J. Proc. Cont.

ELSEWEX

Vol. 7, No. 2, pp. 149-152, 1997 1997 Elsevier Science Ltd Printed in Great Britain. All rights reserved 0959-1524/97 $17.00 + 0.00

PII: S0959-1524196100026-1

Sh-ort Note
Critical values for a steady-state identifier
Songling Cao and R. Russell Rhinehart
Department o f Chemical Engineering, Texas Tech University, Lubbock, TX 79409-372L USA Received 2 September 1996; revised 37 October 1996
A table of critical values for a recently proposed R-statistic for steady-state identification is presented. The power of the R-test is also discussed. 1997 Elsevier Science Ltd. All rights reserved
K e y w o r d s : critical values, s t e a d y - s t a t e identification, p o w e r of test

R-statistic for

steady-state

identification

Steady-state identification is an important issue in the areas of process control and optimization. Recently a new method of steady-state identification has been proposed and shown to be effective when applied to several chemical processes [1]. The method uses the R-statistic: a ratio o f two different estimates of the variance o f a 'time series' of data. The first estimate of the variance is based on the illtered squared deviation from previous filtered value, Let X~ = A.1X, + (1 - A~)X:,_~ where 0 < )~ < 1, and , ): ~ v~ = ~.2(X, - Xf-a + (1 - k.2)v ~ ~ (1)

The R-statistic is defined as the ratio of those two estimates of the variance as determined by Equation (3) and Equation (5) when Xis are independent standard normal variates (N(0,1)) : s~, , S; ( 2 _ 2a). v}, fi= f,

Ri -

(6)

(2)

The unbiased estimate of the variance based on the illtered squared deviation from previous filtered value will be [1]

The new method of steady-state identification (the Rtest) is to compare the R-value of a process to the critical value of the R-statistic. If the R-value is greater than the critical value, the process is considered not at steady-state at an associated level of significance. For the Gaussian distributed process variable, the distribution of the R-statistic is independent of the mean and standard deviation of the process. When the data series {~} is Gaussian distributed with mean of/1 and standard deviation of o', (N(y,o)), Equation (2) can be rearranged as: ~ = v~,_ ( g - 1 -or'--

Xi

1"/

Xf,_o. '

]'/

+(1-&)

v~-I o "2

(7)

s~. =

9 -

v},

(3)

Here ( X , - p)/cr is the standard normal deviate (N(0,1)). Subtract/.t from both sides of Equation (1) and divide by or,

The second estimate of the variance is based on the illtered squared differences of successive data. Define 6 2f, = ,?.3(X~ - Xi_l) 2 + (1 - A.3). 6 =f,t (4)

Xf, - p _ 2~ X,.-I.z
cr o"

+(1-

~ ) X;I ' - ,u cr

(8)

The unbiased estimate of the variance based on the illtered squared deviation from the previous filtered value will be [1] 2 s;=
~2 (5)

So, (X;;. - /.z)/cr is the first order filtered value of (X. -/l)/o-. Similarly, Equation (4) can be rearranged as (subtract/1 and divide by or) 8i _ X,.-/./
-o-

-or- )t'3

Xt.~-F/
cr

+(i_.;!.3) " fi~

O- 2

(9)

149

150

Critical values for steady-state identifier: S. Cao and R. R. Rhinehart

to be effective, the power of test should be greater than tx, the type I error, and the greater the power of test, the m o r e effective the test will be. In this work, the power of the R test is calculated for two different cases: A. when the process has a persistent slope on its mean value B. when the process is first-order autocorrelated ( M a r k o v process) F o r each, the power was calculated from the MonteCarlo technique from which the critical values were obtained.

Combining Equations (7), (8) and (9), the R-values for standard normal distributed data series {(X,. - #)/o-} will be
f.V 2

(2
Ri =

21)'~" ~2 f, a2 =

(2-21).v 2 (52 ~ f~

(10)

This means that the series of R; values for N(bt,a) distributed data series {Xi} are exactly the same as that of N(0,1) distributed data series {(X,.- l,t)/a}. So the distribution of R for all normal distributed data series will be the same, independent of/~ and o-. The distribution of the R-statistic is also found to be robust to the nature of distribution of the process variable [1, 2]. Therefore, the distribution of the R-statistic is effectively only a function of ~,~, ~ and ~ and the critical values of the Rstatistic only need to be calculated for different combinations of &1, 22 and X3 values,

A. Slope Table 2 gives the power of the R-test for several different slope magnitudes for two type I error values, and for several ~ combinations. Table 2 shows that the power of the R-test increases with the slope magnitude, and with decreasing ~,~ values. This is because [1]

The critical values of the R-statistic

The construction of the table of critical R-values is based on the pdf(R)s which are calculated by simulations using computer generated p s e u d o - r a n d o m numbets. The Box-Muller method is used to generate a Gaussian distributed sequence [3]. Given the A, values and a time series of r a n d o m numbers, the pdf(R) can be constructed as following: First estimate the mean and variance of the random n u m b e r by using the first ten numbers in the sequence. Use the estimated mean as the initial value of both XI and )(,._1. Use the estimated variance as the initial value of v~ Use twice the estimated variance as the initial value of S}. Then, for each new r a n d o m number X~, sequentially use Equations (1), (2), (4) and (6) to calculate a new Ri and update Xy.., X i i, v~. and &2 A" In this work this procedure is repeated for three million samples after the first 10. Each time a new Rvalue is generated it is put into a histogram. The histogram data can be later on used to give the pdf(R) and cdf(R). The pdf(R) and cdf(R) can also be calculated by bootstrapping from experimental data or in a 'ergodic' manner [2], and those results are all nearly identical to what are obtained sequentially using c o m p u t e r generated random number as mentioned above. A linear interpolation of the cdf(R) will give RI_~ for various values. A bin width of 0.01 is used to obtain the two decimal digit accuracy. Table 1 presents the critical values for c~ = 0.50, 0.25, 0.10, 0.05, 0.01 for ~. values of 0.5, 0.2, 0.1, 0.05, 0.02 and 0.01.

Table 1 A.~ ~

Table of critical values of the R-statistic ~ or=0.50 c~=0.25 c~=0.10 a=0.05 cx=0.01

0.5 0.2
0. I

0.5 0.5
0.5

0.5 0.5
0.5

0.99 0.96
0.94

1.47

1.29 1.43

1.70 2.21
2.40

2.01 2.93
3.29

2.72 4.97
6.05

0.05 o.02 0.01 0.5

0.2

0.5 0.5 0.5 0.2

0.2

0.5 0.5 0.5 0.2 0.2 0.2 0.2

0.2 0.1 0.2

0.94 0.93 0.93 1.00 0.99 0.99 0.99

0.99 1.00

1.49 1.49 1.50 1.15 1.24 1.25 1.25

1.26 1.15 1.22

2.50 2.56 2.57 1.32

1.51

3.50 3.63 3.66 1.45 1.84 1.90 1.93

1.95 1.74

6.69 7.11 7.21 1.72 2.57 2.70 2.79

2.82 2.32

O.l 0.2 o.05 0.2 0.02 0.2

0.01 0.2 0.1

1.57 1.60 1.62

1.63

o.5
0.2

0.1

0.1

1.00 1.00 1.00 1.00

1.00

1.10

1.21 1.35 1.37 1.38

1.38 1,14 1.21 1.32

1.28 1.49 1.52 1.53

1.44

1.43
1.73

0.01 0.5 0.2

0.1 0.1 0.05 0.1 0.02 0.1

0.1 0.05 0.05

0.1 0.! 0.1

0.I 0.05 0.05

1.00

1.17

1.16 1.17 1.17

1.55

1.95

1.83 1.89 1.93

1.28 1.44

1.00 1.00

1.07 1.10

1.18 1.28

0.1 0.05 0.05 0.05 0.05 0.05

0.02 0.01 0.5 0.05 0.05 0.02 0.05 0.05 0.02

1.00 1.00
1.00 1.00 1.00

1.I1 1.11
1.12 1.12

1,23 1.24
1.24 1.25

1.3t 1.33
1.34 1.34

1.50 1.52
1.54 1.55

o.2 0.02 0.02 0.1 0.02 0.02 0.05 0.02 0.02

0.02 0.02 0.01 0.02 0.02 0.02 0.01 0.01 0.01

1.00 1.00 1.00

1.00 1.00 1.00 1.00 1.00

1.06 1.07 1.07

1.00 1.07 1.03 1.04 1.05

1.04

1.12 1.14 1.14

1.14 1.14 1.06 1.08 1.09

1.08

1.16 1.18 1.19

1.19 1.19 1.07 1.11 1.12

1.11

1.24 1.27 1.28

1.29 1.30 1.11 1.16 1.18

1.16

Power of the test

The power o f a test is defined as 1-]3, where ]3 is the probability that the steady-state hypothesis, H 0 is accepted when Ho is not true (type II error). F o r a test

0.5 0.2 0.I

0.01 0.01 0.01

0.o5 0.01 0.01 0.02 0.01 0.01

0.01 0.01 0.01

1.00 1.00
1.00

1.05

1.05 1.05

1.10 1.10
1.10

1.13 1.13
1.13

1.19

1.19 1.19

Critical values for steady-state identifier: S. Cao and R. R. Rhinehart

Table 2

151

R-test power for various slope magnitudes

Table 3 (a) p

R-test power for various levels of autocorrelation 0.1 2. 0.1 0.1 0.05 0.05 23 0.1 0.1 0.05 0.05 a = 0.05 0.108 0.111 0.148 0.149 a = 0.01 0.027 0.028 0.040 0.044

(a) slope = 0.01. T X, 0.2 0.1 0.1 0.05 ~ 0,1 0,1 0.05 0.05 ~ 0.1 0.1 0.05 0.05 c~= 0.05 0.050 0.055 0.056 0.080 a = 0.01 0.010 0.011 0.011 0.019

X1 0.2 0.1 0.1 0.05 (b) p = 0.2 X~

cr (b) slope = 0.05. ~" Xt 0.2 0.1 0.1 0.05 )~ 0.1 0.1 0.05 0.05 23 0.1 0.1 0.05 0.05 a = 0.05 0.087 0.247 0.382 0.978 a = 0.01 0.020 0.086 0.150 0.907

2: 0.1 0.1 0.05 0.05

~, 0.1 0.1 0.05 0.05

a = 0.05 0.200 0.213 0.330 0.335

a = 0.01 0.063 0.068 0.125 0.139

0.2 0.1 0.1 0.05

(c) p = 0.4

o" (c) slope = 0.1. -~

;L~

2,

23 0.1 O.l 0.05 0.05

a = 0.05 0.500 0.530 0.802 0.804

a= 0.01
0.250 0.274 0.560 0.580

X, 0.2 0.1 0.1 0.05

~ 0.1 0.1 0.05 0,05

2.3 0.1 0.1 0.05 0.05

a = 0.05 0.253 0.843 0.986 1.0

o~= 0.01 0.087 0.610 0.922 1.0

0.2 O.l 0.1 0.05 (d) p = 0.6

0.1 O. l 0.05 0.05

(~ (d) slope = 0.2- "T" ~-i 0.2 0. I 0.1 0.05 2, 0.1 0.1 0.05 0.05 23 0.1 0.1 0.05 0.05 o~= 0.05 0.868 1.0 1.0 1.0 a = 0.01 0.650 0.999 1.0 1.0

).~

2,

Z~

a = 0.05 0.812 0.844 0.982 0.984

a = 0.01 0.60 0.643 0.925 0.939

0.2
0.1

0.1
0.1

0.1 0.05

0.05 0.05

0.1 0.1 0.05 0.05

(e) slope--1.0. ~x, 0.2 0.1 0.1 0.05 ,L 0.1 O. 1 0.05 0 05 23 O.l 0.1 0.05 0.05 a = 0.05 1.0 1.0 1.0 1.0 a = 0.01 1.0 1.0 1.0 1.0

23 v a l u e s will n a r r o w t h e p d f ( R ) s a n d ' c e n t e r ' t h e m a r o u n d the a v e r a g e R v a l u e s . So, e v e n t h o u g h a v e r a g e R v a l u e s are n o t c h a n g e d , t h e t y p e II e r r o r can be r e d u c e d a n d the p o w e r o f t h e test will increase. F r o m Table 2, e v e n for a small persisting n o r m a l i z e d slope o f 0. I, the test p o w e r is s u b s t a n t i a l l y g r e a t e r t h a n c~.

B. First-order autocorrelated process

1 2-)q

E(s~) _ E(s~ )

(2 - & ) E ( v } , ) E(fi},) = 2 A~

-/,O'U )

(12

sT

+1

Table 3 gives the p o w e r o f t h e R - t e s t f o r several different levels o f a u t o c o r r e l a t i o n , for t w o levels o f signific a n c e , f o r v a r i o u s Z values. A u t o c o r r e l a t i o n was m o d e l e d as
X,=p.X,_: +a i
(11) w h e r e a, is iid N(0,1). T h e p o w e r o f t h e R - t e s t i n c r e a s e s w i t h a n i n c r e a s e in autocorrelation and increases with a decrease of & and G v a l u e s . T h a t is b e c a u s e [1]

1 (sT12 ~ - \ ~ X ) +1

= E

= E(R~)

So, the a v e r a g e o f R i n c r e a s e s w i t h a n i n c r e a s e in t h e slope, a n d i n c r e a s e s w i t h a d e c r e a s e in t h e A,~ v a l u e . A n i n c r e a s e in t h e a v e r a g e o f R will m o v e t h e p d f ( R ) u n d e r

E(s~, )
~ ) -

(2 - 2 1 ) E ( v f , )

1 = 1 - (1

E(fif,
/--\ Is+/

E(s_,
- E

& ). P
(12)

H| (not at steady-state)further away from the pdf(R)

u n d e r H0 (at s t e a d y - s t a t e ) , t h e r e f o r e t h e t y p e I I e r r o r will be r e d u c e d a n d t h e p o w e r o f t h e R - t e s t will be increased The power of the R-test also increases with a decrease in e i t h e r ~ o r ~ values, b e c a u s e t h e d e c r e a s e in ~ a n d

)=

E(R,)

T h e i n c r e a s e o f p will i n c r e a s e t h e a v e r a g e R a n d r e d u c e the t y p e II error A g a i n , the d e c r e a s e o f ~ a n d ~ val-

152

Critical values for steady-state identifier: S. Cao and R. R. Rhinehart

References 1. Cao, S. and Rhinehart, R. R. An efficient method for on-line 2. Cao, S. Statistically based techniques for process control appli3. cations. Ph.D. Dissertation, Texas Tech University, December 1996. Box, G. E. P. and Jenkins, G. M. Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco, CA, 1976. identification of steady-state. 3". Proc. Cont., 1995, 5(6), 363-374.

ues will narrow the pdf(R)s and 'center' them around the average R-values, therefore reducing the type II error. The power of the R-test is substantially bigger than tz when the autocorrelation coefficient is greater than 0.4.

Conclusion
Critical values for a useful statistic in testing the steady-state hypothesis (stationary mean) of a time series of independent identical distributed data have been obtained by computer simulation. The R-test also has been proven effective (high power) and robust to the distribution of the measurements.

List of symbols
a fl A'I'A2'~ &~ ~ type I error type II error adjustable parameters of the R-statistic ith first order filtered value of squared difference between successive process data ith first order filtered value of squared difference between process data and previous filtered value autocorrelation coefficient ith independent distributed random variable ith value of the R-statistic slope magnitude (change after each time interval) ith value of a numerator term of the Rstatistic ith value of the denominator of the R-staffstic time step size ith value of process data ith filtered value of process data

Acknowledgement
The authors wish to thank Professor Kamal Chanda (Texas Tech University, Department of Mathematics and Statistics) for his guidance. The authors appreciate both the financial support and technical guidance from the following members of the Texas Tech Process Control and Optimization Consortium: Amoco Oil Co.; Arco Exploration and Production and Chemicals; Aspentech; Diamond Shamrock; The Dow Chemical Co.; Exxon Co., USA; Hoechst-Celanese Corp.; Johnson Yokogawa Corp.; Phillips Petroleum Co.; and Union Carbide. p ai R~ s s2 Ii s2 2i T X~ X~