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Short-run statistical process control: Q -Chart enhancements and alternative

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Article  in  Quality and Reliability Engineering · March 1994

DOI: 10.1002/qre.4680100203

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 QUALITY AND RELIABILITY ENGINEERING INTERNATIONAL, VOL. 10,87-97 (1994)

SHORT-RUN STATISTICAL PROCESS CONTROL:

&-CHART ENHANCEMENTS AND ALTERNATIVE
METHODS
ENRIQUE DEL CASTILLO
University of Texas at Arlington, Arlington, TX 76019-OO17, U.S.A

AND

DOUGLAS C. MONTGOMERY
Arizona State University, Tempe, A Z 85287, U.S.A.

SUMMARY
In processes where the length of the production run is short, data to estimate the process parameters
and control limits may not be available prior to the start of production, and because of the short run
time, traditional methods for establishing control charts cannot be easily applied. Recently, Q charts
have been proposed to address this problem. We study the average run length ( A m ) of Q charts
for a normally distributed variable assuming that a sustained shift occurs in the quality characteristic.
It is shown that in some cases Q charts do not exhibit adequate AFU performance. Modifications
that enhance the ARL properties of Q charts are presented. Some alternatives to Q charts are also
discussed. For the case of a known process target two alternative methods are presented: an exponen-
tially weighted moving average (EWMA) method and an adaptive Kalman filtering method. It is
shown that both methods have better ARL performance than Q charts for that case. For the case of
both process parameters unknown, an adaptive Kalman filtering method used with a tracking signal
provides an ARL performance that improves as better estimates of the process mean and variance
are given. A practical example illustrates the tracking signal method for the case when the process
parameters are unknown.

KEY WORDS Control charts Short production runs Q charts Adaptive Kalman filtering Tracking signal
methods Average run lengths

INTRODUCTION cal control chart practice, is a two-stage procedure.

In a short production run environment, data to esti-
mate the process parameters and the limits for a
standard control chart are usually not available prior
to the start of production. The usual practice in
statistical process control is to gather around 25
observations for setting trial control limits. This pro-
cedure is generally not appropriate in a short-run
environment, since the number of parts needed to
set the control limits could exceed the total number
of parts produced in the run. In addition, if a small
number of subgroups is used to set the control limits,
an inflated false alarm rate results, as Hillier'
pointed out.
There are many examples of manufacturing sys-
tems where production runs are short, or equival-
ently, where lot sizes are small. Job shop manufac-
turing is usually characterized by producing small
quantitites of a large variety of parts. Even many
repetitive manufacturing businesses have adopted
short production runs as a production strategy, a
move due in part to the popularity of the just in
time (JIT) manufacturing philosophy.
Hillier'*2presented a method that gives valid con-
trol limits for x and R charts regardless of the
number of subgroups. His method, similar to classi-
The first m subgroups are used to assess control of
the subsequent subgroups. This method will give
the desired false alarm rate for any value of m,but
the ARL while out of control (ARL,,,) might be
too large if m is too small. This basic trade-off
also occurs in other control approaches. Therefore,
Hillier recommends using m 2 5 and presents fac-
tors for setting control limits for the case of sub-
groups of size n = 5. However, control charts for
individuals ( n = 1) are increasingly used in short
runs manufacturing systems, so the tables of factors
presented in Hillier's paper are not applicable for
this case.
Recently, Q u e ~ e n b e r r y introduced
~-~ Q charts for
the short runs problem when the quality variable
follows a normal, binomial or Poisson distribution
respectively. For the normal3 case he addresses both
the case of grouped data and the case of individual
measurements. Four cases are presented, classified
according to the prior knowledge about the process:
Case I : both the mean p and the variance are
known
Case 11: p unknown, a2 known
Case III p known, u2 unknown
Case I V both p and a2 unknown.

CCC 0748-8017/94/020087-11 Received 10 October 1992

01994 by John Wiley & Sons, Ltd. Revised 29 June 1993
88 E. DEL CASTILLO AND D. C. MONTGOMERY

Formulae are presented in Reference 3 for each
of the four cases when n = 1 or when n > 1. How-
ever, no assessment of the statistical properties of
the resulting control charts is presented.
In this paper, we study the statistical properties
of Q charts for a normal-distributed quality variable.
We examine different control approaches for Cases
11, 111 and IV and evaluate their performance using
simulation. Case I corresponds to the classical
Shewhart control chart case. Surprisingly, the ARL
properties of Q charts can be very poor in some
cases. We propose simple modifications to the for-
mulae presented by Quesenberry and show that they
render improved ARL properties. For Case I11 both
an adaptive Kalman filtering approach and an
EWMA method are presented and shown to have
better ARL performance than the modified Q chart
for that case. For Case IV, the adaptive filtering
method is coupled with a tracking signal and is
shown to provide reasonable ARL performance.
This method is illustrated with a practical application
in the last section of the paper.
An important problem, which is common to any
control method where the mean p is completely
unknown and has to be estimated (see also Case
IV below), arises; namely, the strength of the signal
given by the Qi statistics when a shift occurs depends
on the number of samples prior to the shift. If the
shift is not detected immediately after its occur-
rence, then the process stabilizes at the new level.
After that moment, any out-of-control condition will
occur with a low probability, as if the process were
in the in-control state. Quesenberry3 points this out
and the same problem is mentioned by Hillier.', *
Shepardson6 has also observed this same problem
recently.
To see why the signal problem arises, suppose
that a shift of size 6uo occurs between samples m
and m + 1. Then,
E [ X i ]= ['
p+6uo , i f i > m
,ifism
(3)
and

ARL PROPERTIES O F Q CHARTS FOR A

NORMALLY-DISTRIBUTED VARIABLE
i= 1
Q charts are standardized control charts where the
Qi statistics (given by the following formulae
developed by Quesenberry3) are plotted on a chart
with centre line equal to zero and control limits
equal to k3. Unless explicitly mentioned, this is the =p+-
6UO
control limit width used in the simulation exper- m+l
iments presented in the paper. It is assumed that
production of items follows a stable, normally-dis- Similarly,
tributed process. The normality assumption should
be carefully revised in practice since for a small 26uo
number of parts skewed distributions may charac- Ernrn+*I =p+
m+2
terize the process better. Q u e s e n b e r ~ , has con-
sidered the cases when the quality characteristic
follows other (non-normal) distributions.

Case ZZ. p unknown, u = uo known

Therefore, the expected value of the Q statistic (2)
For n = 1, the statistics are computed from
is

Qr(Xr)= d(!!)y-u:-l), r = 2 , 3 , ... (1) E[Qil=

0 ,if i Irn
xr
where denotes the average of the first r individual
measurements. Similarly, for n > 1 the Q statistics
for samples of equal size are given by
,if i=m
+l+j; j r 0

i = 2,3, ... (2) It is easy to see from ( 5 ) that E [ Q i ] will tend to

zero (and thus the shift signal will be lost) as j + 00
where (number of samples after the shift), or as m --* 0
(number of samples before the shift). In contrast,
if both p and u are known (Case I), then after the
shift takes place,
 SHORT-RUN STATISTICAL PROCESS CONTROL 89

Table I. ARL, SRL for Q charts, Case 11, n = 1. For 6 = 0, ARLi, = 410.8,
SRLi, = 383.6

6 m = 5 m = 10 m = 50 Shewhart case
ARLi, = 370.3

0.5 401.5, 392.3 389.6, 383.9 339.1, 369.1 155.2

1.0 385.6, 383.9 361.6, 375.2 224.3, 323.6 43.9
1.5 358.9, 378.0 304.2, 361-9 87.4, 208.9 15.1
2.0 335.0, 380.7 215-8, 336.9 22.3, 100.5 6.3
3.0 176-8, 314.1 45.8, 164.3 2-39, 2-23 2.0

for randomness common in the simulation litera-

so in this case the signal is independent of the num-
ber of samples before or after the shift. It is clear
that
(7)
The difference E[ QilCaseI- E[ QiICaseII will tend to
zero as m,the number of samples before the shift,
increases, increasing the total number of samples i.
Thus the behavior of the Q chart for Case I1 will
approximate the Shewhart case (Case I) as more
samples prior to the shift are available.
The effect of this problem can be observed in the
ARL properties of Q charts for this case. Tables I
and I1 show the average and standard deviation of
the run lengths (ARL and SRL, respectively) for
Case I1 when n = 1 and n = 5 . These run length
statistics were obtained by simulation. In all the
simulation results presented in this paper, the simul-
ations were stopped when the standard errors of the
estimates were less than 5 per cent of the estimated
means, that is, when S R L / d i < OaOSARL, where
i denotes the number of simulation runs. A simul-
ation run ends when an out of control condition is
detected. The simulation programs were coded in
Turbo Pascal 6.0 and ran on an 486 PC with a math
coprocessor. Turbo Pascal's RANDOM function
was used to generate the uniform (0,l) numbers.
This procedure passes all of the usual empirical tests
ture.' The GASDEV function described by Press
et af.* was used to generate normal deviates. The
simulation program was verified by simulating Case
I, the standard Shewhart case. For this case, it is
well-known that ARLin = l/a = 370.3, SRLin =
( 1 - C X ) ~ ' ~ / C=X 368-3 and the run length distribution
is geometric. After 2000 simulations, the estimated
ARLi, = 370-6, the estimated SRLi, = 367.7 and
a goodness of fit test finds no evidence to reject the
null hypothesis of a geometric distribution. When-
ever different control methods were compared, the
same random number streams were used.
In Tables I and 11, it was assumed that m in-
control samples were avaiiable prior to the start of
the run. If m = 0 then the ARL in-control (ARLin)
equals ARLO,, for any shift size 6 . We have included
the ARL values of a Shewhart chart when both x
parameters are known for reference.
Note the high SRL values at large shifts sizes.
This is a consequence of simulations where the shift
was not detected early. As m is increased, the ARLs
begin to improve, but note that m = 50 might be
too many samples for a short run process.
Case III. p = p, known, uz unknown
A common practice in short-run environments is
to monitor the deviation from nominal instead of
the quality characteristic itself. This is useful if many
parts are produced on the same machine, since all
the parts can be controlled with a single chart.'
This, in turn, is valid if the process average is known
to be equal to the process target. Then Case I11 in
Reference 3 is equivalent to this procedure with

Table 11. ARL, SRL for Q charts, Case 11, n = 5. For 6 = 0, ARL,, = 410-2,
SRL,, = 391.8

6 m = 5 m = 10 m = 50 Shewhart case
ARL,, = 370-3

0.5 395.1, 392.5 362.3, 388-6 196.1, 316.1 33.2

1.0 318.0, 386.8 182.0, 307.0 9.34, 32-5 4-47
1.5 136-5, 281.1 20.5, 103-8 1-75, 1.21 1-57
2.0 14.3, 97.6 1.24, 0.68 1-17, 0-39 1-07
3-0 1.00, 0-05 1-00, 0.03 1-00, 0.00 1.00
90 E. DEL CASTILLO AND D. C. MONTGOMERY
b = 0 being the process target. If the process aver-
age is not known, then we are back in Cases I1 or
IV. In a repetitive manufacturing system where
many short runs of the same part are produced, a
historical process average may be available.
The Q statistics to plot in this case are, for n = 1,
the following:
where the recommended estimate of the process
variance is3
(9)
W1denotes the inverse of a standard normal distri-
bution and T, denotes the student t distribution with
v degrees of freedom.
For n > 1 and assuming equal sample sizes, the
formulae are
with the recommended estimate of the variance
being in this case
We caution potential users to avoid the variance
estimators (9) and (11). These estimators will over-
estimate the variance of the process resulting in an
underestimation of the Qi statistics. Estimator (9)
will overestimate the variance of the process if the
process has shifted to an out-of-control state. Esti-
mator (11) combines within sample variability with
between-sample variability. It is well known9 that
the control limits must be based on within sample
variability only. Figure 1 shows the ARL vs. shift
size curves for Case I11 obtained using (9) and (11).
Obviously, the ARL curves obtained are inadequate
since they should be strictly decreasing functions of
8 , the shift size.
Better choices of estimators are
Sr
U' =-
c4
where
instead of (9), and
i
920
Il5O
I I
0 1 2 3
Shift Size
Figure 1. Q-chart ARL values for Case 111 using equations (9)
and (11)
,. s,
u, = -
c4
where
instead of (11). c4 is a factor which is a function of
n and can be found in many published table^.^
We have observed that using the moving range
estimator m,/dz for n = 1 results in a worse ARL
performance. This is expected since (12) is the mini-
mum variance unbiased estimatorlo of ur.There-
fore, m J d 2 will have a higher variance than (12),
and this causes an underestimation of E [ Q i ] . In
Case 111, E[Qi]= 6uo. Using m,/d2 we get, by
simulation, that E [ Q i ] = 0-91 when 6uo = 1.0 and
E [ Q i ] = 1-87 when 6uo = 3.0. Thus, the out-of-
control signal will not be as strong as it should be
and the ARL,,, will be much larger than those
obtained using (12).
Figure 2 presents the ARL values for Q charts
obtained using equations (12) and (13). Clearly,
these ARL values are much better than those
obtained from using (9) and ( l l ) , since now ARL
decreases with the shift size.
Alternative methods for Case III
Additional improvement on the ARL perform-
ance beyond the values shown in Figure 2 can be
obtained by using alternative control methods. Two
methods are presented here: a relatively simple
EWMA scheme (where u has to be estimated) and
an adaptive Kalman filtering approach. We consider
only the case n = 1, which is a common choice in
short-run environments.
 SHORT-RUN STATISTICAL PROCESS CONTROL 91

500 s, = pt - l i&Xi
Z1 - 4, t = 2 , 3 , ...;

400

Table I11 compares the propose1 EWMA met..od

c
+- 300 with the corrected Q chart method (that is, equations
C
0)
a,
(12) and (13)) for Case 111. No attempt was made
-
C to find the optimal value of A (in the sense of Lucas
l? 200 and Saccucci") so A = 0.1 was used. It can be seen
that the EWMA approach gives a much better ARL
performance than the corrected Q chart for this
100 case. As a reference, the ARL values of a 'classical'
Shewhart chart and a 'classical' EWMA chart
(classical meaning a chart with both p and u known)
0 are included. The values for the classical EWMA
0 1 2 3 were obtained by interpolation from the tables pro-
Shift Size vided by Crowder.13Note that the proposed EWMA
gives better ARL values than the Q chart for any
Figure 2. Q-chart ARL values for Case 111 using equations (12)
and (13) shift size. The proposed EWMA also gives better
ARL performance than the classical Shewhart chart
for small shift sizes. This is not suprising since the
EWMA chart works well for small shifts if A is
An EWMA approach for Case III. Since the ~ma1l.l~ Note that the difference in the ARL per-
mean of the process is assumed to be stable, it can formance between the proposed EWMA with
be modelled by the EWMA recursive equation unknown variance and the classical EWMA is rnini-
mal. Although the ARL performance of the pro-
$I= t = 1,2, ...
(1 - A)$r-1+ AX,, (14) posed EWMA approach using control limits (15) is
&, = b (known target) quite good, the more exact EWMA transient control
limits for n = 1
It is well-knownll?l2 that the control limits for the
EWMA at stability are given by

can be used instead. These limits increase rapidly

where L is a multiple denoting the number of stan-
dard deviations for the width of the control limits.
In order to use (15), we need to estimate u, since
it is unknown in Case 111. Denote by &, the estimator
of u at sample t. Then the minimum variance
unbiased estimatorlo of u, is given by
to the stable limits9 of equation (15).
A n Adaptive Kalman filtering model for Case
IZI. Another alternative that gives satisfactory
ARL performance for Case I11 is based on the
Kalman filter (described in the Appendix). The
method is based on representing the assumed i.i.d.
process by the observation equation

with and the system equation

Table 111. ARL, SRL for Case 111, n = 1

6 EWMA A = 0.1 Q chart Classical Shewhart Classical EWMA A = 0.1,

L = 2-625 L = 2.9352 L = 2.686

0.0 371.0, 350.4 370.9, 314.9 370.3 370.3

0.5 29.4, 20-0 155.7, 109.8 155.2 28.0
1.0 9.7, 4.6 65.3, 42.7 43.9 9.6
1.5 5.9, 1-8 36.0, 18.9 15.1 5.7
2.0 4.5, 1.0 23.9, 9.5 6.3 4.1
3.0 3.5, 0.5 12.5, 3.4 2.0 2.7
92 E. DEL CASTILLO A N D D. C. MONTGOMERY

the adaptive Kalman filtering method is also better

where E is a standard normal variable with unknown
variance V(E) = a2.
Crowderl4. l5 studies considerably more general
models than that above and develops a similar
adaptive filtering algorithm. It is shown in the
Appendix that the Kalman filtering equations result
in the EWMA equation for the mean of the process
given by
b, = ( 1 - + A,X, (p,,, known)
than the corrected Q chart for any shift size 8.
For large values of 8, the adaptive Kalman filtering
algorithm is slightly better than the proposed
EWMA approach. The SRL in-control is also better
than the corresponding SRL value for the proposed
EWMA control scheme.
Finally, we note that both the proposed EWMA
model and the adpative Kalman filtering method
can be enhanced further by using fast initial response
(FIR) techniques,l1.lS since the process target is
(19) known.

The weights h, change adaptively according to

Case ZV. Both p, and u2 unknown
If both the mean and the variance of the process
are unknown, Quesenberry3 gives the following for-
mula for n = 1:
where qr is the posterior variance of pt given by

It was observed that the initial value qo has practi-

cally no effect on the ARL performance of the where the recommended estimator for the standard
method, as long as qo > 0. deviation is
Similarly as before, denote by 6f the estimated
process variance at time t. Then in equation (20)
we can use a: instead of uz,where S, ='J[ r - l j =i(4
l - x,)'] (24)

Figure 3 shows the ARL curves obtained from

= (XI- h ) 2
Equations (19)-(21) can be used to control a
stable process with unknown variance. For a more
general model, Crowder14.l5 used a box and whisker
chart developed by Hoadley16 and Phadke. l7 For
the i.i.d. process considered here, the box and whis-
ker chart is equivalent to a control scheme with
limits plotted at
using these formulae. Again, we recommend avoid-
ing the estimate given by (24). Instead of (24) use
the SJc, estimator given by (12). Using this esti-
mator, better ARL values are obtained as seen in
Table V. However, these ARL are still too long for
many practical applications in short-run production
environments.
Notice in Table V that when m = 5 a shift of
practically any size goes unnoticed. When m = 50,

p,,, * L% (22)
Then the process will be out of control if gt lies
outside the control limits defined by (22). Using
simulation we obtain the ARL values shown in
Table IV.
Comparing Tables IV and 111, we observe that

TableIV. ARL, SRL for

adaptive Kalman filtering,
Case 111, n = 1, L = 2.246

6 ARL, SRL
130 1 i
0.0 370.5, 303.7
0.5 69.0, 59.8
1.0 17.9, 15-4 01 I 1
1-5 7.5, 5.5 0 1 2 3
2.0 4.3, 2.2
Shift Size
3.0 3.1, 0.8
Figure 3. Q-chart ARL values for Case IV using equation (24)
 SHORT-RUN STATISTICAL PROCESS CONTROL 93

Table V. ARL, SRL for Q charts, Case IV, n = 1. For A(t) = alel(t)l + (1 - a)A(t - 1) (27)
6 = 0, ARLi, = 473.9, SRLi, = 398.4
~~ ~

6 m = 5 m = 10 m = 50 where e l ( t ) is the one-step-ahead forecast error

defined by
0.5 469.7. 396.4 466.5, 402.6 396-4, 401.8
1.0 469.0, 397.4 451.9, 390.4 274.6, 345-5
1.5 463.9, 392.0 439.5, 400.0 151-1, 270.4
2.0 460.0, 392.7 417.5, 404.9 50.6, 147.5
3.0 449.2, 401.2 353.0, 397-9 3.7, 4.1 gr(t- 1) is the forecast of the process level at time
t computed at time t - 1. For an EWMA, the one-
step-ahead error is given by
the control mechanism begins to detect signals, but
the high SRL problem discussed in Case I1 appears.
For larger sample sizes this method works better,
as shown in Table VI. For this case ( n > 1) We compute brPlusing the adaptive filtering equa-
assuming all the sample sizes to be equal to the tions (19)-(21). Alternatively, we could have used
formulae are the proposed EWMA approach used in Case 111.
For the simulation results reported below, the vari-
ance of the process was estimated by

i = 1 , 2 , .._ (25)

where with 6; = u; a given prior estimate of the in-control

process variance. Similarly, in equation (19) p, is
now a given prior estimate of the in-control process
* j=1
average. Note that the same smoothing factor a is
used for Q ( t ) , A(t) and 6:. A small value of
n
a(a < 0.1) will result in high dependence of the
most recent values. In practice, of course, different
smoothing factors can be used in equations (26),
(27) and (28).
A n adaptive filtering, tracking signal method for The tracking signal control scheme will detect an
Case ZV. The adaptive filtering method presented out of control condition when
above can be coupled with a tracking signal feature
to give better ARL performance than Q charts if
the a priori values po and uo are not too different
from their real values. Tracking signal methods have
been used in the forecasting and time series analysis
where 0 < L < 1 is the control limit. For an
field to test the hypothesis that the forecasts are
EWMA, the variance of the forecast error,
unbiased. l9 We will employ a tracking signal to
detect a sudden shift in the quality characteristic
d,isu2 = 2/(2-X)u2. Since it is well known that
u, = 1.25A, the initial MAD value can be estimated
being monitored. For this purpose, we compute the
by A(0) = 0.8[2/(2-X1)]o'5uo, with XI being the
smoothed error statistic
first Kalman weight. This relationship is only
approximated for the adaptive Kalman filtering
method, since the weights Xi change every time
period. However, the effect of the initial MAD
value decreases rapidly due to the smoothing pro-
and compute the smoothed mean absolute deviation
cess, and the approximation works well in practice,
(MAD) given by
as shown below.
For this case, the initial values po and a, have
Table VI. ARL, SRL for Q charts, Case IV, n = 5. For an important effect on the ability of the control
6 = 0, ARLi, = 426.3, SRLi, = 401.9
mechanism to detect shifts. Therefore, we simulated
6 m = 5 m = 10 m = 50 the adaptive filtering tracking signal control method
assuming that some error is made in the prior esti-
0.5 406.1, 409.1 366.0, 397-0 209.9, 329.6 mates of the parameters by letting
1.0 337.1, 389.2 218.8, 360.4 11.08, 36.3
1.5
2-0
203.2,
58.5,
348.5
208.2
41.2,
2-4,
165.8
22.9
1.6, 1.0
1-6, 0.3
po= + rlcr and uo = r2u
3.0 1.0, 0.2 1.0, 0.0 1.0, 0.0
where T~ and r 2 give a measure of the error of the
94 E. DEL CASTILLO AND D . C. MONTGOMERY

Table VII. ARL,,, SRL,, for tracking signal Table IX. ARL, SRL for tracking signal method, n = 1,
method, Case IV, n = 1, 6 = 0 (in-control), a = 0.1, L = 0-6967. For 6 = 0, ARL, = 474.6, SRL,,
a = 0.1 = 454-1

6 m = 5 m = 10 m = 50

0.5 0 1 53-8, 46.6 0-5 485.0, 454.2 460.8, 449.8 168.8, 288.7
0-7 0 1 490.7, 4704 1.0 430.7, 442.8 262.6, 388.5 16.8, 11.6
0.5 0 2 64.9, 48-8 1-5 263.1, 388.6 72-8, 203-2 9.7, 4.3
0-7 0 2 503.1, 472.5 2.0 103.9, 258.2 134, 7.7 7.5, 2-5
0.5 1-5 1 46-5, 43.9 3-0 11.3, 28.6 7.9, 1.9 5.2, 1.9
0-7 1.5 1 455.2, 470.8
0.5 1-5 2 674, 50.3
0.7 1.5 2 513.2, 469.5
0.5 3 1 11-6, 11-1 detected early after its occurrence. High SRL values
0.7 3 1 272.8, 414.3
0.5 3 2 62.2, 51.0 are obtained up to a point where both the ARL
0.7 3 2 505.5, 465.2 and SRL values decrease due to more frequent shift
detections. As both m and 6 increase, the tracking
signal method performs better than the Q chart
for the particular error magnitudes selected. Lower
prior estimates. Table VII shows ARL,, values for errors in the prior estimates give better ARL per-
different values of T ~ 72 , and L. A value of a = 0-1 formance.
was used for the results that follow. The ARL behavior was found to be sensitive to
We can see from Table VII that the ARLi, values the choice of the smoothing factor a. It was observed
are not affected in a significant way be errors in that a < 0.1 gives longer ARL,, values and longer
the estimation of b and oo except when T~ P 72. ARL,,, values, whereas a > 0.1 gives ARL,, values
However, Table VIII shows that the ARLO,, values that are too short. For example, for the same para-
are greatly affected by the errors in both prior esti- meters as those in Table IX, if a is changed to 0.09,
mates. It is observed that, in general, as m increases we get ARL,, = 786.6, SRLi, = 754.3 and for 6 =
the ARLO,, values get smaller. The exception is 1.5 we get ARL,,, = 172.9, SRL,,, = 447.3. If a
when the shift size is small, the control limits are = 0.2 instead, we get ARL,, = 31.28, SRLi, = 30.3
wide, and there are large a priori estimates. Errors and for 6 = 1.5 we get ARL,,, = 7.73, SRL,,, =
in the prior estimate of the process average have a 4-7.
greater impact in the detection ability of the pro- Tracking signal methods can also be used to detect
cedure than errors in the prior variance estimate, other types of out-of-control disturbances not con-
particularly if the shift size is large. Evidently, when sidered in this paper. A linear trend in the quality
T~ +- m and T~ %= 7 2 , ARLi, + 1 and ARL,,, +- 1. characteristic, as opposed to a sudden shift, can be
If the prior estimates and uo are not too far a better alternative for modelling the out of control
away from the real in-control process parameters, conditions in some processes; this can also be
the tracking signal method can give a better ARL detected using tracking signal methods. l9 Part of
performance than the (corrected) Q chart for Case the difficulty of the problem in Case IV is due to
IV. Suppose the error in the prior estimate of is the step-like shift that is assumed to be associated
equal to 1.5 standard deviations (i.e. T~ = 1.5) and with assignable causes.
the error in u is 50 per cent (i.e. 72 = 1-5). Then
by matching the ARLi, values with those of Table
A PRACTICAL APPLICATION
V we obtain Table IX. Note that the high SRL
problem discussed in Case I1 arises again. This is a The application of the adaptive Kalman filtering,
consequence of simulations where the shift was not tracking signal method for Case IV (both para-

Table VIII. ARLO,,, SRL,,, for tracking signal method, n = 1, a = 0.1

m = 5 m = 10
6 L 72 71 = 0 71= 1.5 7, = 3 71 = 0 71 = 1.5 71 = 3

0.5 0.5 1 31, 37 48, 44 31, 43 27, 35 40, 43 28, 43

2 52, 47 64, 45 70, 52 36, 36 49, 46 59, 47
0.7 1 429, 456 480,463 445,464 347,440 452, 458 438, 477
2 498, 468 518, 477 520, 471 460, 459 495, 472 528, 482
2.0 0.5 1 4.5, 2.0 8.0, 6-3 15, 20 4.0, 2-1 6.2, 2.5 8.6, 5.4
2 7.9, 5.7 12, 13 20, 23 5.4, 2.3 7-2, 5.0 9.6, 4-2
0-7 1 12, 44 59, 190 216, 384 8.5, 5.5 15, 56 51, 160
2 109, 276 197, 359 345, 444 12, 8.8 29, 109 62, 188
 SHORT-RUN STATISTICAL PROCESS CONTROL
0.0002
0.000
1
E 0.0000
?
Lc
-0,000
1 LSL
-0.0002
i 2 3 4 5 6
Part no.
Figure 4. Deviations from target for three batches
meters unknown) is now illustrated. Consider a pro-
cess for the production of a casting used in gas
turbine aircraft engines. This is a cylindrical part in
which the vane height of the openings of the casting
is a critical characteristic. These expensive castings
are made of titanium; thus, scrapping or reworking
poor-quality parts is extremely costly. Early control
is essential to achieve successful production. Each
time an order arrives, a small number of castings
are produced with typical run sizes of the order of
30 to 40 parts. A new type of casting was ordered.
Based on past experience with similar castings, the
process engineer estimates a priori that the process
capability on the height of the vane that can be
achieved is 2.0 (no assignable causes occuring). The
exact specification for the vane height is
2.0 ? O~OOO2inches. Following common practice for
this type of part, the process engineer decides to
control the deviation from the target of the vane
height. From the a priori estimate of the process
capability, the prior estimate of the variance, 6 ,is
selected such that
or uo = 04000333. The process engineer estimates
a priori that the process will be centred, that is,
h = 0.0. Unfortunately, the expectations were
optimistic and the process actually turns out to be
centred at p = O-ooOo5 with u = 040005. In other
95
USL
. . _ .........
Batch 3
- - - - - - - - Batch 2
--- Batch 1
7 8 9 10
words, the prior estimate of the mean missed the
true mean by one standard deviation ( T ~= 1) and
uo underestimated u by 33.4 per cent ( T ~= 0.666).
Thus, the process is in fact off-centre with a true
capability index of Cpk = 1.0. Figure 4 shows three
realizations of the vane height data for three differ-
ent batches of turbine castings. In each of the three
batches, a shift of magnitude 2u occurred between
samples 5 and 6 (i.e. m = 5 ) , moving the true mean
of the deviations from target up to 040015 inches.
The adpative filtering, tracking signal method as
described in the previous section was used to detect
assignable causes of variation. The initial values
used were set as follows: O0 = h,qo = 6, 6$ =
6, Q(0) = 0, and A(0) = 0~8[2/(2-hl)]o’5ao.The
value of a used was 0.1.
Figure 5 shows the tracking signal control chart
applied to the adpative Kalman filtering model of
the deviations from target corresponding to the
three batches of Figure 4. If the control limit L
equals 0.7,then the shift is detected after 2, 3 and
3 samples for batches 1, 2 and 3, respectively. Note
that a narrower control limit, say L = 0.3, would
have given false indication of a shift for some
samples i < m = 5.
This example shows the applicability of the adapt-
ive filtering, tracking signal method to a realistic set
of process data. It should be emphasized, however,
that had the prior estimates and uo been further
away from their true values, the behaviour of the
method would have been worse in terms of time
96 E. DEL CASTILLO AND D. C. MONTGOMERY
0.9
-0.6
-0.9
1 2 3 4 5 6
Part no
Figure 5. Tracking signals for the three batches
until detection. For moderate to small errors in the
prior estimates (e.g. T~ < 1-5, T~ C 1) and large
shift sizes (6 2 2) the method will perform well
even if the shift occurs relatively early in the run
(rn = 5).
CONCLUSION
An analysis of the ARL properties of Q charts
has been presented in this paper. Modifications and
alternative methods for different cases classified
according to the prior knowledge of the process
were also presented. Case 111, where the process
average is known and the process variance
unknown, was shown to be easy to deal with by
using either an EWMA approach or an adaptive
Kalman filtering method. Both methods exhibit bet-
ter ARL performance than Q charts. The case when
both parameters are unknown is more challenging,
particularly if assignable causes are assumed to prod-
uce sudden shifts in the mean level of the quality
characteristic. An adpative Kalman filtering
method, coupled with a tracking signal, provides a
reasonable performance since its ARL properties
improve as the prior estimates of the process average
and variance improve.
The results presented in this paper can be
extended in various directions. One extension is to
consider the case of autocorrelated observations. In
many short-run manufacturing systems, obser-
vations will necessarily be close together in time
Tr.S.2
Tr.S.1
-L=-O.7
L=G.7
7 8 9 1 0
and this can result in serial correlation. In long-run
processes, if the time between samples is long there
will often be few problems with autocorrelation.
Furthermore, the study of the ARL properties of
Q charts for non-normal processes remains a matter
of study.
ACKNOWLEDGEMENT
The first author was partially supported by the
National Council of Science and Technology of Mex-
ico (Conacyt) under contract no. 59220. We thank
the editor and referees for their constructive com-
ments.
APPENDIX: DERIVATION OF THE
KALMAN FILTERING EQUATIONS (19)-(21)
The Kalman filter model assumes that the system
can be expressed by the matrix equations20
-
where F, and G, are known matrices, Vc N(07Vr)
-
and w, N(O,W,) with both V, and W,known. The
term ‘Kalman filtering’ refers to a recursive method
of estimation of the state vector 0,. Meinhold and
Singpurwalla20show that the posterior density of 0,
has mean
 SHORT-RUN STATISTICAL PROCESS CONTROL
= Gr6,-l + kp,
and variance
q r = Rr - RrF;(Vr + F,R,F;)-’F,R,
= R , - k,F,R, (32)
where the quantities k, are called the Kalman
weights and R, = Gd,-,G: + W,. Equations (31)
and (32) can be used every period t from starting
values 0,and qo. If the variance components are
unknown and have to be estimated from the data,
then the procedure is known as an adaptive Kalman
filtering.
It is easy to see that equations (17) and (18) are
(quite simple) particular cases of equations (29) and
(30) with F, = 1, V , = a*, G, = 1, W , = 0. Then
the Kalman weights will be given by
which is equation (20). From (31),
6, = 6 t - 1 + k,( Yr-Fr) = 8,-1 + k,( Y , - FrGr8r-1)
= (1- k,)6,-1 + k,Y,
which is equation (19). Likewise, from (32)
which is equation (21).
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Authors’ biographies
Enrique Del Castillo currently works as an Assistant Pro-
fessor of Industrial Engineering at the University of Texas,
U.S.A. Formerly, he was a Research Associate at CIMAT
(Mathematics Research Center), in Mexico. He holds
a Ph.D. in Industrial Engineering from Arizona State
University, a Master of Engineering in Operations
Research and Industrial Engineering from Cornell Univer-
sity and a B.S. in Industrial Engineering from Universidad
Panamericana, Mexico City. His current interests are Stat-
istical Quality Control, Applied Statistics, Applied Optim-
ization and Manufacturing Statistics. He is a member
of ASQC and ORSA, and associate editor for the IIE
Transactions Journal on Research.
Douglas C. Montgomery is Professor of Industrial and
Management Systems Engineering at Arizona State Uni-
versity. He has over 20 years of academic and idustrial
experience in quality and process improvement. He is a
fellow of the American Society for Quality Control, and
the author of seven books and over 100 articles on manu-
facturing engineering, statistical quality control and qual-
ity improvement, experimental design and process optim-
ization, and continuous flow manufacturing.