CUSUM & EWMA - charts

z Applied when one wants to be able to detect relative

small changes in the mean (or the variability)
z Should be applied together with an ordinary control
chart. They are better at detecting large shifts (>2σ)
z 3 types:
£ CUSUM: tabular
£ CUSUM: V- mask
£ EWMA

CUSUM: tabular
z Based on the accumulated differences, Ci, and the
reference value K

Ci = ∑ ( X j − µT )
i

j =1

= (X j − µT ) + C i −1 µ T = target value

δ
K= σX
2
2

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CUSUM: tabular
z Works by accumulating the values over µ T in C+,
and under µ T in C-

[
Ci+ = max 0, X i − ( µT + K ) + Ci+−1 ]
Ci− = max [0, ( µ T + K ) − X i + Ci−−1 ]
z If either C+ or C- is bigger than the decision interval
H the process is out of control
z H is typically chosen as 4-5 times the standard dev.
(σ eller σ X )
3

CUSUM: V-mask
LCL

P d O
θ

UCL
4

2
CUSUM: V-mask
z Based on the accumulated distances from target:

Ci = ∑ ( X j − µT )
i

j =1

= (X j − µT ) + C i −1 µ T = target value

CUSUM: V-mask
z Determine the size of the shift that must be
detected
 ∆X 
δ = number of standard deviations  
 σx 
z Calculate the difference from P to O

 2  1− β 
d = 2  ln 
δ  α /2 
α=type 1 error β=type 2 error

3
CUSUM: V-mask
z Calculate the ratio between the vertical and the
horizontal scale
vertikal skale
A=
horisontal skala

z Calculate the angle between the PO line and the

“arms” of the mask
 ∆X 
θ = tan −1  
 2A 
7

EWMA - chart
z EWMA is defined as:
zi = λX i + (1 − λ ) zi −1 0 ≤ λ ≤ 1 ∧ z 0 = µT

i −1
= λ ∑ (1 − λ ) j X i − j + (1 − λ ) z0
j =0
z λ is a constant weight applied to the actual sample
£ decreases geometrically with: λ (1 − λ ) j
£ the sum of the weights is 1

4
EWMA - chart
z The limits are given as:

UCL = µT + Lσ X
λ
(2 − λ )
[
1 − (1 − λ )
2i
]
CL = µT

LCL = µT − Lσ X
λ
(2 − λ )
[
1 − (1 − λ )
2i
]
9

EWMA - chart
z How large should λ be?
£ Values in the interval 0,05≤λ≤0,25 works well in
practice
£ If we want to detect a small shift λ should also be small
z How large should L be?
£ Expresses the distance between the limits and CL in
standard deviations
£ L=3 works well with large values of λ
£ L between 2,6 and 2,8 works well if λ≤0,1

10

5
Example
z A supplier of military equipment uses electrical
wires that must be striped in one end. This task is
performed automatically with µ=0,25 and σ=0,005.

z In this example 25 units are produced with the

mentioned parameters and hereafter 10 with
µ=0,253. This constitutes a shift of 0,8σ ( 1,2σ X ).

11

Example

12

6
Example

13

Example

λ=0,2 14

7
Example

15

Assignment
z A chemical process runs with µ=1050 and σ=25.
Make a tabular CUSUM that will quickly detect a
shift of 1σ. Is 25 a good estimate for σ?
Obs. X Obs. X
1 1045 11 1139
2 1055 12 1169
3 1037 13 1151
4 1064 14 1128
5 1095 15 1238
6 1008 16 1125
7 1050 17 1163
8 1087 18 1188
9 1125 19 1146
10 1139 20 1167

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