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Sven Knoth
Helmut Schmidt University
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Abstract: EWMA control charts designed for monitoring the variance or the
mean and the variance of a normally distributed variable are either based on the log
transformation of the sample variance S 2 or provide only rough ARL results. Gan
(1995), as the most prominent example for the simultaneous case, calculated ARL
S 2 EWMA schemes. The results in Knoth and Schmid
values precisely for X-ln
2
1. INTRODUCTION
Control charts core tools of Statistical Process Control (SPC) are used
to monitor certain parameters of one or more (random) variables over time.
The main parameter of interest is the mean of the considered variable. Additionally, the performance of the variance plays a crucial role when applying a
control chart. For instance, the setting of control limits is based on reliable,
preliminary estimates of the variance. Thus, if the variance changes during
monitoring, then the average time until an alarm, false or right, is affected.
The most unpleasant case occurs when the mean changes and the variance
decreases at the same time. Then, usually, more time is needed to detect
the mean change than initially expected. Additionally, a changed (mostly
increased) variance is of importance of its own. To sum up, simultaneous
monitoring of mean and variance seems to be a quite reasonable task. Eventually, SPC software packages tend to favor most frequently X-MR (MR
control
Moving Range), X-R,
or X-S
control charts over single X or X
charts.
In practice, many control charts are applied at the same time. In general,
their joint behavior is not regarded; this is true even for charts which are
designed for the same unit. For example, in the previously mentioned simple
Shewhart control charts the control limits are seldom corrected to ensure a
certain behavior of the simultaneous charting scheme. It is quite simple
to obtain the same performance measures for the combined schemes as for
the single ones, if we consider only Shewhart charts. If we are interested
in applying more complex control charts such as EWMA (Exponentially
Weighted Moving Average) or CUSUM (Cumulative Sum), then we have to
face more complex problems.
There are several ways to form EWMA control charts with the objective
of monitoring mean and variance at the same time. Recall the so-called
omnibus charts in Domangue and Patch (1991) that exploit only a single
characteristic. Gan (1995) wrote a paper which plays an important rule
in the area of simultaneous EWMA charts. He demonstrated that EWMA
and ln S 2 , that is, the natural logarithm of the sample
schemes based on X
variance, perform quite well and dominate the preceding omnibus charts.
Additionally, he equipped the SPC public with a numerical tool to determine the Average Run Length (ARL) of combined EWMA (and CUSUM as
well) schemes. The ARL the average number of subgroups or individual
observations counted from monitoring startup, where it is assumed that the
change in the mean and/or variance happens only at the beginning is the
most popular performance measure for control charts. Thus, there is high
2
X
i = 1
X
Xij
n
Si2
z0
Z0
Zi
j=1
Z0
Zi
= (1
)Zi1
1 X
i 2 ,
=
Xij X
n1
j=1
i
+ X
z0
= (1 )Zi1
+ Si2 .
The design parameters and are chosen from the interval (0, 1] to ensure
a certain signaling behavior, where small values increase the detection power
for small changes and vice versa. The starting values z0 and z0 are usually
set to 0 and 02 , respectively. Then, as long the process is in control, the
expectations of both EWMA sequences are equal to their target values.
An alarm is given at time point L if at least one of the single charts
signals,
L = min{L , L } ,
(
)
0
L = min i N :
0 | >
:= c
,
2 n
(
)
r
r
L = min i N : Zi 02 > c := c
2 .
2 n 1 0
|Zi
and Zi , respectively. The values c and c are called critical values. In the
sequel, however, we utilize the starred versions. For the two-sided variance
case we have to introduce a further limit because of the non-symmetric
behavior of Si2 and consequently Zi (see Section 4).
The previously mentioned ARL could be described as the expectation of
L. To be precise, for fixed values of the so-called head starts z0 and z0 , and
for given actual values of and , which are assumed to be valid for the
whole averaging process, denote
E(L) = E(L|, , z0 , z0 ) .
Of course, as in the univariate case the Markov chain as well the integral
equation approach could be established for the full 2-dimensional model.
Both end in large dimensions of the resulting linear equation system if a
reasonable precision is needed. See Knoth and Schmid (2002) for some results in that direction, where it had to be used for autocorrelated data. That
approach becomes even more complex if one tries to employ the collocation
ideas given in Knoth (2005).
3. ARL CALCULATION
Ideas like in Gan (1995) that are based on Waldmann (1986) should be
exploited in order to get a more feasible approach than the full 2-dimensional
one. First, the parameters 0 and 02 are set to 0 and 1, respectively, for
the sake of simplicity. Denote P () the probability measure of our series for
a fixed parameter set of , , z0 , z0 . Then for any j N regarding the
and S 2
independence of X
P (L > j) = P (L > j) P (L > j) .
Using the well-known relation
E(L) =
P (L > j)
j=0
J1
X
j=0
P (L > j) +
P (L > J)
.
1 m
J
5
The choice of the truncation point J relies on the distance between the
bounds ARL
J and could be rather small for small distances already. The
constants m
J are defined as in Waldmann (1986) and Gan (1995), that
is, they stand for sup and inf of P (L > j; z0 , z0 )/P (L > j 1; z0 , z0 )
over the permissible domains of starting values z0 and z0 . These values m
J
converge rapidly to a common limit which resembles the eigenvalue of largest
magnitude of the joint transition kernel. Waldmann (1986), and later Gan
(1995), utilized quadrature rules in order to calculate numerically the values
P (L > j) for j = 1, 2, . . . , J by means of the following iteration rule for the
single control charts:
P (L > 1)(z0 ) =
Zc
f (z0 , z) dz ,
P (L > j)(z0 ) =
Zc
f (z0 , z) =
,
for the mean chart. () denotes the probability density function (pdf) of
a normally distributed variable with mean and variance 2 . For the S 2
chart we have to use (and, of course, different limits in the integral)
1 2 n 1 z (1 ) z0
n1
f (z0 , z) =
.
2
2
2 () denotes the pdf of a chi-squared distributed random variable with
n 1 degrees of freedom. Gan (1995) considered ln S 2 and obtained a
different version of the variance chart transition kernel. Thus, he was able
to approximate the integrals in both iteration sequences P (L > j) and
P (L > j) with Gauss-Legendre quadratures with small absciccae numbers
to ensure reasonable precision. Unfortunately, if we are interested in S 2
instead of ln S 2 , the same problem arises as for the single variance chart.
In Knoth and Schmid (2002) both iteration sequences were approximated
by terms, which come from the Markov chain approach. Instead of applying the truncation at a certain J the whole problem is transformed into a
6
Figure 1. Precision of different ARL computation methods for the in 2 EWMA control chart monitoring the mean (2-sided)
control ARL of a X-S
and variance (upper) of normally distributed data, the true value is 252.3
and the smoothing values are = 0.134 and = 0.1; S Simpson rule,
M 1 Markov chain (midpoint rule), M 2 Markov chain (Sylvester matrix
equation), C Collocation.
The Gauss-Legendre quadrature based results are not drawn in Figure 1,
because they oscillate more than all the others (see Table 1 for some numerical results). At first sight of Figure 1, the collocation method exhibits the
best performance. For dimension N = 23, collocation already ensures the
first 6 digits after the decimal point. No other method in the study attains
this accuracy with N below 300. Even if we regard the higher complexity
of the collocation approach, which leads to the highest computing times for
fixed N among the candidates, collocation is the clear favorite. See Table 1
for the corresponding computing times. The second and third best ones are
the two Markov chain approaches, followed by Simpson and Gauss-Legendre
quadrature based ones.
Table 1. Resulting ARL approximations and CPU times (measured in
hundredth seconds on an Athlon XP 1.4 GHz) for selected matrix dimensions
N and all methods under consideration; the true value is 252.2999.
Method
Gauss-Leg.
Simpson
M. chain 1
M. chain 2
Collocation
13
25
60.8717
1
5.2588
1
232.4026
<1
211.3234
<1
253.3603
2
90.9297
1
-1
1
245.2234
<1
239.9381
1
252.2999
8
matrix dimension N
51
101
143.4348
2
297.8329
2
250.5108
2
249.3160
5
252.2999
35
253.1860
5
249.0502
5
252.2235
5
251.9535
32
252.2999
140
201
301
252.1741
30
252.5606
30
252.3001
31
252.2515
286
252.2999
583
252.6392
65
252.3129
65
252.2729
68
252.2598
1221
252.2999
1323
0.1
0.05
0.01
23
0.345477
0.477977
23
0.386268
0.563641
17
0.446048
0.713918
23
0.546349
1.081116
31
0.345381
0.284547
31
0.386166
0.332911
21
0.445939
0.416409
31
0.546243
0.614829
60
0.345962
0.075633
62
0.386822
0.087563
37
0.446709
0.107662
61
0.547224
0.153289
0.005
0.001
83
0.347443
0.038398
85
0.388478
0.044359
50
0.448622
0.054313
83
0.549569
0.076655
167
0.356187
0.006213
174
0.398254
0.007149
107
0.459910
0.008701
176
0.563392
0.012100
too fast. Note that small s such as 0.001 are not reasonable at all. Knoth
(2006) provides a small study for one-sided S 2 EWMA charts that illustrates
it. While the ARL for detecting a given scale change decreases, the in-control
probability of an early alarm (right at the first observation) increases heavily.
In Section 6 the collocation approach is described in more detail. In
the next Section we employ this ARL calculation method to compare Gans
(ln S 2 based) ARL results with the ARL values of the competing S 2 based
simultaneous EWMA chart.
S 2 AND X-S
2 EWMA CHARTS
4. COMPARE X-ln
Gan (1995) compared omnibus charts described in Domangue and Patch
(1991) with two joint EWMA charts and one CUSUM combination in terms
of their ARL. Both EWMA and CUSUM are built with ln S 2 . The EWMA
charts work considerably well. Here, we want to add for both EWMA
schemes the corresponding performance of the S 2 based charts. As mentioned in the previous Section, we take the same = 0.134 like Gan, but
set = 0.1, which is sufficiently powerful as we will see soon. The critical limits c and c are chosen to provide an in-control ARL 252.3 for the
chart looks similar:
combined scheme. Recall that Gans limit for the X
c,Gan = 0.345 vs. c = 0.345477. These limits ensure also equal in-control
ARLs for the single charts, namely 499.3. Note that our comparison is not
really fair, because Gans EWMA sequence exhibits a lower reflection bar
the ARL for z0,Gan = 0 that corresponds to the worst case for detecting an
increase in 2 (the smoothing value is ,Gan = 0.043).
For the S 2 based chart, we calculate the ARL as usual for EWMA charts,
that is, for z0 = 02 = 1, which is not the lowest position of Zi . It is difficult
to compare these charts in an appropriate manner (we have to switch to the
steady-state ARL or we should introduce a reflection for the S 2 chart like
in the comparison in Knoth 2005). In Table 3, however, we give ARL values
of both (upper) EWMA charts.
S 2 (EEU ), and of
Table 3. Subset of ARLs from Gan (1995), that is, X-ln
2
0
0.20
0.40
1.00
/0
1.00 1.05 1.25 1.00 1.05 1.25 1.00 1.05 1.25 1.00 1.05 1.25
S 2 252.3 113.0 16.6 129.7 78.3 15.9 48.8 39.4 14.2 10.2 10.0 8.3
X-ln
2 252.3 101.2 13.9 129.3 72.6 13.4 48.6 38.1 12.3 10.1 9.9 7.7
X-S
however, act similarly. According to Gan, the critical limits of his twosided ln S 2 were chosen to minimize the ARL for detecting an increase to
= 1.250 (now ,Gan = 0.106). His resulting critical limits are c,Gan =
0.345, c,lower,Gan = 0.867 and c,upper,Gan = 0.215. Here, we want to
2 chart, and with so-called
compare this optimal chart with a similar X-S
ARL-unbiased versions of both. The analysis of the former is based again
on collocation methods and provide c = 0.345313, c,lower = 0.383153 and
c,upper = 0.53 (the upper variance limit was fixed, the lower one and the
mean limit are chosen to give the joint ARL 252.3 and equal ARL values of
the mean and the variance chart).
The term ARL-unbiased was defined in Pignatiello et al. (1995) and
broadly applied for variance control charts in Acosta-Meja and Pignatiello
(2000). Roughly speaking, the max of the ARL for fixed = 0 = 0 and for
varying should be attained at = 0 = 1. While it is trivial for symmetric
distributions (symmetric lower and upper control limits ensure that), it is
more demanding to choose the usually non-symmetric limits to provide the
max at the right position. Here, we try to solve the following task:
1. Joint ARL is again 252.3.
2. ARLs of the single charts are equal.
3. The slope (of the ARL function) in direction at = 0 = 1 is 0.
This is done numerically based on Gans methods and on collocation. The re S 2 EWMA scheme are c
sulting critical limits of Gans X-ln
,Gan = 0.345382,
11
5. CONCLUSIONS
The main result of the current paper is that we are able to get accurate ARL
2 EWMA control charts. To do this, one should use colloresults for X-S
cation for the S 2 part. Standard methods like the Markov chain approach
provide quick and nearly accurate results, but do not attain high accuracy.
Moreover, as already seen in Knoth (2005) and several papers mentioned
therein S 2 based schemes perform better than ln S 2 ones in terms of their
ARL. However, the current paper does not provide a complete study. A
further paper might fill this gap.
For truly two-sided variance EWMA charts one has to look for so-called
ARL-unbiased designs. With recent computer technology (PCs, not clusters
or bigger boxes, which are even faster), this is done with CPU times of some
seconds only.
To get rid of large delays in detecting mean changes in the presence of simultaneous variance decreases, it is enough to take a slightly non-symmetric
design (hence, the scheme becomes ARL-biased) as Gan (1995) already
did.
6. APPENDIX
Here, some more details of the collocation method as a plugin for calculating
the iterations of P (L > j) follow. Note that for the whole calculation
process we derive equations for an approximation of the run length survival
function and not for the true function itself, that is, all terms like P (L > j)
refer now to the numerical approximation.
chart the Gauss-Legendre quadrature is employed,
Recall that for the X
which is here the most powerful one. Thus, take N Gauss-Legendre roots
zs and weights ws on the integration interval [c , c ], so that
P (L > j)(zr ) =
N
X
s=1
provides us with a numerical recipe for the iteration sequence P (L > j).
Please do not confuse z0 (or z0 ) from Section 3, where the 0 stands for in
control, with zs . Here, s points to sth quadrature node.
In Section 3 the same was applied for P (L > j) besides the Simpson
and midpoint rules as competing quadrature methods.
Now, the collocation method should be presented. Collocation means
that the solution is built as linear combination of certain base functions
12
N
X
gjs Ts (z)
s=1
via
N
X
gjs Ts (zr ) =
s=1
N
X
1+c
Z
gj1,s
s=1
Ts (z)f (zr , z) dz , r = 1, 2, . . . , N
0
on a suitably chosen grid z1 < z2 < . . . < zN and an easily derived starting
set {g1s } we obtain the wanted iteration sequence for approximating the
run length survival function. We calculate the new values {gjs } step by step
while solving the above equation systems.
If we take step functions as base, then we arrive again at the Markov
chain approach. Usual bases are monomials like 1, z, z 2 , . . . , z N 1 , Lagrange
or Chebyshev polynomials (some adaption for usage on [0, 1 + c ] is needed)
Ts (z) = cos s arccos(z) , s = 0, 1, . . . , N 1 , z [1, 1] ,
which ensure more stable numerical quadratures than monomials or Lagrange polynomials. It could be worthwile to compare monomials and
Chebyshev polynomials in terms of the resulting ARL computing time. For
monomials it could be easier to establish faster iterations.
and for S 2 we are able to approximate the survival function
Now, for X
/
P (L/ > j) for arbitrary z and not only at the nodes zr . Recall that the
grids used for the single charts differ from each other. Thus, zs stands for
the respective grid. In terms of vector arithmetics the methods look like:
P~j = MP~j1 ,
0
) ,
P~j = P (L > j)(z1 ), . . . , P (L > j)(zN
M = Mrs , Mrs = ws f (zr , zs ) ,
for the simple mean part and
N ~gj = O~gj1 ,
~gj = gj1 , . . . , gjN ,
N = Nrs , Nrs = Ts (zr ) ,
1+c
Z
O = Ors , Ors =
Ts (z )f (zr , z ) dz
13
for the more subtle S 2 chart. Here, we recognize the source of the higher
computing times for fixed N compared to the competing methods. Fortunately, the matrices N and O do not depend on j so that the solution of
the linear equation system for each j could be accelerated. The entries of O
are calculated numerically, where only small numbers of quadrature points
are needed (do not confuse these quadratures with the upper ones) for high
accuracy. Note that for this paper Chebyshev polynomials are used (just in
case when for very small large values of N could be necessary). For the
monomials base perhaps, faster solution is possible.
For the two-sided variance chart the collocation approach becomes even
more difficult to describe. Instead of bases which contain smooth, nonconstant functions over the whole interval [1 + c,lower , 1 + c,upper ], we use
now piecewise defined functions, which vanish outside a small supporting
interval. For details about this we refer to Knoth (2005). The reason behind
this detour is that the piecewise approach is considerably more precise than
the full approach and does not need more computing time for the same N .
Eventually, the numerical approach for the ARL-unbiased design will be
sketched. As mentioned in Section 4, three conditions have to be fulfilled
and three critical values are unknown. The iteration starts with the upper scheme that yields the target joint in-control ARL and equal ARLs of
the single charts. Then, a slightly increased upper variance limit is fixed.
The remaining limits are calculated to ensure the previous mentioned ARL
design. Finally, by means of the secant rule this upper variance limit is
changed as long as (L0 ,0 L0 ,0 + )/(2) (this secant should mimic the
slope at (0 , 0 ) in -direction) is larger than 106 . Thereby, is set to 104 .
After updating the upper variance limit, the lower one and the mean limit
are again derived to provide the target joint ARL and equal ARL values
of the separate charts. Figure 2 demonstrates that the iteration provides
reasonable results.
References
Acosta-Meja, C. A. and Pignatiello, J. J., Jr. (2000). Monitoring Process
Dispersion Dithout Subgrouping, Journal of Quality Technology 32: 89
102.
Brook, D. and Evans, D. A. (1972). An Approach to the Probability Distribution of CUSUM Run Length, Biometrika 59: 539549.
14
Reynolds, M. R., Jr. and Stoumbos, Z. G. (2004). Control Charts and the
Efficient Allocation of Sampling Resources, Technometrics 46: 200214.
Waldmann, K.-H. (1986). Bounds for the Distribution of the Run Length of
Geometric Moving Average Charts, Journal of Royal Statistical Society,
Series C 35: 151158.
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