Factor selection in screening experiments by aggregation over random models

Abstract

Screening experiments are useful for identifying a small number of truly important factors from a large number of potentially important factors. The Gauss-Dantzig Selector (GDS) is often the preferred analysis method for screening experiments. Just considering main-effects models can result in erroneous conclusions, but including interaction terms, even if restricted to two-factor interactions, increases the number of model terms dramatically and challenges the GDS analysis. A new analysis method, called Gauss-Dantzig Selector Aggregation over Random Models (GDS-ARM), which performs a GDS analysis on multiple models that include only some randomly selected interactions, is proposed. Results from these different analyses are then aggregated to identify the important factors. The proposed method is discussed, the appropriate choices for the tuning parameters are suggested, and the performance of the method is studied on real and simulated data.