IE 4230 Quality Engineering II

Chen Nan
Department of Industrial and Systems Engineering
NUS

Lecture 2: CUSUM and EWMA charts

Chapter 9, Statistical Quality Control, Montgomery, 7th edition
Chapter 4&5, Introduction to Statistical Process Control, Qiu.
Chapter 8, Statistical methods for quality improvement, Ryan, 3rd edition.

LOGO

and R charts

Dr. Chen Nan

Small shifts
-R chart is not sensitive to small shifts

IC Distribution

Shift size

Type-II error probability

3

0.5 0.6 0.7 0.8 0.9 1.0

OC Distribution

beta

0.0

0.5

1.0

1.5

2.0

2.5

delta

Dr. Chen Nan

3.0

Example
Given 20 values from a N(0, 1) followed by 20
values from a N(1, 1)

Observations are sample means

Observations are independent
Sample
1
2
3
4
5
6
7
8
9
10

Xbar
0.54
0.44
0.81
0.08
0.11
0.82
1.08
0.01
0.06
0.69

Sample
11
12
13
14
15
16
17
18
19
20

Xbar
0.36
0.82
0.09
0.26
0.97
0.98
0.26
0.25
0.41
1.6

Sample
21
22
23
24
25
26
27
28
29
30

Dr. Chen Nan

Xbar
0.23
1.28
1.94
1.95
2.78
2.31
0.05
1.2
0.23
0.93

Sample
31
32
33
34
35
36
37
38
39
40

Xbar
0.27
0.51
0.11
0.8
0.12
0.23
2.02
2.2
1.14
0.26

Cumulative Sum
Deviation from a in control mean

3
2
1
0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40
1
2

X-bar chart

25
20
15
10
5
0
5

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40

Cumulative sum plot

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Notes on Rudimentary CUSUM plot

There is no slope on the first 20 samples
But, after the first 20 samples, the slope is steep
If the alarm value (h) is 5, a call to action would
have been signaled on the 24th observation
What is the appropriate value of h?

CUSUM Chart
The Tabular CUSUM

Purpose of using K: remove noise around zero, let

signals stand out
or
, signal out-of-control alarm
When
8

Example
Tabular CUSUM Charts (with K=0.5)
12
10
8
6
4
2
0
-2

10

15

20

25

30

35

40

10

15

20

25

30

35

40

12
10
8
6
4
2
0

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Design Rules
Design parameters

H h ; h 4 or 5

K k ; k 0.5

10

Impact of K
How to evaluate the performance?

ARL

200

100
0

ARL

300

Type I error or Type II error?

Average Run Length (ARL)?

0.0

0.5

1.0

1.5

1.5

2.0

2.5

3.0

3.5

4.0

shift

shift

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Fast Initial Response (FIR)

Starting CUSUM from

3,
12,
100
Small influence when there is no shift

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12

Fast Initial Response (FIR)

Starting CUSUM from

3,
12,
100,
105
Faster detection when there is a shift

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13

Generalization
Similar idea can be applied to other detection
scenarios

Link to sequential probability ratio test (SPRT)

|
|

max 0,

,
,

,,
,,

;
;

Generalized likelihood ratio test

CUSUM needs to specify K, depending on unknown

sup
max

,
,

,,
,,

Dr. Chen Nan

;
;
14

The EWMA Control Chart

Exponentially Weighted Moving Average

zi xi (1 ) zi 1

0 1
z0 0

2i

[1
(1
)
]

2
2
zi

3
2.5
2
1.5
1
0.5
0
-0.5

9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39

-1
-1.5
-2

16

The EWMA Control Chart

Variable Control Limits

1 (1 ) 2i

UCL
L

0
(2 )

CL 0

2i
LCL L

1
(1
)

(2 )
Steady State

UCL 0 L

CL 0

LCL L
0

(2 )

(2 )
17

Example Revisited
.

-0.6

-0.2 0.0

0.2 0.4

0.6

30

40

10

20

30

40

-0.5

0.0

0.5

1.0

. ,

20

-1.0

10

18

EWMA Control Chart Design

The design parameters of the charts are L and

The parameter are chosen to have desired ARL

performance
In general, .
.
chosen correspondingly

works well. L can be

L=3 works reasonably well

L between 2.6 and 2.8 is useful when
When
chart

0.1

is close to one, EWMA becomes Shewhart

Dr. Chen Nan

19

The Weighting Function

Exponential weighting

0.15
0.10
0.05
0.00

Weight

0.20

10

20

30

40

Age of the sample

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EWMA Control Chart Design

21

Extensions
Fast initial response
Monitoring variability
1
EWMA for Poisson count

Robustness of EWMA for non-normal data

Especially for small

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22

EWMA Smoothing
A commonly used forecasting technique

Different smoothing parameter

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0.2, 0.05
23

Comparison Criteria
False alarm rate (type I) and misdetection rate
(type II)
Average run length (ARL)

When process in control, ARL0 should be large

When process is out-of-control, ARL should be as small
as possible

Fixed ARL0 for all charts, and compare their detection

performance

Dr. Chen Nan

25

Small Shifts
ARL0=370,

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Large Shifts
ARL0=370,

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Combined CUSUM-Shewhart
CUSUM is effective in detecting small shifts
Shewhart (x-bar) chart is better for large shifts

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