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Computers & Industrial Engineering 112 (2017) 426–436

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Computers & Industrial Engineering


journal homepage: www.elsevier.com/locate/caie

Monitoring the performance of Bayesian EWMA control chart using loss


functions
Salma Riaz a, Muhammad Riaz b, Zawar Hussain a,⇑, Tahir Abbas c
a
Department of Statistics, Quaid-i-Azam University, Islamabad, Pakistan
b
Department of Mathematics and Statistics, King Fahd University of Petroleum and Minerals, Dhahran, Saudi Arabia
c
Department of Statistics, Government College University Lahore, Lahore 54000, Pakistan

a r t i c l e i n f o a b s t r a c t

Article history: In this article, Bayesian approach is used to develop exponentially weighted moving average (EWMA)
Received 18 July 2016 control chart under non-informative and informative priors and loss functions for small to moderate shift
Received in revised form 17 March 2017 detection in the process. The performance of Bayesian EWMA control chart has been evaluated using ARL
Accepted 16 August 2017
and SDRL. Simulations are performed to compute the performance measures for various values of
Available online 26 August 2017
smoothing constant and sample size. Sensitivity analysis of hyper-parameters of informative (conjugate)
prior is also performed. To highlight the performance of Bayesian EWMA chart, we have presented two
Keywords:
real life applications for illustrative purpose. The recommendations are also given for the future.
Bayesian approach
Exponentially weighted moving average
Ó 2017 Elsevier Ltd. All rights reserved.
Precautionary loss function
Linex loss function
Squared error loss function

1. Introduction EWMA for the type 1 censored data from gamma distribution.
Saghir, Lin, Chen, and Lu (2015) investigated the influence of esti-
Control chart is the most significant tool of Statistical Process mation on the geometric-Poisson EWMA control chart for monitor-
Control (SPC) for monitoring and reducing the variation in the pro- ing number of defects in process.
cess. In 1930, Shewhart developed control charts for monitoring of Bayesian approach, contrary to classical approach that combines
a process. Shewhart control charts are known as memory-less con- sample information with the prior information to address the uncer-
trol charts because these charts use the information of current tainty about the parameter of interest and are extensively used in
sample and ignore the information of previous samples. These con- process monitoring and control chart evaluation. Girshick and
trol charts are used for detection of large shifts in a process. For Rubin (1952) used Bayesian approach for control charts.
detecting small shifts in a process, cumulative sum (CUSUM) and Menzefricke (2002) and Menzefricke (2007) used Bayesian frame-
exponentially weighted moving average (EWMA) control charts work for mean and generalized variance control charts, respectively.
are used. On contrary to Shewhart control charts, EWMA and Govindar (2007) proposed an improved design of S chart by con-
CUSUM are known as memory type control charts. CUSUM control structing better control limits and justified that 3-sigma limits
charts were developed by Page (1954) while EWMA control charts should not be used for phase 2 of S chart. By using predictive
were developed by Roberts (1959). EWMA control charts are used approach, Menzefricke (2010) constructed control chart based on
for monitoring mean and variance of a process. Robinson and Ho variance when mean and variance of process are unknown of normal
(1978), Crowder (1989), Lucas and Saccucci (1990), Steiner distribution. Saghir (2015) proposed the X chart based on posterior
(1999) and Riaz (2015) investigated EWMA control chart for mon- control limits. He used informative and non-informative priors for
itoring mean of a process, whereas for monitoring variance of a updating the process mean and constructed the control limits.
process, EWMA was used by Wortham and Ringer (1971), Sweet There is wide literature on memory control charts but recently
(1986), Ng and Case (1989), Crowder and Hamilton (1992), Chao- few authors have developed the control charts in Bayesian frame-
Wen and Reynolds (1999), Castagliola (2005), Knoth (2005), work. Menzefricke (2013a) used Bayesian approach to develop
Maravelakis and Castagliola (2009) and Abbas, Riaz, and Does EWMA control chart for mean and variance of normal distribution.
(2014). Raza, Riaz, and Ali (2015) studied EWMA and double The parameter uncertainty is incorporated by using posterior pre-
dictive distribution. Menzefricke (2013b) designed a control chart
⇑ Corresponding author. based on Bayesian approach for monitoring variance,and for com-
E-mail address: zhlangah@yahoo.com (Z. Hussain). bine monitoring of mean and variance of a process.

http://dx.doi.org/10.1016/j.cie.2017.08.023
0360-8352/Ó 2017 Elsevier Ltd. All rights reserved.
S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436 427

For a Bayesian analysis, loss functions have been used exten- We have considered the uniform prior for normally distributed
sively and during last few years, loss functions have been studied data which is as follows:
in quality control. For example, Tsui and Woodall (1993) proposed
pðlÞ / 1 ¼ constant; ð2:3Þ
multivariate control charts under loss functions, Ben-Daya and
Duffuaa (2003) studied Taguchi’s loss function for  x control chart, Hence Jeffreys and uniform priors are considered as constant.
Wu and Tian (2005) designed a CUSUM chart to detect mean shift The informative priors, on the other hand, have a stronger
and variance shift of the process using weighted loss function, Wu impact on the posterior distribution.
and Tian (2006) proposed weighted loss function chart, Serel One of the strengths of the Bayesian theory is its ease in making
(2009) studied EWMA mean and dispersion charts for a linear, predictions. For any future quantity y, predictive distribution is as
quadratic, and exponential loss function. Recently, Riaz and Ali follows;
(2015) had monitored X control chart under different loss func- Z
tions. Lavanya and Alexander (2016) studied the failure rate using pðyjXÞ ¼ pðyjlÞpðljXÞdl ð2:4Þ
Bayesian estimation under loss functions.
Motivated by the use of Bayesian Approach in quality control, in Loss functions have an essential role in Bayesian inference.
this article, we plan to develop Bayesian EWMA chart under differ-
ent loss functions. Specifically, we develop EWMA control chart by 2.1. Different loss functions
using posterior predictive distribution to monitor mean of a pro-
cess considering different loss functions. Riaz and Ali (2015) A loss function quantifies the loss or cost when we estimate the
applied Shewhart control chart to monitor the performance of parameter. In decision theory, loss function is used in order to attain
Bayesian charts under different loss functions at large shift values, the best estimator. In the literature, symmetric and asymmetric loss
while current study apply memory control charts of EWMA under functions have been offered. The following three loss functions (one
different loss functions using Bayesian approach to monitor the symmetric and two asymmetric) are used in this study.
processes at small shift values. We have modified article to over-
come shortcoming of above mentioned approach by Riaz and Ali 2.1.1. Squared Error Loss Function (SELF)
(2015) and refined the proposed Bayesian approach with sensitiv- Legendre and Gauss proposed this loss function in developing
ity analysis of hyper-parameters, a very essential aspect of Baye- least square theory. This loss function is symmetric as it assigns
sian setup. This article also includes new Linex Loss Function equal magnitude to positive and negative error. This is defined as
(LLF) to further examine the significance of Bayesian approach follows:
while monitoring the processes. 2
Lðl; dÞ ¼ ðl  dÞ ; ð2:5Þ
The article is laid out as follows. We describe Bayesian approach
and different loss functions in Section 2. EWMA control chart where l is unknown parameter and d is its estimator which mini-
under different loss functions using Bayesian approach is discussed mizes (2.5). Such an estimator is given by;
in Section 3. In Section 4, sensitivity analysis for hyper-parameters 
d ¼ EðljxÞ ð2:6Þ
is performed. The performance of Bayesian EWMA control chart is
assessed in Section 5. Two real life applications are studied for It is a symmetric loss function which is extensively used because it
Bayesian EWMA chart in Section 6. Conclusion, summary and rec- is easy to calculate.
ommendations of the study are covered in Section 7.
2.1.2. Precautionary Loss Function (PLF)
Norstrøm (1996) introduced a general class of asymmetric loss
2. Bayesian approach
functions. In order to prevent underestimation, the estimators
derived by these loss functions are conventional and useful in
Bayesian statistics is an important branch of statistics. Bayes
the cases when low failure rates are to be studied. It is simple
produced an article entitled ‘‘An essay towards solving a problem
and useful asymmetric loss function and is given as follows:
in the doctrine of chances” posthumously in 1763, in which he pro-
posed Bayes theorem. Bayes Theorem for two random quantities X 2
Lðl; dÞ ¼ ðl  dÞ =d ð2:7Þ
and l is given as;
Bayes estimator of l can be obtained under posterior distribution
pðXjlÞpðlÞ which minimizes (2.7) and is given as:
pðljXÞ ¼ R ð2:1Þ
pðXjlÞpðlÞdl qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi

d ¼ Eðl2 jxÞ ð2:8Þ
The likelihood function is combined with prior distribution to pro-
vide a posterior distribution pðljXÞ where likelihood is considered
as function of l for fixed X. 2.1.3. Linex Loss Function (LLF)
Various types of prior distributions namely informative and Varian (1975) introduced another practical asymmetric loss
non-informative priors are used. Jeffreys and uniform priors are function named as LINEX. This loss function is used where overes-
frequently used as a non-informative priors. The Jeffreys prior is timation is more significant than underestimation. It is suitable for
defined as follows: the estimation of the location parameter and is defined as:
pffiffiffiffiffiffiffiffiffi  
pðlÞ / IðlÞ; Lðl; dÞ ¼ ecðdlÞ  cðd  lÞ  1 ð2:9Þ

where IðlÞ represents the Fisher information. From Zeller (1986), Bayes estimator of l denoted by d which min-
The Jeffreys prior is given as follows; imizes (2.9) is given as:
rffiffiffiffiffiffi rffiffiffiffiffiffi  1
n n d ¼ ln Eðecl Þ ð2:10Þ
pðlÞ / ¼k ¼ constant; ð2:2Þ c
r2 r2
If c is greater than zero, overestimation is more important than
where k is proportionality constant and n and r2 are also constants, underestimation and if c is closed to zero, it is almost symmetric
so Jeffreys prior is constant in this case. and squared error loss function.
428 S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436

Table 4
ARL and SDRL values for sensitivity analysis of conjugate prior.

lo = 5, ro = 2 lo = 10, ro = 4 lo = 15, ro = 6
Shifts ARL SDRL ARL SDRL ARL SDRL
Sensitivity analysis of hyper-parameters under SELF
0 379.2910 379.4436 377.7102 368.1609 375.0763 365.3007
0.25 15.4507 10.7735 15.4237 10.8261 15.1483 10.7645
0.5 4.6907 2.3003 4.6832 2.3069 4.7008 2.3044
0.75 2.4928 1.0833 2.4833 1.0651 2.4784 1.0911
1 1.6012 0.6732 1.5822 0.6650 1.5863 0.6692
1.25 1.1840 0.4149 1.1842 0.4127 1.1800 0.4065
1.5 1.0513 0.2282 1.0499 0.2227 1.0505 0.2292
1.75 1.0239 0.1573 1.0238 0.1537 1.0221 0.1497
2 1.0160 0.1294 1.0166 0.1286 1.0143 0.1204
2.25 1.0138 0.1209 1.0146 0.1208 1.0130 0.1150
2.5 1.0137 0.1205 1.0145 0.1204 1.0127 0.1138
Sensitivity analysis of hyper-parameters under PLF
0 372.5815 368.5130 370.7941 366.6538 371.0514 362.4051
0.25 41.5163 35.2986 55.0813 48.3772 62.0837 55.6768
0.5 9.3318 5.9198 11.2710 7.4711 12.1872 8.3185
0.75 4.0239 2.2053 4.4707 2.4736 4.6583 2.5895
1 2.2234 1.1393 2.4095 1.2732 2.4577 1.3007
1.25 1.4896 0.7207 1.5681 0.7754 1.5844 0.7835
1.5 1.2019 0.4754 1.2467 0.5452 1.2433 0.5220
1.75 1.1123 0.3684 1.1312 0.4067 1.1276 0.3880
2 1.0863 0.3275 1.0990 0.3597 1.0942 0.3408
2.25 1.0791 0.3144 1.0887 0.3409 1.0840 0.3206
2.5 1.0778 0.3120 1.0873 0.3390 1.0823 0.3174
Sensitivity analysis of hyper-parameters under LINEX
0 367.0408 355.9975 367.9650 364.4140 375.3213 370.2621
0.25 15.0717 10.6417 15.4950 10.9054 16.0675 11.4465
0.5 4.7049 2.3259 4.7129 2.3524 4.7548 2.3457
0.75 2.4835 1.0882 2.4799 1.0655 2.5019 1.0762
1 1.5818 0.6651 1.5946 0.6593 1.6040 0.6865
1.25 1.1779 0.4073 1.1882 0.4130 1.1883 0.4165
1.5 1.0483 0.2271 1.0515 0.2290 1.0487 0.2198
1.75 1.0206 0.1434 1.0198 0.1429 1.0178 0.1345
2 1.0124 0.1107 1.0132 0.1167 1.0128 0.1142
2.25 1.0103 0.1010 1.0117 0.1103 1.0111 0.1057
2.5 1.0097 0.0980 1.0113 0.1076 1.0111 0.1057

Table 5.1
ARL and SDRL for different sample sizes for k=0.15.

Shifts
n L 0 0.025 0.05 0.075 0.1 0.25 0.5 0.75 1 1.25 1.5
SELF 5 2.136 373.3525 336.9254 273.6147 203.1800 144.2524 30.5782 9.2996 5.2045 3.7014 2.8937 2.4090
(305.8175) (286.3272) (247.2298) (190.1702) (138.1958) (24.3572) (4.8818) (2.0108) (1.1724) (0.7926) (0.5851)
10 2.04 373.9521 322.8816 205.3112 126.6317 79.8242 14.8402 5.3132 3.2594 2.4254 2.0265 1.7768
(306.3935) (281.4673) (193.9660) (120.8198) (72.1556) (9.3446) (2.0715) (0.9627) (0.5477) (0.3886) (0.4331)
20 2.011 373.1873 266.8366 132.3156 69.7389 40.7884 8.3177 3.4235 2.2760 1.8436 1.4355 1.1042
(302.3345) (240.0758) (123.8537) (62.7590) (33.5707) (4.0378) (1.0272) (0.5265) (0.4076) (0.4960) (0.3055)
30 1.998 367.2001 224.1405 95.8865 47.1324 27.7362 6.2151 2.7481 1.9439 1.4621 1.0717 1.0016
(301.4818) (209.6609) (87.7123) (39.9122) (21.0994) (2.6116) (0.7371) (0.3852) (0.4990) (0.2580) (0.0400)
PLF 5 1.7 368.3127 346.6004 316.3126 284.2934 253.9158 107.7403 28.3324 11.8292 6.6916 4.5293 3.3948
(302.5888) (292.3198) (273.1041) (249.1175) (229.0016) (101.0355) (21.4986) (6.9251) (3.1223) (1.8233) (1.1926)
10 1.25 367.6476 327.9437 288.4954 248.5574 203.6309 57.5864 12.4864 5.5426 3.3636 2.4037 1.8872
(301.1217) (279.9076) (256.1856) (224.2395) (188.0124) (49.3592) (7.6940) (2.5013) (1.2414) (0.7686) (0.5718)
20 0.91 374.0525 323.798 272.6274 206.871 154.1965 27.0655 5.9375 2.8852 1.8707 1.3652 1.0831
(301.5679) (276.3245) (244.7573) (191.0527) (144.8335) (20.4814) (2.8594) (1.0606) (0.6218) (0.4926) (0.2760)
30 0.751 368.3038 321.4022 244.9515 176.4882 119.2963 17.0693 3.9988 2.0493 1.3497 1.0465 1.0016
(302.0179) (277.6689) (223.2192) (167.2339) (112.4318) (11.6375) (1.6917) (0.7059) (0.4885) (0.2106) (0.0400)
LLF 5 2.35 367.3955 341.3908 281.2869 222.4185 163.1827 36.8522 10.6399 5.9345 4.1396 3.1908 2.6472
(302.0376) (289.7641) (252.506) (206.5292) (155.4103) (30.1158) (5.9158) (2.4448) (1.4027) (0.9322) (0.6927)
10 2.18 369.3297 313.6767 216.145 134.8707 88.3105 16.6769 5.7661 3.4941 2.5843 2.1227 1.8707
(303.186) (272.5293) (200.3842) (126.8983) (80.8005) (11.2559) (2.3615) (1.0784) (0.6721) (0.4392) (0.3975)
20 2.1 377.7799 276.1198 140.6935 75.5057 44.8759 8.9145 3.6066 2.3548 1.9031 1.5195 1.1588
(305.9309) (249.4607) (133.8211) (68.6457) (37.4627) (4.5422) (1.1267) (0.5601) (0.3786) (0.5006) (0.3655)
30 2.07 372.5541 238.0256 103.077 50.6046 29.6102 6.4675 2.8264 1.9909 1.5307 1.1127 1.0054
(302.7613) (218.2916) (96.6706) (44.3452) (23.6154) (2.7424) (0.7652) (0.3821) (0.4995) (0.3162) (0.0733)
S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436 429

We used a predictive criteria for the above loss functions in our where, k is a constant and zo ¼ lo . Control limits for EWMA control
study as it is used by Gelfand and Ghosh (1998) for model chart are as follows:
selection. rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
h iffi
UCL ¼ lo þ Lr k=ð2  kÞ 1  ð1  kÞ2i
3. EWMA control chart
CL ¼ lo
EWMA control chart is also a good replacement of Shewhart rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
h iffi
control chart when the core interest is to detect small shifts. The LCL ¼ lo  Lr k=ð2  kÞ 1  ð1  kÞ 2i
exponentially weighted moving average is defined as:
zi ¼ kxi þ ð1  kÞzi1 ; i ¼ 1; 2; 3; . . . ; n ð3:1Þ
Exact control limits for the EWMA control chart are as follows:

Table 5.2
ARL and SDRL for different sample sizes for k = 0.30.

Shifts
n L 0 0.025 0.05 0.075 0.1 0.25 0.5 0.75 1 1.25 1.5
SELF 5 2.46 368.2478 363.5063 325.4638 274.0258 222.7225 55.3572 12.9144 5.9068 3.7688 2.7864 2.2608
(306.6214) (301.9080) (282.2576) (248.5046) (211.5481) (52.1827) (9.6176) (3.2961) (1.6503) (0.9951) (0.7181)
10 2.28 373.289 340.5856 266.1779 187.9228 131.6754 22.7642 5.6539 3.0911 2.1959 1.7584 1.4185
(307.7701) (289.1030) (245.4925) (182.4415) (127.8982) (18.9634) (3.0837) (1.2198) (0.6919) (0.5408) (0.5026)
20 2.18 367.2857 296.4244 187.9355 110.9941 64.8835 9.7821 3.1244 1.976 1.4438 1.1167 1.0133
(304.6419) (267.9219) (181.1960) (108.1080) (61.8109) (6.6412) (1.2285) (0.5928) (0.5072) (0.3214) (0.1146)
30 2.155 372.2471 279.3452 148.8424 76.6087 43.236 6.572 2.423 1.5858 1.1256 1.0076 1.0000
(306.8423) (251.1603) (145.8697) (72.0499) (39.0373) (3.8310) (0.7997) (0.5227) (0.3314) (0.0869) (0.0000)
PLF 5 1.65 372.5453 345.5991 316.4736 293.0377 256.47 117.9517 30.5211 11.4425 5.8099 3.7327 2.7516
(306.6129) (290.7592) (275.1206) (260.2025) (235.0279) (113.2865) (27.1260) (8.5279) (3.5297) (1.9034) (1.1968)
10 1.218 373.3055 344.5021 298.8472 261.0479 218.1448 64.8976 11.9542 4.7442 2.7122 1.8913 1.4493
(307.2700) (289.2960) (263.5636) (238.3861) (206.4955) (61.0120) (8.9939) (2.7468) (1.2473) (0.7682) (0.5545)
20 0.885 371.4113 331.2291 279.1727 219.5672 165.3127 28.9589 5.14 2.2957 1.4447 1.1076 1.0118
(304.0336) (282.0885) (251.8616) (208.5569) (158.5311) (25.7378) (3.1367) (1.0213) (0.5711) (0.3131) (0.1080)
30 0.731 374.1304 328.5608 254.4796 188.2206 131.8151 17.3521 3.2473 1.6052 1.1162 1.0074 1.0001
(307.5181) (278.5556) (233.4726) (179.7977) (129.0321) (14.1320) (1.7123) (0.6692) (0.3236) (0.0857) (0.0100)
LLF 5 2.46 370.5724 362.0125 322.5613 274.2006 218.6158 55.799 12.7508 5.8874 3.7456 2.7573 2.2538
(304.5393) (297.8352) (279.0180) (249.3160) (208.1412) (51.7513) (9.5854) (3.3434) (1.6399) (1.0017) (0.7093)
10 2.28 371.7547 335.8802 266.4856 188.1484 131.2098 22.3639 5.6896 3.0807 2.2091 1.7514 1.4335
(306.3418) (287.6098) (244.9044) (179.6245) (128.0798) (18.8949) (3.1490) (1.2099) (0.7032) (0.5397) (0.5042)
20 2.19 377.2829 313.0581 196.6957 113.3979 68.5069 9.9524 3.1534 1.9804 1.4581 1.125 1.0117
(308.8520) (272.6371) (187.2802) (110.4407) (65.0222) (6.8636) (1.2419) (0.5962) (0.5096) (0.3310) (0.1075)
30 2.16 372.5303 287.1664 149.3947 78.9868 44.0668 6.6458 2.4169 1.5854 1.1258 1.0048 1.0002
(306.9743) (258.8990) (143.0513) (75.0818) (39.5154) (3.9168) (0.8069) (0.5247) (0.3319) (0.0691) (0.0733)

Table 5.3
ARL and SDRL for different sample sizes for k = 0.70.

Shifts
n L 0 0.025 0.05 0.075 0.1 0.25 0.5 0.75 1 1.25 1.5
SELF 5 2.51 371.235 366.2236 346.0068 326.9954 291.2009 119.3311 27.9183 9.5793 4.5437 2.7921 2.006
(305.4432) (304.5922) (293.8186) (284.0586) (264.233) (117.583) (26.8476) (8.2440) (3.269) (1.7209) (1.0525)
10 2.33 372.0802 356.0042 316.2203 270.5686 219.9206 51.7429 9.0725 3.3856 1.9182 1.3849 1.1275
(305.8096) (296.9485) (277.1262) (249.5673) (219.9206) (51.3150) (7.8108) (2.2588) (1.0024) (0.5870) (0.3450)
20 2.24 373.4322 346.6539 280.6805 205.2279 142.553 20.8444 3.487 1.6398 1.1484 1.0144 1.0008
(308.5237) (295.2315) (257.0189) (200.0752) (140.1380) (19.2277) (2.3550) (0.7849) (0.3699) (0.1191) (0.0283)
30 2.20 370.2385 320.2865 233.7435 152.9846 97.0269 11.2066 2.241 1.2292 1.0164 1.0002 1.0000
(306.6746) (281.1459) (220.7956) (150.0371) (94.9386) (9.9170) (1.2537) (0.4555) (0.1270) (0.0141) (0.0000)
PLF 5 1.615 371.381 352.5445 328.7823 304.4541 275.2041 140.2371 42.7826 15.2432 6.8121 3.6943 2.4122
(306.5449) (297.7809) (285.2626) (270.3225) (253.3538) (139.1690) (41.9184) (14.0505) (5.7486) (2.7303) (1.5353)
10 1.194 370.994 342.6881 311.6995 270.2482 234.0481 81.1947 15.537 4.9531 2.4089 1.5291 1.1966
(305.6854) (293.6592) (274.2193) (248.6192) (221.6734) (80.2502) (14.4477) (3.9730) (1.5701) (0.7672) (0.4393)
20 0.873 369.4542 338.6902 284.1383 226.9236 176.3717 37.6152 5.4674 1.989 1.2229 1.0355 1.0028
(304.9451) (291.5662) (258.1580) (217.2673) (171.9533) (36.1869) (4.5097) (1.2166) (0.4796) (0.1888) (0.0528)
30 0.722 374.9774 323.6485 258.8175 193.7368 143.9114 22.2691 3.0668 1.3486 1.034 1.0005 1.0001
(308.9410) (281.2844) (238.8880) (188.1108) (143.6781) (21.6007) (2.2526) (0.6185) (0.1823) (0.0224) (0.0100)
LLF 5 2.52 376.1388 376.0776 359.0787 330.4679 300.3641 123.2995 28.9802 9.671 4.7063 2.8315 2.0081
(310.0416) (308.8803) (299.2980) (286.2519) (266.8296) (121.1981) (27.4378) (8.2851) (3.5101) (1.7536) (1.0670)
10 2.335 375.2384 363.376 323.2907 277.9046 226.4166 52.6394 9.2461 3.3774 1.9347 1.3786 1.128
(310.9928) (302.1952) (282.1432) (253.2231) (213.6017) (52.4463) (7.9650) (2.2781) (1.0065) (0.5859) (0.3427)
20 2.24 369.7255 344.9764 279.4143 204.5898 137.9875 20.5259 3.5064 1.6464 1.1417 1.0171 1.0004
(307.0308) (293.6085) (252.2840) (196.4071) (136.6175) (19.1682) (2.3496) (0.7666) (0.3620) (0.1304) (0.0200)
30 2.21 376.586 337.6569 245.6859 160.7942 101.2748 11.4491 2.2228 1.222 1.0152 1.0004 1.0000
(311.5444) (288.8609) (230.7287) (159.1011) (98.5634) (10.3010) (1.2290) (0.4480) (0.1224) (0.0200) (0.0000)
430 S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436

pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi  
UCL ¼ lo þ Lr k=ð2  kÞ ð3:2Þ 1 1
pðlÞ ¼ pffiffiffiffiffiffiffiffiffiffiffiffi exp  2 ðxi  lo Þ2 ; ð3:7Þ
CL ¼ lo ð3:3Þ 2pr2o 2ro
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
LCL ¼ lo  Lr k=ð2  kÞ ð3:4Þ where lo and ro are the hyper-parameters of the prior distribution.
The likelihood function is combined with prior distribution to
We recommend using the exact control limits. Use of these limits
obtain posterior distribution and it is as follows:
will enhance the performance of the control chart in detecting an  
out-of-control process. ljX  N lSELF ; r2n ; ð3:8Þ
where
3.1. Bayesian EWMA control chart under loss functions
nxr2o þ r2 lo
Let x1 ; x2 . . . ; xn is the random sample drawn from the normal
lSELF ¼
r2 þ nr2o
distribution with mean l (which is assumed unknown) and vari-
ance r2 (assumed known). The distribution and the likelihood of and
the random variable X are given, respectively, as follows: r2 r2o
  r2n ¼
1 1 r þ nr2o
2
f ðxjl; r2 Þ ¼ pffiffiffiffiffiffiffiffiffiffiffiffi exp  2 ðxi  lÞ2 ð3:5Þ
2pr2 2r Let y1 ; y2 . . . ; yk be future observations of size k and the posterior
  Y n
predictive distribution of Y is normal with parameters lSELF and r21 .
L l; r ; x1 ; x2 ; . . . ; xn ¼
2
f ðxjl; r2 Þ: ð3:6Þ
i¼1
YjX  NðlSELF ; r21 Þ ð3:9Þ
In most of the circumstances, the value of l is not known, and we
consider that our prior knowledge for l can be summed up by a where r21 ¼ r2 þ r2n .
prior distribution. YjX is also normally distributed with parameters mean lSELF and
2
variance w2 ¼ rn þ r2n .
3.1.1. Bayesian EWMA control chart under squared error loss function The posterior predictive distribution of Y for non-informative
Here, we consider informative prior for normally distributed priors is normal with parameters X and r2 . That is;
data with known standard deviation. The conjugate prior informa-
tion for l is given by; YjX  NðX; r2 Þ;

Fig. 1. ARL curves under different loss functions for k = 0.15.


S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436 431

where The posterior predictive distribution of Y for non-informative priors


  is normal with parameters lPLF and r2 .
 nþ1 2
r2 ¼ r
n YjX  NðlPLF ; r2 Þ;
Now, posterior predictive control limits are designed using informa- where
tive prior for proposed control chart and these are defined as: sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
 
rffiffiffiffiffiffiffiffiffiffiffiffi nþ1 2
k lPLF ¼ X2 þ r
UCL ¼ lSELF þ Lw ð3:10Þ n
2k
CL ¼ lSELF ð3:11Þ Now, posterior predictive control limits are designed using informa-
rffiffiffiffiffiffiffiffiffiffiffiffi tive prior for proposed control chart and these are defined as:
k rffiffiffiffiffiffiffiffiffiffiffiffi
LCL ¼ lSELF  Lw ð3:12Þ
2k k
UCL ¼ lPLF þ Lw ð3:15Þ
2k
3.1.2. Bayesian EWMA control chart under precautionary loss function CL ¼ lPLF ð3:16Þ
For PLF, we consider informative prior for normally distributed rffiffiffiffiffiffiffiffiffiffiffiffi
k
data as it is given in 3.7 and posterior distribution is given as: LCL ¼ lPLF  Lw ð3:17Þ
  2k
ljX  N lPLF ; r2n ; ð3:13Þ
where 3.1.3. Bayesian EWMA control chart under LINEX loss function
vffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi Here considering informative prior for normally distributed
u
uðr4 þ ðn þ 1Þr2 r2 Þðr2 þ nr2 Þ þ ðnxr2 þ r2 l Þ2 data and the likelihood function is combined with prior distribu-
lPLF ¼ t o o o o
ðr2 þ nr2o Þ
2 tion to obtain posterior distribution given by:
 
ljX  N lLLF ; r2n ; ð3:18Þ
The above expression is as shown in Riaz and Ali (2015).
YjX is normally distributed with parameters mean lPLF and vari- where
ance r22 ¼ r2 þ r2n .  
nxr2o þ r2 lo c r2 r2o
lLLF ¼  r2 þ
YjX  NðlPLF ; r 1 Þ;
2
ð3:14Þ r2 þ nr2o 2 r þ nr2o
2

Fig. 2. ARL Curves under different loss functions for k = 0.30.


432 S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436

is also shown in Zeller (1986) and Rodrigues (1994). of Normal distribution. We have monitored the impact of an
Posterior predictive distribution of Y is given as; increase or decrease in the value of hyper-parameters on perfor-
mance measures ARL and SDRL of the proposed control chart under
YjX  NðlLLF ; r21 Þ ð3:19Þ
three loss functions.
Posterior predictive distribution of Y for non-informative priors is Bayesian EWMA control chart under three loss functions are
as; designed to have ARLo of 370 with sample size n = 10 and

k ¼ 0:15. The proposed Bayesian EWMA control chart is assessed
YjX  NðlLLF ; r2 Þ; using simulations with 10,000 iterations for different shift sizes.
   2   2 Table 4 summarizes the findings of ARL and SDRL for various
where lLLF ¼ X 2  2c nþ1
n
r and r2 ¼ nþ1n
r.
choices of hyper-parameters. The effect of different hyper-
Now, posterior predictive control limits are designed using
parameter values is as follows:
informative prior for proposed control chart and these are defined
as:
1. ARL and SDRL of Bayesian EWMA control chart under SELF and
rffiffiffiffiffiffiffiffiffiffiffiffi
k LINEX loss function remain almost same for increasing and
UCL ¼ lLLF þ Lw ð3:20Þ decreasing in the values of hyper-parameters.
2k
2. For precautionary loss function, ARL and SDRL increase (or
CL ¼ lLLF ð3:21Þ
rffiffiffiffiffiffiffiffiffiffiffiffi decrease) with increasing (or decreasing) the values of hyperpa-
k rameter when using Bayesian EWMA control chart.
LCL ¼ lLLF  Lw ð3:22Þ
2k
zi is the plotting statistic, which is updated using Bayes estimator 5. Performance evaluation and comparison
jx and is defined as:
y
jxÞ þ ð1  kÞzi1
zi ¼ k ð y ð3:23Þ In this section, Monte Carlo simulations are used with 10,000
iterations for computation of the performance measures in terms
of ARL and SDRL of the proposed study and are reported in follow-
4. Sensitivity analysis of hyper-parameters ing Tables 5.1,5.2,5.3. The performance measures(ARL and SDRL)
are calculated for various values of smoothing constant (k = 0.15,
Sensitivity analysis is performed for hyper-parameters. Infor- 0.30, 0.70) using different sample sizes (n = 5, 10, 20, 30).
mative (conjugate) prior is considered for the mean of the underly- ARL and SDRL, when the process is in-control and out-of-control,
ing process. The impact of hyper-parameters on the performance of are denoted by ARLo , ARL1 and SDRLo , SDRL1 respectively. ARL1 is
Bayesian EWMA control chart under different loss functions is defined as the capability of control chart for detecting out-of-
evaluated by considering different choices of hyper-parameters control signal after the shift has appeared in the process. For an effi-

Fig. 3. ARL Curves under different loss functions for k = 0.70.


S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436 433

cient control chart, ARL1 should be small. Table 5.1,5.2,5.3 are pro- LINEX loss function. Whereas, for proposed Bayesian EWMA
vided for fixed ARLo = 370. ARLo is the desired run length which is control chart under PLF, when k increases, the value of con-
obtained by adjusting control limit co-efficient using informative trol limit co-efficient L decreases.
as well as conjugate priors. Without loss of generality, we consid- 2. The behavior and tendency of ARL1 and SDRL1 are very sim-
ered that l ¼ 0, r ¼ 1 and l1 ¼ l þ dr, where d is defined as an ilar when increasing the shift size. For each value of n and k,
amount of shift that occurs in an in-control parameter of a process. the values of performance measures ARL1 and SDRL1
The hyper-parameters are considered as lo ¼ 10 and ro ¼ 4. The decrease with increasing the shift size for proposed EWMA
future sample size k and current sample size n are taken to be equal control chart under SELF, PLF and LINEX loss function.
for the proposed study. In LINEX loss function, c is the parameter of 3. For any fixed value of k, as sample size n becomes larger the
loss function and it serves to determine its shape and for analysis its performance measures ARL1 and SDRL1 of the proposed
value c ¼ 4 is considered as Zeller (1986) used in his article. SDRL is EWMA under SELF, PLF and LINEX loss function tend to
shown in parentheses in all tables. decrease. This indicates that any out-of-control state in the
Some remarks are as follows: process will be detected quickly by increasing sample size n.
4. Tables 5.1,5.2,5.3 shows that the in-control SDRL for the pro-
1. The results indicate that increasing the values of smoothing posed EWMA under SELF, PLF and LINEX loss function is
constant k increases the value of control limit co-efficient of approximately 300 for all choices of the smoothing constant
the proposed Bayesian EWMA control chart under SELF and k and sample size n.

Fig. 4. Graphical display of illustrative real life data application (a) Data Display. (b) Classical EWMA Phase I. (c) Classical EWMA. (d) Bayesian EWMA under SELF. (e) Bayesian
EWMA under PLF.
434 S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436

5. The out-of-control SDRL for the proposed EWMA under SELF, n and k . The difference between the values of ARL1 and
PLF and LINEX loss function is much higher for the shift size SDRL1 decreases after the shift size 0.25. The SDRL1 values
close to 0.1 for the all choices of smoothing constant k. for shifts show quicker detection of the shift than that of
6. Out-of-control SDRL decreases as shift size increases more ARL.
rapidly than ARL. The control chart with smaller SDRL1 7. The behavior of ARL1 and SDRL1 is decreasing with decreas-
shows the better performance. Tables 5.1,5.2,5.3 indicates ing k and increasing sample size n for Bayesian EWMA under
that SDRL1 is smaller than ARL1 for all choices of sample size SELF,PLF and LINEX loss function.

Fig. 5. Graphical display of illustrative real life data application (a) Data Display. (b) Classical EWMA Phase I. (c) Classical EWMA. (d) Bayesian EWMA under SELF. (e) Bayesian
EWMA under PLF.
S. Riaz et al. / Computers & Industrial Engineering 112 (2017) 426–436 435

8. For all choices of k, that overall results of Bayesian EWMA Table 6


control chart under squared error and LINEX loss function Descriptive measures for the application 2.

is better than Bayesian EWMA control chart under precau- Mean 0.215138526
tionary loss functions. Standard error 0.045238316
9. As sample size increases, the performance of Bayesian Median 0.238046103
Mode 0.217483944
EWMA control chart under SELF, PLF and LINEX loss function Standard deviation 0.628470765
is getting better. Sample variance 0.394975502
10. The proposed EWMA control chart under SELF, PLF and Kurtosis 3.180059141
LINEX loss functions performs substantially better for smal- Skewness 0.799786341
Range 4.182585825
ler shifts while almost insignificant for larger shifts.
Minimum 2.301029996
Maximum 1.88155583
Based on calculations, following figures are made for non- Sum 41.52173552
informative priors. For the purpose of comparison ARL curves are Count 193
drawn for different choices of k in following figures.
It is observed from above Figs. 1–3 that Bayesian EWMA control
chart performs better under squared error loss function for the 6.2. Application 2
considered choices of smoothing constant k and sample size n. It
is observed that EWMA control charts under squared error loss In this application, data of thyroid-stimulating hormone (TSH)
function and LINEX loss function are almost similar. is used to check for thyroid gland problems in females of Islam-
abad. We provide a brief description of the data of TSH.
For our study purpose, after discarding outliers we select a sam-
6. Real life applications ple of 30 from 194 readings. The parameters of data are as
l ¼ 0:215 and r ¼ 0:628. Data is plotted in Fig. 5(a) and some
6.1. Application 1 descriptive measures are reported in Table 6. The hyper-
parameters are observed from previous study of TSH in females
Here, we demonstrating the performance and implementation (see Mansoor, Rizvi, Kausar, Aslam, & Huda, 2011) and these are
of Bayesian EWMA control chart under loss functions. Data set is reported as lo ¼ 1:55 and ro ¼ 0:86. For valid comparison of
taken from the book entitled, Introduction to Bayesian Statistics EWMA control chart using both approaches Bayesian and classical,
(second edition), by William M. Bolstad page: 238, Bolstad in-control ARL is fixed i.e. 370. For Bayesian approach posterior,
(2007). The data illustrates the readings of systolic blood pressure predictive limits are used under different loss functions. From
of students who came to the student’s health service. 30 female Fig. 5, It is clear that Bayesian EWMA chart under SELF and PLF, sig-
students under age of 21 are considered for their blood pressures nals out-of-control quickly as compared to classical EWMA chart.
readings. These readings are: So the proposed Bayesian EWMA chart under loss functions is
superior and monitoring efficiently for monitoring the smaller
120 122 121 108 133 119 136 108 106 105 shifts in process mean.
122 139 133 115 104 94 118 93 102 114
123 125 124 108 111 134 107 112 109 125 7. Summary, conclusion and recommendations

This article presented Bayesian posterior predictive EWMA con-


trol charts under different loss functions for efficient monitoring of
Assuming the above systolic blood pressures come from a
location parameter of a process. The performance measures are
Normalðl; r2 Þ distribution where r ¼ 12. Using a calculated in terms of ARL and SDRL. Control limits multiplier
Normalð120; 152 Þ prior for l. has been adjusted to attain the in-control desired ARL for fixed a
For valid comparison of EWMA control chart using both and simulation study is conducted for this purpose. Sensitivity
approaches Bayesian and classical, in-control ARL is fixed i.e. 370. analysis is also performed for various values of hyper-parameter
For Bayesian approach posterior predictive limits are used under of conjugate prior. It has been observed that ARL1 and SDRL1 reflect
different posterior predictive loss functions. By using this data the superiority of proposed Bayesian EWMA under loss function
and prior knowledge for mean of systolic blood pressure, posterior with faster detection of sustainable changes in location parameter
predictive distribution is considered for monitoring blood pres- of a process and it is concluded that Bayesian EWMA chart under
sure. Three cases are discussed for EWMA statistic, classical control SELF and LINEX loss function dominate over Bayesian EWMA chart
limits, predictive limits under SELF and PLF. under PLF for smaller shifts. It is also supported by two real life
Fig. 4 presents data display, EWMA control chart for classical applications.
limits and Bayesian predictive limits under SELF and PLF using This study may be expanded to other control charts like CUSUM
k = 0.15. EWMA statistic is plotted against control limits. In above and mixed EWMACUSUM for efficient monitoring of location as
figure, LCL-Classical, LCL-SELF and LCL-PLF refers to lower control well as spread parameters of the process. Moreover, multivariate
limits for classical approach and Bayesian predictive approach structures need exploration for more practical purposes.
under SELF and PLF respectively and similarly UCL-Classical, UCL-
SELF and UCL-PLF refers upper control limits. Fig. 4c represents References
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