UM
A gradient approach to efficient design and analysis of multivariate EWMA control charts
Huang,Wenpo1; Shu,Lianjie2; Jiang,Wei3
2018-09-22
Source PublicationJournal of Statistical Computation and Simulation
ISSN15635163 00949655
Volume88Issue:14Pages:2707-2725
AbstractCompared to the grid search approach to optimal design of control charts, the gradient-based approach is more computationally efficient as the gradient information indicates the direction to search the optimal design parameters. However, the optimal parameters of multivariate exponentially weighted moving average (MEWMA) control charts are often obtained by using grid search in the existing literature. Note that the average run length (ARL) performance of the MEWMA chart can be calculated based on a Markov chain model, making it feasible to estimate the ARL gradient from it. Motivated by this, this paper develops an ARL gradient-based approach for the optimal design and sensitivity analysis of MEWMA control charts. It is shown that the proposed method is able to provide a fast, accurate, and easy-to-implement algorithm for the design and analysis of MEWMA charts, as compared to the conventional design approach based on grid search.
Keywordfalse position method Markov chain Optimal design sensitivity analysis
DOI10.1080/00949655.2018.1483367
URLView the original
Language英语
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Document TypeJournal article
CollectionUniversity of Macau
Corresponding AuthorShu,Lianjie
Affiliation1.School of Mechanical Engineering,Northwestern Polytechnical University,,Xi'an,China
2.Faculty of Business Administration,University of Macau,,Macao
3.Antai College of Economics and Management,Shanghai Jiao Tong University,,Shanghai,China
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Huang,Wenpo,Shu,Lianjie,Jiang,Wei. A gradient approach to efficient design and analysis of multivariate EWMA control charts[J]. Journal of Statistical Computation and Simulation,2018,88(14):2707-2725.
APA Huang,Wenpo,Shu,Lianjie,&Jiang,Wei.(2018).A gradient approach to efficient design and analysis of multivariate EWMA control charts.Journal of Statistical Computation and Simulation,88(14),2707-2725.
MLA Huang,Wenpo,et al."A gradient approach to efficient design and analysis of multivariate EWMA control charts".Journal of Statistical Computation and Simulation 88.14(2018):2707-2725.
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