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A gradient approach to the optimal design of CUSUM charts under unknown mean-shift sizes
Huang,Wenpo1; Shu,Lianjie2; Jiang,Wei1
2016
Source PublicationJournal of Quality Technology
ISSN00224065
Volume48Issue:1Pages:68-83
Abstract

Traditional cumulative sum (CUSUM) control charts are often designed to optimize the detection performance for a prescribed magnitude of mean shift when monitoring the mean level of a process. However, the shift to occur in the future is often unknown. To account for the uncertainty of the shift size, different design criteria have been proposed. However, all the design methods discussed in the literature are based on Monte Carlo simulations, and the optimal parameters are obtained in a trial-and-error manner (e.g., Ryu et al. (2010)). Notice that the average-run length (ARL) of the CUSUM chart can be formulated as an integral equation based on the recurrence relationship of the CUSUM charting statistics; this paper proposes a gradient-based approach for efficient design and analysis of CUSUM charts under unknown mean-shift sizes. The proposed method is shown to be more accurate and efficient than Monte Carlo simulations.Grant: Acknowledgement We are grateful to the anonymous referees for their insightful suggestions that helped significantly improve the quality of this paper.

KeywordAverage-run Length Economic Loss Monte Carlo Simulation Statistical Process Control
DOI10.1080/00224065.2016.11918152
URLView the original
Indexed BySCIE
Language英语
WOS Research AreaEngineering ; Mathematics ; Operations Research & Management Science
WOS SubjectEngineering, Industrial ; Operations Research & Management Science ; Statistics & Probability
WOS IDWOS:000375825200005
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Cited Times [WOS]:3   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Affiliation1.Antai College of Economics and Management,Shanghai Jiao Tong University,,China
2.Faculty of Business Administration,University of Macau,,Macao
Recommended Citation
GB/T 7714
Huang,Wenpo,Shu,Lianjie,Jiang,Wei. A gradient approach to the optimal design of CUSUM charts under unknown mean-shift sizes[J]. Journal of Quality Technology,2016,48(1):68-83.
APA Huang,Wenpo,Shu,Lianjie,&Jiang,Wei.(2016).A gradient approach to the optimal design of CUSUM charts under unknown mean-shift sizes.Journal of Quality Technology,48(1),68-83.
MLA Huang,Wenpo,et al."A gradient approach to the optimal design of CUSUM charts under unknown mean-shift sizes".Journal of Quality Technology 48.1(2016):68-83.
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