Received: 3 May 2017 Revised: 13 October 2017 Accepted: 2 January 2018

DOI: 10.1002/qre.2272

RESEARCH ARTICLE

An efficient adaptive EWMA control chart for monitoring

the process mean

Abdul Haq1 Rabia Gulzar1 Michael B. C. Khoo2

1
Department of Statistics, Quaid-i-Azam
University, Islamabad, Pakistan
2
School of Mathematical Sciences,
Universiti Sains Malaysia, Minden,
Penang, Malaysia
Correspondence
Abdul Haq, Department of Statistics,
Quaid-i-Azam University, Islamabad,
Pakistan.
Email: aaabdulhaq@yahoo.com
Abstract
In recent years, the memory-type control charts—exponentially weighted mov-
ing average (EWMA) and cumulative sum (CUSUM)—along with the adap-
tive and dual control-charting structures have received considerable attention
because of their excellent ability in providing an overall good detection over a
range of mean-shift sizes. These adaptive memory-type control charts include
the adaptive exponentially weighted moving average (AEWMA), dual CUSUM,
and adaptive CUSUM charts. In this paper, we propose a new AEWMA chart
for efficiently monitoring the process mean. The idea is to first design an unbi-
ased estimator of the mean shift using the EWMA statistic and then adaptively
update the smoothing constant of the EWMA chart. The run length profiles of
the proposed AEWMA chart are computed using extensive Monte Carlo sim-
ulations. Based on a comprehensive comparative study, it turns out that the
proposed AEWMA chart performs better than the existing AEWMA, adaptive
CUSUM, dual CUSUM, and Shewhart-CUSUM charts, in terms of offering more
balanced protection against mean shifts of different sizes. An example is also
used to explain the working of the existing and proposed control charts.

K E Y WO R D S
ACUSUM, AEWMA, adaptive control chart, average run length, process mean, statistical process
control

1 I N T RO DU CT ION the special-cause variations of a production process that

The statistical quality control charts have received a great
deal of attention in the statistical process control (SPC)
literature because of their simplicity, efficiency, and poten-
tial to swiftly track process changes in areas as diverse as
the statistical quality control, navigation system monitor-
ing, fisheries, signal segmentation, etc. One of the main
objectives of these control charts is to detect unusual
variations in a production/manufacturing process and in
enabling the control system to take suitable actions in time
before the production of defective items. The key features
of the SPC include the identification and monitoring of
help in refining the quality of products and the process
productivity/output (cf Montgomery1 ).
The concept of a control chart was introduced by Wal-
ter A. Shewhart. Later, this concept laid the foundation
of the modern SPC. The most recent advanced powerful
statistical-process monitoring tools include the cumulative
sum (CUSUM) and the exponentially weighted moving
average (EWMA) control charts. The classical CUSUM
chart was suggested by Page,2 while the EWMA chart
was suggested by Roberts.3 Both of these control charts
along with their modified versions are most commonly
used in the process and service industries to track small

Qual Reliab Engng Int. 2018;34:563–571. wileyonlinelibrary.com/journal/qre Copyright © 2018 John Wiley & Sons, Ltd. 563
564
changes in the process parameters, where these small dis-
turbances are likely to impose serious financial penalties.
However, when the interest lies in detecting large pro-
cess shifts, these control charts are less effective than the
Shewhart chart. One of the possibilities to enhance the
sensitivities of the CUSUM and EWMA charts for both
small and large shifts simultaneously is to combine them
with the classical Shewhart chart. Following the same
idea, Lucas4 and Lucas and Saccucci5 suggested using
combined Shewhart cumulative sum (SCUSUM) and com-
bined Shewhart-EWMA charts, respectively, for monitor-
ing the process mean. These combined charts are more
sensitive for large shifts than their single counterparts.
Despite the wide popularity of these memory-type con-
trol charts, these charts are only useful when the shift
sizes are known or when the quality practitioner is inter-
ested in designing a control chart for a specific shift.
However, practically, the situation is quite different, the
shift sizes may not be known in advance and thus are
needed to be estimated or it may be expected that the shift
will lie within some interval. In what follows, recently,
the researchers have started focusing on the develop-
ment of adaptive and dual control-charting structures
that provide better protection against shifts of different
sizes. In an adaptive control chart, it is customary to
estimate the process shift using an unbiased estimator
with the help of an EWMA statistic and then to opti-
mize the control chart using that shift estimator. Sparks6
suggested an adaptive cumulative sum (ACUSUM) chart
for monitoring the process mean that outperformed the
classical CUSUM chart when detecting shifts of differ-
ent magnitudes. The idea is to estimate the shift with the
EWMA statistic and then update the slack value with it
to increase the sensitivity of the CUSUM chart. A sim-
ilar approach was followed by Capizzi and Masarotto,7
who suggested an adaptive exponentially weighted mov-
ing average (AEWMA) chart for monitoring the process
mean. The AEWMA chart was designed using the Huber
score function (cf Huber8 ) that helped in suitably combin-
ing the features of the Shewhart and EWMA charts. They
showed that the optimal AEWMA charts are able to per-
form substantially better than the classical Shewhart with
run rules, optimal EWMA, Shewhart-EWMA, and opti-
mal CUSUM charts when monitoring different mean-shift
sizes. Zhao et al9 suggested combining 2 CUSUM charts
for efficiently monitoring changes in the process mean,
called the dual cumulative sum (DCUSUM) chart. They
have shown that the 1-sided DCUSUM chart surpasses
the classical 1-sided CUSUM and SCUSUM charts. In a
similar vein, Jiang et al10 proposed ACUSUM for moni-
toring mean shifts within a range. After estimating the
process shift with the EWMA statistic, they used the Huber
score function to update the reference value of the CUSUM
HAQ ET AL.
chart. The ACUSUM chart turned out to be more sensitive
than the CUSUM and SCUSUM charts. Moreover, they
have also shown that the ACUSUM chart outperformed
the AEWMA chart when detecting small and moderate
process mean shifts. Wu et al11 extended the work of Jiang
et al10 to design an enhanced ACUSUM chart (1-sided)
for monitoring the process mean. In detecting moderate to
large mean shifts, the latter ACUSUM chart outperforms
the former ACUSUM chart. For some more related works,
refer to Huang et al,12 Aly et al,13,14 and the references cited
therein.
In this work, we propose a new AEWMA chart that
first estimates the process mean shift using the EWMA
statistic with the help of an unbiased estimator of the
shift and then selects an appropriate value of the smooth-
ing constant depending upon the magnitude of the shift.
For small shift sizes, small values of the smoothing con-
stant are selected and so on. The run length profiles of
the proposed AEWMA chart are computed with the help
of extensive Monte Carlo simulations, including the aver-
age run length (ARL) and the standard deviation of the
run length (SDRL). The proposed AEWMA chart is com-
pared with the existing AEWMA, ACUSUM, DCUSUM,
and SCUSUM charts in terms of the ARL. The proposed
chart surpasses the existing charts.
The outline of the rest of the paper is organized as fol-
lows: In Section 2, we review some of the classical and
recent memory-type control charts. In Section 3, a new
AEWMA control chart is proposed for efficiently mon-
itoring changes in the process mean. A comprehensive
comparative study is conducted in Section 4, and an illus-
trative example to explain the functioning of the proposed
chart is given in Section 5. Finally, Section 6 summarizes
the main findings and concludes the paper.
2 THE EXISTING CO NTRO L
C H A RTS
In this section, we briefly review some classical and recent
control charts for monitoring changes in the process mean.
Let {Yt } for t ≥ 1 be a sequence of independently dis-
tributed normal random variables with the mean 𝜇 and the
variance 𝜎 2 , ie, Yt ∼ N(𝜇, 𝜎 2 ). It is assumed that the process
Yt remains in the control state for some time, say t ≤ t0 ,
but when t > t0 , the process gets out of control because of
an unknown shift in the process mean, ie, Yt ∼ N(𝜇, 𝜎 2 )
when t ≤ t0 , and Yt ∼ N(𝜇1 , 𝜎 2 ) when t > t0 , where 𝜇1 is
the out-of-control process mean. Let Xt = (Yt − 𝜇)∕𝜎, then
Xt ∼ N(0, 1) for t ≤ t0 , and Xt ∼ N(𝛿, 1) for t > t0 , where
𝛿 = |𝜇 1 − 𝜇|∕𝜎 is the standardized mean shift. Here, t0
and 𝛿 represent the occurrence time and magnitude of the
shift, respectively, which are generally both unknown. The
HAQ ET AL.
object of monitoring the process is to detect the mean shift
𝛿 as early as possible.
2.1 The EWMA charts
The classical EWMA chart was introduced by Roberts3
for monitoring the process mean. Let {At } be an EWMA
sequence based on {Xt }, defined by
At = 𝜆Xt + (1 − 𝜆)At−1 , (1)
where A0 = 0 is the starting value (often the target value)
and 0 < 𝜆 ≤ 1 is a smoothing constant. The mean and
the asymptotic variance of At are 0 and 𝜆∕(2 − 𝜆), respec-
tively, for an in-control process. The control chart based on
At is called the EWMA chart. The EWMA chart triggers
an out-of-control signal whenever |At | exceeds a speci-
fied action limit, say, h. After an out-of-control signal has
been triggered, At > 0(< 0) is an indication of a posi-
tive (negative) shift in the underlying process mean. The
literature on the EWMA chart indicates that this chart
could be constructed to perform efficiently when detect-
ing either a small or large shift. Usually, small and large
values of 𝜆 are used to efficiently signal the occurrences
of small and large shifts, respectively. Once 𝜆 is fixed, the
value of h determines the in-control ARL of the EWMA
chart. A single EWMA chart is not able to possess mini-
mum out-of-control ARLs for both small and large shifts
simultaneously, except the case when it is combined with
the classical Shewhart chart (cf Lucas and Saccucci5 ).
To enhance the sensitivity of the classical EWMA chart
for detecting a shift within a certain range, Capizzi and
Masarotto7 have designed an AEWMA chart that com-
bines both the EWMA and Shewhart charts in a smooth
way—by using a suitable score function of the current
error (Xt − At−1 ). The idea is to adjust the weight of the
past observations according to the size of the current error
in a reasonable way to detect shift of different magnitudes.
For this purpose, Capizzi and Masarotto7 have considered
3 different score functions, the score function that pro-
vides better results (in terms of optimizing the run length
performance of the AEWMA chart) is considered here for
brevity. Consider a sequence {Bt }—called the AEWMA
statistic—using {Xt } of the following type:
Bt = Bt−1 + H𝛾 (𝜉t ), (2)
where B0 = 0, 𝜉 t = Xt − Bt−1 and H𝛾 (·) is the Huber score
function (cf Huber8 ), given by
{
𝜉 + (1 − 𝜆)𝛾 if 𝜉 < −𝛾
H𝛾 (𝜉) = 𝜆𝜉 if |𝜉| ≤ 𝛾 (3)
𝜉 − (1 − 𝜆)𝛾 if 𝜉 > 𝛾,
where 0 < 𝜆 ≤ 1 and 𝛾 > 0. The control chart based
on Bt is called the AEWMA chart. This chart triggers
an out-of-control signal whenever |Bt | exceeds a suitable
565
threshold, say, h. Both the values of 𝜆 and 𝛾 greatly influ-
ence the run length performance of the AEWMA chart.
Having fixed 𝜆 and 𝛾, the value of h is selected so that
the in-control ARL of the AEWMA chart reaches a cer-
tain threshold. Once an out of control has been triggered,
if Bt > 0(< 0), this shows a positive (negative) shift
in the underlying process mean. It can be seen that the
AEWMA chart encompasses both the classical Shewhart
and EWMA charts when H(𝜉) = 𝜉 and H(𝜉) = 𝜆𝜉,
respectively. With the help of the Huber score function, the
AEWMA chart is able to blend the best features of both
the Shewhart and EWMA charts. For more details, refer to
Capizzi and Masarotto.7
2.2 The CUSUM charts
The classical CUSUM chart was introduced by Page2 for
monitoring the process dispersion. Later, the CUSUM
chart was designed to monitor changes in the process
mean. The CUSUM scheme is one of the most popular
algorithms used to accomplish certain optimal run length
properties. The CUSUM chart can be viewed as a series of
sequential probability ratio tests of determining whether
the process mean has changed to a specific value 𝛿 or not.
Using the sequence {Xt }, the upper and lower CUSUMs
(Ct+ and Ct− ) for detecting positive and negative mean
shifts, respectively, are implemented by recursively com-
puting
Ct+ = max(0, Ct−1
+
+ Xt − k), (4)
Ct− = min(0, Ct−1
−
− Xt + k), (5)
where C0+ = C0− = 0 and k = 𝛿 min ∕2 is the reference
or slack value of the CUSUM chart. Here and hereafter,
𝛿 min is the value of 𝛿 for which a control chart is opti-
mally designed. Having set k = 𝛿 min ∕2, the CUSUM chart
has optimal out-of-control ARL performance in detecting
a shift of size 𝛿 = 𝛿 min . The Shewhart chart becomes a spe-
cial case of the CUSUM chart as k gets large. The CUSUM
chart triggers an out-of-control signal whenever Ct+ > h
or Ct− < −h, where h is the control limit/decision interval.
Here, Ct+ and Ct− detect positive and negative mean shits,
respectively. The value of h is selected to ensure that the
in-control ARL of the CUSUM chart has reached a desired
level. By setting the initial values to the nonzero constants,
a head start gets associated with both the upper and lower
CUSUMs, and it increases the sensitivity of the CUSUM
chart in detecting earlier shifts in the process or when the
process recovers from an out-of-control situation (cf Lucas
and Crosier15 ).
One main drawback of the CUSUM chart is that it is
designed to detect a particular size of mean shift, and
566 HAQ ET AL.

thus, it may perform poorly from optimal when deter- mean shifts, respectively, are implemented by recursively
mining shifts of sizes either less than 𝛿 min or greater computing
than 𝛿 min . Following the work of Lorden,16 Zhao et al9
combined 2 CUSUM charts for efficiently monitoring Et+ = max(0, Et−1
+
+ 𝛿̂t+ (Xt − 𝛿̂t+ ∕2)), (10)
changes in the process mean, called the DCUSUM chart.
Using the sequence {Xt }, the upper and lower DCUSUMs Et− = min(0, Et−1
−
− 𝛿̂t− (Xt − 𝛿̂t− ∕2)), (11)
((D+(1)t , D+(2)t ) and (D−(1)t , D−(2)t )) for detecting positive and where E0+ = E0− = 0, = max(𝛿min , 𝛿̂t ) and 𝛿t− =
𝛿t+
negative mean shifts, respectively, are implemented by ̂ ̂ ̂
min(−𝛿min , 𝛿t ) with 𝛿t = 𝛿t−1 + H𝛾 (𝜁t ) being the AEWMA
recursively computing statistic (cf Equation 3). Here, we set 𝛿̂0 = 0 and 𝜁t = Xt −
𝛿̂t−1 . Like the AEWMA chart, both the parameters (𝜆 and 𝛾)
D+(1)t = max(0, D+(1)t−1 + Xt − k1 ), (6)
play an important role in optimizing the ACUSUM chart's
D+(2)t = max(0, D+(2)t−1 + Xt − k2 ), (7) run length performance when detecting shifts in a certain
range. Having fixed these parameters, the ACUSUM chart
and initiates an out-of-control signal as soon as Et+ > h (for a
D−(1)t = max(0, D−(1)t−1 − Xt − k1 ), (8) positive mean shift) or Et− < −h (for a negative mean shift).
It has been shown that the ACUSUM chart is more sensi-
D−(2)t = max(0, D−(2)t−1 − Xt − k2 ), (9) tive than the optimal AEWMA chart when shifts are to be
detected within a certain range. For more details, refer to
where D+(1)0 = D+(2)0 = D−(1)0 = D−(2)0 = 0, k1 h1 = k2 h2 , Jiang et al.10
and k1 + h1 > k2 + h2 . Here, (k1 , k2 ) and (h1 , h2 ) are the
reference values and decision intervals of the DCUSUM
chart. It is recommended to set k1 = (3𝛿 min + 𝛿 max )∕8 and
3 THE PRO POSED AEWMA C HA RT
k2 = (𝛿 min + 3𝛿 max )∕8, where 𝛿 ∈ (𝛿 min , 𝛿 max ), ie, the shift
In this section, we propose a new AEWMA chart for mon-
𝛿 lies in the interval (𝛿 min , 𝛿 max ). Having fixed k1 and k2
itoring changes in the process mean. The run length pro-
depending on the shift range (𝛿 min , 𝛿 max ), the value of h1 or
files of the proposed AEWMA chart are computed and
h2 is selected such that the in-control ARL of the DCUSUM
explored with the help of Monte Carlo simulations.
chart reaches a desired level. The DCUSUM chart triggers
The idea is to first consider an estimator of the unknown
an out-of-control signal whenever (D+(1)t > h1 or D+(2)t > h2 )
process mean shift 𝛿 using the EWMA statistic, and then
(for a positive mean shift) or (D−(1)t > h1 or D−(2)t > h2 ) (for a
depending on the value of that estimator, we select an
negative mean shift). The DCUSUM chart outperforms the
appropriate value of the smoothing constant 𝜆, which
existing single CUSUM and SCUSUM charts when detect-
would be used in the plotting statistic of the proposed
ing shifts within a certain range. For more details, refer to
AEWMA chart.
Zhao et al.9
Let 𝜓 ∈ (0, 1] be another smoothing constant; then
Another possible solution is to estimate the shift 𝛿 and
following Jiang et al,10 an estimator of 𝛿 is given by
then optimize the CUSUM chart for that shift, where
this chart is called the ACUSUM chart. The ACUSUM 𝛿̂t∗ = 𝜓Xt + (1 − 𝜓)𝛿̂t−1
∗
, (12)
chart provides an overall good performance for signaling
mean shifts within a certain range than that of the clas- where = 0. It can be shown that the estimator 𝛿̂t∗
𝛿̂0∗
sical CUSUM charts (cf Sparks6 ). On the lines of Sparks,6 is unbiased for an in-control process and biased for an
Jiang et al10 suggested another ACUSUM chart that first out-of-control process when estimating 𝛿. To devise an
adequately estimates the reference value with the help unbiased estimator for both in-control and out-of-control
of an EWMA statistic and then assigns a suitable weight situations, we propose the following unbiased estimator
to it using the Huber score function. Here and here- of 𝛿:
𝛿̂t∗
after, we consider the ACUSUM chart suggested by Jiang 𝛿̂t∗∗ = . (13)
et al.10 Using the sequence {Xt }, the upper and lower 1 − (1 − 𝜓)t
ACUSUMs(Et+ and Et− ) for detecting positive and negative It can be shown that

E(𝛿̂t∗ )
E(𝛿̂t∗∗ ) =
1 − (1 − 𝜓)t
{ } (f14)
1 ∑
t−1
= 𝜓 (1 − 𝜓)i E(Xt−i ) + (1 − 𝜓)t 𝛿̂0∗ = 𝛿.
1 − (1 − 𝜓)t i=0
HAQ ET AL. 567

For an in-control process, E(𝛿̂t∗∗ ) = 𝛿 = 0 for t ≤ t0 , As might be anticipated, in the proposed AEWMA plot-
whereas for an out-of-control process, E(𝛿̂t∗∗ ) = 𝛿 ≠ 0 ting statistic, 𝜃(𝛿̃t ) is a random variable. The values of
for t > t0 . As the value of 𝛿 is not known in usual prac- 𝜃(𝛿̃t ) are selected such that the classical EWMA scheme
tice, we suggest to consider 𝛿̃t = |𝛿̂∗∗ | when estimating
t
is roughly optimal in detecting shifts within the specified
𝛿. Using the sequence {Xt }, the plotting statistic of the ranges of 𝛿̃t . It may be possible to select such values of
proposed AEWMA chart for detecting positive or negative 𝜃(𝛿̃t ) for which the EWMA charts are optimal in detecting
shifts in the process mean is implemented by recursively shifts within the selected ranges. Moreover, these ranges
computing the following EWMA statistic: of 𝛿̃t could be changed depending upon the optimality of
the EWMA chart. The working of the proposed AEWMA
Wt = 𝜃(𝛿̃t )Xt + (1 − 𝜃(𝛿̃t ))Wt−1 , (15) chart is similar to that of the AEWMA chart suggested
by Capizzi and Masarotto.7 An interesting feature of the
where W0 = 0 and 𝜃(𝛿̃t ) ∈ (0, 1] is defined by proposed AEWMA chart is that it does not involve the
⎧ 0.015 if 0.00 < 𝛿̃t ≤ 0.25 selection of different parameter choices when optimizing
⎪ 0.10 if 0.25 < 𝛿̃t ≤ 0.75 its run length performance for a range of mean shift. The
⎪ 0.20 if 0.75 < 𝛿̃t ≤ 1.00 proposed AEWMA chart triggers an out-of-control sig-
̃ ⎪
𝜃(𝛿t ) = ⎨ 0.25 if 1.00 < 𝛿̃t ≤ 1.50 . (16) nal whenever the plotting statistic exceeds the threshold,
⎪ 0.50 if 1.50 < 𝛿̃t ≤ 2.50 say, h.
⎪ 0.80 if 2.50 < 𝛿̃t ≤ 3.50
⎪ The run length performance of a control chart is gen-
⎩ 1.00 if 3.50 < 𝛿̃t erally evaluated in terms of the run length properties,

TABLE 1 Run length profiles of the proposed AEWMA chart using different values of 𝜓
ARL = 100 ARL = 370 ARL = 500
h 0.5762 0.6300 0.7139 0.7130 0.8285 0.9404 0.7402 0.8755 0.9879
𝛿 𝜓 0.10 0.15 0.20 0.10 0.15 0.20 0.10 0.15 0.20
0.00 ARL 100.04 100.26 100.63 370.36 370.90 370.42 499.55 500.69 500.68
SDRL 127.59 124.95 120.42 463.32 434.82 412.39 619.90 576.22 551.14
0.25 ARL 32.16 34.14 36.54 65.23 74.57 82.12 78.65 89.97 100.59
SDRL 35.66 37.90 39.92 72.91 82.65 85.62 89.24 97.60 104.46
0.50 ARL 12.64 13.17 13.91 19.69 21.54 24.45 21.70 24.34 28.16
SDRL 13.21 13.73 14.01 22.15 22.51 23.52 25.15 24.95 27.12
0.75 ARL 6.49 6.76 7.13 8.45 9.56 11.03 8.90 10.47 12.21
SDRL 6.60 6.68 6.76 9.08 9.35 10.10 9.67 10.05 11.14
1.00 ARL 3.97 4.14 4.44 4.72 5.40 6.27 4.91 5.84 6.76
SDRL 3.67 3.72 3.91 4.51 4.89 5.45 4.72 5.22 5.87
1.50 ARL 2.11 2.21 2.32 2.36 2.61 2.90 2.39 2.76 3.07
SDRL 1.53 1.64 1.78 1.85 2.07 2.27 1.91 2.17 2.38
2.00 ARL 1.47 1.52 1.54 1.55 1.66 1.80 1.56 1.73 1.87
SDRL 0.84 0.91 0.97 0.98 1.09 1.19 1.01 1.14 1.23
2.50 ARL 1.20 1.20 1.21 1.21 1.27 1.35 1.22 1.30 1.39
SDRL 0.49 0.52 0.55 0.55 0.61 0.66 0.56 0.63 0.69
3.00 ARL 1.07 1.08 1.08 1.08 1.10 1.14 1.08 1.12 1.17
SDRL 0.28 0.30 0.30 0.31 0.34 0.39 0.31 0.36 0.42
3.50 ARL 1.02 1.02 1.02 1.02 1.03 1.05 1.02 1.04 1.07
SDRL 0.16 0.16 0.16 0.16 0.19 0.23 0.16 0.21 0.26
4.00 ARL 1.01 1.01 1.01 1.01 1.01 1.02 1.01 1.01 1.02
SDRL 0.08 0.08 0.08 0.08 0.10 0.13 0.08 0.11 0.15
5.00 ARL 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
SDRL 0.01 0.01 0.01 0.01 0.02 0.03 0.02 0.02 0.04
6.00 ARL 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
SDRL 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Abbreviations: AEWMA, adaptive exponentially weighted moving average; ARL, average run length; SDRL, standard deviation of
the run length.
568 HAQ ET AL.

including the ARL and SDRL. Usually, for an in-control
process, the ARL needs to be sufficiently large for avoiding
frequent false alarms; nevertheless, it needs to be suffi-
ciently small for initiating frequent out-of-control signals.
Moreover, commonly, the smaller the SDRL, the better the
sensitivity of the control chart. There are different meth-
ods that are available in the literature for computing these
run length characteristics of a control chart, including the
Markov chain, integral equation, and the Monte Carlo
simulation. In what follows, we use Monte Carlo simula-
tions to compute the run length profiles of the proposed
AEWMA chart. For this purpose, considering 100 000 iter-
ations under each simulation, the run length profiles are
computed when sampling from a normal distribution with
mean 𝛿 and variance unity, ie, Xt ∼ N(𝛿, 1). The consid-
ered values of in-control ARL and the shift include 100,
370, 500, and 𝛿 = 0, 0.25, 0.50, 0.75, 1, 1.5, 2, 2.5, 3, 3.5, 4, 5,
respectively. Moreover, to study the effect of the 𝜓 on the
run length performance of the AEWMA chart, we consider
𝜓 = 0.1, 0.15, 0.2. The computed results are presented in
Table 1.
From Table 1, it is observed that the value of 𝜓 does
affect the values of both in-control and out-of-control ARL
and SDRL. Having fixed 𝛿, as the value of 𝜓 increases,
the out-of-control ARLs tend to increase and vice versa.
It can be anticipated that, with smaller values of 𝜓, the
out-of-control ARLs would be less than those presented
here, ie, as 𝜓 decreases, the sensitivity of the AEWMA
chart increases. Nevertheless, this sensitivity leads to
higher in-control SDRLs. Thus, we recommend using
𝜓 ≥ 0.1.
4 PERFORMANCE COMPA RISON
In usual practice, the statistical performance of a control
chart is evaluated using its run length characteristics, ie,
ARL and SDRL. Here, we use ARL as a performance cri-
terion. For a given in-control ARL and the shift, a control
chart is said to be superior if its out-of-control ARLs are
less than that of the other control charts. For a fair com-
parison, the proposed AEWMA chart is compared with
some of the existing powerful control charts, including the
AEWMA, ACUSUM, SCUSUM, and DCUSUM charts. The
classical control charts, including the Shewhart, EWMA,
and CUSUM, are not considered here, as it has been shown
in the SPC literature that their adaptive counterparts are
more sensitive and provide better protection when the
object is to detect a shift within a certain range.
4.1 AEWMA and ACUSUM charts
Capizzi and Masarotto7 have designed several optimal
AEWMA charts for different ranges of the mean shift. In
addition, Jiang et al10 have also compared the run length
profiles of the ACUSUM and AEWMA charts when detect-
ing mean shifts in different ranges. Here, we consider the
ARL results of both the AEWMA and ACUSUM charts and
compare them with those of the proposed AEWMA chart
in Table 2 when the in-control ARL is fixed as 500. The
ARL values of the AEWMA and ACUSUM charts are taken
from Capizzi and Masarotto7 and Jiang et al,10 respectively.
From Table 2, it is observed that the proposed AEWMA
chart performs uniformly and substantially better than
the existing AEWMA and ACUSUM charts in almost all
cases. Some significant gains in the detection ability of the
AEWMA chart were seen when using the proposed chart.
The boldfaced ARL values show the superiority of the pro-
posed AEWMA chart to its existing counterparts. In one
case, when detecting a shift of 𝛿 = 0.25, the proposed
AEWMA chart is slightly less sensitive than the existing
AEWMA chart; nevertheless, for the other values of 𝛿, it is
an efficient alternative to the existing AEWMA chart.

TABLE 2 ARL comparisons of the 2-sided AEWMA, ACUSUM, and the proposed AEWMA charts
𝛿
Chart 𝛿 min 𝛿 max 𝜆 𝛾 h 0.00 0.25 0.50 0.75 1.00 1.50 2.00 2.50 3.00 3.50 4.00 5.00
AEWMA 0.25 4.00 0.0117 3.0326 0.2017 500 98.51 40.94 25.04 17.59 10.11 6.08 3.66 2.29 1.60 1.26 1.04
AEWMA 0.50 4.00 0.0398 2.8990 0.4306 500 114.91 36.40 19.92 13.43 7.71 4.93 3.24 2.19 1.58 1.26 1.04
AEWMA 1.00 4.00 0.1253 2.7765 0.8238 500 168.13 44.86 19.57 11.63 6.13 3.98 2.78 2.03 1.55 1.26 1.04
AEWMA 0.25 5.00 0.0137 3.4473 0.1835 500 77.26 33.01 20.68 14.96 9.39 6.44 4.43 2.98 2.04 1.49 1.08
AEWMA 0.50 5.00 0.0437 3.3402 0.3960 500 86.03 29.70 16.97 11.77 7.20 5.01 3.62 2.63 1.92 1.47 1.08
AEWMA 1.00 5.00 0.1354 3.2587 0.7931 500 130.60 36.25 16.85 10.38 5.74 3.92 2.92 2.25 1.76 1.42 1.08
ACUSUM 0.50 4.00 0.0398 2.8990 4.3810 500 96.34 31.47 17.66 12.18 7.40 5.15 3.75 2.79 2.12 1.67 1.18
ACUSUM 0.50 4.00 0.2000 2.5000 6.0900 500 95.54 31.98 17.76 11.90 6.84 4.58 3.30 2.49 1.95 1.59 1.17
ACUSUM 1.00 4.00 0.1253 2.7765 5.1285 500 147.49 39.25 17.42 10.57 5.81 3.99 3.00 2.37 1.91 1.57 1.17
ACUSUM 1.00 4.00 0.3000 2.5000 5.6395 500 153.52 40.58 17.87 10.70 5.72 3.82 2.80 2.17 1.75 1.45 1.11
Proposed 0.25 5.00 𝜓 = 0.10 0.7402 500 78.65 21.70 8.90 4.91 2.39 1.56 1.22 1.08 1.02 1.01 1.00
Abbreviations: ACUSUM, adaptive cumulative sum; AEWMA, adaptive exponentially weighted moving average; ARL, average run length.
HAQ ET AL. 569

TABLE 3 ARL comparisons of the 1-sided DCUSUM, SCUSUM, and the proposed AEWMA charts
𝛿
Chart k1 k2 h1 h2 0.00 0.25 0.53 0.80 1.08 1.35 1.63 1.90 2.18 2.45 2.73 3.00
DCUSUM 0.47 1.16 5.75 2.33 740 140.20 34.60 15.30 9.20 6.40 4.80 3.70 3.00 2.50 2.10 1.90
SCUSUM 0.12 3.00 20.00 0.00 740 111.50 42.80 25.10 16.90 12.00 8.70 6.30 4.60 3.40 2.50 2.00
SCUSUM 0.12 3.50 12.76 0.00 740 78.00 30.70 18.80 13.40 10.30 8.20 6.60 5.40 4.40 3.50 2.80
SCUSUM 0.47 3.00 10.00 0.00 740 283.00 64.20 24.80 14.40 9.70 7.00 5.30 4.00 3.10 2.40 2.00
SCUSUM 0.47 3.50 5.19 0.00 740 123.60 31.60 14.40 8.90 6.40 5.00 4.00 3.40 2.90 2.50 2.20
SCUSUM 0.81 3.00 6.00 0.00 740 322.80 117.50 38.30 16.60 9.70 6.60 4.80 3.70 2.90 2.30 1.90
SCUSUM 0.81 3.50 3.16 0.00 740 184.40 50.30 19.00 9.80 6.20 4.50 3.50 2.90 2.50 2.10 1.90
Proposed 𝜓 = 0.10 h = 0.6929 740 63.57 17.22 7.35 4.10 2.76 2.05 1.65 1.40 1.24 1.14 1.08
DCUSUM 0.47 1.16 6.08 2.47 1000 167.90 37.90 16.30 9.80 6.70 5.00 3.90 3.10 2.60 2.20 2.00
SCUSUM 0.12 3.00 20.00 0.00 1000 111.50 42.80 25.10 16.90 12.00 8.70 6.30 4.60 3.40 2.50 2.00
SCUSUM 0.12 3.50 14.15 0.00 1000 88.20 34.00 20.70 14.70 11.20 8.90 7.10 5.80 4.60 3.70 2.90
SCUSUM 0.47 3.00 10.00 0.00 1000 283.00 64.20 24.80 14.40 9.70 7.00 5.30 4.00 3.10 2.40 2.00
SCUSUM 0.47 3.50 5.59 0.00 1000 150.20 35.10 15.50 9.50 6.80 5.30 4.30 3.60 3.00 2.60 2.20
SCUSUM 0.81 3.00 6.00 0.00 1000 322.80 117.50 38.30 16.60 9.70 6.60 4.80 3.70 2.90 2.30 1.90
SCUSUM 0.81 3.50 3.38 0.00 1000 233.90 58.90 21.10 10.50 6.60 4.70 3.70 3.00 2.50 2.20 1.90
Proposed 𝜓 = 0.10 h = 0.7236 1000 76.63 18.93 7.72 4.21 2.83 2.08 1.66 1.40 1.24 1.14 1.08
Abbreviations: AEWMA, adaptive exponentially weighted moving average; ARL, average run length; DCUSUM, dual cumulative sum; SCUSUM, Shewhart
cumulative sum.

4.2 DCUSUM and SCUSUM charts
For different ranges of the mean shift, Zhao et al9 com-
pared the detection abilities of the 1-sided DCUSUM
charts with those of the CUSUM and SCUSUM charts.
Here, we take the ARL results of the 1-sided DCUSUM
and SCUSUM charts reported in Zhao et al9 when the
in-control ARLs are matched to 740 and 1000. The ARL
results of the proposed AEWMA chart are computed and
are compared with these charts in Table 3.
From Table 3, it is worth mentioning that the ARLs
(boldfaced values) of the proposed AEWMA chart are sig-
nificantly less than those of the DCUSUM and SCUSUM
charts.
Based on these comparisons, it could be said that the pro-
posed AEWMA chart is better than the existing AEWMA,
ACUSUM, DCUSUM, and SCUSUM charts. It is thus rec-
ommended to use the proposed control chart for efficiently
monitoring the process mean.
5 AN EXAMPLE
It is a common practice that has been followed by differ-
ent researchers to explain the implementation and work-
ing of the proposed control charts with the help of real
datasets and simulated examples. In what follows, here,
we consider a real dataset to explain the functioning and
execution of the control charts.
In the semiconductor manufacturing, a hard-bake pro-
cess is used in conjunction with the photolithography. Our
objective is to establish a statistical control of the flow
width of the resist in this process using the existing and
proposed control charts. For this purpose, a real dataset is
taken from Montgomery.1 Forty-five samples, each of size
5 wafers, are taken from the process. The time interval
between the samples is 1 hour, and the flow width mea-
surements are taken in microns. It is assumed that the first
35 samples are taken from an in-control process, and they
are treated as a phase 1 dataset (with t0 = 35), while the
remaining 10 samples are drawn from an out-of-control
process, and they are treated as a phase 2 dataset. To
draw samples from an out-of-control process, the last 10
samples are contaminated by adding 0.01 in all the obser-
vations of these samples. This is to indicate an upward shift
in the underlying process mean. Using these data, com-
∑5
pute 45 sample means, denoted by Y t = i=1 Yit ∕5 for
t = 1, 2, … , 45, where Yit is the ith observation in the
tth sample. Using phase 1 dataset, the mean and the stan-
∑t 0
dard error of Y t are estimated as 𝜇̂ Y = t=1 Y t ∕t0 and
√ ( )
∑t 0 2
𝜎̂ Y = t=1 Y t − 𝜇̂ Y ∕(t0 − 1). Then, compute Xt =
( )
Y t − 𝜇̂ Y ∕𝜎̂ Y . Now we apply 3 competing control charts
on these data with an in-control ARL of 500. The parame-
ter choices considered for the control charts are AEWMA
with (𝜆 = 0.0137, 𝛾 = 3.4473, h = 0.1835); ACUSUM
with (𝜆 = 0.20, 𝛾 = 2.5, h = 6.09, 𝛿 min = 0.50); and
the proposed AEWMA with (𝜓 = 0.20, h = 0.9879). The
values of the plotting statistics and the control limits of
these control charts are computed and displayed in the
Figures 1 to 3.
570 HAQ ET AL.

The existing AEWMA chart The proposed AEWMA chart

1.4
0.6 control limit control limit

1.2
0.5

1.0
0.4

plotting−statistic
plotting−statistic

0.8
0.3

0.6
0.2

0.4
0.1

0.2
0.0
0.0

0 10 20 30 40 0 10 20 30 40
sample number sample number

FIGURE 1 The existing adaptive exponentially weighted moving FIGURE 3 The proposed adaptive exponentially weighted
average (AEWMA) chart for flow width in the hard-bake process moving average (AEWMA) chart for flow width in the hard-bake
process
The existing ACUSUM chart

control limits
6 CO NCLUDING REMARKS
10

In recent years, the adaptive and dual control charts have

received considerable attention, as they are more sensitive
5

than the classical charts when it is expected that the pro-

plotting−statistic

cess shift would lie within some interval. These control

charts provide better protection when properly designed
0

for such situations. With the same objective, here, we

have introduced a new AEWMA control chart for effi-
ciently monitoring different changes in the process mean.
−5

The proposed control chart's run length profiles have been

computed using extensive Monte Carlo simulations and
−10

explored. For a fair comparison, the detection abilities of

0 10 20 30
sample number
FIGURE 2 The existing adaptive cumulative sum (ACUSUM)
chart for flow width in the hard-bake process
From Figures 1 to 3, it can be seen that the control
charts remain stable for the first 35 samples, thus stating
that the process remains in the control state when t ≤ t0 .
However, after that time, all control charts are initiating
out-of-control signals and indicating an upward shift in
the process mean. It is interesting to see that the proposed
AEWMA chart issues an out-of-control signal quicker than
its counterparts, ie, the AEWMA, ACUSUM, and proposed
AEWMA charts trigger out-of-control signals at the 41st,
40th, and 39th samples, respectively.
the proposed AEWMA chart were compared with those of
its powerful existing counterparts, including the AEWMA,
40
ACUSUM, DCUSUM, and SCUSUM charts. It has turned
out that the proposed AEWMA chart outperforms the
existing control charts in detecting all different kinds of
shift in the process mean. It is thus recommended to use
the proposed control chart for efficiently monitoring the
process mean.
The current work could be extended to design a new
improved multivariate AEWMA chart for monitoring
changes in the process mean and/or process dispersion.
Moreover, it is also possible to design a nonparametric
AEWMA chart for the process mean. With the proposed
control structure of the AEWMA chart, the run length per-
formances of the existing maximum EWMA charts can be
increased. Some of these works are currently in progress
and thus are deferred to later articles.
HAQ ET AL. 571

ORCID 15. Lucas JM, Crosier RB. Fast initial response for CUSUM
quality-control schemes: give your CUSUM a head start. Tech-
Abdul Haq http://orcid.org/0000-0002-4467-9719 nometrics. 1982;24(3):199-205.
16. Lorden G. Procedures for reacting to a change in distribution.
Ann Math Stat. 1971;42(6):1897-1908.
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