监测均值变动的多重控制图方法(英文)

A Multi-Chart Approach for Mean Shift Detection

本文证明了当受控平均运行长度充分大时,多重控制图有两个优点:一是相比较GLR(广义似然比)和GEWMA(广义指数权重移动平均)控制图它可以大大降低运算的复杂性;二是能够较快地监测均值变化的大小.数值模拟也表明:多重控制图不仅优于其构成的单个控制图,而且在监测未知的均值变动方面也优于单个的CUSUM,EWMA,多重EWMA和GLR控制图.

In this paper we consider a multi-chart for detecting a unknown shift in the mean of an identically distributed process. It is shown that the multi-chart has usually two advantages： one is in that it can much reduce computational complexity compared to the GLR （generalized likelihood ratio） and GEWMA （generalized exponentially weighted moving average） control charts when the in-control ARL （average run length） is large; the other is that it can quickly detect the size of the mean shift. Moreover, the numerical simulations show that the multi-chart can not only perform better than its constituent charts which consist of the multi-chart in the sense that the average of the ARLs of the constituent charts is large than that of the multi-chart, but also be superior on the whole to a single CUSUM, EWMA, EWMA multi-chart and GLR control charts in detecting the various mean shifts when the in-control ARL is not large.