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Applying Hotelling’s T
Statistic to Batch Processes
ROBERT L. MASON
Southwest Research Institute, San Antonio, TX 78228-0510
YOUN-MIN CHOU
The University of Texas at San Antonio, San Antonio, TX 78249-0664
JOHN C. YOUNG
McNeese State University, Lake Charles, LA 70609-2340
In this paper we show the usefulness of Hotelling’s T2 statistic for monitoring batch processes in
both Phase I and Phase II operations. Discussions of necessary adaptations, such as in the formulas for
computing the statistic and its distribution, are included. In a Phase I operation, where the focus is on
detecting and removing outliers, consideration is given to batch processes where the batch observations are
taken from either a common multivariate normal distribution or a series of multivariate normal distributions
with different mean vectors. In a Phase II operation, where the monitoring of future observations is of
primary concern, emphasis is placed on the application of the T2 statistic using a known or estimated
in-control mean vector. A variety of data sets taken from different types of industrial batch processes are
used to illustrate these techniques.
Dr. Young is a Professor in the Department of Mathemat- Most industrial processing units consist of three
ics, Computer Science, and Statistics. components: input, processing, and output. Control
Batch Size = 1 size Nno longer reduces to k but has the general form
k
N = i=1 ni .
Suppose we collect data on k batches taken from
either a Category 1 or a Category 2 batch pro- Since observations may be taken from differ-
cess. Assume the batch size is one (i.e., ni = 1, ent distributions for the batches in a Category 2
i = 1, . . . , k) so that a single observation is made on batch process, the definition and detection of out-
p variables from k each batch. Thus, the total sample liers changes from those given for a Category 1 batch
size is N = i=1 ni = k. In this setting, individual process. With batches, the overall sample mean in
outliers can be detected by computing the T 2 value Equation (1) is equivalent to the weighted average of
for each observation, X, and comparing the value to the batch means; i.e.,
an upper control limit (UCL).
k
ni
k
The procedure for purging outliers for batch pro- Xij ni X i
i=1 j=1 i=1
cesses where a single observation is made on each X= = , (3)
batch is equivalent to the procedure for continuous N N
production processes. The corresponding T 2 statis- where Xij is the j th observation in the ith batch, and
tic and its distribution for the purging procedure are Xi represents the mean vector of the ith batch. Sim-
given as ilarly, the covariance matrix estimator used in Equa-
tion (1) measures not only process variation within
T 2 = X− X S−1 X− X batches but also process variation due to differences
between batches. The estimator S is the total varia-
(N − 1)2
∼ B[p/2,(N −p−1)/2] , (1) tion, SST , divided by (N − 1) and is written as
N
i
1
k n
where X and S are the common estimators, respec- S= Xij − X Xij − X
tively, of the overall sample mean and the over- N − 1 i=1 j=1
all covariance matrix, and B(p/2,(N −p−1)/2) repre- SST
sents the beta distribution with parameters (p/2) = .
N −1
and ((N − p − 1)/2). The UCL is given as
The total variation also can be written as
(N − 1)2 ni
k
UCL = B[α,p/2,(N −p−1)/2] , (2)
N SST = Xij − Xi Xij − Xi
i=1 j=1
where B[α,p/2,(N −p−1)/2] is the upper αth quantile of
k
B[p/2,(N −p−1)/2] . + ni Xi −X Xi −X
It is useful to note that the T 2 statistics in a i=1
differences between the two batches. Observe that The Batch 2 data in Figure 5 appear to have seven
the bulk of the translated observations of Batch 1 outlying points that could be removed in the data
are located in the first quadrant with a lesser amount cleaning effort. With their removal the resulting Q-
located in the third quadrant; however, the opposite Q plot, given in Figure 7, is similar to that obtained
occurs with the translated observations of Batch 2. for the Batch 1 data. The trend is again highly lin-
This mean-vector difference is unexpected and occurs ear, indicating the validity of the beta distribution
primarily because the frequency distributions of the assumption for the T 2 values for Batch 2.
two sets of batch data are not symmetrical (as in a
normal distribution), but skewed. The Q-Q plot of the combined batches (with the
combined 10 outliers removed) is presented in Figure
This disparity between the batches can be at-
8. As expected, the trend is highly linear, and the re-
tributed to the effects of operator control on the pro-
sults indicate that, even with the disparity observed
cess. The first variable (x1 ) is an operator-control
due to operator differences, the departure from the
variable and the second variable (x2 ) moves in re-
specified beta distribution used in describing the T 2
sponse to changes in x1 . In addition, there are nu-
statistic for separate or combined batches is small.
merous other “lurking” variables having great influ-
This small discrepancy will not affect overall conclu-
ence on x2 . Lead operators (on different shifts) run
sions drawn in using the T 2 as the control statistic for
the process differently, but obtain the same overall
this situation. Thus, we can identify individual out-
process results (e.g., the same production level or the
liers by ignoring the batch differences, treating the
same product). Thus, although the correlation be-
translated data as a single group, and determining
tween the two variables remains relatively constant,
signaling points using the T 2 statistic in Equation
the mean vectors across the two batches differ due to
(1) with the translated data. This is accomplished
operator differences.
by plotting the T 2 values on a control chart (e.g., see
The above data example poses an interesting Fuchs and Kenett (1998) or Wierda (1994)). Any T 2
problem. If we use a mean translation, all the trans- value exceeding the UCL of the chart is declared an
formed observations from a Category 2 batch process outlier.
will have a p-variate normal distribution, Np (0,Σ),
with mean vector 0 and covariance matrix Σ. This Using an α = 0.01 and the T 2 statistic in Equation
result is based on the assumption that the untrans- (1) with the translated data from Figure 5, we can
formed data have a multivariate normal distribution. now identify the observations located a significant
However, as seen in the data in Figure 5, there may distance from the center of the data (i.e., from the
be situations where the underlying distribution is origin). In the first pass through the data, three
nonnormal. Because this has occurred in this ex- observations from Batch 1 and seven observations
ample, it is useful to briefly describe one possible so- from Batch 2 are designated as outliers (i.e., these are
lution to this assumption violation. To do so we will the same 10 observations deleted in Figure 8). The
consider the distribution, not of the original data, covariance matrix is re-estimated from the remaining
but of the T 2 values. If this distribution is similar to translated observations. One observation from each
the beta distribution given in (1), we will consider it batch is removed on the second pass, but a third pass
appropriate to continue using the T 2 charting proce- detects no remaining outlying observations. Thus,
dure. there are a total of 12 observations designated as
FIGURE 6. Q-Q Plot of Batch 1 With Three Outliers FIGURE 8. Q-Q Plot of Combined Batches With Ten
Removed. Outliers Removed.
outliers, four from Batch 1 and eight from Batch 2. Category 1 batch data in a Phase I operation is
The outlying observations are designated with sym- that the process is centered. This implies that the
bols in Figure 9. With the removal of these outliers, mean vectors of the k individual batches are all
an estimate of the covariance matrix can be obtained equal. Translating the observations from the differ-
from the remaining translated data. ent batches to a common origin in order to identify
outliers for individual observations will remove any
Category 1 Batch Mean Outliers possible mean differences between the batches for the
In Category 1 batch processes it is assumed that translated data. However, if the assumption of equal
the batch mean vectors do not have significant differ- batch means is invalid, batch mean differences among
ences. Therefore, the specification, or estimation, of the untranslated data may go undetected, particu-
the means of the p process variables plays an impor- larly if these differences appear after the purging of
tant role in developing control charts for future obser- the individual outlier data. Given the importance
vations. When new observations are monitored, the of this assumption, we recommend performing a test
target mean vector may be specified as µT . Other- of hypotheses to determine the batch mean vector
wise, µT must be estimated using the overall sample differences.
mean estimate given in Equation (3). Unfortunately, Assume that an observation from the ith batch
with batch data, the outlying batch means can dis- is distributed as X ∼ Np (δi , Σ) and that an ob-
tort the estimate of the in-control mean vector. For servation from the j th batch is distributed as X ∼
example, the plot given in Figure 10 represents a set Np (δj , Σ). In the form of a statistical hypothesis,
of batch means with three obvious outliers located the assumption of equal batch means is represented
at points A, B, and C. The inclusion of Point B or as
Point C will shift the overall batch mean to either
the left or right (respectively), while the inclusion of H0 : δ 1 = δ 2 = · · · = δ k . (5)
Point A will shift the overall mean upward and to The alternative hypothesis is represented as
the right.
HA : δi = δj for some i = j.
A basic assumption in using the T 2 statistic with
FIGURE 7. Q-Q Plot of Batch 2 With Seven Outliers FIGURE 9. Translated Batch Data With Deleted Out-
Removed. liers.
FIGURE 10. Plot of Batch Means With Outliers. where SW is the sample covariance matrix computed
using Equation (4) and the translated data with the
individual outliers removed.
Under H0 , each observation vector X is assumed to
The distribution of the statistic in Equation (7),
come from a common multivariate normal distribu-
under the assumption of a true null hypothesis, is
tion; i.e., X ∼ Np (δ, Σ). Under HA , at least one
that of an F variable. The distribution (i.e., see
batch observation comes from a different multivari-
Wierda (1994)) is given as
ate normal distribution.
p(k − 1)(n − 1)
Before testing H0 , the issue of batch sample size T2 ∼ F(p,nk−k−p+1) ,
n[k(n − 1) − p + 1]
must be addressed. Even if the number of obser-
vations was originally the same for each batch, the where F(p,nk−k−p+1) represents the F distribution
Phase I purging of individual outliers may have re- with parameters (p) and (nk − k − p + 1). For a given
duced the sample size in several of the batches. We α level, the UCL for the T 2 statistic is computed as
suggest using an average value for the batch sample
(k − 1)(n − 1)p
size; i.e., use UCL = F(α,p,nk−k−p+1) , (8)
n[nk − k − p + 1]
1
k
n= ni , (6) where F(α,p,nk−k−p+1) is the upper αth quantile of
k i=1 F(p,nk−k−p+1) . The T 2 value in Equation (7) is com-
puted for each of the k batch means and compared to
where ni , i = 1, 2, . . . , k, is the number of observa-
the UCL in Equation (8). Batch means with T 2 val-
tions in the ith batch, and n is rounded up to the
ues that exceed the UCL are declared outliers. The
nearest integer. Since most processing units take ob-
corresponding batches are removed and a new in-
servations electronically on a regular sampling basis,
control mean vector is estimated for use in Phase II
the discrepancies between the ni should be small.
operations.
However, variation in the length of a run cycle can
produce a few extra observations per cycle. To demonstrate the procedure, consider a Cate-
gory 1 batch process where 12 observations are col-
Establishing the reasonableness of the hypothesis
lected on three process variables for each of k = 6
in Equation (5) is important. If there are no differ-
batches. The estimated batch mean vectors, after
ences between the batch means, the best estimator of
individual outliers are removed, are given in Table
the overall in-control mean vector is given in Equa-
2. The average sample size for the batches, using
tion (3). If there are outliers, the outlying batch
Equation (6), is computed as 11.67. Thus, a value
means will need to be excluded from the calculations
of n = 12 is used in determining the UCL in Equa-
in Equation (3). Using the average value in Equa-
tion (8). The correlation matrix for the three process
tion (6) for sample size, we can test the validity of
variables is given in Table 3.
the hypothesis in Equation (5) with a T 2 statistic for
detecting batch mean outliers. The statistic is given To test the hypothesis of equal batch means, the
by T 2 statistic in Equation (7) is computed using the es-
timated covariance matrix SW employed in comput-
T 2 = Xi − X S−1 W Xi − X , (7) ing the correlation matrix. The T 2 values for the six
TABLE 3. Correlation Matrix for Six-Batch HDS TABLE 4. T 2 Values for Six-Batch HDS
x1 x2 x3 Batch # T 2 Value
x1 1.000 −0.528 −0.043 1 0.068
x2 −0.528 1.000 0.519 2 1.062
x3 −0.043 0.519 1.000 3 0.063
4 0.220
5 0.473
batch means are presented in Table 4. For α = 0.01, 6 0.001
n = 12, k = 6, and p = 3 the UCL in Equation (8) is
computed as 0.882. Since the T 2 value for Batch 2
exceeds this UCL, the corresponding batch mean is the sample variance of the pooled batch means (e.g.,
declared to be significantly different from the other see Woodall and Thomas (1995)). Thus, SB de-
batch means. An examination of Table 2 reveals the scribes the relationships between the components of
reason. The mean of the variable x2 for Batch 2 the batch mean vectors rather than of the individual
is 16.875, which somewhat exceeds the other batch observations. For example, in the Category 2 batch
means on this variable. Thus, the analyst should process example presented in Figure 2, the correla-
delete Batch 2 before computing the overall batch tion between the two process variables is positive,
mean vector for use in the Phase II operations on while the correlation between the batch mean vector
this process. components is negative. The downward shifting of
the overall process could be due to an unknown “lurk-
Category 2 Batch Mean Outliers ing” variable, or to a known uncontrollable variable
For Category 2 batch processes, it is known that such as the catalyst concentration of the previous
the batch means differ. However, in a Phase II op- batch.
eration, it is necessary to define an in-control region To demonstrate how to develop an in-control re-
so that one can determine if a current batch gives gion for later use in a Phase II operation, consider a
evidence of process stability. The true p-dimensional Category 2 batch process where 12 observations are
center of this region is given as collected on three process variables for each of k = 16
k
batches. The estimated means of the batches, after
1 outliers are removed, are given in Table 5. The cor-
µ= µi ,
k i=1
where µi represents the mean vector of the ith batch, TABLE 5. Batch Means for 16 Batches
and the best estimate of µ is given by X in Equation
(3). Assuming the batch data can be described by a Batch # x̄1 x̄2 x̄3 ni
multivariate normal distribution, an in-control region
1 161.6091 207.0545 33.42727 11
based on a T 2 statistic can be developed. The form
2 152.6545 205.4182 15.11909 11
and distribution of the statistic is given as 3 143.9455 206.6545 15.9 11
4 149.7 200.15 16.3 12
T 2 = Xi − X S−1 B X i − X
5 158.6333 194.025 12.425 12
(k − 1)2 6 178.3727 195.2636 13.57273 11
∼ B(α,p/2,(k−p−1)/2) . (9) 7 133.3636 200.7909 0.000909 11
k
8 140.2 202.4727 0.581818 11
where SB = SSB /(k−1). Similarly, the UCL is given 9 159.2 197.1 24.33636 11
by 10 145.2182 193.9273 9.8 11
(k − 1)2 11 150.6333 194.8083 2.925 12
UCL = B(α,p/2,(k−p−1)/2) . (10)
k 12 148.8167 201.875 2.558333 12
13 143.7455 194.8 1.527273 11
The T 2 statistic in Equation (9) is based on the
14 145.9 192.0333 3.908333 12
estimated between-batch variation, SB . Note that,
15 149.5636 187.8091 0.963636 11
in the special case of a univariate batch process, this
16 147.3583 194.325 2.183333 12
estimated between-batch variance is based on using
x1 x2 x3
x1 1.000 −0.776 −0.571
x2 −0.776 1.000 0.484
x3 −0.571 0.484 1.000
Phase II Operation: Category 1 Process where the covariance matrix, S, and the target
mean vector estimate, X, are obtained using
Before beginning a Phase II operation for a Cate-
the HDS of size N = nk.
gory 1 batch process we must have an appropriate es-
timator of the covariance matrix. We have available (ii) When process control is based on the more
the estimator SW , which is based on the translated conservative covariance estimator SW , the T 2
observations with individual outliers removed and is statistic is given by
the appropriate estimator to use in testing for mean
differences. However, with the removal of individ- T 2 = X− X S−1 W X− X .
ual outliers and the exclusion of observations from
the outlying batches that exhibit a significant mean (iii) For the situation where the target mean vector,
difference, one could use the common estimator S µT , is specified and the estimator S is used, the
obtained from the remaining observations. For ex- T 2 control statistic is given as
ample, consider the data in Table 2. Because Batch
2 is an outlier, we would exclude it from the HDS and T 2 = (X − µT ) S−1 (X − µT ) , (11)
estimate the covariance matrix using S and the data
where S is again obtained from the HDS.
from the remaining five batches. We use S rather
than SW because the between-batch variation, SB , (iv) When the in-control mean vector is specified
is assumed to be entirely due to inherent process vari- but the estimator SW is used, the T 2 statistic
ation (e.g., see Alt (1982) and Wierda (1994)). is given as
The estimator SW excludes between-batch varia- T 2 = (X − µT ) S−1
W (X − µT ) ,
tion, and thus it is not influenced by batch mean dif-
ferences. However, if mean differences do not exist The T 2 formulas, distributions, and UCLs for the
among the batches, the estimator S is a more efficient above four cases are presented in Table 7. When
estimator of Σ than SW (e.g., see Wierda (1994)). process control is based on the monitoring of the
Since both covariance estimators have merit depend- subgroup mean, X S , of a future sample of m obser-
ing on the circumstances, we will consider Phase II vations taken on a given batch, slight modifications
operations for monitoring future process observations must be made to these formulas. These results are
using both S and SW . We also present control pro- also contained in Table 7.
cedures for monitoring a Category 1 batch process
for the four cases of interest presented below. Phase II Operation: Category 2 Process
(i) Consider a single future observation vector, X, For a Phase II operation for Category 2 batch pro-
that is taken from a Category 1 batch pro- cesses, control procedures can be based on observing
cess with an unknown mean target vector. Us- either a single future observation or the sample mean
ing the covariance matrix estimator S, the T 2 vector of a subgroup of future observations for the
p(N −1)
S (X − µT ) S−1 (X − µT ) N −p F(p,N −p)
Known
p(N −k)
SW (X − µT ) S−1
W (X − µT ) N −k−p+1 F(p,N −k−p+1)
1
p(N −1)
S XS −µT S−1 XS −µT m(N −p) F(p,N −p)
Known
p(N −k)
SW XS −µT S−1
W XS −µT m(N −k−p+1) F(p,N −k−p+1)
>1
∗ The T 2 UCL is the upper αth quantile of the T 2 distribution given above.
batch being produced. Recall that the objective in Phase II Data Example
this situation is to determine if the present batch
is in-control (i.e., the T 2 value corresponding to the To demonstrate a Phase II operation, consider a
batch data is within the T 2 control region). When batch process for producing a specialty plastic poly-
the target mean is unknown, the historical data set mer. A detailed chemical analysis is performed on
provides the estimates X and S. Note that, since each batch to assure that the composition of seven
the HDS is composed of single observations from k measured components adhere to a rigid chemical for-
batches, S = SB and N = k. Therefore, the formulas mulation. The rigid formulation is necessary for mold
for a Category 2 batch process are the same as those release when the plastic is transformed to a usable
given in Table 7 for a Category 1 batch process except product.
that we replace S with SB , and we let N = k. Also,
none of the formulas based on SW are applicable. A preliminary data set consisting of 52 batches
acceptable to the customer is used to construct a
FIGURE 12. T 2 Control Chart for HDS for Polymer FIGURE 13. T 2 Control Chart for New Observations on
Process. Polymer Process.
x1 x2 x3 x4 x5 x6 x7
N 52 52 52 52 52 52 52
Mean 87.10 7.18 3.31 0.35 0.09 0.86 1.16
Minimum 86.60 6.80 3.00 0.30 0.00 0.80 0.98
Maximum 87.50 7.70 3.60 0.42 0.18 0.97 1.40
Std. Dev. 0.248 0.175 0.125 0.020 0.028 0.045 0.103
x1 x2 x3 x4 x5 x6 x7
historical data set. Each batch has only one obser- α = 0.001, N = 52 (i.e., n = 1 and k = 52), and
vation vector. This example suffices for either a Cat- p = 7 the UCL = 34.238. Twenty six new batches
egory 1 or a Category 2 batch process since control are produced and a T 2 control chart (using the above
is based on a single observation vector. A T 2 chart target mean vector) is presented in Figure 13. Sig-
(with α = 0.001) of the data, using the statistic in nals are observed on the observations on Batches #5,
Equation (1) with N = 52, p = 7, and α = 0.001, #7, #9, #14, and #21.
is presented in Figure 12. The UCL of 20.418 is ob-
tained from Equation (2). Although observations #3 Discussion
and #7 produce signals on the chart, both were re-
tained in the HDS. With the assumption that X is distributed as a p-
variate normal, Np (µ, Σ), it can be shown that the
Summary statistics for the seven measured vari-
common covariance matrix estimator S is a function
ables obtained from the HDS are presented in Table
of the maximum likelihood estimator of Σ, and it
8. Examination of the ranges and standard devia-
is an unbiased, least-squares estimator. Due to these
tions reveals tight control on the operational ranges
properties, one would expect superior performance of
of the individual variables. However, these statistics
the T 2 statistic in detecting individual outliers. This
are not as critical to the customer as the relationships
is indeed the case. The work by Wierda (1994) con-
between and among the variables. The correlation
cludes that the T 2 statistic, when based on the com-
matrix for the seven variables is presented in Table
mon estimator, S, is more powerful than one based
9. This matrix indicates the structure or relation-
on SW (as presented in Equation (4)) in detecting in-
ships that must be maintained among the variables.
dividual outliers in a single batch when there are no
Any deviation can produce serious problems for the
mean differences among the batches. Studies com-
customer.
paring the power of the T 2 in detecting outliers to
Suppose that a target mean vector for this batch the power of T 2 statistics using alternative covari-
process is specified as ance matrix estimators have been performed (e.g.
see Chou, Mason, and Young; 1999). With the ba-
µT = (87.15, 7.16, 3.29, 0.34, 0.08, 0.85, 1.14) .
sic assumption of a single multivariate normal dis-
The T 2 value of a future observation, X, on the tribution, the T 2 approach again produces superior
process will be computed using Equation (11). For results.
We have recommended translation of the batch When the batch data are collected from the same
data to a common origin by subtracting individual multivariate normal distribution, the T 2 statistic is
batch mean vectors from the corresponding batch ob- an excellent choice for use in purging outliers. When
servations. This translation produces an overall set the batch data are collected from multivariate nor-
of data satisfying the basic assumption of a single mal distributions with different mean vectors, the
multivariate normal distribution. Since the different translation of the different batches to a common ori-
batches have a common covariance structure, it is gin again allows one to use the overall T 2 statistic
possible to use the powerful T 2 statistic when seek- to identify outliers. The approach yields a powerful
ing to remove individual outliers. The translation procedure.
also produces a more precise covariance estimate.
Acknowledgments
We believe the translation to a common origin to
be an important step in developing a control pro- The authors wish to thank the editor and the ref-
cedure for batch processes with batch sizes greater erees for their helpful comments and suggestions on
than one. Clearly, the translation cannot be applied earlier versions of this paper.
to batches of size n = 1. The control procedure for
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