摘要翻译:
记忆型控制图,如EWMA和CUSUM,是检测单变量和多变量过程中微小质量变化的有力工具。许多关于这些控制图的经济设计的论文使用了Lorenzen和Vance(1986)提出的公式[Lorenzen,T.J.和Vance,L.C.(1986).控制图的经济设计:统一方法.技术计量学,28(1),3-10,DOI:10.2307/1269598]。本文表明,该公式对内存型控制图是不正确的,即使精确计算了ARL值,其值也会与原值有较大偏差。因此,使用这个公式可能导致图表在经济上不是最优的。该公式对内存型控制图进行了修正,但不幸的是,从计算的角度来看,修改后的公式并不是一个有用的工具。我们表明基于仿真的优化是一种可能的替代方法。
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英文标题:
《Economic Design of Memory-Type Control Charts: The Fallacy of the
Formula Proposed by Lorenzen and Vance (1986)》
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作者:
Amir Ahmadi-Javid and Mohsen Ebadi
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最新提交年份:
2017
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分类信息:
一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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一级分类:Computer Science 计算机科学
二级分类:Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述:Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的,集中在技术和工具,使挑战性的计算模拟能够执行,其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4(经济学)中的材料。
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一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Mathematics 数学
二级分类:Optimization and Control 优化与控制
分类描述:Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学,线性规划,控制论,系统论,最优控制,博弈论
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
The memory-type control charts, such as EWMA and CUSUM, are powerful tools for detecting small quality changes in univariate and multivariate processes. Many papers on economic design of these control charts use the formula proposed by Lorenzen and Vance (1986) [Lorenzen, T. J., & Vance, L. C. (1986). The economic design of control charts: A unified approach. Technometrics, 28(1), 3-10, DOI: 10.2307/1269598]. This paper shows that this formula is not correct for memory-type control charts and its values can significantly deviate from the original values even if the ARL values used in this formula are accurately computed. Consequently, the use of this formula can result in charts that are not economically optimal. The formula is corrected for memory-type control charts, but unfortunately the modified formula is not a helpful tool from a computational perspective. We show that simulation-based optimization is a possible alternative method.
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PDF链接:
https://arxiv.org/pdf/1708.06160