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A Novel Gradient Approach for Optimal Design and Sensitivity Analysis of EWMA Control Charts
Lianjie Shu1; Wenpo Huang1; Wei Jiang2
2014-03-17
Source PublicationNaval Research Logistics
ISSN0894-069X
Volume61Pages:223-237
Abstract

Conventional control charts are often designed to optimize out-of-control average run length (ARL), while constrainingin-control ARL to a desired value. The widely employed grid search approach in statistical process control (SPC) is time-consumingwith unsatisfactory accuracy. Although the simulation-based ARL gradient estimators proposed by Fu and Hu [Manag Sci 45 (1999),395–413] can alleviate this issue, it still requires a large number of simulation runs to significantly reduce the variance of gradientestimators. This article proposes a novel ARL gradient estimation approach based on integral equation for efficient analysis anddesign of control charts. Although this article compares with the results of Fu and Hu [Manag Sci 45 (1999), 395–413] based on theexponentially weighted moving average (EWMA) control chart, the proposed approach has wide applicability as it can generallyfit into any control chart with Markovian property under any distributions. It is shown that the proposed method is able to provide afast, accurate, and easy-to-implement algorithm for the design and analysis of EWMA charts, as compared to the simulation-basedgradient estimation method. Moreover, the proposed gradient estimation method facilitates the computation of high-order derivativesthat are valuable in sensitivity analysis. The code is written in Matlab, which is available on request.

KeywordFalse Position Method Integral Equation Markov Chain Statistical Process Control
DOIhttps://doi.org/10.1002/nav.21579
Indexed BySCIE
Language英语
WOS Research AreaOperations Research & Management Science
WOS SubjectOperations Research & Management Science
WOS IDWOS:000334178000005
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Citation statistics
Cited Times [WOS]:4   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Corresponding AuthorLianjie Shu
Affiliation1.Faculty of Business Administration University of Macau Macau China
2.Antai College of Economics and Management Shanghai Jiao Tong University Shanghai China
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Lianjie Shu,Wenpo Huang,Wei Jiang. A Novel Gradient Approach for Optimal Design and Sensitivity Analysis of EWMA Control Charts[J]. Naval Research Logistics,2014,61:223-237.
APA Lianjie Shu,Wenpo Huang,&Wei Jiang.(2014).A Novel Gradient Approach for Optimal Design and Sensitivity Analysis of EWMA Control Charts.Naval Research Logistics,61,223-237.
MLA Lianjie Shu,et al."A Novel Gradient Approach for Optimal Design and Sensitivity Analysis of EWMA Control Charts".Naval Research Logistics 61(2014):223-237.
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