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Detection and Diagnosis of Unknown Abrupt Changes Using CUSUM Multi-Chart Schemes

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Abstract:

A cumulative sum (CUSUM) multi-chart scheme that consists of multiple CUSUM control charts is studied for detecting and diagnosing an unknown abrupt change in a stochastic system on the basis of sequential observations. We prove that the CUSUM multi-chart not only has a high diagnostic capability but also possesses a better detection performance than individual CUSUM charts when the in-control average run length is large. We also present an optimal design of the CUSUM multi-chart and two illustrative examples involving the normal and exponential distributions. Moreover, numerical comparisons of the average run lengths are made via Monte Carlo simulation among the CUSUM, generalized likelihood ratio, exponentially weighted moving average (EWMA), multi-chart, and CUSUM multi-chart. The numerical results indicate that the CUSUM multi-chart has the best performance on the whole among the five schemes in detecting the unknown mean shift.

Keywords: Asymptotic optimality; Kullback-Leibler information distances; Online detection and diagnosis; Sequential analysis

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/07474940701404765

Affiliations: 1: Department of Mathematics, Shanghai Jiao Tong University, Shanghai, China 2: Department of Industrial Engineering and Logistics Management, Hong Kong University of Science and Technology, Kowloon, Hong Kong

Publication date: July 1, 2007

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