Design of Experiments

Design Optimization and Design of
Experiments
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Design Optimization
General procedure of Design Optimization:
- Gradient Based
- Generic
- Evolutionary
-
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Design and Optimization of Turbo Machinery Johannes Einzinger
Design of Experiments
General procedure of Design of Experiments
- Data Sampling
- Detecting Correlations
- Detecting Important Parameters
- Parameters Space Reduction
- Response Surface
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Data Types:
- Experimental Data
- Observed Data
Data sampling can be performed by using one of the two types of data with the
sampling methods like LHS, Monte Carlo and etc.
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Correlation (Pearson / Spearman) & Linear Regression Azmi Mohd Tamil
Detecting Correlations:
Correlation is the degree to which two or more quantities are linearly associated.
Correlations can be classified according to their relationship
- Linear relationship
- Non- linear relationship
For linear relationship Pearson correlation is appropriate. On the other hand, for
non-linear relationships the appropriate one is Spearman correlation.
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Pearson correlation is a measure of two linear correlation between two variables.
Spearman correlation is a nonparametric (distribution-free) rank statistic as a
measure of the strength of the associations between two variables
The measure of the parameters are giving a value between +1 and -1 inclusive;
- 1 is total positive correlation
- 0 is no correlation
- -1 is negative correlation
The limits can be classified like below;
At least 0.8 very strong
0.6 up to 0.8 moderately strong
0.3 to 0.5 fair
Less than 0.3 poor
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Detecting important parameters:
1. Variable reduction
- Significance filter
- Importance filter
2. Meta model of optimal prognosis (MoP)
- Coefficient of prognosis
- Determination of the optimal meta model
- Ranking variable importance
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Meta-model of Optimal Prognosis (MOP) - an Automatic Approach for User Friendly Parameter Optimization Johannes Will & Thomas Most
Variable reduction
Significance Filter:
The coefficient of correlation
ij
is a statistical analysis procedure, to evaluate
correlation of input parameters and responses.
ij
is calculated from all pair
wise combinations of both input variables and response according to:
(1)
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The quantity
ij
called the linear correlation coefficient (Pearson PPMCC),
measures the strength and the direction of a linear relationship between two
variables.
The quadratic coefficients of correlation is defined as the linear coefficient of
correlation between the least- squares fit of a quadratic regression of the
variable x
j
on the samples x
i
(k)
, x
j
(k)
.
(2)
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The correlation is greater than 0.7 strong
The correlation is less than 0.3 weak
Values vary based upon the type of data being examined.
All pair combinations are assembled into a correlation matrix Cxx.
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The computed correlation coefficients between the input variables vary from the
assumed values depending on the sample size. This deviation is used to judge in a
first step, which variables are significant concerning there influence on the output.
To define this variables which are significant;
- An error quantile is defined between 90% and 99%
- Correlation error in the input-input correlations is computed
- According to these quantile values, input variables are obtained. All values in gray
region are assumed to be insignificant.
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Importance Filter:
The remaining variable set still contains variables which are not needed for an
approximation. With the importance filter, the important variables for the
approximation model is identified.
Based on a polynomial regression using the remaining variables of the
significance filter, the quality of the model representation by the coefficient of
determination (CoD) is estimated.
Adjusted CoD
p: The number of coefficients used in the polynomial regressions.
(3-4)
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Based on p, the influence of each variable is studied by leaving this variable out
of the regression model and compute the modified CoD.
The difference between the CoD of the full and reduced (adjusted) model is
defined as the coefficient of importance (CoI).
(5)
Based on a given value of the minimum required CoI
min
only the variables
having
(6)
are considered in the final approximation. The value CoI
min
is taken between 1%
and 9%.
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Meta-model of Optimal Prognosis (MoP)
Coefficient of prognosis:
To develop an automatic approach, a measure for the characterization of the
approximation quality is needed to define. For that purpose the generalized
CoD is used. The generalized one is applicable for all types of meta-models. It
is also equilavent to the square of the linear correlation coefficient between
the true sample values and the meta-model predictions. In order to judge the
quality of an approximation the prognosis quality have to been evaluated.
(7)
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To evaluate the prognosis quality, the additional test data
set is used. The agreement between this real test data
and the meta-model estimates is measured by the
coefficient of prognosis (CoP).
(8)
The advantage of the CoP is the automatic scaling of
the CoP, where we can derive that for instance a CoP
is equal to 0.8 is equivalent to a meta-model
prediction quality of 80% for new data points.
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100%
0%
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Determination of the optimal meta-model:
- For each meta-model type all possible significance and filter configurations by
varying the significance quantile from 99% down to minimum value is
investigated.
- A polynomial regression is built up and the coefficients of importance are
calculated for each variable.
- The threshold CoI
min
is varied from 0.01 to a given value based on the
remaining variables the meta-model is built up and the CoP is computed.
For the meta-model construction the training data set is used. For the meta-
model itself and the test data set for the calculation of the CoP the
correlations for the significance filter and the regression for the importance
filters are obtained by using the merged data set fromtraining and test data.
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Parameter Space Reduction
To define an appropriate meta-model to the cases, some difficulties are placed in
the performance analyses.
- The high dimension of the parameter space
- The complex mapping between the performance space and the parameter
space
To deal with these problems, many methods are available.
1. Principal Component Analysis (PCA)
2. Independent Component Analysis (ICA)
3. Proposed Method 1 (New method >> PCA)
4. Proposed Method 2
5. .
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Sensitivity Based Parameter Reduction for Statistical Analysis of Circuit Performance Ning Chen, Bing Li and Ulf Schlichtmann
1. Principal Component Analysis (PCA):
The principle directions which are uncorrelated with each other and capture the
maximum variance of the parameter space are extracted and used to form anew
set of parameters based on a linear mapping.
2. Independent Component Analysis (ICA):
ICA also uses a linear mapping. The difference between with the PCA, the
generated parameters are independent of each other. Therefore, the higher than
second order statistical information is taken into consideration.
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The drawback of these methods is that they solely consider the statistical of the
parameter space. They ignore the dependency of the performance on the
parameters while reducing the parameter space.
This disadvantage can be fixed by using performance- oriented methods based on
regression.
- Low rank projection
- Reduced rank regression
- The other methods using principal Hessian directions and slice inverse
regression.
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These methods have two basic problems
1. The selected dependent variable for regression is not the performance
itself. Only in some sense related to the performance.
2. Sample data for both predictor variables and dependent variables are
needed to capture the statistical relationship between the performance
space and the parameter space.
These are time consuming
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3. The Proposed Method 1:
This method based on the first order sensitivity information. By the help of this
approximation the direct dependency of the considered performance on the
underlying parameters is explored which is the drawback of the other methods.
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In PCA, subspace spanned by the
subspace spanned by the principal
directions captures most of the
variation in the parameter space.
However, the maximal variation in the
parameter space does not necessarily
correspond to the maximal variation in
the performance space.
(9)
x
1,
x
2
are parameters of quadratic
function. Correlation coefficient is -0.6.
Standard deviation is %15.7.
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Standard Deviation with PCA
Standard Deviation with Monte Carlo
To find the subspace corresponds to the maximum variance of the
performance, the fundamental approximation is sensitivity information to
scale the parameter space. The first order dependency of the performance
on the underlying parameters are reflected by the sensitivity.
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The proposed method 1:
Problem formulation:
n: dimensions of parameter space
: distribution function
: nxn covariance matrix
s: sensitivity information
Purpose:
To find a k (kn)
k: dimensional subspace of the original parameter space
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The method calculates an importance index for each direction d. d is denoted by
a column vector of n elements on the unit sphere Sn of the original parameter
space.
The directional importance index is used to tell the importance of each direction
with respect to its contribution to the performance variance. The most important
ones are searched iteratively by solving a non-linear optimization problem.
Important index calculated with 3 factors:
1. Base factor
2. Scaling factor (Directional variance)
3. Scaling factor (Directional joint sensitivity)
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After calculation of base and two scaling factor, the directional importance index
which is the multiplication of three factors is calculated.
Finally, for optimization, the importance index for each single direction is
computed. Solving is completed by using non-linear optimization problem and
SQP.
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The proposed method 2:
ProblemFormulation:
N
x
: set of differential equations. N
x
states (x).
M: parameters ()
S= ( s
i,j
): sensitivity matrix
To reduce the parameter space, the steps of this method are shown below:
1. Parametric sensitivity by the finite difference method
2. Identifiably analysis
3. Parameter space reduction
4. Ensembles of models
5. Hierarchical clustering
6. Marginal distributions of parameters
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An ensemble of models of the acute inflammatory response to bacterial lipopolysaccharide in rats: Results from parameter space reduction
Silvia Daun ,Jonathan Rubin, Yoram Vodovotz, Anirban Roy, Robert Parker, Gilles Clermont
1.Parametric sensitivity by the finite difference method
Sensitivity matrix uses the finite difference method and the sensitivity
coefficients are calculated from the difference of nominal and perturbed
solutions with the Equation (10).
(10)
i[1, N
x
], j[1, M]. The normalization of the sensitivity coefficients is completed by
Equation (11).
(11)
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2. Identifiability analysis:
To check a priori local identifiability of the parameters at a given point, the
following numerical method is used.
(12)
The matrix G is constructed by stacking the time-dependent sensitivity matrices,
which yields,
G= sensitivity-dependent correlation matrix of
the parameters (MxM)
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R is denoted by first calculating the covariance matrix of G,
(13)
Q is a identity matrix. Normalization of the covariance matrix C with the
geometric mean of its diagonal elements gives the sensitivity dependent
correlation matrix R with elements
(14)
Each parameter that is locally identifiable has a correlation strictly between -1
and +1 with each of the other parameters.
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3. Parameter space reduction:
The number of free parameters in the original M-dimensional parameter set y
can be reduced by using the following iterative process:
1. Calculate the sensitivity-dependent correlation matrix R.
2. Identify one highly correlated parameter pair (A,B).
3. If model outcome is highly sensitive to both parameters, fix neither of them
and restart with step 2. Else fix the parameter in the pair to which model
outcome is least sensitive at its nominal value and go back to step 1. The process
continues until no more highly correlated parameters to which model output is
highly sensitive remain.
Note that the calculations within this process are equivalent to (1) calculation of
the sensitivity vectors of each parameter, (2) calculation of the angle between
each pair and, for a pair with a sufficiently small angle between them, and (3)
calculation of the lengths of the vectors in the pair.
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4. Ensemble of models:
Parameter estimation is based on non-linear least-squares technique in which the
normalized residual is given by,
(15)
y
i
and y(t
i
,
1
.
M
) represent the data and the model prediction at the time
points t
i
, respectively. y
j
are the model parameters. The difference between
measured data and model prediction at the given time points is normalized by
max(y
j
), which is the maximumvalue of the data over all time points.
Then, hierarchical clustering and marginal distribution are the last steps.
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Design Optimization and Design of

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