# DOE Math

Understanding the matrix formulation of least squares regression can help you understand the essence of DOE.

The equation of a straight line has the following well-known form: $y = \beta_0 + \beta_1x$

Using this notation the equation can be generalised to a Pth order polynomial: $y = \beta_0x^0 + \beta_1x^1 + \beta_2x^2 +\dots+ \beta_Px^P$

If there are N independent observations then $y_1 = \beta_0x_1^0 + \beta_1x_1^1 + \beta_2x_1^2 +\dots+ \beta_Px_1^P$ $y_2= \beta_0x_2^0 + \beta_1x_2^1 + \beta_2x_2^2 +\dots+ \beta_Px_2^P$ $\vdots$ $y_N= \beta_0x_N^0 + \beta_1x_N^1 + \beta_2x_N^2 +\dots+ \beta_Px_N^P$

We have N simultaneous equations with (P+1) unknown parameters.  The equations are most conveniently expressed using a matrix notation.

The N observations of y can be represented as a vector of order N, and the β-parameters can be represented by a vector of order P+1. $\textbf{Y}=\begin{pmatrix} y_1 \\ y_2 \\ \vdots \\ y_N \end{pmatrix} \quad \textbf{B}=\begin{pmatrix} \beta_0 & \beta_1 & \beta_2 & \dots & \beta_P \end{pmatrix}$

Furthermore an X matrix of dimensions N x (P+1) can be constructed: $\textbf{X}=\begin{pmatrix} x_1^0 & x_1^1 & x_1^2 & \dots & x_1^P \\ x_2^0 & x_2^1 & x_2^2 & \dots & x_2^P \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ x_N^0 & x_N^1 & x_N^2 & \dots & x_N^P \\ \end{pmatrix}$

In matrix notation the equation now becomes: $\textbf{Y} = \textbf{X}\textbf{B}$

The unknowns in this equation are the β-parameters that form the elements of the B matrix.

The naïve way to solve the equation is the following: $\textbf{B} = \textbf{X}^\textbf{-1}\textbf{Y}$

where X-1 denotes the inverse of the X matrix.

This is “naïve” because we can only take the inverse of a square matrix.  If we have a matrix of dimensions n x m then the transpose (Xt) of the matrix has dimensions m x n, and multiplying these two matrices together results in a square matrix of dimensions n x n.  This matrix can be inverted.  Hence we take the following steps: $\textbf{B} = \textbf{X}^\textbf{-1}\textbf{Y}$ $\textbf{X} ^\textbf{t}\textbf{B} = \textbf{X}^\textbf{t} \textbf{X}^\textbf{-1}\textbf{Y}$ $(\textbf{X}^\textbf{t}\textbf{X})^\textbf{-1}\textbf{X} ^\textbf{t}\textbf{B} = (\textbf{X}^\textbf{t}\textbf{X})^\textbf{-1}\textbf{X}^\textbf{t} \textbf{X}^\textbf{-1}\textbf{Y}$ $\textbf{B} = (\textbf{X}^\textbf{t}\textbf{X})^\textbf{-1}\textbf{X} ^\textbf{t}\textbf{Y}$

The above analysis was based on a single x-variable, however, the matrix formulation generalises to the case where multiple x-variables are included in the model.

In least squares regression, the x-variables are presumed to be controlled and all errors are assumed to be in the observations y.  Consequently: $\textbf{Var}(\textbf{B} )= (\textbf{X}^\textbf{t}\textbf{X})^\textbf{-1}\textbf{X} ^\textbf{t}\textbf{Var}(\textbf{Y})$

If our goal is to produce estimates of the β-parameters with minimum variance then we need to minimise the following matrix: $(\textbf{X}^\textbf{t}\textbf{X})^\textbf{-1}\textbf{X} ^\textbf{t}$

Notice that this quantity is a function of two things:

• The type of model that we wish to fit (i.e. the number of polynomial terms)
• Our choice of x-values

Both of these are under our control and known before the experiment it performed!

This is the basis of design of experiments.

## 2 thoughts on “DOE Math”

1. Xavier says:

Wow eftersom detta är utmärkt arbete ! Grattis och hålla upp.

2. Matthieu says:

That’s neat.
Thanks a lot for that.