nkin each case,so
that the values of X'X I (under our parameter-
ization) can be recoveredif desired.
Since the designcorrespondingto X* is "approxi-
mate" in the sense that it is allowed to have partial
runsat the designpoints,it will not usuallybe pos-
sible to constructa design with D-efficiency1 for
specifiedn. We give theD-efficiency heremainlyas a
measureof the determinant whichis independentof
TECHNOMETRICS ?,
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373
the parameterizationof the model. It may also be
used to indicatethedegreeofseverity oftherestricted
to a particularvalue of n or to a particularclass of
designs.
The values of Vavgand Vmax, whichare theaverage
and the maximum variance (divided by a2) of the
fittedvalue y over all 3P factorialpoints, are also
given foreach designin Table 3.2. These should be
usefulin the selectionof sample size.
Whenthebalanced arrayhas strength p, thedesign
is completelyspecifiedby the parametervector .. In
Table 3.2, the "design reference"indicatesthe table
(2.1, 2.2, or 2.3) in whichthe associationbetweenk
and the design points is given. When the balanced
array is not of full strength,the design reference
indicatesthetable(3.3 or 3.4) wherethedesignpoints
may be found. To make these tables as concise as
possible,thethreelevelsof each factorare coded 0, 1,
2 ratherthan-1,0, 1. These designsare notnecessar-
ilyunique,sincetheremayexistotherswiththesame
It can be seen in Table 3.2 that the reductionin
Vavgas n increasesis quite sharpat first(forn neark)
and is fairlysmooth throughout.In contrast,Vmax
seems to experiencea sudden drop whenevern per-
mits an orthogonal design to exist. This behavior
underscoresthe fact that the extra cost associated
with doing a few more runs in order to achieve an
orthogonaldesignis usuallywelljustified.
The numberof runs available forthe experiment
need not necessarilycorrespondexactlyto the value
of n in Table 3.2. For example, one may wish to
adopt a strategy(suggestedby a referee)by whicha
D-efficient"nucleus" design is augmentedby addi-
tional runs using other design criteria.This sort of
approach and some variationsare discussedin a re-
port by Morrisand Mitchell[24] and applied to the
constructionof incompletetwo-levelfactorial de-
signs.
4. THE QUADRATIC RESPONSE SURFACE MODEL
4.1. PreviousWork
The quadraticresponsesurface(QRS) model with
p factors(x1, *. , xp) can be written:
P P
E(y) = 3, + E /ixi + z fixi2 +
i=l i=1
p-i p
1=
Ji+ (4.1.1)
Frequently,thecentralcompositedesignsof Box and
Wilson [8] are used to estimatethe k = (p + 1)(p +
2)/2 coefficients.
These designsrequirefivelevelsfor
each factor,except forthe special three-leveldesign
which resultswhen the "star" points are placed on
the facesof the "cube." In thispaper,we restrictour
VOL. 20, NO. 4, NOVEMBER 1978
374 T. J. MITCHELLAND C. K. BAYNE

TABLE 3.2-"D-optimal"balanced formaineffects

arraydesigns models(*) andmaineffects interaction
plustwo-factor models(**).

Model P IMI N D-EFF VAVG VMAX LAMBDA DegnRef.

Table

2.0* 2 2.19E-2 5 .747 1.89 3.00 001011 2.1

6 .891 1.06 1.50 011010
9 1.000 0.56 0.56 111111
12 0.975 0.44 0.48 112211
15 0.984 0.34 0.40 122121
18 1.000 0.28 0.28 222222
2.1** 2 1.06E-5 9 1.000 1.00 1.00 111111 2.1
10 0.972 0.94 1.00 111112
11 0.954 0.89 1.00 111121
12 0.945 0.83 1.00 112211
15 0.952 0.67 1.00 122121
18 1.000 0.50 0.50 222222

3.0* 3 3.25E-3 7 0.872 1.33 2.00 101111 3.3

8 0.907 1.17 3.50 011111
9 1.000 0.78 0.78 111111
12 0.958 0.63 0.76 111122
15 0.968 0.50 0.69 112222
18 1.000 0.39 0.39 222222
3.3** 3 3.63E-13 19 0.764 2.11 7.00 00111101010
20 0.809 1.69 3.87 0110101111
21 0.839 1.54 3.75 1011111101
24 0.926 0.98 2.50 0111110110
27 1.000 0.70 0.70 1111111111
4.0* 4 4.82E-4 9 1.000 1.00 1.00 111111 3.4
10 0.972 0.94 1.00 111112
11 0.954 0.89 1.00 111212
12 0.948 0.83 1.19 111122
15 0.958 0.66 1.00 212122
18 1.000 0.50 0.50 222222
4.5** 4 6.02E-24 33 0.782 1.80 3.45 010001010101100 2.3
36 0.813 1.60 3.37 000001110101100
45 0.882 0.99 1.75 111000000111110
54 0.949 0.69 0.83 110110011011110
63 0.957 0.57 0.79 010111011111110
72 0.974 0.49 0.75 000111111110111
81 1.000 0.41 0.41 111111111111111

attentionto designswhereeachfactorhas threelev- thesetofall 3Ppointsinto"orbits."An

partitioned
els. orbit Or is the sets of points
If thethreelevelsofa factorarecoded-1, 0, and
+1, a designpointin a 3Pexperiment can be repre- ~f I ~p
Or = (1, *., Xp) x2 r
sentedbya p-tuplewitheach of thep entries corre- l o =1
spondingto a levelof one of thefactors.Fry [14] whichlie on thehypersphere
of radiusr112.A useful
TECHNOMETRICS
?, VOL. 20, NO. 4, NOVEMBER1978

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 D-OPTIMAL FRACTIONS OF THREE-LEVELFACTORIAL DESIGNS 375

TABLE 3.3-Balanced arraydesignpointsfor maineffectsmodelin threefactors(Model 3.0).

N DesignPoints

7 000 022 112 121 202 211 220

8 011 022 101 112 120 202 210 221
9 000 011 022 101 112 120 202 210 221
12 000 011 022 102 112 120 121 201 210
212 221 222
15 000 012 021 022 102 111 112 120 121
201 202 210 211 220 222
18 000 001 010 012 021 022 100 102 111
112 120 121 201 202 210 211 220 222

devicefor representing the partitioning

of the 3P 0, +1)(-1, +1, 0)(0, -1, +1)(0, +1, -1)(+1, 0,
availabledesignpointsintothep + 1 different
orbits -1)(+1, -1, 0)}. Note that each suborbitcorre-
is thealgebraicexpansion: spondsto one ofthepermutation-invariant setsasso-
ciated withthe definition of a balancedarrayof
3P = (1 + 2)P strengthp. (See Tables2.1-2.3).
UsingHoke's suborbitnotation, thedesignspro-
( 0 )2o
+
1 )2 +( 2 )22 + posedby Box and Behnken[5], Rechtshaffner [27],
Webb [30], Hoke [16], and Lucas [20, 21] forthe
P quadraticresponsesurface modelcanbe summarized
+( )2P-1+ P)2P (4.1.2) as in Table 4.1. All of thesedesignsturnout to be
balancedarraysofstrength p exceptforLucas'scom-
Theterm(P)2rinthealgebraicexpansion is thenum- posite designs 32//6,32//7,34//16and 34//17where
berofdesignpointsin therthorbit. 3P//n means a 3P designin n runs.The balanced array
Hoke [16]further partitionedeachorbitintosub- designsinTable4.1 canbe constructed bycombining
orbitsbydistinguishing thenumber offactorsat lev- suborbitsfromorbits0, 1, 2, p - 1 andp. We note
els -1, 0, and +1. For therthorbit,letthesuborbit thatseveraloftheproposeddesignsareidentical(eg.
Sr(') be thesetofall designpointswithjofthefactors Rechtschaffner's
and Hoke's3P//k designs).
at level+ 1. It followsthatr - j ofthefactorsinthis
suborbitwillbe at level-1, andp - r ofthefactors 4.2 TheDETMAX andBalancedArrayDesigns
willbe at level0. Forexample, thesuborbitS2(1)ina In Table4.2, standardized
determinant
valuesfor
3-factorexperimentis the set of pointsS2(1) = {(- 1, thedesignsconstructedbythemethodsofthispaper
TABLE 3.4-Balanced arraydesignpointsfor maineffectsmodelinfourfactors(Model 4.0).

N DesignPoints

9 0000 0111 0222 1012 1120 1201 2021 2102 2210

10 0000 0111 0222 1012 1120 1201 2021 2102 2210
2222
11 0000 0111 0222 1012 1111 1120 1201 2021 2102
2210 2222
12 0000 0112 0221 1021 1122 1202 1210 2012 2101
2120 2211 2222
15 0120 1212 1122 0001 1221 1000 0022 2221 2200
2111 0210 2020 2102 0202 2012
18 0000 0000 0111 0111 0222 0222 1012 1012 1120
1120 1201 1201 2021 2021 2102 2102 2210 2210

TECHNOMETRICS ?, VOL. 20, NO. 4, NOVEMBER 1978

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376 T. J. MITCHELL AND C. K. BAYNE

TABLE 4. 1-QRS designsforp = 2, 3, 4, and 5.

Author Design DesignPoints

BoxandBehnken 33//15 3 X So(O),S2(0),S ),S2 (2)

(1960)
Rechtschaffner 32//6 S (1),S2),S2),S2(1
),S2(2)
(1967) 33//10 S1(l),S3(0),S3(l),S3(2)
3P//k,
p>3 SI (1),Sp(0),Sp(p-l),Sp(2)
Webb 32//6 S (l),S2(0),S2(1),S2(2)
(1971) 33//10 S1(1),S3(0),S3(1),S3(2)
33//14 S (O),S (1),S3(0),S3(1),S3(2),S3(3)
Hoke 3P//k S, (1),Sp(0),Sp(p- ), Sp(2)
(1974) 3P//k+p Si (0),Sp_1(p-1),Sp(O),Sp(p-),Sp(2)
*(Forp = 3 replaceS3(2) byS3(1).)
Lucas 33//11 S, (l),S3(0),S3(l),S3(2),S3(3)
(1974,1976) 3P//(1+2p+2P) So(0 ),Si(O),SI(1),Sp( . . .Sp(p)
3P//(2p+2P) S (0),S (1),Sp(0),.. ,Sp(p)
3P//(l+2p+2P-1) So(0),Si(0),S1(1), {2P-1 fraction defined
by
I = A, I = ABC,I = ABCand
I= ABCDEforP =2, 3, 4, and5
respectively }
3P//(2p+2P-1) S (0),S (1), {2P-1 fraction
defined
by
I = A, I = ABC, I = ABC and
I = ABCDE forP =2, 3,4, and5
}
respectively

are showntogetherwiththosefordesignsnow in the
literature.
The designsof Atkinson[3] are includedin Table
4.2 with those of Lucas [20, 21] since theyare the
same forthecases consideredhere,exceptforthe33//
11 design givenby Lucas [21]. The designsof Nali-
mov,et al. [25] includesome designsdue to Hartley
[15] as well as some designsbased on "roundingoff"
the D-optimummeasures of Kiefer [18] and Kono
[19]. We have not includedthe Box-Behnkendesigns
[5] in Table 4.2, since only one of thesedesignsfalls
withinour range of n and p. The Box-Behnkende-
signs also exclude the corners of the hypercube,
which puts them at a disadvantagein the present
setting,wherethequadraticmodelis assumedto hold
over the entirecubic region.Since we are concerned
here with three-leveldesigns,we have also omitted
the designsdue to Box and Draper [9] and Dubova
and Fedorov [13], in whicheach variable may take
any value between-1 and 1. It would be of interest
to knowhow muchis lost,withrespectto IX'X i, by
imposingthe restriction to threelevels. However,so
fewunrestricted D-optimumdesignshave been found
that we do not have any basis for answeringthis
questionat present.
We notethat,althoughwe have filledin some gaps
whichexistedpreviouslyin thecollectionof available
designs,our range forp and forn is generallymore
limitedthanthoseof otherauthors,so thereare many
TECHNOMETRICS ?, VOL. 20, NO. 4, NOVEMBER 1978
cases not covered in Table 4.2 forwhich theyhave
designs.For example, none of the designsgivenre-
centlyby Pesotchinsky[26] correspondto the values
of p and n in Table 4.2. We should also emphasize
that of the designslistedin Table 4.2, only thoseof
Nalimov et al. [25] and Lucas [20], in addition to
ours, were chosen with IX'X| expresslyin mind.
Moreover, some of these designs,e.g., the central
compositedesignsgivenby Lucas, wererestricted to
a class which is also considereddesirable in other
respects.
Of all cases in whichwe used boththe DETMAX
and balanced array methods,there were three in
which DETMAX obviously failed,i.e., achieved a
lower IX'XI thanthebestbalanced array.Forp = 2,
both methodsgave identicaldesigns,and forp = 3,
there was practicallyno differencein their design
properties.Forp = 4, however,therewerea fewcases
in whichthe best balanced arrayhad a D-efficiency
noticeablylowerthan the best DETMAX design.In
17 runs, for example, the D-efficiency of the best
balanced arraywas 89% ofthatofthebestDETMAX
design.Comparisonsof the Vavgand Vmaxvalues for
p = 4 gave a slightedge to the DETMAX designs,
particularlyforlow values of n, wherethesevariance
measureswere 10%-30% lowerthanthoseof thebal-
anced arrays. We did not constructany balanced
arraysforp = 5.
When p = 5 for the QRS model, the DETMAX

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 D-OPTIMALFRACTIONSOF THREE-LEVEL
FACTORIAL
DESIGNS 377

TABLE 4.2-Standardized IX'XI/n'forquadratic

determinants response designs.
surface

MITCHELLAND BAYNE NALIMOV RECHT- LUCAS

P K N WEBB HOKEI
DETMAX BAL. ARRAY ETAL SCHAFFNER (ATKINSON)

2 6 6 5.49E-03 5.49E-03 5.49E--03 ** 1.37E-03

**~i
2 6 7 8.16E-03 8.16E-03 1.63E-03
**~i
2 6 8 8.79E-03 8.79E-03 8.79E-03
2 6 9 9.75E-03 9.75E-03 **e~ 9.75E-03
**~i
3 10 1.33E-04 1.17E-04 1.OSE-04 1.05E--04 1.OSE-04 6.55E-06
3 10 I1 3.24E-04 3.24E-04 **~i
**i 3.24E-04
3 10 12 3.39E-04 2.54E-04 **ll **i
3 10 13 4.32E-04 4.32E-04 **c~ 4.32E-04
3 10 14 4.49E-04 4.53E-04 **i
**r~ 4.53E--04 4.53E-04
**t
3 10 15 4.20E-04 4.18E-04 **~i
**t **i 3.20E-04
3 10 16 3.81E-04 **t~ **c~
**
**~
3 10 17 4.02E-04 **~I **~i
3 10 18 4.17E-04 **c
**

3 10 19 4.54E-04
3 10 20 4.42E-04 **IF

**~C
4 15 15 2.67E 06 7.95E-07 7.95E-?07 7.95E-07
4 15 16 3.63E-06 1.07E-06 **ll 2.1 E-08
**l
4 15 17 4.88E-06 8.51E-07 1.OE-08 1.04E-08
**~c
4 15 18 6.25E-06 6.40E-06 1.OE-07 **ll
*1'~
4 15 19 8.06E-06 9.22E-06 **li 1.70E-06
**S
4 15 20 1.05E-05 8.11E-06 **ll

4 15 21 1.13E-05 7.32E-06 2.3E-07 **ll **r

4 15 22 1.23E-05 9.25E-06 ** ** **~i
**l
4 15 23 1.24E-05 1.18E-05 ** **c~
4 15 24 1.26E-05 1.08E-05 8.OE-06 **cl **lf 8.04E--06
4 15 25 1.43E-05 1.I 2E-05 1.8E-11 **i
5.36E-06
**r
4 15 26 1.17E-05 3*8E0
**~r 1.04E--08
4 15 27 1.15E-05
**c
4 15 28 1.63E-05 **rF
**t~
S 21 21 6.98E-08 5.OSE-088 **ri
5.OSE--08
S 21 22 1.38E-07 **~i **~
S 21 23 1.44E-07 **c~ 6i.1E-09 **rJ

5 21 24 1.83E-07 **J **c **~i

5 21 25 1.78E 07 ** **~i **~f

5 21 26 1.62E-07 **~r 5.3E-08 **C **r~ 7.02E--08 1.OE3-08
5 21 27 2.24E-07 **;~ 1.7E-08 ** **F

5 21 28 2.13E-07 **l
**r
5 21 29 2.O5E-07 **~i
**~i
5 21 30 2.70E-07

algorithmis near the limitsof its practicalcapabili-
ties. It takes about 15 minuteson theIBM 360/91to
do our standardten triesin a singlecase. However,
ten triesmay not be enough,as we learnedwhen a
refereeused DETMAX to obtain, in severalcases,
highervalues of IX'XI than we had firstreported.
The improveddesigns,due to this referee,are the
ones givenin Tables 4.2 and 4.3 forthe cases p = 5,
n = 21, 24, 27, 30. In terms of D-efficiency, the
improvement is small(roughly.001 in threecases and
TECHNOMETRICS
.011 in thefourth),butin a couple ofcases, thevalues
of avg and V.a. for the designs obtained by the
refereeweremarkedlylower.
Table 4.3 givesthe propertiesand designpointsof
the bestdesignswe wereable to construct(withsome
help fromthe refereeforp = 5) in a selectedset of
cases. The actual values of IX'X I can be recon-
structed,ifdesired,by notingthatthe D-efficiency is
(IX'X /IM* I)Ilk/n,and usingtheappropriatevalue
of IM* I given in the table. The variance measures
?, VOL. 20, NO. 4, NOVEMBER1978

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378 T. J. MITCHELL AND C. K. BAYNE

TABLE 4.3-Quadraticresponse
surface anddesigns.
properties

P IM*| Runs D-EFF VAVG VMAX Method DesignPoints

2 1.14E-2 6 0.885 1.42 2.75 B 0002 122021 22
7 0.946 0.98 1.40 B 0002 11 122021 22
8 0.958 0.81 1.25 B 00 01 02 10 12 20 21 22
9 0.974 0.67 0.81 B 0001 02 10 11 12 20 21 22
3 5.78E-4 10 0.863 1.30 2.75 D 020 220 110 102000 211200012 222 121
12 0.948 1.00 1.49 D 021 110 220 002 222 101022 000 202 200 211 020
14 0.976 0.71 0.80 B 000 002 011 020 022 101 110 112 121 200 202 211 220 222
16 0.959 0.66 0.79 B* 000 000 002 011 020 022101 110 112 121 200 202 211 220 222
222
18 0.968 0.58 0.87 B* 000 002 012 020 021 022 102 111 120 122 200 201 202 210 212
220 221 222
20 0.974 0.51 0.62 B* 000 000 002 012 020 021 022 102 111 111 120 122 200 201 202
210 212 220 221 222
4 2.16E-5 15 0.870 1.48 2.21 D 0002 0100 0202 11110020 1000 2222 2200 2120 0122 0220 2102
2022 2010 2001
18 0.922 0.93 2.24 B 1111 0000 0222 2022 2202 2220 1200 1020 1002
2100 0120 0102 2010 0210 0012 2001 0201 0021
21 0.958 0.76 1.13 D 0020 2102 2212 2221 2001 22000022 1210 00020222 2120 1222
2022 2010 0000 0220 0202 0111 0200 1021 1100
24 0.965 0.66 0.87 D 2202 2020 0202 0002 0000 2002 2210 0200 11122000 2121 0020
2022 12200222 2011 12010022 2222 0220 2100 0111 1010 1001
27 0.959 0.61 0.85 B* 2222 1111 11110000 0000 0222 2022 2202 2220 0022 0202 0220
2002 2020 2200 1200 1020 10022100 0120 0102 2010 0210 0012
2001 0201 0021
5 6.35E-7 21 0.900 1.36 2.18 D* 2020022202 00010 102112200002200 02002 22022 20021 20222
01220 00022 211100020200101 22220 1012002222 02020 20002
11000
24 0.942 1.05 1.46 D* 20022 2200202000 00002 02202 20220 22222 20202 22200 12100
0022201120 2011100021 1101200200 02220 2000002022 22020
0120100010 10020 12221
27 0.952 0.84 1.18 D* 2222200002 1022200112 00020 2220002101 1000102000 11120
2100020202 200222121100221 01022 00200 20220 22002 20100
1201202220 220202001002202 02022 01210
30 0.960 0.73 1.00 D* 121021001200020 20100 20020 2021100222 1000000002 02022
1122000200 22110 02212 2112202220 1202102000 21001 20202
2022001010 20022 2202002201 2220022222 2200201202 00121

*Onlymethodused.

Favg and Vmaxare taken over the points of the 3P
factorial,not overall pointsin thecubicregionof
interest.The lettersB and D are used to denote
"balanced array" and "DETMAX" respectively.
When both methodsgave designswiththe same
X'X I, thebalancedarraywas chosenforthetable.
A morecomplete setoftablesoftheproperties
and
designpointsofthedesignsconstructed inthisstudy
is givenin our back-upreport[23].
5. SEQUENTIAL BALANCED ARRAY DESIGNS
In some cases, a suborbitof pointsor just one
pointcan be added to a D-optimalbalancedarray
designto produceanotherD-optimalbalancedarray
design.For example,thebest6-runbalancedarray
forthemaineffects modelintwofactors (Model2.0)
isgivenbythetreatmentcombinations (01,02, 10,12,
20,21). Byadding,insequence,thetreatmentcombi-
TECHNOMETRICS ?, VOL. 20, NO. 4, NOVEMBER 1978
nations22, 11,and 00, we obtainthebestbalanced
arraysin 7, 8, and 9 runs,respectively.
As another
example, thebest 13-runbalancedarrayQRS design
in threefactorsconsistsof thebest10-runbalanced
array (S,(1), S2(O), S3(2), S3(3)) plus the suborbit
S3(l).
In ourreport[23],wegivefurther examplesofthis
sortofsequentialarrangement of thebalancedarray
designs.These plans may be usefulto an experi-
menter whowishesto runan initialD-optimaldesign
innopoints,butanticipates
thepossibilityofaddinga
"block"ofn,pointslaterifmoreprecision is needed.
A practicallimitation,
however, is thattheD-opti-
malityproperty of theseplansis based on a model
thatis consideredto be the same throughout the
experiment.No overallchangeinresponse levelfrom
theoriginal
experiment totheaddedblockis incorpo-
ratedintothemodel,so theblockingproperties of

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 D-OPTIMALFRACTIONSOF THREE-LEVEL
FACTORIAL
DESIGNS
these plans should be investigatedbeforetheyare
used.
6. AN EXAMPLE
Davies [12, p. 332] givesan exampleof a 33 facto-
rial experimentin whichthe effectsof threeprocess
variables (C, V, and N) on the yield of a cotton
dyestuff are investigated.In our versionof this ex-
ample, which is presentedin more detail in our
backup report[23], we chose the balanced arrayde-
sign in 20 runs fromTable 3.2 and took as our data
the sum of Davies' two observationsat each design
point.Implicitin our choice of design,of course,was
the assumptionthatthe runswereexpensiveenough
to warrantthe use of an incompletefactorial.More-
over, we assumed that the three-factor interaction
was negligible,so thatModel 3.3 would be appropri-
ate,and thatthereexisteda priorestimateofa2,since
our 20-run design is nearly saturated.A standard
regressionprogramwas used to fitModel 3.3. The
sum of squares fora giveninteraction(VN, say) was
takento be the reductionin residualsum of squares
achieved by adding the four termsassociated with
VN to a model whichalreadyincludedall the other
terms. The ratio of this sum of squares to the
"known" a2 (whose value we chose to be thesame as
theerrormean square computedfromDavies' repeat
observations)has a X42distribution.For the VN in-
teraction,this statisticwas not significant(XvN2 =
4.69, p < .25), but the CV and CN interactions were
highlysignificant (Xcv2 = 23.34, p < .001; XCN2=
15.45,p < .005).
The nextstepwas to have a look at theCV and CN
interactions
bydisplayingthepredictedvalues(based
on the fittedregressionequation withno VN inter-
action) at each combinationof C and V and at each
combinationof C and N. It was clear thatC was the
importantvariablehereand thatthemaximumyields
wereobtained at the middlelevelof C. Examination
of the predictedvalues at that level of C indicated
thatthe highlevel of N withinthe middlelevel of C
gave thebestyields.The conclusionsreachedvia this
design and analysiswere quite similarto those ob-
tainedin Davies [12,p. 335] afteranalysisof thedata
forthe fullfactorialdesign.
An alternativeapproach to the choice of experi-
mentaldesignin thisexamplewould be to assume a
quadraticresponsesurfacemodel and use one of the
designsin Table 4.3. This mightbe especiallyappeal-
ing ifno priorestimateof a2 wereavailable,sincethe
quadraticmodelcontainsonlytenparameters.In our
report [23], we give the results of this approach,
assumingthe 18-runbalanced array designin Table
4.3 had been used. Again the middlelevel of C was
clearlythe best, but the predictedresponsesat that
levelof C gave a somewhatdifferent impressionthan
that describedabove. This was due primarilyto the
TECHNOMETRICS
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379
factthattheQRS model did not fitthedata well; the
residualmean square was 2.13 timesthe"known" a2,
significant at the .05 level. If therewere some doubt
initiallyas to the adequacy of thequadraticmodel,it
would be betterto choose a designbased on themore
general model 3.3 as describedat the beginningof
this section.The QRS model could still be fittedif
desiredand used forpredictionif no lack of fitwere
shown.
7. SUMMARY
Fractionsof three-levelfactorialdesignswerecon-
structedto maximize IX'XI for various models of
interest.These include factorialeffectsmodels in
whichmaineffectsand variouscombinationsof two-
factorinteractionsare present,as well as the quad-
ratic response surface (QRS) model. The designs
were generatedusingan exchangealgorithm(DET-
MAX) and an algorithmwhichproducesD-optimal
balanced array designs. Designs in four and fewer
variables(fiveforthe QRS model) and some of their
propertiesare tabulatedhere.These representa small
subset of a larger catalog of designs given in the
backup report[23].
8. ACKNOWLEDGMENTS
We would liketo expressour appreciationto Mary
Leitnaker,who obtainedmanyof the DETMAX de-
signsforthefactorialeffects models,and to Dr. Barry
Margolin,NIEHS, who pointedout to us thesequen-
tial aspects of the balanced arraydesigns.
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