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Chen Nan
Department of Industrial and Systems Engineering
NUS
LOGO
and R charts
Small shifts
-R chart is not sensitive to small shifts
IC Distribution
Shift size
OC Distribution
beta
0.0
0.5
1.0
1.5
2.0
2.5
delta
3.0
Example
Given 20 values from a N(0, 1) followed by 20
values from a N(1, 1)
Xbar
0.54
0.44
0.81
0.08
0.11
0.82
1.08
0.01
0.06
0.69
Sample
11
12
13
14
15
16
17
18
19
20
Xbar
0.36
0.82
0.09
0.26
0.97
0.98
0.26
0.25
0.41
1.6
Sample
21
22
23
24
25
26
27
28
29
30
Xbar
0.23
1.28
1.94
1.95
2.78
2.31
0.05
1.2
0.23
0.93
Sample
31
32
33
34
35
36
37
38
39
40
Xbar
0.27
0.51
0.11
0.8
0.12
0.23
2.02
2.2
1.14
0.26
Cumulative Sum
Deviation from a in control mean
3
2
1
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40
1
2
X-bar chart
25
20
15
10
5
0
5
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40
CUSUM Chart
The Tabular CUSUM
Example
Tabular CUSUM Charts (with K=0.5)
12
10
8
6
4
2
0
-2
10
15
20
25
30
35
40
10
15
20
25
30
35
40
12
10
8
6
4
2
0
Design Rules
Design parameters
H h ; h 4 or 5
K k ; k 0.5
10
Impact of K
How to evaluate the performance?
ARL
200
100
0
ARL
300
0.0
0.5
1.0
1.5
1.5
2.0
2.5
3.0
3.5
4.0
shift
shift
11
3,
12,
100
Small influence when there is no shift
12
3,
12,
100,
105
Faster detection when there is a shift
13
Generalization
Similar idea can be applied to other detection
scenarios
max 0,
,
,
,,
,,
;
;
,
,
,,
,,
;
;
14
zi xi (1 ) zi 1
0 1
z0 0
2i
[1
(1
)
]
2
2
zi
3
2.5
2
1.5
1
0.5
0
-0.5
9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39
-1
-1.5
-2
16
1 (1 ) 2i
UCL
L
0
(2 )
CL 0
2i
LCL L
1
(1
)
(2 )
Steady State
UCL 0 L
CL 0
LCL L
0
(2 )
(2 )
17
Example Revisited
.
-0.6
-0.2 0.0
0.2 0.4
0.6
30
40
10
20
30
40
-0.5
0.0
0.5
1.0
. ,
20
-1.0
10
18
0.1
19
0.15
0.10
0.05
0.00
Weight
0.20
10
20
30
40
20
21
Extensions
Fast initial response
Monitoring variability
1
EWMA for Poisson count
22
EWMA Smoothing
A commonly used forecasting technique
0.2, 0.05
23
Comparison Criteria
False alarm rate (type I) and misdetection rate
(type II)
Average run length (ARL)
25
Small Shifts
ARL0=370,
26
Large Shifts
ARL0=370,
27
Combined CUSUM-Shewhart
CUSUM is effective in detecting small shifts
Shewhart (x-bar) chart is better for large shifts
28