Robust Designs for Polynomial Regression by Maximizing a Minimum of D- and D1Efficiencies Author(s): Holger Dette and Tobias Franke

Reviewed work(s): Source: The Annals of Statistics, Vol. 29, No. 4 (Aug., 2001), pp. 1024-1049 Published by: Institute of Mathematical Statistics Stable URL: http://www.jstor.org/stable/2674067 . Accessed: 12/06/2012 10:21
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TheAnnalsofStatistics

2001, Vol. 29, No. 4, 1024-1049

ROBUST DESIGNS FOR POLYNOMIAL REGRESSION BY MAXIMIZING A MINIMUM OF D- AND D1-EFFICIENCIES1

BY HOLGER DETTE AND TOBiAS FRANKE

Bochum RuhrUniversitdt
In the common polynomial regression of degree m we determine the in design which maximizes the minimum of the D-efficiency the model of in degree m and the D1-efficiencies the models of degree m - j, . . ., m + k estimation of the (j, k > 0 given). The resulting designs allow an efficient parameters in the chosen regression and have reasonable efficienciesfor of checking the goodness-of-fit the assumed model of degree m by testing in the highest coefficients the polynomials of degree m - j, . . ., m + k. Our approach is based on a combination of the theory of canonical moments and general equivalence theoryforminimax optimalitycriteria. The optimal designs can be explicitlycharacterized by evaluating certain associated orthogonalpolynomials.

1. Introduction.
degree m e N,
(1.1)

Consider the common polynomial regression model of

y =
fT(X)1Ym

+ 8,

where fm(x) = (1, x, ..., Xm)T denotes the vectorofmonomials up to the order is the vector of unknown parameters, e is a ranm, am = (UmO, .. .. ..mm)T dom error with mean 0 and constant variance and the explanatory variable varies in a compact interval, say X. An approximate design is a probability measure f with finitesupport in X [see Kiefer (1974)], where the masses represent the relative proportionoftotal observations taken at the corresponding matrix of an approximate design in the design points. The Fisher information polynomial regression of degree m is proportionalto (1.2)
Mm(f)
=

fm(X)fT(x)

d(x)

and an optimal (approximate) design maximizes an appropriate (concave) real valued function of the matrix Mm(f), which is called an optimality criterion. There are numerous optimalitycriteria proposed in the literature [see, e.g., Silvey (1980) or Pukelsheim (1993)], which can be used to discriminate between different designs, and the solution to various optimal design problem forthe polynomial regression model has been found in many cases [see, e.g., Hoel (1958), Guest (1958), Kiefer and Wolfowitz(1959), Studden (1980, 1982a, b, 1989), Pukelsheim and Studden (1993)].
Received September 2000; revised March 2001. SFB 475, Reduction of Complexity 'Supported in part by Deutsche Forschungsgemeinschaft, in multivariate data structures. AMS 2000 subject classifications. 62K05, 33C45. Key words and phrases. Minimax optimal designs, robust design, D-optimality,D1-optimality, t-test,associated orthogonalpolynomials.

1024

MAXIMIN ROBUST DESIGNS

1025

with Nevertheless manyauthors pointoutthatthesedesignsare notrobust respectto the modelassumption and cannotbe used forchecking any departures from the assumed model [see, Box and Draper (1959), Lauter (1974), Huber (1975), Studden(1982b),Wiens(1992), Wong(1994) amongmanyothers]. For example,an optimaldesign with respectto the classical criteria advises the experimenter take observations m + 1 pointsand can thereto at forenot be used forchecking There are several higherdegreepolynomials. proposalsin the literature incorporate problem modeladequacy in of to the of the construction optimaldesigns.Stigler(1971) proposedto use a model ofhigherdegree,say m + k (k > 0) and to determine D-optimaldesign the forthe modelofdegreeem subjectto a guaranteedefficiency testing for the highestk coefficients themodelofdegreem + k [see also Studden(1982b)]. in Lauter (1974) proposedthe maximization a weighted of Similary, geometric to obtain robustnessagainst misspecification the degree [see also Dette of (1990) fora completesolutionof Lauter's problemin the polynomial case and Wong(1994) fora robustness studyin this case]. A different approach was suggestedby Wiens (1992) who obtained(minimax)designswhichare robustagainst"small"contaminations the polynomial of regression degree of m. Spruill(1990) and Dette (1995) proposedoptimaldesignsforidentifying the degreeoftheregression maximizing minimum Dl-criteria the the by of in modelsup to degreem+ k. In thepresent paperwe use a different criterion for the determination robustdesignswhichare efficient parameter of for estimation and fortestingthe goodness-of-fitthe assumed regression of model.We assume that the experimenter some preference the modelof degree has for designforchecking m, but also wants an efficient higherand lowerdegree models.We proposeto maximizea weighted of minimum the D-efficiency in the (assumed) model of degreem (in orderto obtain an efficient designfor in estimating parameters the assumed model)and ofthe D1-efficiencies the obtainan efficient designfor testing highest the in coefficients thepolynomials
of degree m - j, . . ., m + k). Note that forthe model of degree m the criterion mean of D-optimality criteria forthe models of degree 1, . . ., m + k, in order

in the polynomial regression models of degree m - j, ... , m + k (in order to

containsa D1- and a D-efficiency to (corresponding testing and estimating in thismodel).Section2 introduces criterion givessomebasic resultson the and the theory canonicalmoments of whichwereintroduced Skibinsky by (1967) and used byStudden(1980, 1982a,b, 1989)in thecontext optimal of designfor In polynomial regression. Section3 we combine theseresultswithsomegeneral equivalencetheorems maximincriteria[see Pukelsheim(1993)] and for obtaina characterization theoptimal of designbya system nonlinear of equationsforits canonicalmoments. Section4 discussesthe mostimportant case whereall efficiencies equallyweighted. are Here we are able to describethe optimaldesignanalytically evaluating certainlinearcombinations assoby of ciated orthogonal polynomials [see Grosjean(1986) or Lasser (1994)], which allows a simplecalculation the support of pointsand weights usingstandard software such as Maple or Mathematica.

1026

H. DETTE AND T. FRANKE

2. Maximizing the minimum of D- and Dl-efficiencies. The D-efficiof encyofa design( in the polynomial regression degreem is defined by (2.1)
effD( m) = MW
-SUp7I

Mm(0(+

Mm(1) Il/(m?l)

and where I I denotesthe determinant the sup in the denominator taken is overthe set ofall designssuchthat IMm(7)I :A0 [see Pukelsheim (1993)]. The the D-optimaldesign (m has D-efficiency equal to 1 and minimizes volume of the confidence ellipsoidforthe parameteri9m. The D-optimaldesignfor found modelof degreem has been independently the polynomial regression in the by Hoel (1958) and Guest (1958). Similary, D1-efficiency the modelof degreem is defined by (2.2) (2.2)
e~~ffD1(6) Mm m() =IMM(MI
(sup

IMm(7))I 111

A D1-optimal designhas D1-efficiency equal to 1 and maximizesthe power in of the t-test the significance the highestcoefficient the polynomial of for ofdegreem. The D1-optimal designhas been found Kieferand Wolfowitz by (1959) [see also Studden(1968, 1980)]. For the definition our robustcriterion m > j > 0, k > 0, wm_j, .... of let and define weights Wm+k, wm denotepositive

(2.3)

tnm,j, k( )

=min wm jeffml.(.)

**

*Wm+keffM+k(),

meffm( )}

minimum D- and D1- efficiencies. weightsreflect of The as a weighted the of importance the different goals ofthe experiment, is, estimation the that of in betweenthe models parameters the modelofdegreem and discrimination of weightdecreasesthe importance the corresponding efficiency [because we are forming minimum (2.3)] and that the efficiency Dl (() forpolythe in eff of nomialregression degree1 is excludedin the maximincriterion (2.3) by the defining corresponding weightas w1= oc. A designmaximizing critethe rionTw j, k is expected have goodproperties estimating parameters to for the in the assumed regression degreem and fortesting of the adequacyofpolynomialsofhigheror lowerdegree. Note that the criterion (2.3) is invariantwith respectto affine transformationsof the design space X and we assume fromnow on withoutloss X ofgenerality = [-1, 1]. Designsmaximizing criterion the (2.3) on different designspaces are obtained from resultsofthispaperbyan affine the transformationontothegivendesignspace. Moreover, strict of concavity the maximin criterion j, k impliesthatthemaximin optimal designmustbe symmetric. T, An important fordetermining tool optimaldesignsforpolynomial regression is the theory canonicalmoments of whichwas introduced Studden(1980, by 1982a,b) in this context [see also Lau (1983, 1988),Skibinsky (1986) and the recent of monograph Detteand Studden(1997)].Roughly speaking, every probabilitymeasureon the interval[-1, 1] is uniquelydetermined a sequence by
of degrees 1 - 1 and 1, where 1 = m - j, . .., m + k. Note that increasing the

MAXIMIN ROBUST DESIGNS

1027

in (Pl, P2,*..) whose elementsvaryindependently the interval[0, 1]. For a givenprobability measure on the interval[-1, 1] the elementpj ofthe corof responding sequence is called the jth canonicalmoment the measure (. If j is the first index forwhichpj E {0, 1}, thenthe sequence ofcanonical at at numberof moments terminates pj, the measure is supported a finite pointsand can be determined evaluatingcertainorthogonal by polynomials [see Skibinsky if (1986) or Lau (1988)]. Moreover, measure ( is symmetric a and onlyif all canonicalmoments odd orderare equal to 1/2and fora of symmetric measurewe obtainforthe determinant the information of matrix,
(2.4) m IMm(M)I=
i=1

fj(q2i-2P2i)'-i+l,

where P2, P4,. . P2mdenote the canonical moments of the symmetric design and q2j = 1 - P2j (j = 1, ..., m). Observing this identity we can easily ( regression of degree m, that is,

identify canonicalmoments the D-optimaldesignforthe polynomial the of

m-l?1+I1

(2.5)

P21

2(m-l)+1'

P2l-1=2;

l=1,

'm

(note that the D-optimaldesign must be symmetric whichdetermines the canonicalmoments odd order),whichgives forthe D-efficiency a symof of metric design6,
(2.6)
effD(6) Hb

1m

m j=1

H(q2j-2P2j)(m-i+l)/(m+l)

wherethe constant is givenby bm

(2.7) b m ((2m )mt( 2m - 1 (m-i+ 1)2 (2(m - i) + 1)(2(m - i) + 3)

sion of degree m is given by (2.8)

the of Similary, Dl-efficiency a symmetric design6 in the polynomial regres-

effm1(()

22(m-1)

j=1

H q2j-2P2j.

We finallynote that the maximinoptimaldesigns forthe weightswo

(Wmj
...,

minimum DI-efficiencies) beenfound Dette(1995) whoshowedthat of have by

Wm?k,

wm) with w*

oo (in other words we are maximizing the

1028

H. DETTE AND T. FRANKE

the maximin optimaldesignhas canonicalmoments

(2.9) (2.10) P2 1

1 = 1 ..., m - j -1,
P2m+2k =

1,
Wl P2i(l-P21)

(2.11)

P21 =

max{1

22(m+k-l)Wm+h

1 = m + k - 1, ..., m - j. It will be demonstratedin Sections 3 and 4 that the constrained criterion optimaldesign[withrespectto the maximin (2.3)] can be described explicitly a systemof(nonlinear) by equationsforits canonical moments. The measure corresponding the "optimal" to canonicalmoments specified this systemcan then be determined by numerically standard by methods[see Dette and Studden(1997), Section3]. Moreover, important in special cases the maximin optimaldesignscan be found analytically.

3. Maximin optimal designs: the general case. A basic toolfordeterminingthe optimaldesignmaximizing criterion (2.3) is the following the in whichcharacterizes maximinoptimaldesignby a equivalencetheorem, the the (I + 1)th unitvector.
simple inequality. Throughout this paper el = (0,
...

E 0, 1)T CZHl+ denotes

THEOREM3.1. A design (* maximizes the minimum efficiencies the of in criterion optimality (2.3) if and only if thereexist nonnegative numbers ... withsum equal to 1 such that the following conditions am-j7 m+k at are satisfied:
,

(3.1) (3.2)

alwl effl1(6*) = alrw, j, k(W) c4wm effm(5*)= D*PW , E a~

Te*(elMl
(e[MlI

1= mj,

j, ..., m+k,

m+ 1
< 1-

e[ Ml ()el

1(e)f (X))2 )f(x)

m+k l-m-j

(eTM-,(()f
a,___(elI

(x))2
__

e[ Ml1()el

m+l

for all x E [-1, 1].

PROOF. Usinggeneralequivalence theory [see,e.g.,Pukelsheim (1993)] we obtainthat a designmaximizesthe criterion (2.3) if and onlyif thereexists am*k, alm withsum equal to 1 suchthat(3.1), numbers nonnegative am-j7 (3.2) are satisfied and the inequality
... ,

34)

4)

+ m a* 1 f mM+k

(e TM-1(6)f(X))2
l=m-j 1eT

m + 1fm

MT1(~)ej

<

<

MAXIMIN ROBUST DESIGNS

holds for all x E [-1, 1]. It is easy to see that for a design

1029

information matrix Mm(f) the polynomials

with nonsingular

P1(x, o) = eTM1(I
are orthonormal (Po(x,

f(x (e TM-1(()ej)1/2'

1 = 0, ...,
6 and

m P(x)
=

p),...,

with respect to the design Pm(X, ())T satisfies P(x) = Afm(x)

that the vector

for a nonsingular
IMm() 17 0,

matrix A

E Rm+?xm+1.

This implies

for any design

such that

f T (X)M71(6)f

m(X) =

E P2(X,

(elT

1)fl(x)) of the theorem.

which gives in a combination

with (3.4)

the assertion

THEOREM 3.2. (a) by (2.9)(2.11). If

(3a5) w*m effm(7*)

Let r* denotethedesignwithcanonical momentsgiven

> min lwl ef 1 q*),l =

m - j, . .., m + k}

then the design r* also maximizes criterion j,k defined (2.3). the Tw in (b) If the design r1* defined by the canonical moments in (2.9)-(2.11) does not satisfy the inequality (3.5), the canonical moments of even order of the optimal design q* maximizing (2.3) are uniquely determinedand obtained as follows (all canonical momentsof odd order are equal 2): P2m+2k= 1.
such that (P2, *** P2m+2k-2) E

(i) In the case k > 1, thereexists a positive integern E {m-j-

of nonlinear equations

[,

1, ..., m}

1)m+k-1

is the unique solution of the system

(3.6)

P21 =

maxji1

22(m?k-l)W

+k

P (lW-P2k)

(l=m+k-1,m+k-2,...,m+1),
(3.7)
P21 =

2-2(m+k-l)Wl WM?k H7=1+1P2i(l -P2J)

(l=m,m-1,
P21 =max{ 2-2(m+k-l)Wl

... ,n+1),

HwkHil+ll P2i(l -P2i)

(3.8)

2P2n
P2n

1 n-

1 -P2i
2

|1

P2i+ i-+il

(l=n-1,n-2,...,m-j-1),

1030

H. DETTE AND T. FRANKE

(3.9)

P21

(2(m -j-l1)2(m -j

-)

1)P2(m-j1)
1)P2(nj1

- m+ ? 1+ 1 - 2(m - j - ) + 3'

(l = m - j - 2, m - j - 3, m+k-1
Wm+k22(m+k-1)

...

1),

P21(1-

P21)

(3.10)

*
bm

m
r

1=1
mll(1p)-

1/(m+1)

such that the inequalities m+k-1 (3.11) wn > 22(m+k-n)Wm+k(l

-

P2n)

I=n+l

Hl

P2l(l

P21),

(3.12)

2P2n 1-P2n

<

t1P1 I Hi=n+l

P2

P2i

I,

2P21-

P21

1= n?1, ..., m
the convention design wm_j1l = is

are satisfied, where bm is defined by (2.7) and used. (ii) If, in the case k = 0, the D-optimal regression model of degree m satisfies
AP W,j,(eD) tm k(

emDfor the polynomial

j,

m)

=wweff D(6D) ) = W M me m m ( with respect to the criterion (2.3).

m} and n = n(z) e {m j -

then eD is also
there optimal exist

maximin

optimal moments

Otherwise
1} of

integers are

z E {m - j,..., the unique

1, ...,z

such that the canonical

design

(P2, . . .

P2m-2) of even order of the maximin

solution

in the cube

[,

1)m-1

of the system

nonlinear
(3.13)

equations:
P21 =

P2m = 1,
2(m-l) + 1' l=m - 1, m - 2,..., z + 1;

(3.14)

P21 =

1
l=z

2- z-1) wzP2z Hi1+1 P2i(l

2-2(z___ ___l __Wl

P2i)
_

-1,

z - 2,...,

n + 1;

(3.15)

2P2n

-1 1-P21 l=n?1

1-P2n
(if z<m and n>0),

P21

MAXIMIN ROBUST DESIGNS

1031

P21 =max (3.16)

2-2(z-I)

W -

wP2z rHiz-I1 P2i(

(
2P2l - 1 '_l

P2i)
1 - P2i

P2n

i=1+1

P2i
2,...,mj m - 1

I = n -,n

(3.17)

P21 =

(2(m 4(m - j1

)-

M i 1)P2(m-j-1) + +1+1 -2(m - j-l)?+3' I-1)P2(mn-j-1)

l=mj-2,mj-3,...,1,

z-1 wZ22(z-l)p2

H P21(l
y1 P21

- P21) l/(m+l)

(3.18)
bm(

+llP21)m)

such that the inequalities

z-1

(3.19)

Wn > 22(z)

Wz(l

P2n)

I=n+l 1-1

P21(l

- P21)'

(3.20)

j<

22(1z)wl(l
11

P2z)

P2i(1

P2i,
I = z + 1, z + 2, ...,m,

2P2n-1 (3.21)
1

1 -P2i

_ _2P21

P2n

i a=n+l

P2i

P21 = n+ 1,n+2,

... ,z

are satisfied,where bmis definedby (2.7), wm-j1l = oc and in the case n = 0 the inequalities (3.21) have to be replaced by the system
(3.22)

1-P21.

1-P21

m i=l?1

P2i

-z

has a solution P2, -, P2m+2k-2 in the cube [ 1

REMARK 3.3. Note that we do not claim the uniqueness of the constants z and n in Theorem 3.2. However, the canonical moments of the maximin optimal design are unique, because the optimization problem (2.3) has a unique solution. It is also worthwhileto mention that Theorem 3.2 guarantees the existence of a z [and n = n(z)] such that the system of nonlinear equations
))m+k-1

1032

H. DETTE AND T. FRANKE

existenceof a maximinoptimaldesign.Because the maximincriterion (2.3) is strictly concaveit follows from the resultsof Section2 that the optimal of designis unique and all canonicalmoments odd orderoftheoptimal design equal 1/2. (a) By the discussionin Section2 the design q* withcanonicalmoments givenby (2.9)-(2.11) maximizes
(?Wm

PROOFOF THEOREM3.2. A standard argumentofoptimal theoryshows the

.= _ min{wl eff Dj(()Ij = m j, . ,m + k}

<

and it follows from (3.5),

maxm, j,k(()

max P,f j k() m

= bw, j, k(7*) = tj m

which also proves optimality * withrespect themaximin of to criterion Tw and that k > 0. Observing (b) Assumethat (3.5) is not satisfied Theorem 3.1 ofthis articleand Theorem 6.3.2 in Dette and Studden(1997) (forp = 0) it follows that -q*maximizesthe criterion (2.3) if and onlyif thereexists a
prior (31, . . ., 13m+k) forthe class of polynomials of degreee 1, .. Pm+k > 0 such that the equations (3.23) (32) (P ...- m = P1, 1 u,m = 2,
j
.,

m + k with

P - .=l ,mpin iwlefflDr1 )

( l - . min ,Bi Vw'j, k(r1*),

1I=m

-j,

.. .,

f3lwlefff1(-q*)= f3jIPw J,kq

m+k~~~~~

? 1, ..,m ? k, are satisfied and suchthatthe designq* maximizes the mean ofDl-efficiencies weighted geometric
1=m

(3.26)

E
1=1

P1 log eff D1(,)

This follows directly identifying corresponding by the weights the equivain lencetheorems bothcriteria. for Additionally obtain we f,3= min Pi

j whenever < m-2. NowTheorem 6.2.6in Detteand Studden(1997) expresses the weights ofthecriterion fBi (3.26) in termsofthe canonicalmoments the of maximin optimaldesign7i*; thatis,
(3.27) 11 = H (1
l),

I = 1, ... , m + k.

MAXIMIN ROBUST DESIGNS

1033

From 8,m+k> 0 and (3.25) we have (3.28)

Wm+k effmk(1)*) = Pmjk(71) = wm effD(q*)

[notethat(3.5) is notsatisfied case (b)] which in implies(3.10) observing (2.6) and (2.8). A further of application (3.25) and (2.8) for1 = m + k - 1 yields
(3.29)
f3m+k-1 4q2m+2k-2 = 3m+k-1 efMf+k-l(q*) effDk(,
=

= 0

Wm+k

M+k('q*Wm+k

Wm+k-lk

This gives either P2m+2k-2

2 (equivalently f8m+k-1
Wm+k-1

0) or

P2m+2k-2 = 1

Because
Wm+k-l

eff kD

(7 >)>

j, k(

) = wm effm(71*) = Wm+k eff D(7j*)

and I3m+k-1 > 0 we obtain from(2.8) and (3.27) the identity (3.6) for1 = m + k - 1. Repeating thesearguments yieldsthe remaining equationsin (3.6) for I = m + k - 2, ..., m + 1. From (3.23) and (3.27) we directlyobtain (3.9), If by induction. we define (3.30) n=max{
E E{1,

m} I I = min3i}

then (3.7) followsdirectly observing (3.24) and (2.8), because for1 = n + 1, . . ., m the correspondingfactorsP, - mini=l m13i in (3.24) are all positive. Similary we derive from n < fl (1 = n + 1, ..., m) and (3.27) the inequalities (3.12). The system equationsin (3.8) is also obtained of from (3.24) as follows. If PI > n3 forI = n-1, n - 2, ..., m- j we have from (3.24),
(q) wlefffD1
= Wm+k effDk(*)'

which gives by (2.8),

P21
=

Wm+k r=1+ P2O - P2i

2-2(m+k-l)Wl

Otherwise equationOn= f3iand (3.27) imply the

P21= 1
2

P2n P2n i-1+ P2 i 2

Because
w effl (ij) > Wm+k M+k(V*) eff

> and ,31 3nwe obtainthattheoptimal value forP21 thecorresponding is maximum ofthese expressions for1 = n - 1, . . ., m - j. If j < m - 2, the remaining case 1 = m- j- 1 in (3.8) follows fl1 from = f3n min=1f13 (3.23) usingthe = and

convention the wm-j-l = oc. Finally, inequality (3.11) is obtainedfrom (2.8)

1034

H. DETTE AND T. FRANKE wmk+ effD+k(7q*) < w_effDl(ii*).

the case k > 0 the canonicalmoments the maximinoptimaldesignwith of respectto the criterion j, k in (2.3) satisfy conditions the specified part by Tw, (i) ofTheorem3.2. thesearguments showsthatanydesignwithcanonicalmoments Reversing satisfying system equationsand inequalities Theorem the of in 3.2(i) also satisfiesthe conditions (3.1)-(3.3) ofTheorem whichprovesits optimality 3.1, with respectto the criterion j k Thus the class of maximinoptimaldesigns Tw (withrespect thecriterion j, k) iS characterized the system nonlinto of by Tw, ear equationsforthe corresponding canonicalmoments part(i) ofTheorem in 3.2 and the assertionfollows because the optimization problem(2.3) has a unique solution. The assertion thecase k = 0 in part(ii) is proved for similary [see Franke(2000)] and its proof therefore omitted.O 4. Two special cases. In thissection discussa specialbutvery we important situation the optimality in criterion (2.3), whereall weightswl,w* are equal. In this case the maximin criterion reducesto optimality
(4.1) {eff Tm j k(J) = min

and (3.28) which implies

This shows that in

D((), ef. efffDk(5)D

if Similary, wm= oc and all otherweightsare equal the maximincriterion (2.3) yields
(4.)

Xm j k(6)=minleff D(6D), effD

eff Dl(g:,
*.

D
, eff

kD(,)}-

Note thatforthe choicek = j = 0 the criterion o, givesthe D-optimality Xm, o criterion whichtheoptimal for designwas explicitly found Hoel (1958). For by the criterion (4.1) and (4.2) the optimal designscan also be found analytically usingtheassociatedultraspherical whichare defined polynomials, recursively by
Ciij(x, v) = 0, CA (x, v) = 1, v

(4.3)

(n

+ v+ I)C(l(x,

(A)

v) = 2(n +

~~~~~~~~(A) + A)xCn (x, v)

-(n + v + n

2A- 1)C()U(x,v),

> 0 [see Grosjean(1986) or Lasser (1994)]. We will frequently make use of the monicform thesepolynomials of defined by (4.4) (4.4)
a(A)( _V) (v + 1)n C CA) X ) Cn (X, v) -2n(, + A)n
-

MAXIMIN ROBUST DESIGNS

1035

where (a)O := 1; (a), (= .(a + . satisfythe recursion

Co (x, V)
_

(a + n - 1) if n > 1. These polynomials

1,

C&

(x,

v)

= x,

(4.5)

0(A)

Cn+l(x, v) = xCn')(X,)

A)

4(n+v+n-l)(n?v?A)

(n + v + 2A - 1)(n + v)

6(x,

v) n >1.

THEOREM4.1. If j = k = 0 and m > 2 the maximin optimal design 7* with respect to the criterion(4.1) has canonical moments P2m = 1; P21-1 -2 1 = 1, ..., m; and (P2. ...v P2m-2) is the unique solution of the systemof equations (4.6)
(4.7)
(4.6) P(m-1-1

(21 + 1-)P2(m-1)
-

P2(m-1--l)

41P2(m-1)bm+122 m22)

21 + 1
m-1 P2(l-P2)+
1=1

Im-2

in the cube [1 2)m-1. thepolynomial

The supportpoints x0, ..., Xm are given by the zeros of

(X2 _ 1)C((x, v-21)

and the masses are obtained as (v + m-1)

77*(XI) =

[L Cm12(xl, v- 1)
d (X2 _ 1)C(312(X,

c1 C_2) (xI,
1)lX=XI

+ 1)]

(1 = 0, ..., m) where the parameter v is defined by 1P2m-2

-

2P2m-2

and P2m-2is obtained from(4.6) and (4.7). Otherwise the support points x0, ..., Xm+k of the maximin optimal design with respectto the criterion(4.1) are given by the zeros of thepolynomial
(4.8)
Qm+k+l(x)
:=Umjl1(X)Tk+j+2(X)

+ (k + j)Tk+m+l(X)-

Um+k-l(X),

and second polynomial ofthefirst where T, (x) and U1(x) denote the Chebyshev The masses at the supportpoints are obtained by kind, respectively.
(k + j + l)Um+k(Xl) dx4Qm+k+l(X)
-Um_j-2(XI)Uk+j(Xl)

Ix=xl

l = 0,...,

m + k.

1036

H. DETTE AND T. FRANKE

m - j, .. ., m + k) that the design i1* specifiedin part (a) of Theorem 3.2 has canonical moments P21-1= 1/2, 1 = 1, ..., m + k; and

(3.5) in Theorem3.2. of PROOF. We startwithan examination condition induction = 1, 1 = (w1 by a straightforward Observing (2.9)-(2.11) it follows

(4.10)

P21=

1 2

m+ k-

if 1 < I < m - j,

+2
)+2 iffm J< I < m+k.

2((4.10)-Pm+k

but Now a straightforward tediouscalculationshowsthat forequal weights as 3.2 the inequality (3.5) in Theorem can be rewritten m
2
2

1 mM

_(m + 2I_1)(m

+ 2-3 jy-1+1
-

2=2L

M1 k j + t +1 k
___ __

(m-l+1)2

-)

satisfied except in the case k = j = 0 and m > 2.

is but calculus showsthatthisinequality always Elementary cumbersome

of (i) Therefore case k = j = 0 and m > 2 requiresthe application part the design it 3.2. Moreprecisely, is easy to see thatthe D-optimal (ii) ofTheorem
is not maximin optimal. With z = m and n = m - 1 the system of equations

(3.13)-(3.18) reducesto (4.6) and (4.7) and the inequality(3.19) is satisfied (note that wm-l = oo and that the inequality(3.20) does not appear in this a it case). Moreover, is easy to see that (4.6) and (4.7) define unique solution
(P2'
, P2m-2).

side of momentsof the D-optimaldesign in (2.5), forwhichthe left-hand a side. Moreover, straightforward (4.7) is clearlygreaterthan the right-hand side of (4.7) is and the right-hand calculationshows that (4.6) is increasing of thatthecanonicalmoments withincreasing which proves P2m-2, decreasing canonical themaximin designare less orequal thanthecorresponding optimal momentsof the D-optimaldesign. Especiallywe obtain P2m-2 _< 3 which (3.21). inequality provesthe remaining of By Theorem3.4.1 in Dette and Studden(1997) the Stieltjestransform
the measure 71*is given by

Note that forP2m-2

- the equation (4.6) gives the canonical

1l d-q*(z)
-1 X-Z

m 7*({X1})
1=0 x-X (X2
-

Pm(x, _ l)Qm_i(X,

q)
p)'

where

sequences

Qm-i(x, p), Pm(x, q)

are

the supporting polynomials of the

2'

2DP21 2' )
1 q2
1 21 . .12

P2m-2,2 1;
q2m-21

1 2 ';

(4.6) and (4.7)]. are [and the canonicalmoments obtainedfrom respectively

Note that Qm_i(x, p) is also the supportingpolynomial of the sequence

MAXIMIN ROBUST DESIGNS

1037

[see Studden (1982a)] and obtained recursively as Qmi1(X, P) = Qm4,(x), Q-1(X) = 0, Qo(x) = 1,
Q1+1(x) = xQ1(x) -P2m-21-2q2m-21Q1 1(x)

(1
= Q1(X) -

P2m-2 2)

(i +

23P2.-2-)

4(1

2(2P2 -2-1))

Q11,(x)
2(2P2m-2-1))

(I = O, ..., m - 2) [see Dette and Studden (1997)]. Comparing this recursive relation with (4.4) and (4.5) yields Q
=x

2p)

(+)m-

i (x2

)C(32)(X

-1)

A similar argument shows

Pm(X,

q) =

( +)

[xc(1/2)(x,

V)

C(/2) (X

1)1

and the assertion followsby calculating the coefficients the partial fraction in expansion of the Stieltjes transform. (ii) If k + j > 1 or m = 1 part (a) of Theorem 3.2 shows that the design with canonical moments given by (4.10) is maximin optimal with respect to the criterion(4.1). The assertion now followsfromTheorem 4.4 and equation (4.2) in Dette (1995) [with k = m - j; n = m + k, p = O = 2] observing the identities Uj(1) = 1+ 1 (1 E RN), (4.11)
Ui+1(x) = Ui(x)U1(x)
-

Ui1(x)U1-1(x)

(i, 1 > 0),

2T1(x) = Ul(x)

-Ul_2(x)

(1 > 2).

O
=

EXAMPLE 4.2. Consider a cubic regression model and assume that j k = 0. In other words we are searching forthe design maximizing
T3,0,0(0
=

min {effD,(4), effD(s)}.

From part (a) of Theorem 4.1 and (2.7) we obtain that the design maximizing T3,0,0 has canonical moments Pi = P3 = P5 = 1/2; P6 = 1 and P2, P4 are determinedfromthe equations (4P4 - 1)3c
P2 =

(3p4 3P4- 1
4 P4 - 1'

p 4)

P(1-4

where c

= 55/220. The

numerical solution of this system yields

=

P2

0.548724,

p4

0.56052

1038

H. DETTE AND T. FRANKE

and the maximinoptimaldesign * has masses 0.203, 0.297, 0.297, 0.203 at the points-1, -0.491, 0.491 and 1, respectively Dette and Studden [see (1997), page 106]. This designproducesequal efficiencies, is, that
(q*) = eff3(1*) eff3
=

0.97599.

note that the D-optimaldesign (D forthe cubic model has D1We finally
efficiency effDj(fD) = 0.8533 while the D1-optimal design in this model has

0.9346. D-efficiency
EXAMPLE 4.3.

in a designwhichhas reasonableD-efficiency estimating parameters for the in the modelof degreem and reasonableefficiencies testingthe highest for in coefficients the model of degree m - I and m. In this case we are looking forthe design-q* whichmaximizes
TM, 1,o() D = min {effD( ), eff ( ), effD1I( )}.

If we assume that k = 0, j = 1 and m > 2, we are interested

the of Observing definition the Chebyshev polynomials

Tj(x)
=

cos(jarccosx),

U (X)

sin((J + 1)arccosx) sin(arccos x)

Um3(X))

[see Szego(1975)],we obtainfrom Theorem thatthezerosofthepolynomial 4.1

Qrn-+v(x) =

2(x2

1)(4XUm-2(X)

which yields equal Dl-efficienciesin the models of degree m - 1 and m, that

is, effm-1(*)
- effm1(i*)

give the supportpointsof the optimaldesign -q*maximizing the criterion from it follows thatthe canonicalmoments -q* of are 1o. (4.10) Tm, Moreover, given by Pi = 1/2 (1 = 1, ... , 2m -3), P2m-2 = 3/4, P2m-1 = 1/2,P2m = 1,

0.75.

As a specificexample consider the cubic case m = 3, where we obtain forthe

polynomial Q4(x) in (4.8),

Q4(x) = 2(8x2

1)(x2 -1)

and the designi* maximizing criterion 1o is supported the points the at T3 - 1, -1/V8, 1i/V,1. The corresponding masses are obtained from (4.9) observin is ingthatthepolynomial thenumerator givenby2(8x3- 5x), which yields q*(:Fl) = 3 This designhas efficiencies
D1(T,) eff
=

*(n :

)1

0.75, 1 = 2,3,

effD(r,*)= 0.9625

in the quadraticand cubicmodel.

MAXIMIN ROBUST DESIGNS

1039

EXAMPLE 4.4. Consider the case k = j = 1 and m = 3, where we are interested a designwithreasonableD-efficiency the cubicmodel,which in in also allows efficient of in testing the highestcoeffcients the modelsofdegree the maximizing criterion 2, 3 and 4. The design-q*
Tmjj,i(4) =

min {effD(f), eff Df(4), effDl(f),

eff1

(()}

can be determined a further by of application Theorem4.1. The supporting in polynomial (4.8) is givenby
Q5(x)

= 2xT4(x) + 2T(x)

U3(x) = 16(3X2- 1)(X2

1),

which yields -1, -1/i\V 0, I/V3, 1 as the support points of 47. The corre-

are sponding weights obtained from formula (4.9) and are givenby3/16,3/16, 1/4,3/16,3/16,respectively. designhas DI-efficiencies This
eff D(I,*) eff 1(Dq*)
-

eff4 (i,*)

2/3

and D-efficiency
(Dj*) eff
=

0.9074

in the cubicmodel.It is worthwhile mention to that in the case m > 3 the the designmaximizing criterion 1,1 yieldsequal D1-efficiencies themodin TM, els of degreem - 1, m, m + 1. A proof this statement of follows similar by as arguments givenin Example4.3 and is therefore omitted. In the remaining part ofthis sectionwe will concentrate the maximin on problem (4.2), whereforeach modelexactly efficiency one appearsin themaxTHEOREM 4.5. The maximin optimaldesign q* withrespect thecriterion to (4.2) can be characterized follows. as (a) If k = 0; j = m -1 > 1 themaximin optimaldesignr* is supported at therootsofthepolynomial (4.12) and themassesare givenby
(V + m)[Um(xI)

imin criterion.

(x2 _ 1)C 2) 1(x, v),

+ Um-2(Xi)1

(4.13) where (4.14)

4~(x1) -2(v +

1)dx [(x2 -)C)(x'

0, ...,

3-

4P21m-l)

1040

H. DETTE AND T. FRANKE

and P2m-2 is the solution of the equation

(4.15) 2(m+l)(m-2)bm+l m
-

(1

- 2)P2(m-1) -2(m P2(m-l))(4(m ~~2(m- 1)P2(m-1) - (m -2)

3))

in the interval [2,1). has canon(b) If k = 0, j > 1, m - j > 2 the maximin optimal design r7*
ical
[I,

moments

iym-1

is the unique solution of 2(1 +

P2(m-1-l)
-

P21-1 =

1/2

(I =

1, ..., im), P2m

1 1)
-

1 and

(P2,

**

P2m-2)

1)P2(m-1) 41P2(m-1) - 2(1

1 = 1, 1

...,

J-1,

P P2(m-j-1-)

(21 + 1)P2(m-ji-1) -21 -41P2(m-j-1)

+ 1

(4.16)
P2(m-j-1)
=

1+

Hlm-1

J1-P21
P21 1-P21 P21

2+fr

'=M j

m-j-1 P2(ml) P2(m

-

22m2-2mi?i2-i-4bm+l ~m

mj P2(m-j)

PFl(i-P P21 1=1

1) P21u*1

are The supportpoints of the maximin optimal design 77* given by the zeros of where thepolynomial (x2 - 1)Qmi,(x)
Qm i(X)
-

[C2)(x

V)C(3'2)

(x, 77j+1-1)

- +i +

17j+1

C(1(X, v)Cm-j _2(x, qj+l) I

and the weightsare obtained by the formula

=

d (X2 -)Qrn-(X))x=xl

~Pm(Xi)

where PM(x)

()j+l + m-jx {Cm2i(X,

71j+1

+ j + 1)
1)
2Uj-(x)]

277j+?(v +

m?j+)[uj+?(x)

j+v

+ 2C (1/2)

MAXIMIN ROBUST DESIGNS v is definedin (4.14), 71j+l given by

1041

1-

P2m-2j-2
-

2P2m-2j-2

(c) If k = 1, j = 0 the maximin optimal design q* is supportedat the zeros of thepolynomial

(4.17) (4.17) _ l1)C(3/2) (x -1C ( ~~~~(X2 2(x,

and P2m-2j-2, P2m-2 are obtained from the system (4.16).

m7C

1),
(1,)Xl;

and the weightsare given by

(1/2)X;
__o

(4.18)

77*(X,) =2

X1Cm (x2; 17o)_-q)o _ 1\CI(3/2)

rTh+ dx [(~X2
l)Cm

1-/)] (x,

mq -1)

=10,..., m + 1. Here o = (1-P2m)/(2p2 fromthe system

P2(m-1) _(21?1)P2ml-1

-1) and P2mE [2, 1) is determined

4lP2m

21+ 1l m
p1
1=1 -P21).

(4.19)
1 bm+l22m(m+l)

puts masses 0.2395 and (d) If k = 2, m = 1 the maximin optimal design 77* 0.2605 at thepoints F1 and T0.3711, respectively. (e) If j = 0, k > 3 or j = 0, k = 2, m > 2 the maximin optimal design is supported at the zeros of thepolynomial
(4.20)
Hm+k+l(X)
= (X2 _ 1)[Um(X)Uk(X)
-

Um_l(X)Ul(X)],

and the masses are given by (4.21) 1q*(xl)=

kUm+k(X1)

Uk-l(X)Um-l(Xl) H,,?k-l(xl)

l=0,...,

m + k.

(f) If j > 1, k > 1 the maximin optimal design -q*is supported at the zeros of thepolynomial
= (x

Qm+k+l(x)

1)IY k+

Ftk1
1Uk1(X)
-

k + 1 U'1(X})
(2)

* (Um_ji1(x)

(4.22)

xC (2) (x, k--)

k1))

k+2 k))]

X Uk(X)(Um_j_i(X)C(21

(X,

k) -Um-j2(X)C(22(X,

and the masses are obtained from (4.23) 1*(xl)

-

(k + j)Pm+k(XI)

0,..., m + k,

1042

H. DETTE AND T. FRANKE

by wherethepolynomial Pm+k(x)is defined

Pm+k(x)= (Uk+l(X) x (Um-(I - k Uk-l(X)) Um- j-2(X)Uj-l(X)

(4.24)

_k lUk(x)Um-2(X) ?

IN ? kUmj2(X)U-2(x))j.

(3.5) in Theorem3.2(a) is PROOF. In a firststep we check if condition (3.5) cannotbe true. It satisfied. is easy to see that fork = 0 the inequality For the case k > 0 we note that for wm 00, W* = 00, WI = 1 (l = in m+ 1,... m+ k) thecanonicalmoments (2.9)-(2.11) are given ... 7m-i, j by P21-1= 21(l = L ... m+ k)? 2(m + k - I + 1)'
(4.25)
P2f= 2'I P21 2(m

...

m-j-1,

m, ,

m? k-l? +1
+ k-)

lm

- j,..., m

whichimplies
effDI(

e 1N) 2(ji+k)

j?+k + 1M

lm

j, ...,m-l,m+1,...,m+k

forthe design j withcanonicalmoments givenby (4.25). For this designthe is D-efficiency obtainedas effD() =1

[(l)

(hk+ i +l+ k1)1+1

(3.5) in and a straightforward tediouscalculationshowsthat condition but whenever Theorem is satisfied 3.2
(e) (f) j=O;k>3 j>l;k>1. or j=O;k=2;m>2.

in Here the design fj corresponding the canonicalmoments (4.25) is also to maximin optimalwithrespectto the criterion j, k and we will discussthe Xm, for of pointsand weights bothcases separately. identification the support from (4.25) and Theorem (e) If j = 0; k > 3 or j = 0, k = 2, m > 2 it follows 4.4 in Dette (1995) (using O = p = 2, n = m + k, k = m + 1 in his notation)

MAXIMIN ROBUST DESIGNS

1043

that

i*

is supported at the m + k + 1 zeros of the polynomial

Qm+k+l(X)
=

Um(x)fkUk+l(X)

(k + 2)Ukl1(x)}
-

Um-(X){(k
=

l)Uk(x)

(k + l)Uk-2(x)}

2(x2

l)[Um(x)U'k(x)

Um-(X)Uk-(X)I,

wherethe last identity obtainedfrom trigonometric is the respresentation of the Chebyshev of the secondkind [see, e.g., Szego (1975)]. The polynomials same resultshowsthatthe weights givenby are
q*(fx })
kUk(Xl)Um(Xl)
=TS!+dQm+kl(X)lx=xl

(k + l)Uk-l(X1)Um_l(X1)

and the representation (4.20) and (4.21) follow from (4.11) whichprovesthe assertionofTheorem forcase (e). 4.5 (f) By Theorem3.4.1 in Dette and Studden(1997) the Stieltjestransform ofthe measure 77* givenby is (4.26) 1 dr,*(z)
X-Z
=

m+k77*(_Xl}) , X
1=0

-Xl

Pm+k(X, q)
(X2
-

l)Qm?k-1(X,

P)'

where Qm+k1(X, P), Pm+k(X, q) are the supportingpolynomialsof the sequences

(4.27) (4.27)

~1X P21 2S17 ~~~2 21 .. 1 2 P2m+2k-2~

1 1
?

11

(4.28)

q21

q2m+

I o 0

The respectively. assertion part(f)ofTheorem therefore in 4.5 follows showby ing the identities
(4.29)
(4.30)

Qm+k-l(X, P) = (k + J)2m+k Qm+k-(X),

Pmk(x, q) = 2 Pm+k(X), 2m+km

where Qm+k1(x) and Pm+k(x) are defined (4.22) and (4.23), respectively. in We will only provethe statement(4.29) regarding the polynomial QM+k(x, p); (4.30) is shownsimilary and leftto the reader.FromTheorem 4.4.2 in Dette and Studden(1997) we obtainthat
(4.31)
Qm+k 1(x,

p) = Gk(X)Hm(x))

4 k + l Gk-l(x)Hm-2(X),

wherethe polynomials Gk(x) and Hm-i(x) are the supporting polynomials of the sequences
(4.32)

2 P2m 2 P2i 2 --,

P2m+2k-2

11 2
1l

2P2m-2

:21 I

1044

H. DETTE AND T. FRANKE

2.3.6 in Dette By respectively. Lemma 2.10 in Studden(1982a) and Corollary and Studden(1997) thepolynomial Gk(x) is obtained recursively Go(x) = 1, as
Gl(x) = x,

Gi+l(x)

= xGi(x)

-q2m+2k-2iP2m+2k-2i-2Gj-(x)

xGi(x)1xGk-l(X)-

4(i

+ 1)(i+ 2)Gi-l(x),

if i < k -2, if i= k- 1.

k lGk-2(X),

of thisrecursion withthe monicversion the recursive relation Comparing for in polynomials (4.3) yields the associatedultraspherical
Gk-l(X) = 1 Ck2(X, ?) = 12kU (x),

G(x)
(4.33)C2
=

k2k-1 k5-1x 0) _ 0) c(2 (x 0)I {2xC(2)X, 2(k + =

h 1)

X
{c(2)(x,

jU'?l()k i- |ul + (X) +-1Ul

0) ?

(2
kC-2(x, 0)}

1(X)1

polynomial the whereC(2)(X, 0) = C(2 )(x) denotes classicalultraspherical [see, U'(x) = (4.3) and the identity Szego (1975)] and we used the recursion e.g., and Stegun(1964)]. 2C(2) (x, 0) [see, e.g.,Abramowitz 4.4.2 in Detteand Studden secondsequencein (4.32) we applyagain Theorem (1997) and obtain
For the determinationof the polynomials Hm_i(x) correspondingto the

(4.34)

+ HM_l =G j(x)Hm7z_j_l(x) 1 kh j (x)

~~~~4
k+

Gj-lj(x)I:1-j-2(X),

to whereGj(x) and Hm_jil(x) correspond the sequences

2P2m-ZJI .. 1* 121 _1 P2m-2,D1 1

4.3.3 in Dette and Studden(1997) we have FromCorollary respectively.

MAXIMIN ROBUST DESIGNS

1045

and Theorem2.5.1 and Corollary 2.3.6 in the same reference showthat the polynomials can be obtainedrecursively from GJ(x)
Go(x) = 1, G1(x) = x, Gl+(x) = xG,(x)
-q2m-21P2m-21-2GIl(x)

(k+l)(k+1+1)

(I _ 1,..., j - 1). Comparing this recurrence relationwith (4.4) and (4.5) showsthat (4.36) Gl(x) = 2( ) C(X k - 1), =-1,

[notethat21(k+ 1)/kis theleadingcoefficient thepolynomial of C(2)(x, k- 1)]. Observing (4.34), (4.35) yields
Hm-(x)=(k + j)2m-k
{Um-j-i(X)Cj

(x, k - 1)

- Ummj2(X)C72 1(X, k -1)}

and similararguments show

Hm-2(x) = k( + j)2m-2 m--1(X)C(j 1(X, k) -Um-j2(X)C(j2)2(X,

k)}.

Finallya combination these representations of with(4.33), (4.34) and (4.31) yieldsthe assertion (4.29). The proof theremaining of statement (4.30) is similar and therefore omitted. This completes proof part(f)ofTheorem the of 4.5. In the remaining cases (a) (b) (c) (d) k=0; j=m-1>1, k = ; j > l; m - j > 2, k=1; j=0, k=2, m=17

condition (3.5) of Theorem3.2 is not satisfiedand the otherparts of this theoremapply.We will onlygive a proof (a) and (b). The proofs the for of othercases are verysimilarand therefore omitted. (a), (b). Ifk = 0; j > 1 itis easyto see thattheD-optimal design(D satisfies
eff
D, 1(gD)

< eff D((D),

whichshowsthat (D is not maximin optimaland that the maximin optimal design * is determined the conditions by (3.13)-(3.21) in Theorem 3.2(ii). In

1046

H. DETTE AND T. FRANKE =

the case (a) (k = 0, j = m - 1 > 1) we use z

the from (3.14) and induction recursion

(4.37)
P2(m-1-1) 41P2(1-1)-2(1-1)

m - 1 and n

0 and obtain

1, ... , m-2,

whichimplies
P21+2q2l = 41 1, ... .,

m -2.

in Using this identity (3.18) yields (4.15) forP2mn-2.For the calculationof the supportpointswe use Theorem2.5.1 and Corollary 2.3.6 in Dette and optimal Studden(1997) and it follows thatthe support the maximin of design
is given by the zeros of the polynomial (x2 _ 1)Qm_i(X), where Qm-i(x) is the

of supporting polynomial the sequence

2 q2m-2I

and obtainedrecursively as
Ql+i(x) = xQ,(x)
-

p. **

q2,

q2m-21P2m21-2Q11(X)

(x)= XxQ1x) 1 (2(1 = QlX -4

+ 1)P2m-2 - 1)(2(l - 2)P2m-2 -

(2lP2mn-2

1 + 1)(2(l

1)P2m-2

1 + 2)

3) 1

x)

A straightforward relationfor calculationshows that this is the recurrence themonic defined (4.4) in polynomials version theassociatedultraspherical of and (4.5) forA = 2 and v givenin (4.14), thatis,
QM-1(x) = 2r-l(v + m) r-1(Xi v),

A whichprovesthe assertion regarding support the points. similarargument showsforthe polynomial the numerator (4.26), in of

1 3)Umr2(X)] and the assertion in the case k = 0; j = m - 1 > 1 followsas in case (f).
the first equationin (4.16) whichyields
D DI eff 1(-q*)= eff 1(R'

Pm(x,

q) =

[Um(x)

+ (4P2m-2

where z = m - 1 and n = m - j - 1 in Theorem 3.2(ii). From (3.14) we obtain 1= m-2, m-3, . .., m-j.

treatedin the same way, The remaining case k = 0, m - j > 2 is essentially

This impliesforthe equationin (3.18),

(effD(,q*))M+l = (effDl (n*))m+1

D = (eff

j(77*)) Mfj?leffD

1(7*)

I=m-j+l

effD1(I,*)

and a straightforward shows[observing (2.6) and (2.8)] thatthisis calculation equation equationin (4.16). The secondand thethird equivalentto thefourth

MAXIMIN ROBUST DESIGNS

1047

are obtained from (3.17) and (3.15),respectively. the regardFinally, statement ing the weights and support pointsfollows similararguments givenfor by as of the proof case (a) and is leftto the reader. O
= EXAMPLE 4.6. (a) Considerthe case mn k = 2, j = 1, wherepart (f) of Theorem applies.Weobtainthatthesupport 4.5 points themaximin of optimal designare givenby the zeros of

Q5(X)=x(x2 - 1)(48x2-22), wherewe have used Uo(x) = 1, U1(x) = 2x, U2(x) = 4x2_ 1, U3 (x) = 8x3-4x and
C( )(x,
i) =

2( + )

whichfollows from recurrence the relation (4.3) forthe associatedultraspherical polynomials. the Consequently design q* maximizing criterion 1,2 the X2,
in (4.2) is supported at the points -1 24'

24 1. A similar calculation

shows

P4(x) = 16x4-338x2 +2 and we obtainfrom (4.23) forthe weights

(IT-1})= 3
113'

q*({T?/11/241) =

-({

= 1

(b) In the case m = 3, k = 0, j = 2 the maximin optimal design (with respectto the criterion part (a) ofTheorem4.5. For X3,2,o) is obtainedfrom the calculation the support of pointswe use (4.3) whichgives C (2)( (XIP)= 4(v i 3)x2 ) 2 1

vi2'

v+4

wherev is defined (4.14) form = 3 and p4 is the solution the equation in of

24b4 3

4(1 - p4)p4 4p4- 1

in the interval[2, 1) [notethat b4 = 24/55,by (2.7)], that is, p4 0.93987. This gives v - -0.8633 and the maximin optimaldesignwithrespectto the criterion at X3,2, 0 is the supported the points}T1 and ?0.2101. The corremasses are obtainedfrom sponding (4.13) and a straightforward calculation, thatis, ?1(Tzl)~ 0.36086, W*(?0F2101) 0.13914. Notethatthisdesignhas equal efficiencies all criteria for appearing X3,0, 2, in thatis,
eff 1()
= eff21(71) = eff3 (?*) = P2 ; 0.73401.

1048

H. DETTE AND T. FRANKE

(c) In thecase m = 3, j = 1, k = 0 themaximin optimal designwithrespect is obtainedfrom to the criterion 1,0 X3, part (b) ofTheorem as the unique 4.5 solution(P2, P4) E [1, 1)2 ofthe equations
(1
-

p4)

= 28b3pp2(1 - p2)2,

P2(1 + p4) = 1,

whichgivesP2 ; 0.5316 and p4 ; 0.8813 (all canonicalmoments odd order of are equal 1/2,P6 = 1). The corresponding design'q* maximizing 1,0 has X3, equal masses at thepoints-1, -0.2512, 0.2512,1. This designhas efficiencies
effD1(7*) = effD(q*) =

0.8778,

effD (7*) = 0.4169

be of withthe design and it might ofinterest compare performance rf* to the for given in Example 4.3. We observean increase in efficiency testingthe in for highest coefficient the quadraticmodel,a (slight)loss in efficiency estiin matingall parameters the cubicmodeland a substantialloss in efficiency fortesting highest the coefficient the cubicmodel. in Acknowledgments. The authorsare grateful two unknown to referees fortheirhelpfulsuggestions and to I. Gottschlich who typedmost parts of thispaper withconsiderable technical expertise. REFERENCES
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RUHR-UNIVERSITXT BOCHUM FAKULTAT FURMATHEMATIK 44780 BOCHUM GERMANY E-MAIL:holger.dette@ruhr-uni-bochum.de

tobias.franke@ruhr-uni-bochum.de