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Double-sampling control charts for attributes
Aurlia Aparecida De Arajo Rodrigues
a
; Eugenio Kahn Epprecht
b
; Maysa Sacramento De Magalhes
c
a
Federal University of Uberlndia (UFU), Uberlndia, MG, Brazil
b
Department of Industrial
Engineering, Catholic University of Rio de Janeiro (PUC-Rio), Rio de Janeiro, RJ, Brazil
c
National
School of Statistical Sciences (ENCE), Rio de Janeiro, RJ, Brazil
First published on: 08 June 2010
To cite this Article De Arajo Rodrigues, Aurlia Aparecida , Epprecht, Eugenio Kahn and De Magalhes, Maysa
Sacramento(2011) 'Double-sampling control charts for attributes', Journal of Applied Statistics, 38: 1, 87 112, First
published on: 08 June 2010 (iFirst)
To link to this Article: DOI: 10.1080/02664760903266007
URL: http://dx.doi.org/10.1080/02664760903266007
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Journal of Applied Statistics
Vol. 38, No. 1, January 2011, 87112
Double-sampling control charts
for attributes
Aurlia Aparecida De Arajo Rodrigues
a
, Eugenio Kahn Epprecht
b
and
Maysa Sacramento De Magalhes
c
a
Federal University of Uberlndia (UFU), Av. Joo Naves de vila, 2121, Uberlndia, MG, Brazil;
b
Department of Industrial Engineering, Catholic University of Rio de Janeiro (PUC-Rio), R. Marqus de
S. Vicente 225, Rio de Janeiro, RJ, Brazil;
c
National School of Statistical Sciences (ENCE), IBGE, Rua
Andr Cavalcanti, 106, Rio de Janeiro, RJ, Brazil
(Received 20 February 2009; nal version received 13 August 2009)
In this article, we propose a double-sampling (DS) np control chart. We assume that the time interval
between samples is xed. The choice of the design parameters of the proposed chart and also comparisons
between charts are based on statistical properties, such as the average number of samples until a signal. The
optimal design parameters of the proposed control chart are obtained. During the optimization procedure,
constraints are imposed on the in-control average sample size and on the in-control average run length. In
this way, required statistical properties can be assured. Varying some input parameters, the proposed DS
np chart is compared with the single-sampling np chart, variable sample size np chart, CUSUM np and
EWMA np charts. The comparisons are carried out considering the optimal design for each chart. For the
ranges of parameters considered, the DS scheme is the fastest one for the detection of increases of 100%
or more in the fraction non-conforming and, moreover, the DS np chart is easy to operate.
Keywords: double sampling; np charts; statistical design; EWMA; CUSUM; variable sample size
1. Introduction
The traditional Shewhart np control charts are the statistical control scheme most commonly used
for monitoring the number of non-conforming items. Samples of size nare taken froma production
process at xed time intervals of 1 hour, for example, and the number of non-conforming items in
the sample is plotted in the chart. A point plotting outside the interval between the pre-established
control limits is interpreted as an out-of-control signal. The efciency of this scheme in detecting
small-to-moderate shifts in the process non-conforming rate p, in the sense of the ability to provide
small out-of-control average run length (ARL
1
), that is, a small average number of samples taken
until an alarm, relies on large samples that can be undesirable or unfeasible in some practical
situations.

Corresponding author. Email: eke@puc-rio.br

ISSN 0266-4763 print/ISSN 1360-0532 online
2011 Taylor & Francis
DOI: 10.1080/02664760903266007
http://www.informaworld.com
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88 A.A. De Arajo Rodrigues et al.
The usual control schemes designed to provide a more efcient monitoring than the traditional
npcontrol chart are the cumulative-sum(CUSUM) npcontrol chart andthe exponentiallyweighted
moving-average (EWMA) np control chart. These charts are more sensitive to small-to-moderate
changes in p because they use cumulative information from all samples up to the last one.
The CUSUM control charts for attributes have been studied by several authors, such as Lucas
[26], Gardiner et al. [22], Horvath [23] and Gan [21]. The EWMA control charts for attributes
were approached by Gan [19,20], Borror et al. [2] and Trevanich and Bourke [38].
Gan [21] proposed an optimal design for CUSUM np control charts and Gan [19] developed
the modied EWMA np control chart.
More recently, a new class of control charts has been proposed in which one or more design
parameters such as sample size and sampling interval are allowed to vary in an adaptive way.
These adaptive control charts have been shown to be more effective than the xed parameters
control charts, in detecting small-to-moderate changes in the process parameter being controlled.
The majority of adaptive control charts developed until now is for variables [710,15,16,30
35]. Adaptive control charts for attributes were proposed by Vaughan [39], Epprecht and Costa
[17], Luo and Wu [29] and Epprecht et al. [18].
Two-stage sampling or double-sampling (DS) combined with Shewhart control charts is another
method proposed to improve the performance of traditional Shewhart control charts, without
increasing the (in-control) average number of items inspected per time unit. During the rst stage,
one or more items from the sample are inspected and, depending on the results, the sampling is
interrupted or it goes on to the second stage, where the remaining sample items are inspected.
Some authors have studied the effect of DS in-control charts for variables [1114,37].
More recently, researches have been conducted to improve the effectiveness of the np chart
[41,42]. Wu et al. present an algorithm for the optimization design of the np control chart with
curtailment, considering 100% inspection. Wu and Wang [41] propose an np chart with a double
inspection feature. The rst inspection decides the process status (in control or out of control)
according to the number of non-conforming units found in a sample. At the second inspection,
the proposed chart checks the location of a particular non-conforming unit in a sample.
In contrast to the np chart, there is another kind of attribute control chart for monitoring the
fraction non-conforming, namely, the conforming run length charts (CRL charts, where CRL
is the number of inspected units between two consecutive non-conforming units including the
non-conforming unit at the end). Some examples are the RL
2
chart proposed by Bourke [3], the
geometric CUSUM chart also proposed by Bourke [4], the Bernoulli CUSUM chart proposed by
Reynolds and Stoumbos [36] and the synthetic chart proposed by Wu et al. [44] and Wu andYeo
[43]. Chan et al. [6] propose a two-stage procedure to improve the performance of the CRL chart.
In this article, we propose a DS np control chart. The monitoring is done by taking samples from
the process at certain time-points (termed sampling points), with a xed time interval (termed
sampling interval) between these points. The sample size at each sampling point may be either
n
1
or (n
1
+ n
2
), and the operating rules of the chart are given in the next section. The choice of
the design parameters of the proposed chart and also comparisons between charts are based on
statistical properties, such as theARL, which is the average number of samples until a signal. There
are several measures of statistical performance of a control chart; however, when the sampling
interval is not variable, usually, according to Woodall [40], the ARL is the focus. The optimal
designparameters of the proposedcontrol chart are obtained. These are the values of the parameters
that minimize the out-of-control ARL (ARL
1
), which is the expected number of samples until
occurrence of a true alarm, given the process is out of control. During the optimization procedure,
constraints are imposed on the in-control average sample size (ASS
0
) and also on the in-control
ARL
0
, that is, the average number of samples taken since the beginning of the monitoring until
a false alarm. It should be noted that the ASS of the proposed chart when the process is out of
control (ASS
1
) will be greater than the in-control ASS
0
. This is unavoidable with DS control
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Journal of Applied Statistics 89
charts (and with adaptive sample size control charts, in general), because the increase in the
sample size is the very mechanism by which these schemes enhance their sensitivity. The ASS
1
and the out-of-control average number inspected until a signal (ANI
1
, sometimes alternatively
denoted by average number of observations to signal (ANOS)) were also calculated and are given
for information. We have chosen the ARL
1
(as opposed to, for instance, the ANI
1
) as the objective
function to be minimized based on the assumption that the process should remain in control most
of the time, and on the rationale that, as a consequence, while in the in-control phase the priority
is to keep the ASS
0
and the false-alarm rate at low (or satiscing) values; on the other hand, the
priority in the out-of-control phase is a quick detection of special causes, so the ARL
1
takes over
the ANI
1
as a criterion (i.e. the practitioner would be willing to pay for quick detection with a
larger out-of-control ASS since this is an occasional event). The extent to which this assumption
is reasonable will depend on the specic case: the cost of inspection, the cost of producing a non-
conforming item, the production rate, the sampling interval adopted and the values of the ASS
1
and ARL
1
themselves, at least. The values of ASS
1
and ANI
1
provided in the tables in this paper
enable the practitioner to decide on the applicability of the proposed chart in particular situations.
Varying some input parameters, the proposed DS np chart is compared with the single-sampling
(SS) np chart, variable sample size (VSS) np chart, CUSUM np and EWMA np charts. The
comparisons are carried out considering the optimal design for each chart. It was possible to
assess the benets provided by the proposed chart.
2. Description of the DS np chart
Suppose that a DSnp control chart is employed to monitor a process whose quality characteristic of
interest is binomially distributed with parameters n and p. The quality characteristic is the number
of non-conforming items in a sample of size n and p represents the process non-conforming rate.
The target value of p is represented by p
0
; that is, when the process is in control p = p
0
.
In the work developed here, the purpose is to detect assignable causes that result in increases
in p (that is, p = p
1
, where p
1
> p
0
); then, the chart is dened with no lower control limit (or
equivalently, the lower control limit is equal to zero).
The DS np chart is analogous to the DS scheme for lot inspections in acceptance sampling,
which makes use of ve parameters: the size of the rst sample (n
1
), the acceptance number
for the rst sample (Ac
1
), the rejection number for the rst sample (Re
1
), the size of the second
sample (n
2
) and the acceptance number for the second stage (Ac
2
).
Let WL, UCL
1
and UCL
2
represent, respectively, the warning and control limits for a DS np
chart. Then, the DS np chart is dened by ve parameters: n
1
, n
2
, WL, UCL
1
and UCL
2
.
Periodically, at xed sampling intervals (say, every hour), a sample of size n
1
is drawn from
the process. Let d
1
denote the number of non-conforming items found in this sample (of size
n
1
). If d
1
< WL, the process is considered in control and the control scheme continues operating
with sample size n
1
. Otherwise, if d
1
> UCL
1
, the process is supposed to be out of control and
an investigation should be initiated. However, if WL < d
1
< UCL
1
, an additional sample of size
n
2
items is immediately taken. Let d
2
denote the number of non-conforming items found in this
sample of size n
2
. In this case, the decision depends on (d
1
+ d
2
), the information deriving from
the two samples. If (d
1
+ d
2
) < UCL
2
, the process is considered in control. But if (d
1
+ d
2
) >
UCL
2
, the process is considered to be out of control and an investigation should be initiated. If,
in fact, the process is out of control, a corrective action should be taken. Whether the process
is considered in control or is put back into control as a result of corrective actions, in the next
sampling time scheduled one returns to the rst phase of the DSscheme, taking a sample of size n
1
.
Note that the inequalities involving the warning and control limits are strict because d
1
and d
2
are integers and by construction, as it is described below, the WL, UCL
1
and UCL
2
are non-integer
values.
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90 A.A. De Arajo Rodrigues et al.
The number of non-conforming items in a sample is necessarily integer; accordingly, it is a
good practice to adopt non-integer values for WL, UCL
1
and UCL
2
in order to avoid the ambiguity
that may arise when the observed number of non-conforming items coincides with the value of
one of the limits. Non-integer limits can be dened in terms of pre-established integer numbers.
By analogy with the DS scheme for lot inspections in acceptance sampling (acceptance and
rejection numbers in the rst sample and acceptance number in the second stage, respectively),
these specied integer numbers will be denoted byAc
1
, Re
1
andAc
2
. Then, the non-integer limits
can be dened as below:
WL = Ac
1
+ 0.5,
UCL
1
= Re
1
0.5,
UCL
2
= Ac
2
+ 0.5.
3. Performance measures
The efcacy of a control chart can be determined by the speed with which it detects a shift or
process disturbance that increases p. This speed can be measured by the ARL.
Usually, the process starts in control (p = p
0
) and some time in the future an assignable cause
increases the fraction of non-conforming items to p
1
. It was assumed for the model developed
that the process starts in control. It was also assumed that the increase in p does not occur during
the extraction of a sample, but between sampling times. Finally, it is assumed that items produced
are independent, and once the process is in the out-of-control state, it remains in this condition,
with p = p
1
, until there is an intervention to bring it back to the in-control state (p = p
0
).
When a process is in control, it is desirable that the average number of samples taken since the
beginning of the monitoring until a signal be large; this implies few false alarms. This average
number is denoted by ARL
0
and is given by
ARL
0
=
1
(1 P)
, (1)
where P is calculated by Equations (3)(4), with p = p
0
.
On the other hand, when a process is out of control, the average number of samples taken until an
alarm occurs should be small to provide a fast detection of the process disturbance. This average
number is denoted by ARL
1
and (under the assumption that the increase in p does not occur
during the extraction of a sample but between sampling times) is given by a similar expression to
Equation (1):
ARL
1
=
1
(1 P)
, (2)
where P is calculated by Equations (3)(4), now with p = p
1
.
For the proposed DS np chart, after each sampling time, the probability that the chart indicates
that the process is in control is given by
P = P
1
+ P
2
, (3)
where P
1
stands for the probability that the sample point is below the warning limit in the rst
stage of the DS scheme and P
2
the probability that a second sample needs be taken and the total
number of non-conforming items in the two samples is less than the second-stage control limit.
The probabilities P
1
and P
2
are given by
P
1
= Pr(d
1
WL) =
WL

d
1
=0
n
1
!
d
1
!(n
1
d
1
)!
p
d
1
(1 p)
n
1
d
1
, (4)
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Journal of Applied Statistics 91
P
2
= Pr(WL < d
1
< UCL
1
, d
1
+ d
2
UCL
2
)
= Pr(WL < d
1
< UCL
1
)Pr(d
1
+ d
2
UCL
2
|WL < d
1
< UCL
1
) (5)
=
UCL
1
1

d
1
=WL+1
_
n
1
!
d
1
!(n
1
d
1
)!
p
d
1
(1 p)
n
1
d
1
_
UCL
2
d
1

d
2
=0
n
2
!
d
2
!(n
2
d
2
)!
p
d
2
(1 p)
n
2
d
2
__
,
where the symbol stands for the oor of its argument (i.e. the greatest integer less than or
equal to the argument), and the symbol stands for the ceiling of its argument (i.e. the smallest
integer greater than or equal to the argument).
The ASS of the DS np chart is a function of the actual fraction non-conforming p, and is given
by
ASS = n
1
+ n
2
[Pr(WL < d
1
< UCL
1
)|p], (6)
where [Pr(WL < d
1
< UCL
1
)|p] is the probability of taking a second sample.
The ASS
1
(out-of-control ASS, with p = p
1
) may be about twice the ASS
0
(in-control ASS
with p = p
0
) [24,25]. The total amount of observation until a signal is produced is given by the
ANI. The in-control and the out-of-control ANI are given, respectively, by
ANI
0
= ARL
0
ASS
0
, (7)
ANI
1
= ARL
1
ASS
1
. (8)
It should be noted that the ARLs are functions of the following parameters: n
1
, n
2
, WL, UCL
1
,
UCL
2
. Besides, ARL
0
and ARL
1
are also functions, respectively, of p
0
and p
1
. The in-control
ASS
0
is a function of n
1
, n
2
, p
0
, WL and UCL
1
.
4. Optimal design of the DS np chart
In this section, we give optimal designs of the proposed DS np chart and present a performance
comparison between this chart and the SS np chart. We start by dening the design optimization
problem considered.
The objective function to be minimized is the ARL
1
for a specied shift in p. Constraints are
imposed on the in-control ASS
0
and on the ARL
0
, in order to enable the comparison between the
DS and SS charts under the same conditions. For a number of specied values of such constraints,
we compare the ARL values of both charts for a range of upward shifts in p.
Formally, the optimization problem for the DS np chart is given as follows:
Minimize ARL
1
subject to ASS
0
n and ARL
0
ARL
0min
. (9)
where n and ARL
0min
are specied values. The expressions to calculate ARL
0
, ARL
1
and ASS
0
are given in Equations (1), (2) and (6).
The SS np chart is also dened with no lower control limit, since its purpose is to detect
assignable causes that result in increases in p; then, the parameters of this chart are the pre-
specied sample size n and the upper control limit, UCL. In the case of this chart, the constraint
on the ASS
0
is replaced by the direct specication of the sample size n, and the optimization
problemis reduced to nding the smallest value of UCL with which ARL
0
ARL
0min
. Note that,
for comparing charts, the values specied for ARL
0min
and for n (xed sample size for the SS
chart and upper limit for the ASS
0
of the DS chart) should be the same for both charts.
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92 A.A. De Arajo Rodrigues et al.
The ARL
0
and ARL
1
of the SS np chart are also given by Equations (1) and (2); however, in
this case the probability P is given by
P = P(d < UCL) =
UCL

d=0
n!
d!(n d)!
p
d
(1 p)
nd
,
where d denotes the number of non-conforming items found in a sample of size n.
Due to the need to delimit the search region, additional constraints were imposed on the decision
variables (i.e. chart parameters) themselves:
0.5n n
1
0.8n, (10)
n
1
n
2
5n
1
, (11)
0 WL UCL, (12)
WL + 2 UCL
1
WL + UCL, (13)
UCL
1
+ 1 UCL
2

__
0.8
_
UCL
1

_
n
1
+ n
2
n
1
__
1
_
. (14)
Some of these constraints (e.g. the right-hand inequalities of Equations (13) and (14), which seem
to defy interpretation) result from initial experiments which have shown that outside the region
dened by them, there was no better solution than the optimal solution contained inside it (i.e.
the optimal solution was always within the region dened by these constraints); the left-hand
inequalities in Equations (12) and (13) belong to the very denition of the DS scheme and the
right-hand inequality in Equation (11) arises from the consideration that the sample sizes of the
two stages could not differ too much in practice, so we have chosen to restrict n
2
to be at most
ve times larger than n
1
.
The values of p
0
, p
1
, n andARL
0min
are the input for the problem. On the other hand, ARL
0
and
ASS need to be calculated and depend on the design parameters of the control chart considered.
The expressions for these quantities are given in Equations (1) and (6), as said before.
For simplicity, instead of p
1
, only = p
1
/p
0
will be considered hereafter.
Note, additionally, that, as to the one-sided Shewhart np chart (SS np chart), the UCL is the
only design parameter for the minimization problem considered, because the sample size (n)
is pre-specied and the xed sampling interval does not affect the ARL; then, the constraint
ARL
0
ARL
0min
determines a minimum value for the UCL which does not necessarily coincide
with the classic three-sigma limit. This minimum value is the value that minimizes the ARL
1
and
is therefore the optimum.
A program in Matlab
TM
was developed to solve the proposed optimization problem.
The values considered for the input parameters were as follows: p
0
= 0.005, 0.01, 0.02; =
1.5, 2.0, 3.0; n = 25, 50, 100, 200, 400, 800 and ARL
0min
= 200, 370.4. The values of n con-
sidered for each value of p
0
were such that the np
0
values result into 0.5, 1.0, 2.0 and 4.0. These
values of np
0
were used by Epprecht et al. [18]. An ARL
0min
= 370.4 was considered because
this is a standard value for the ARL
0
; however, in the case of attribute control charts, to impose
an ARL
0min
= 370.4 may lead to very large sample sizes, if it is required that the chart has a
reasonable detection power of an out-of-control situation, then a smaller ARL
0
than 370.4 may
be a better approach. Bissel [1] suggests using ARL
0
= 200 for attribute control charts.
Considering all combinations of these input parameters, the optimal design parameters and the
optimal ARL
1
for the DS np chart and for the SS np chart, for each combination, were obtained
solving the constrained optimization problem posed in Equation (9). The results are presented in
Tables 1 and 2. Table 1 exhibits the results for ARL
0min
= 200 and Table 2 exhibits the results
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Table 1. Optimal design, ARL
1
and P
g
values of the SS and DS np charts, ARL
0min
= 200.
Single-sampling np control chart Double-sampling np control chart
p
0
n UCL ARL
0
ARL
1
n
1
n
2
WL UCL
1
UCL
2
ARL
0
ARL
1
P
g
(%)
1.5 0.005 100 3.5 597.63 142.60 81 283 1.5 3.5 5.5 200.52 36.97 74.07
200 4.5 282.05 55.14 162 736 2.5 5.5 9.5 200.47 21.58 61.77
400 6.5 226.55 30.36 304 1404 3.5 8.5 15.5 200.49 11.64 61.66
800 10.5 362.20 23.81 586 2787 5.5 14.5 26.5 200.42 5.91 75.18
0.01 50 3.5 626.50 148.47 41 141 1.5 3.5 5.5 201.34 36.83 75.19
100 4.5 291.35 56.52 81 370 2.5 5.5 9.5 200.48 21.49 61.98
200 6.5 232.80 30.89 152 704 3.5 8.5 15.5 201.00 11.60 62.45
400 10.5 372.71 24.17 293 1397 5.5 14.5 26.5 200.05 5.88 75.67
0.02 25 3.5 691.62 161.66 19 77 1.5 3.5 5.5 202.04 36.86 77.20
50 4.5 311.55 59.49 41 185 2.5 5.5 9.5 201.40 21.23 64.31
100 6.5 246.18 32.02 76 354 3.5 8.5 15.5 202.11 11.52 64.02
200 10.5 395.16 24.92 146 703 5.5 13.5 26.5 200.05 5.85 76.52
2.0 0.005 100 3.5 597.63 54.42 81 283 1.5 3.5 5.5 200.52 13.14 75.85
200 4.5 282.05 19.33 126 561 1.5 4.5 8.5 200.90 6.68 65.44
400 6.5 226.55 9.12 245 1234 2.5 7.5 14.5 223.75 3.38 62.94
800 10.5 362.20 5.46 520 2293 4.5 12.5 23.5 205.25 1.89 65.38
0.01 50 3.5 626.50 56.31 41 141 1.5 3.5 5.5 201.34 13.02 76.88
100 4.5 291.35 19.67 61 287 1.5 4.5 8.5 201.41 6.69 65.98
200 6.5 232.80 9.21 152 704 3.5 8.5 15.5 201.00 3.40 63.08
400 10.5 372.71 5.49 260 1151 4.5 12.5 23.5 202.74 1.88 65.76
0.02 25 3.5 691.62 60.53 20 73 1.5 3.5 5.5 205.27 13.04 78.46
50 4.5 311.55 20.42 31 143 1.5 4.5 8.5 205.56 6.60 67.68
100 6.5 246.18 9.40 63 276 2.5 7.5 13.5 201.73 3.34 64.47
200 10.5 395.16 5.55 130 579 4.5 12.5 23.5 200.48 1.86 66.49
3.0 0.005 100 3.5 597.63 15.57 78 380 1.5 3.5 6.5 268.95 4.12 73.54
200 4.5 282.05 5.45 126 561 1.5 4.5 8.5 200.90 2.17 60.18
400 6.5 226.55 2.54 265 910 2.5 7.5 12.5 216.97 1.40 44.88
800 10.5 362.20 1.53 585 1251 4.5 12.5 17.5 207.59 1.08 29.41
0.01 50 3.5 626.50 15.93 39 191 1.5 3.5 6.5 272.18 4.09 74.33
100 4.5 291.35 5.49 63 282 1.5 4.5 8.5 201.04 2.15 60.84
200 6.5 232.80 2.54 132 463 2.5 7.5 12.5 204.42 1.39 45.28
400 10.5 372.71 1.52 299 549 4.5 13.5 16.5 200.01 1.08 28.95
0.02 25 3.5 691.62 16.73 20 73 1.5 3.5 5.5 205.27 4.09 75.55
50 4.5 311.55 5.57 31 143 1.5 4.5 8.5 205.56 2.14 61.58
100 6.5 246.18 2.54 66 233 2.5 7.5 12.5 205.46 1.38 45.67
200 10.5 395.16 1.52 150 273 4.5 12.5 16.5 211.64 1.07 29.60
for ARL
0min
= 370.4. Each table gives the ARL
0
and ARL
1
values, as well as the optimal design
parameters for each design for both charts considered.
The percentage gain (denoted by P
g
) of the statistical design of the DS np chart relative to the
statistical design of the SS np chart was calculated and is presented in Tables 1 and 2, where the
expression for P
g
is given by
P
g
=
ARL
1SS
ARL
1DS
ARL
1SS
100%. (15)
For example, when = 1.5, p
0
= 0.005 and n = 100, for ARL
0min
= 200, P
g
= ((142.60
36.97)/142.60) 100% = 74.07%, that is, the percentage gain in using the DS chart instead of
the SS chart is approximately 74%.
Figure 1 presents plots of ARL
1
versus for the DS and SS charts and also gives the P
g
of the
DS np chart relative to the SS np chart versus , for xed values of np
0
. Figure 2 gives plots of
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Table 2. Optimal design, ARL
1
and P
g
values of the SS and DS np charts, ARL
0min
= 370.4.
Single-sampling np control chart Double-sampling np control chart
p
0
n UCL ARL
0
ARL
1
n
1
n
2
WL UCL
1
UCL
2
ARL
0
ARL
1
P
g
(%)
1.5 0.005 100 3.5 597.63 142.60 74 352 1.5 3.5 6.5 372.43 55.45 61.12
200 5.5 1773.23 234.08 161 772 2.5 6.5 10.5 370.48 29.74 87.29
400 7.5 948.59 86.35 304 1407 3.5 9.5 16.5 371.60 15.44 82.12
800 11.5 1133.91 50.84 582 2910 5.5 14.5 28.5 372.27 7.09 86.05
0.01 50 3.5 626.50 148.47 37 178 1.5 3.5 6.5 372.23 54.92 63.01
100 5.5 1870.79 244.46 81 386 2.5 6.5 10.5 372.40 29.60 87.89
200 7.5 987.60 88.81 152 706 3.5 9.5 16.5 371.44 15.35 82.72
400 10.5 372.71 24.17 291 1459 5.5 14.5 28.5 370.94 7.04 70.87
0.02 25 3.5 691.62 161.66 19 89 1.5 3.5 6.5 371.88 53.92 66.65
50 5.5 2091.10 267.64 40 196 2.5 6.5 10.5 377.19 29.77 88.88
100 7.5 1073.03 94.13 76 355 3.5 8.5 16.5 372.96 15.22 83.83
200 10.5 395.16 24.92 145 734 5.5 14.5 28.5 371.63 7.00 71.91
2.0 0.005 100 3.5 597.63 54.42 78 336 1.5 3.5 6.5 372.29 17.21 68.38
200 5.5 1773.23 62.41 162 768 2.5 6.5 10.5 372.44 7.89 87.36
400 7.5 948.59 19.91 305 1390 3.5 9.5 16.5 396.07 3.84 80.71
800 11.5 1133.91 9.02 520 2282 4.5 13.5 24.5 371.44 2.00 77.83
0.01 50 3.5 626.50 56.31 39 170 1.5 3.5 6.5 372.53 16.97 69.86
100 5.5 1870.79 64.58 81 386 2.5 6.5 10.5 372.40 7.84 87.86
200 7.5 987.60 20.27 152 706 3.5 9.5 16.5 371.44 3.77 81.40
400 10.5 372.71 5.49 260 1144 4.5 13.5 24.5 371.01 1.99 63.75
0.02 25 3.5 691.62 60.53 19 89 1.5 3.5 6.5 371.88 16.55 72.66
50 5.5 2091.10 69.39 40 196 2.5 6.5 10.5 377.19 7.87 88.66
100 7.5 1073.03 21.05 76 355 3.5 8.5 16.5 372.96 3.73 82.28
200 10.5 395.16 5.55 130 574 4.5 13.5 24.5 375.82 1.97 64.50
3.0 0.005 100 3.5 597.63 15.57 80 328 1.5 3.5 6.5 372.47 4.65 70.13
200 5.5 1773.23 12.14 123 608 1.5 5.5 9.5 416.74 2.34 80.72
400 7.5 948.59 3.92 261 966 2.5 8.5 13.5 370.83 1.44 63.27
800 11.5 1133.91 1.85 570 1439 4.5 13.5 19.5 379.87 1.09 41.08
0.01 50 3.5 626.50 15.93 40 166 1.5 3.5 6.5 373.00 4.58 71.25
100 5.5 1870.79 12.37 61 310 1.5 5.5 9.5 395.27 2.30 81.41
200 7.5 987.60 3.94 126 556 2.5 8.5 14.5 401.13 1.44 63.45
400 10.5 372.71 1.52 285 722 4.5 13.5 19.5 379.46 1.09 28.29
0.02 25 3.5 691.62 16.73 20 84 1.5 3.5 6.5 385.70 4.51 73.04
50 5.5 2091.10 12.88 30 159 1.5 5.5 9.5 379.00 2.26 82.45
100 7.5 1073.03 3.97 65 244 2.5 8.5 13.5 377.81 1.42 64.23
200 10.5 395.16 1.52 145 324 4.5 13.5 18.5 376.04 1.08 28.95
ARL
1
versus np
0
for the DS and SS charts and also gives the P
g
of the DS np chart relative to the
SS np chart versus np
0
, for xed values of .
From Tables 1 and 2, the following observations can be made.
1) As expected, the ARL
1
values of the DS chart are smaller than the ARL
1
values of the SS
chart. For n, p
0
and the shifts ( ) considered, the percentage gain (P
g
) when the optimal DS
np chart is used instead of the optimal SS np chart ranges approximately from 30% to 80%.
For shifts of magnitude = 3.0 and np
0
= 4 (n assuming one of the values 200, 400 or 800),
the absolute values of the ARL
1
s of the two charts are close (always between 1.0 and 2.0);
however, even for these shifts the percentage gain in using the DS chart instead of the SS chart
varies from 28% to 41%.
2) The ARL
0
values of the SS chart are in general much higher than the lower limit specied
of 200 or 370.4 (according to the case). This happens because, with n xed, it is in general
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250
200
150
100
50
0
100
80
60
40
20
0
100
80
60
40
20
0
100
80
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40
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250
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250
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gamma
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a
i
n
1.5 2.5 2 3
gamma
1.5 2.5 2 3
gamma
1.5 2.5 2 3
gamma
1.5 2.5 2 3
gamma
1.5 2.5 2 3
gamma
1.5 2.5 2 3
gamma
1.5 2.5 2 3
gamma
Figure 1. For ARL
0min
= 370.4, the upper graphs present a comparison of theARL
1
of the DS (lowest curve)
and SS charts. The lower graphs present the percentage gain of the DS chart with respect to the SS chart.
From left to right, the plots correspond, respectively, to np
0
= 0.5, 1.0, 2.0 and 4.0. p
0
= 0.005 (dotted
line); p
0
= 0.010 (straight line); p
0
= 0.020 (dashed line).
250
200
150
100
50
0
1 2 3 4
n p0
1 2 3 4
n p0
1 2 3 4
n p0
1 2 3 4
n p0
1 2 3 4
n p0
1 2 3 4
n p0
250
200
150
100
50
0
250
200
150
100
50
0
A
R
L
1

100
80
60
40
20
0
100
80
60
40
20
0
100
80
60
40
20
0
P
e
r
c
e
n
t
a
g
e

g
a
i
n

Figure 2. For ARL
0min
= 370.4, the upper graphs present a comparison of the ARL
1
of the DS (lowest
curve) and SS charts. The lower graphs present the percentage gain of the DS chart with respect to the SS
chart. Fromleft to right, the plots correspond, respectively, to = 1.5, 2.0 and 3.0, p
0
= 0.005 (dotted line);
p
0
= 0.010 (straight line); p
0
= 0.020 (dashed line).
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not possible to match an exact ARL
0
value specied, due to the discreteness of the sample
statistic, that is, the number of non-conforming items in the sample. (In contrast, the DS chart,
which has more parameters, admits a rather ne adjustment of the ARL
0
). This puts the SS
scheme in handicap for comparison, so the results should be interpreted with care. Even so, the
differences between the ARL
1
s of the SS and DS charts are dramatic. In order to verify if such
differences are not mostly due to these unequal comparison conditions, we also calculated (the
detailed results are omitted for reasons of space) the ARL
0
s and ARL
1
s of the SS charts with
UCLs one unit smaller than those in Tables 1 and 2 (for instance, the SS chart for p
0
= 0.005
and n = 200 in Table 1 has UCL = 4.5; we then calculated the ARL
0
s and ARL
1
s of an SS
chart for the same p
0
= 0.005 and with the same n = 200, but with UCL = 3.5). Of course,
such reduced-UCL SS charts have ARL
0
values below (actually, considerably below) the
ARL
0min
specied. Even with such advantage, their ARL
1
s still remain about two to three
times greater than the ARL
1
s of the DS charts in Tables 1 and 2, except in a few cases where
the reduced UCLs lead toARL
0
values are between 50 and 75. (In some cases, theARL
0
values
are between 50 and 75 and the ARL
1
is greater than the DS charts ARL
1
). This means that the
SS chart cannot compete with the DS chart for the values of p
0
, n and considered. To have a
precise measure of the efciency gain provided by the DS scheme, however, it is convenient to
compare the DS and SS charts with matching ARL
0
s. For this purpose, Table 3 presents some
SS designs (for p
0
= 0.01) that provide tighter achievement of ARL
0min
= 200 (by departing
from the specied sample sizes n = 50, 100, 200 and 400) and the corresponding optimal DS
designs (i.e. with same in-control ASSs). The DS designs show gains ranging from 20% to
63% with respect to the SS ones.
3) With the constraint ARL
0min
= 200, the DS scheme shows ARL
1
values about three times
smaller than the SS np chart. Higher gains occur, in general, in the cases where the ARL
0
values of the SS np chart turn to be much greater than ARL
0min
, putting the SS scheme in
handicap for comparison. However, as observed in item (2) above, even alternative SS designs
withARL
0
values smaller than the DSARL
0
values still present larger ARL
1
values than the DS
chart does; and, in the set of cases inTable 3, with close matches of ARL
0
= 200 for p
0
= 0.01,
the DS designs with ASS
0
= 200 exhibited percentage gains between 43% and 58%.
4) The optimal WL, UCL
1
, UCL
2
values change very little as long as np
0
and are constants.
The ARL
1
values, too, change very little for different values of n and p
0
as long as np
0
and
are constants. For example, from Table 2, for = 1.5 and np
0
= 1 (n = 200, 100, 50), the
Table 3. Optimal design, ARL
1
and P
g
values of the SS and DS np charts, ARL
0

= 200.
Single-sampling np control chart Double-sampling np control chart
p
0
n UCL ARL
0
ARL
1
n
1
n
2
WL UCL
1
UCL
2
ARL
0
ARL
1
P
g
(%)
1.5 0.01 68 3.5 204.16 51.84 46 186 1.5 3.5 6.5 200.36 33.90 34.61
109 4.5 202.04 40.60 88 346 2.5 5.5 9.5 202.04 21.90 46.07
205 6.5 203.82 27.60 155 696 3.5 8.5 15.5 200.37 11.69 57.63
434 10.5 203.33 15.17 305 1449 5.5 14.5 27.5 200.97 5.54 63.49
2.0 0.01 68 3.5 204.16 21.04 46 186 1.5 3.5 6.5 200.36 11.26 46.50
109 4.5 202.04 14.62 85 424 2.5 5.5 10.5 214.45 6.31 56.84
205 6.5 203.82 8.39 129 542 2.5 7.5 13.5 201.88 3.36 59.93
434 10.5 203.33 3.92 269 1214 4.5 13.5 24.5 200.76 1.79 54.33
3.0 0.01 68 3.5 204.16 6.78 47 182 1.5 3.5 6.5 201.17 3.32 51.11
109 4.5 202.04 4.35 66 274 1.5 4.5 8.5 202.47 2.10 51.79
205 6.5 203.82 2.39 135 455 2.5 7.5 12.5 210.12 1.37 42.54
434 10.5 203.33 1.33 311 602 4.5 13.5 17.5 207.95 1.06 20.03
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ARL
1
values are 29.74, 29.60, 29.77, respectively. And fromTable 1, for = 2.0 and np
0
= 1
(n = 200, 100, 50), theARL
1
values are 6.68, 6.69, 6.60, respectively. In fact, theARL
1
values
differ by less than 2% for ARL
0min
= 200 and by less than 4% for ARL
0min
= 370.4.
5) As p
0
decreases and n increases, n
1
and n
2
increase.
6) For different values of nandp
0
, as longas np
0
is constant, the optimal n
1
andn
2
are proportional
to n.
7) It can be seen from Tables 1 and 2 that some combinations of the input parameters ( ,
ARL
0min
, p
0
and n) give very largeARL
1
values which, in practice, are unacceptable. Nonethe-
less, since our aimis to compare the performance of the DS and SS np charts, we do not discard
these designs, which can provide useful insight on the sensitivity of the DS np chart to these
combinations.
5. Comparison with other control schemes
The CUSUM np chart, the EWMA np chart and the VSS np chart detect increases in the fraction
non-conforming of the process faster than the traditional SS np chart. It is reasonable, therefore,
to compare these charts with the DS np chart. Then, in this section the performance of the DS
np chart is compared with the performance of these control schemes; but, rst, for the sake of
completeness, they will be briey described.
5.1 VSS, CUSUM and EWMA np control schemes
5.1.1 The VSS np chart
Epprecht and Costa [17] proposed a VSS np control chart, with two sets of parameters ({n
1
,
WL
1
, UCL
1
} and {n
2
, WL
2
, UCL
2
}), in which the sample size is allowed to vary between two
values, n
1
(smaller sample size) and n
2
(larger sample size), according to the following rule: if the
number of non-conforming items in the sample is smaller than the warning limit applicable to that
sample, WL
i
(i = 1, 2), then the next sample size will be n
1
and the number of non-conforming
items in the sample should be compared with the warning limit WL
1
and UCL
1
. Conversely, if
the number of non-conforming items in the sample lies between WL
i
and UCL
i
(i = 1, 2), then
the next sample size will be n
2
and the limits to be used with the next sample are WL
2
and UCL
2
.
Since the interest is to detect special causes that increase the non-conforming fraction, the chart
has no lower control limit. Epprecht and Costa also use non-integer warning and control limits to
avoid possible ambiguities resulting from the number of non-conforming items coinciding with
one of the limits.
5.1.2 The CUSUM np chart
The CUSUM chart for np is similar to the CUSUM chart for variables. Since the objective here is
the detection of increases in p, we consider the one-sided (upper) CUSUM np. Let d denote the
number of non-conforming items in the sample of size n. The statistic used to signal increases in
p is given by
S
+
t
= max
_
0, S
+
t 1
+
_
d
t
np
0
_
k
_
,
where k, a non-negative reference value, is a predened implementation parameter and the initial
value S
+
0
is made equal to 0. A signal is given whenever S
+
t
exceeds a decision value H (which
is a predened control limit).
If there is a signicant probability that the process starts out of control, a value greater than
zero may be assigned to S
+
0
in order to reduce the ARL
1
. Such head-start is known as fast initial
response (FIR) feature (Lucas and Crosier [27] recommend using, in this case, S
+
0
= H/2).
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5.1.3 The EWMA np chart
The EWMA np chart considered is similar to the EWMA chart for variables. Let n denote the
sample size and d
t
denote the number of non-conforming items in the t th sample. The EWMA
statistic plotted in the chart is given as follows:
Z
t
= d
t
+ (1 )Z
t 1
, t = 1, 2, . . .,
where Z
0
= np
0
and is the smoothing constant, which is a design parameter, such that 0 < 1.
Since the interest is in the detection of increases in p, we consider only the one-sided (upper)
EWMA np chart, with an UCL and no LCL.
Gan [19] proposed a modied EWMAnp control chart, in which the EWMAstatistic is rounded
to the nearest integer. To our knowledge, the EWMA np chart with the non-rounded statistic
considered here has not been proposed before.
5.2 Performances of the different control schemes
Tables 47 exhibit the optimal design parameters of each np chart considered (SS, DS, VSS,
CUSUM and EWMA) along with their ASS
0
and their ARL
1
s for a range of values of besides
the specic value (henceforth denoted by

) for which the ARL

1
was minimized. The designs
were optimized according to Equation (9), for p
0
= 0.005,

= 1.5, ARL
0min
= 200 (Tables 4
and 6), ARL
0min
= 370.4 (Tables 5 and 7) and n = 100, 200, 400 and 800. To avoid additional
columns in these tables, for the schemes that have only one UCL and a constant sample size (i.e.
the SS, CUSUM and EWMA schemes), the UCLs are given in the UCL
1
column, and the value
of n is given in the n
1
column. In the same way, the warning limit WL of the DS scheme is given
in the WL
1
column.
There are two contexts where it is of interest to calculate the ARL
1
and, for CUSUM and
EWMA schemes (which can be modelled as Markov chains), they lead to different ARL
1
values:
the zero-state, which is relevant when monitoring begins with the process out of control and the
steady-state, when the process is initially in control and the assignable cause occurs long enough
after the beginning of the monitoring so that the effect of the initial value of the CUSUM or
EWMA statistic has dissipated.
Tables 4 and 5 give the steady-state optimal designs (the designs that minimize the steady-state
ARL
1
) and Tables 6 and 7 give the zero-state optimal designs.
For the SS and DS schemes, in which the probability of a signal in a sample is not conditional
on the values from previous samples, there is no difference between zero-state ARLs and steady-
state ARLs for the case of shifts occurring between sampling times, as assumed in our model. For
the VSS charts (even though they can be modelled as Markov chains), zero-state and steady-state
ARLs will be identical provided that (as we assume to be the case) the size of the rst sample
is chosen at random, with specic probabilities r
1
and (1 r
1
), see Epprecht and Costa [17], for
the determination of these probabilities.
Concerning the ARL
0
, while it is possible to calculate a steady-state value for it (this is the
expected number of samples until a false alarm, starting the count from any arbitrary moment
long enough after the beginning of the monitoring so that the effect of the initial value of the chart
statistic has dissipated, and will be smaller than the zero-state ARL
0
in the case of CUSUM and
EWMA charts), it is the zero-state ARL
0
(the expected number of samples until a false alarm,
starting the count fromthe last false alarmor fromthe beginning of the monitoring) that is directly
related with the average time between false alarms and is therefore of more practical interest. For
this reason, the ARL
0
values in the tables correspond always to the zero-state ARL
0
.
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Table 4. Steady-state ARL
1
s of the optimal designs
a
for ARL
0min
= 200 and p
0
= 0.005.
Parameters
Scheme n
1
n
2
WL
1
UCL
1
WL
2
UCL
2
k ASS
0
ARL
0
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
SS 100 3.5 100 597.6 142.6 54.42 26.85 15.57 10.09 7.09 5.30 4.15
DS 81 283 1.5 3.5 5.5 98.5 200.5 36.97 13.14 6.65 4.16 2.99 2.35 1.97 1.73
ASS
1
115 133 152 169 183 195 205 211
VSS 27 457 0.5 3.5 2.5 5.5 99.5 205.4 25.78 8.97 5.36 4.08 3.47 3.10 2.87 2.70
ASS
1
153 182 185 181 179 181 185 190
EWMA 100 0.72 0.05 100 200.5 27.03 12.81 8.39 6.29 5.06 4.26 3.70 3.28
CUSUM 100 9.3 0.0 100 204.6 27.54 14.39 9.82 7.50 6.11 5.18 4.51 4.01
CUSUM (FIR) 100 6.0 0.1 100 204.5 28.63 13.07 8.47 6.32 5.08 4.27 3.70 3.28
SS 200 4.5 200 282.1 55.14 19.33 9.30 5.45 3.65 2.69 2.13 1.78
DS 162 736 2.5 5.5 9.5 197.5 200.5 21.58 6.73 3.52 2.40 1.88 1.59 1.41 1.29
ASS
1
252 320 393 458 511 547 566 568
VSS 89 707 1.5 5.5 2.5 7.5 199.9 200.5 15.91 6.39 4.23 3.33 2.84 2.55 2.36 2.22
ASS
1
323 324 310 311 322 335 348 360
EWMA 200 1.53 0.10 200 206.6 18.56 8.11 5.21 3.89 3.14 2.66 2.33 2.08
CUSUM 200 8.8 0.1 200 202.0 18.09 8.71 5.83 4.45 3.64 3.10 2.72 2.43
CUSUM (FIR) 200 9.4 0.1 200 202.0 18.82 9.01 6.00 4.54 3.68 3.13 2.74 2.45
SS 400 6.5 400 226.6 30.36 9.12 4.22 2.54 1.81 1.45 1.26 1.15
DS 304 1404 3.5 8.5 15.5 399.0 200.5 11.64 3.41 1.97 1.50 1.28 1.16 1.10 1.06
ASS
1
578 806 1023 1185 1273 1286 1235 1140
VSS 120 1542 1.5 5.5 7.5 13.5 391.6 200.1 8.98 3.93 2.92 2.50 2.28 2.13 2.01 1.92
ASS
1
699 653 649 690 729 761 786 800
EWMA 400 2.73 0.10 400 206.8 11.84 5.35 3.54 2.70 2.22 1.91 1.69 1.53
CUSUM 400 8.1 0.4 400 205.7 11.80 5.19 3.40 2.58 2.12 1.82 1.61 1.46
CUSUM (FIR) 400 8.2 0.4 400 200.8 11.98 5.24 3.44 2.63 2.16 1.86 1.64 1.48
SS 800 10.5 800 362.2 23.81 5.46 2.40 1.53 1.21 1.08 1.03 1.01
DS 586 2787 5.5 14.5 26.5 799.3 200.4 5.91 1.97 1.35 1.15 1.06 1.02 1.01 1.00
ASS
1
1363 2067 2628 2924 2949 2747 2392 1973
VSS 256 4002 2.5 7.5 23.5 28.5 797.1 200.9 5.13 2.84 2.35 2.11 1.95 1.83 1.72 1.62
ASS
1
1473 1602 1816 1947 2012 2018 1988 1923
EWMA 800 5.36 0.15 800 200.8 7.43 3.37 2.28 1.78 1.50 1.31 1.19 1.11
CUSUM 800 9.0 0.8 800 204.4 7.40 3.26 2.17 1.68 1.39 1.21 1.11 1.05
CUSUM (FIR) 800 9.2 0.8 800 201.1 7.49 3.27 2.19 1.71 1.44 1.25 1.13 1.06
Note:
a
ARL
1
minimized for

= 1.5 (p

1
= 0.0075).
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Table 5. Steady-state ARL
1
s of the optimal designs
a
for ARL
0min
= 370.4 and p
0
= 0.005.
Parameters
Scheme n
1
n
2
WL
1
UCL
1
WL
2
UCL
2
k ASS
0
ARL
0
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
SS 100 3.5 100 597.6 142.6 54.42 26.85 15.57 10.09 7.09 5.30 4.15
DS 74 352 1.5 3.5 6.5 92.6 372.4 55.45 17.28 8.07 4.81 3.35 2.59 2.15 1.87
ASS
1
111 131 152 172 191 206 219 229
VSS 21 519 0.5 3.5 2.5 6.5 99.6 378.2 33.34 10.34 6.13 4.70 3.98 3.56 3.27 3.06
ASS
1
172 202 193 181 177 177 181 187
EWMA 100 0.68 0.03 100 391.5 35.74 16.47 10.71 7.99 6.40 5.37 4.64 4.10
CUSUM 100 7.1 0.1 100 371.6 34.82 15.47 9.95 7.39 5.92 4.96 4.29 3.79
CUSUM (FIR) 100 7.4 0.1 100 390.2 36.68 16.10 10.32 7.65 6.12 5.12 4.42 3.91
SS 200 5.5 200 1773 234.08 62.41 24.41 12.14 7.11 4.69 3.38 2.60
DS 161 772 2.5 6.5 10.5 197.8 370.5 29.74 7.91 3.80 2.48 1.91 1.61 1.42 1.30
ASS
1
255 329 410 488 557 611 649 669
VSS 81 749 1.5 4.5 2.5 8.5 199.7 382.2 20.91 7.49 4.76 3.64 3.05 2.70 2.46 2.29
ASS
1
357 345 315 309 316 327 341 353
EWMA 200 1.37 0.05 200 400.6 23.12 10.32 6.70 5.02 4.05 3.42 2.97 2.65
CUSUM 200 11.1 0.1 200 372.7 22.83 10.79 7.13 5.38 4.36 3.69 3.22 2.87
CUSUM (FIR) 200 8.6 0.2 200 384.2 23.29 10.01 6.43 4.80 3.87 3.28 2.86 2.55
SS 400 7.5 400 948.6 86.35 19.91 7.57 3.92 2.49 1.82 1.47 1.28
DS 304 1407 3.5 9.5 16.5 399.3 371.6 15.44 3.79 2.03 1.51 1.28 1.17 1.10 1.06
ASS
1
580 811 1039 1221 1340 1389 1374 1308
VSS 120 1549 1.5 5.5 7.5 14.5 399.3 385.1 11.11 4.15 2.96 2.51 2.27 2.12 2.01 1.92
ASS
1
783 707 671 696 736 768 789 804
EWMA 400 2.84 0.10 400 377.6 14.27 6.10 3.96 3.00 2.45 2.09 1.85 1.66
CUSUM 400 9.6 0.4 400 383.4 14.23 6.09 3.95 2.98 2.44 2.09 1.85 1.67
CUSUM (FIR) 400 9.8 0.4 400 381.2 14.44 6.16 4.00 3.03 2.47 2.12 1.87 1.68
SS 800 11.5 800 1134 50.84 9.02 3.31 1.85 1.35 1.14 1.06 1.02
DS 582 2910 5.5 14.5 28.5 799.2 372.3 7.09 2.04 1.36 1.15 1.06 1.03 1.01 1.00
ASS
1
1379 2109 2698 3016 3054 2855 2494 2061
VSS 256 3952 2.5 9.5 23.5 29.5 788.2 371.0 5.69 2.87 2.38 2.15 2.02 1.93 1.86 1.80
ASS
1
1560 1610 1807 1964 2056 2107 2122 2104
EWMA 800 5.54 0.15 800 375.0 8.77 3.77 2.51 1.94 1.61 1.40 1.25 1.15
CUSUM 800 9.8 0.9 800 373.7 8.69 3.63 2.38 1.83 1.51 1.30 1.16 1.08
CUSUM (FIR) 800 10.8 0.8 800 373.4 8.76 3.77 2.51 1.93 1.60 1.37 1.21 1.11
Note:
a
ARL
1
minimized for

= 1.5 (p

1
= 0.0075).
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Table 6. Zero-state ARL
1
s of the optimal designs
a
for ARL
0min
= 200 and p
0
= 0.005.
Parameters
Scheme n
1
n
2
WL
1
UCL
1
WL
2
UCL
2
k ASS
0
ARL
0
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
SS 100 3.5 100 597.6 142.6 54.42 26.85 15.57 10.09 7.09 5.30 4.15
DS 81 283 1.5 3.5 5.5 98.5 200.5 36.97 13.14 6.65 4.16 2.99 2.35 1.97 1.73
VSS 27 457 0.5 3.5 2.5 5.5 99.5 205.4 25.78 8.97 5.36 4.08 3.47 3.10 2.87 2.70
EWMA 100 0.72 0.05 100 200.5 26.37 12.29 7.99 5.97 4.79 4.02 3.48 3.08
CUSUM 100 5.8 0.1 100 216.9 31.90 15.17 9.96 7.47 6.01 5.06 4.39 3.90
CUSUM (FIR) 100 6.0 0.1 100 204.5 21.59 9.24 5.92 4.44 3.60 3.06 2.68 2.39
SS 200 4.5 200 282.1 55.14 19.33 9.30 5.45 3.65 2.69 2.13 1.78
DS 162 736 2.5 5.5 9.5 197.5 200.5 21.58 6.73 3.52 2.40 1.8 1.59 1.41 1.29
VSS 89 707 1.5 5.5 2.5 7.5 199.9 200.5 15.91 6.39 4.23 3.33 2.84 2.55 2.36 2.22
EWMA 200 1.2 0.03 200 214.1 17.83 8.57 5.69 4.30 3.47 2.94 2.57 2.29
CUSUM 200 6.9 0.2 200 202.7 20.58 9.44 6.17 4.65 3.77 3.21 2.82 2.53
CUSUM (FIR) 200 7.2 0.2 200 211.8 13.93 5.79 3.72 2.78 2.25 1.91 1.68 1.52
SS 400 6.5 400 226.6 30.36 9.12 4.22 2.54 1.81 1.45 1.26 1.15
DS 304 1404 3.5 8.5 15.5 399.0 200.5 11.64 3.41 1.97 1.50 1.28 1.16 1.10 1.06
VSS 120 1542 1.5 5.5 7.5 13.5 391.6 200.1 8.98 3.93 2.92 2.50 2.28 2.13 2.01 1.92
EWMA 400 2.73 0.10 400 206.8 11.73 5.22 3.43 2.61 2.15 1.86 1.64 1.48
CUSUM 400 8.1 0.4 400 205.7 13.21 5.92 3.87 2.92 2.38 2.04 1.80 1.62
CUSUM (FIR) 400 8.2 0.4 400 200.8 8.63 3.58 2.35 1.81 1.52 1.33 1.21 1.13
SS 800 10.5 800 362.2 23.81 5.46 2.40 1.53 1.21 1.08 1.03 1.01
DS 586 2787 5.5 14.5 26.5 799.3 200.4 5.91 1.97 1.35 1.15 1.06 1.02 1.01 1.00
VSS 256 4002 2.5 7.5 23.5 28.5 797.1 200.9 5.13 2.84 2.35 2.11 1.95 1.83 1.72 1.62
EWMA 800 5.36 0.15 800 200.8 7.46 3.35 2.27 1.79 1.48 1.28 1.14 1.06
CUSUM 800 8.4 0.9 800 204.6 8.12 3.58 2.38 1.82 1.49 1.28 1.14 1.06
CUSUM (FIR) 800 8.0 1.0 800 251.0 5.13 2.04 1.40 1.16 1.06 1.02 1.01 1.00
Note:
a
ARL
1
minimized for

= 1.5 (p

1
= 0.0075).
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Table 7. Zero-state ARL
1
s of the optimal designs
a
for ARL
0min
= 370.4 and p
0
= 0.005.
Parameters
Scheme n
1
n
2
WL
1
UCL
1
WL
2
UCL
2
k ASS
0
ARL
0
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
SS 100 3.5 100 597.6 142.6 54.42 26.85 15.57 10.09 7.09 5.30 4.15
DS 74 352 1.5 3.5 6.5 92.6 372.4 55.45 17.28 8.07 4.81 3.35 2.59 2.15 1.87
VSS 21 519 0.5 3.5 2.5 6.5 99.6 378.2 33.34 10.34 6.13 4.70 3.98 3.56 3.27 3.06
EWMA 100 0.68 0.03 100 391.5 34.98 15.87 10.25 7.62 6.10 5.11 4.42 3.91
CUSUM 100 7.1 0.1 100 371.6 39.64 18.17 11.82 8.82 7.07 5.92 5.11 4.50
CUSUM (FIR) 100 7.4 0.1 100 390.2 27.33 11.24 7.12 5.27 4.22 3.54 3.07 2.72
SS 200 5.5 200 1773 234.08 62.41 24.41 12.14 7.11 4.69 3.38 2.60
DS 161 772 2.5 6.5 10.5 197.8 370.5 29.74 7.91 3.80 2.48 1.91 1.61 1.42 1.30
VSS 81 749 1.5 4.5 2.5 8.5 199.7 382.2 20.91 7.49 4.76 3.64 3.05 2.70 2.46 2.29
EWMA 200 1.37 0.05 200 400.6 23.27 10.26 6.62 4.93 3.96 3.32 2.88 2.56
CUSUM 200 6.8 0.3 200 375.0 25.69 10.47 6.61 4.89 3.91 3.29 2.85 2.54
CUSUM (FIR) 200 8.6 0.2 200 384.2 16.76 6.79 4.33 3.23 2.61 2.23 1.96 1.76
SS 400 7.5 400 948.6 86.35 19.91 7.57 3.92 2.49 1.82 1.47 1.28
DS 304 1407 3.5 9.5 16.5 399.3 371.6 15.44 3.79 2.03 1.51 1.28 1.17 1.10 1.06
VSS 120 1549 1.5 5.5 7.5 14.5 399.7 385.1 11.11 4.15 2.96 2.51 2.27 2.12 2.01 1.92
EWMA 400 2.84 0.10 400 377.6 14.31 6.03 3.90 2.94 2.40 2.06 1.81 1.63
CUSUM 400 9.6 0.4 400 383.4 15.85 6.91 4.48 3.37 2.75 2.37 2.10 1.90
CUSUM (FIR) 400 9.8 0.4 400 381.2 10.10 4.14 2.72 2.09 1.73 1.50 1.34 1.22
SS 800 11.5 800 1134 50.84 9.02 3.31 1.85 1.35 1.14 1.06 1.02
DS 582 2910 5.5 14.5 28.5 799.2 372.3 7.09 2.04 1.36 1.15 1.06 1.03 1.01 1.00
VSS 256 3952 2.5 9.5 23.5 29.5 788.2 371.0 5.69 2.87 2.38 2.15 2.02 1.93 1.86 1.80
EWMA 800 5.54 0.15 800 375.0 8.83 3.78 2.52 1.95 1.61 1.37 1.21 1.10
CUSUM 800 9.8 0.9 800 373.7 9.42 3.96 2.58 1.97 1.62 1.37 1.21 1.10
CUSUM (FIR) 800 10.8 0.8 800 373.4 5.86 2.47 1.71 1.37 1.18 1.08 1.03 1.01
Notes:
a
ARL
1
minimized for

= 1.5 (p

1
= 0.0075).
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Journal of Applied Statistics 103
For the DS and VSS charts, Tables 4 and 5 also exhibit the out-of-control ASS
1
. Since the
zero-state and steady-state performances of these charts are indistinguishable, their ASS
1
s are
not repeated in Tables 6 and 7.
Tables 8 and 9 give the ANI
0
and the steady-state ANI
1
s of all schemes. Zero-state ANI
1
tables
are not given since, for the SS, DS and VSS schemes, the gures would be the same as for the
steady-state case and, for the EWMA and CUSUM schemes, the ANI equals ARL n, so it is
easily obtained from Tables 6 and 7.
As said before, all these tables are for p
0
= 0.005 and the designs were optimized for detecting
a 50% increase in p (i.e. for p
1
= 1.5p
0
= 0.0075). Tables for other values of p
0
(0.01 and 0.02)
and

(2.0 and 3.0) are omitted for reasons of space and are available upon request. Anyway, the
results for other small values of p
0
such as p
0
= 0.01 and 0.02 (keeping

= 1.5) are quite close

to the results in the tables presented here, in the following sense: for the same values of ARL
0min
and np
0
, the optimal DS np chart designs for p
0
= 0.010 and 0.020 will have the same values
of n
1
p
0
, n
2
p
0
and resulting ASS p
0
than the corresponding optimal designs for p
0
= 0.005 in
Tables 47. In other words, the values of n
1
and n
2
as well as the ASS
0
of the optimal designs for
p
0
= 0.010 (or 0.020) will be approximately equal to 1/2 (or 1/4) times the values of n
1
, n
2
and
ASS
0
of the optimal designs for p
0
= 0.005 (with the precision that is possible for integer values
of n
1
and n
2
). The values of WL, UCL
1
and UCL
2
will be exactly the same as in the designs for
p
0
= 0.005. Such similarities also hold in the case of the SS, VSS, EWMAand CUSUMschemes
and regarding other specic parameters of these charts (namely, the WL
1
, WL
2
, UCL
1
and UCL
2
of the VSS charts remain invariant, as well as the parameters and UCL of the EWMA chart and
k and H of the CUSUM scheme). For the same values of = p
1
/p
0
, the ARL values (including
the ARL
0
) of the designs for p
0
= 0.010 and 0.020 will be practically identical to the ones of
the corresponding designs for p
0
= 0.005 in Tables 47. (The same can be said about the ASS
1
s
and ANI
1
s). The differences are of less than 5% in the majority of the cases, and are not large
enough to alter the ranking of the schemes in terms of ARL
1
(with very few exceptions, which
are indicated and commented in Tables 10 and 11).
Synthesizing the results in Tables 47, and in the tables generated for other values of p
0
(0.01
and 0.02) and

(2.0 and 3.0), Table 10 indicates the scheme that gives the minimum steady-
state ARL
1
, and Table 11 indicates the scheme that gives the minimum zero-state ARL
1
, for each
combination of p
0
, n and = p
1
/p
0
. As observed above, the ranking of schemes is dependent
on n and p
0
only through the product np
0
(at least for n and p
0
in the range considered in this
work).
All optimal designs were obtained by grid search over a reasonable region of the design param-
eters space. This required discretizing the range of the CUSUM parameters H and k, and EWMA
parameters and UCL. Beneting from the Poisson approximation to the binomial distribution,
we used the optimal solutions for VSS c charts in Epprecht et al. [18] to derive initial solutions
for the VSS np charts, and performed a grid search around each of these initial solutions. For the
CUSUM chart, the search for the optimal value for k was conducted around the optimal k value
for the sequential probability ratio test, given by Lucas [26] and Gan [21], and for each value
of k, H was determined by the ARL
0
constraint; for the EWMA chart, was allowed to vary
between 0.03 and 0.75 (on the grounds that values of larger than 0.75 would make the chart
behave almost like a Shewhart chart), and for each value of , the UCL was determined by the
ARL
0
constraint.
TheARL
0
, ARL
1
s andASSs of theVSSnpchart were calculatedaccordingtothe mathematical
model given in Epprecht and Costa [17]. These authors have not presented optimal designs, which
we have now obtained.
The out-of-control ANI
1
for Tables 8 and 9 was obtained as ANI
1
= b

(IQ
1
)
1
n, where b
is the 2 1 vector of initial-state probabilities for the out-of-control phase, I the 2 2 identity
matrix, Q
1
the 2 2 matrix of transition probabilities between the transient states and n the 2 1
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Table 8. Steady-state ANI
1
s of the optimal designs
a
for ARL
0min
= 200 and p
0
= 0.005.
Parameters
Scheme n
1
n
2
WL
1
UCL
1
WL
2
UCL
2
k ASS
0
ANI
0
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
SS 100 3.5 100 59,763 14,260 5443 2685 1557 1009 709 530 415
DS 81 283 1.5 3.5 5.5 98.47 19,745 7797 2772 1402 878 630 496 416 365
VSS 27 457 0.5 3.5 2.5 5.5 99.53 20,441 3946 1634 991 739 622 562 530 512
EWMA 100 0.72 0.05 100 20,052 2703 1281 839 629 506 426 370 328
CUSUM 100 9.3 0.0 100 20,463 2754 1439 982 750 611 518 451 401
CUSUM (FIR) 100 6.0 0.1 100 20,449 2863 1307 847 632 508 427 370 328
SS 200 4.5 200 56,410 11,029 3865 1860 1090 731 539 426 356
DS 162 736 2.5 5.5 9.5 197.51 39,595 12,263 3826 1998 1361 1067 904 803 736
VSS 89 707 1.5 5.5 2.5 7.5 199.92 40,075 5135 2068 1313 1036 914 854 821 799
EWMA 200 1.53 0.10 200 41,323 3712 1623 1042 779 629 533 466 417
CUSUM 200 8.8 0.1 200 40,406 3617 1743 1167 890 728 620 544 487
CUSUM (FIR) 200 9.4 0.1 200 40,394 3765 1803 1201 909 737 625 547 489
SS 400 6.5 400 90,619 12,143 3649 1689 1016 725 580 502 458
DS 304 1404 3.5 8.5 15.5 399.01 79,997 13,272 3890 2250 1712 1464 1328 1250 1204
VSS 120 1542 1.5 5.5 7.5 13.5 391.55 78,343 6278 2565 1896 1724 1662 1621 1580 1537
EWMA 400 2.73 0.10 400 82,704 4735 2141 1416 1081 888 764 677 612
CUSUM 400 8.1 0.4 400 82,270 4721 2075 1360 1032 847 728 645 583
CUSUM (FIR) 400 8.2 0.4 400 80,303 4793 2095 1376 1051 865 743 656 591
SS 800 10.5 800 289,761 19,047 4369 1919 1223 968 865 824 808
DS 586 2787 5.5 14.5 26.5 799.28 160,194 11,659 3878 2669 2261 2091 2020 1991 1980
VSS 256 4002 2.5 7.5 23.5 28.5 797.06 160,102 7555 4550 4267 4109 3923 3693 3420 3115
EWMA 800 5.36 0.15 800 160,601 5943 2696 1824 1427 1199 1051 950 884
CUSUM 800 9.0 0.8 800 163,549 5923 2604 1735 1341 1114 971 884 837
CUSUM (FIR) 800 9.2 0.8 800 160,854 5993 2616 1751 1371 1151 1004 907 851
Note:
a
ARL
1
minimized for

= 1.5 (p

1
= 0.0075).
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Table 9. Steady-state ANI
1
s of the optimal designs
a
for ARL
0min
= 370.4 and p
0
= 0.005.
Parameters
Scheme n
1
n
2
WL
1
UCL
1
WL
2
UCL
2
k ASS
0
ANI
0
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
SS 100 3.5 100 59,763 14,260 5442 2685 1557 1009 709 530 415
DS 81 283 1.5 3.5 5.5 98.47 34,474 12,703 3958 1848 1102 768 594 493 428
VSS 27 457 0.5 3.5 2.5 5.5 99.53 37,655 5729 2092 1183 851 703 631 593 573
EWMA 100 0.72 0.05 100 39,147 3574 1647 1071 799 641 537 464 410
CUSUM 100 9.3 0.0 100 37,157 3482 1547 995 739 592 496 429 379
CUSUM (FIR) 100 6.0 0.1 100 39,019 3668 1610 1032 765 612 512 442 391
SS 200 4.5 200 354,645 46,817 12,482 4881 2427 1422 938 675 521
DS 162 736 2.5 5.5 9.5 197.51 73,287 19,908 5298 2541 1660 1278 1075 952 871
VSS 89 707 1.5 5.5 2.5 7.5 199.92 76,319 7472 2581 1501 1125 963 884 839 809
EWMA 200 1.53 0.10 200 80,118 4624 2064 1340 1003 809 683 595 529
CUSUM 200 8.8 0.1 200 74,533 4566 2158 1426 1075 871 738 644 575
CUSUM (FIR) 200 9.4 0.1 200 76,831 4659 2002 1287 960 774 655 572 510
SS 400 6.5 400 379,436 34,538 7962 3029 1569 997 729 589 511
DS 304 1404 3.5 8.5 15.5 399.01 148,364 20,200 4959 2656 1975 1680 1524 1434 1382
VSS 120 1542 1.5 5.5 7.5 13.5 391.55 153,935 8694 2936 1986 1748 1671 1628 1587 1543
EWMA 400 2.73 0.10 400 151,057 5709 2439 1586 1199 979 838 739 665
CUSUM 400 8.1 0.4 400 153,370 5691 2435 1580 1192 975 837 741 669
CUSUM (FIR) 400 8.2 0.4 400 152,472 5776 2463 1602 1212 990 846 747 673
SS 800 10.5 800 907,129 40,671 7218 2645 1483 1078 914 845 817
DS 586 2787 5.5 14.5 26.5 799.28 297,502 14,617 4195 2813 2372 2189 2112 2080 2068
VSS 256 4002 2.5 7.5 23.5 28.5 797.06 292,417 8874 4621 4300 4222 4153 4066 3947 3787
EWMA 800 5.36 0.15 800 300,009 7015 3020 2005 1551 1292 1122 1003 920
CUSUM 800 9.0 0.8 800 298,961 6950 2901 1901 1460 1206 1038 927 861
CUSUM (FIR) 800 9.2 0.8 800 298,740 7005 3019 2006 1545 1279 1098 971 889
Note:
a
ARL
1
minimized for

= 1.5 (p

1
= 0.0075).
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106 A.A. De Arajo Rodrigues et al.
Table 10. Best scheme, steady-state (ARL
1
minimized either for

= p

1
/p
0
= 1.5 or 2.0, and ARL
0min
equal to 200 or 370.4).
n = p
1
/p
0
p
0
= 0.005 p
0
= 0.010 p
0
= 0.020 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
100 50 25 VSS VSS VSS VSS/DS
a
DS DS DS DS
200 100 50 VSS VSS DS DS DS DS DS DS
400 200 100 VSS DS (VSS)
b
DS DS DS DS DS DS
800 400 200 VSS (DS)
c
DS DS DS DS DS DS DS
Notes: Parentheses enclosing the acronym of a scheme indicate that it is the best one when all schemes are minimized for

= 2.0, but not when they are minimized for

= 1.5.
For

= 3.0: with np
0
= 0.5, the best scheme remains as in the rst row of this table; with np
0
= 1.0 (second row), the
DS scheme is the best most of the times (some exceptions for a few particular combinations of p
0
and ARL
0min
) and with
np
0
= 2.0 or 4.0 (third and fourth rows), the DS scheme is always the best.
a
The best scheme depends on the case (p
0
, ARL
0min
and

).
b
With

= 2.0, the VSS scheme outperforms the DS scheme in some cases (depending on p
0
and ARL
0min
).
c
With

= 2.0, the DS scheme outperforms the VSS scheme in some cases (depending on p
0
and ARL
0min
).
vector of sample sizes; see Epprecht and Costa [17] for the details on the evaluation of b and Q
1
.
The ASS
1
is then obtained as ASS
1
= ANI
1
/ARL
1
.
To calculate the ARL
0
and ARL
1
s of the CUSUM np chart, we adapted the Markov chain
model developed by Brook and Evans [5] for an

X CUSUM chart. Details of the calculation of
the CUSUM np ARLs are given in Appendix 1.
For computing the ARL
0
and ARL
1
s of the EWMA chart, we made just a few adjustments
to the Markov chain model used by Borror et al. [2] to compute ARL values for the Poisson
EWMA charts. Specically, we used the binomial distribution instead of the Poisson distribution
to calculate the transition probabilities, and we also computed the steady-state ARL, while Borror
et al. [2] only computed the zero-state ARL. The computation of the steady-state ARL of the
EWMA np is analogous to the computation of the steady-state ARL of the CUSUM np (given in
Appendix 1): in matrix notation, the expressions are identical.
From Tables 35 and 810, the following conclusions can be drawn regarding the steady-state
performance of the several schemes:
Insensitivity of the relative performance of the schemes to the ARL
0min
constraint: For the same
values of n and p
0
, the interval of values of p
1
in which the DS np chart outperforms the VSS
np chart is not affected by the value specied for ARL
0min
. For example, for p
1
= 0.020, hence
= 4, ARL
1DS
< ARL
1VSS
either for ARL
0min
= 200 or ARL
0min
= 370.4.
Best scheme: Table 10 shows that the best scheme with respect to the ARL
1
is the same either
with ARL
0min
equal to 200 or 370.4, all else constant (which is consistent with the insensitivity
of the relative performance of the schemes to the ARL
0min
constraint). Also, in spite of the
differences in theARL
1
values when the schemes are optimized for

= 1.5 or 2.0 (ARLtables

for the latter case available from the authors), the best scheme is usually the same in both cases
(the veryfewexceptions are indicatedinTable 5). Finally, as alreadysaid, the rankingof schemes
(and in particular the best scheme) is dependent on n and p
0
only through the product np
0
(at
least for n and p
0
in the range considered in this work). Specically, regardless of the values of
ARL
0min
and

, the shortest ARL

1
is given either by the DS np chart or by the VSS np chart,
depending on the magnitude of the increase in p. TheVSS np chart gives the shortest ARL
1
s for
the smaller increases in p and the DS np chart gives the shortest ARL
1
s for larger increases in
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Journal of Applied Statistics 107
p. It should be noted that, if the charts are optimized for

= 3.0, then the DS scheme becomes

the best of all in most of the cases (more details are given in one of the notes to Table 10).
Performance of the traditional np chart and robustness of the DS chart: For large increases inp
combined with large values of n, the traditional np chart gives smaller ARL
1
s than the VSS,
EWMA and CUSUM schemes. For example, under the constraint ARL
0
= 370.4: for 4.0
withn 400 andfor 3.5withn 800; under the constraint ARL
0
= 200: for 4.5with
n 200, for 3.5 with n 400 and for 3.0 with n 800. As said before, the tables
for p
0
= 0.010 or 0.020 are omitted for reasons of space, but they show the same behaviour
for the same values of the product np
0
. For example, under the constraint ARL
0
= 370.4, with
p
0
= 0.010, the traditional np chart outperforms the VSS, EWMA and CUSUM schemes for
4.0 with n 200 and for 3.5 with n 400; with p
0
= 0.020, it outperforms theVSS,
EWMA and CUSUM schemes for 4.0 with n 100 and for 3.5 with n 200 and
so on. The DS np chart is the only scheme that outperforms all the other ones in these cases,
including the SS scheme. Recall that these results are for charts optimized for

= 1.5. The
DS chart is then robust in the sense of being the fastest scheme at detecting upward shifts in p
of much larger magnitude than the shift for which it has been designed. (Results for

= 2.0
and 3.0 show that as

increases the EWMA and CUSUM charts start to outperform the SS

chart for larger values of , but the DS chart still remains the best of all).
Increase in the amount of inspection during the out-of-control phase: The ASSs of the DS and
VSS charts during the out-of-control phase can be much greater than the in-control ASSs. The
values vary according to , and may be from 10% to 200% larger than the in-control values.
They tend to increase with , but the behaviour of the DS and VSS charts is different: the DS
chart ASS
1
increases monotonically and more signicantly, while the VSS chart ASS
1
s are
more stable (but still much larger than the in-control values) and their increase is not mono-
tonic. The examination of the ASS
1
values alone, however, can be misleading, since the higher
values correspond to smaller ARL
1
s. It is the ANI that corresponds to the total number of
observations until the alarm. Tables 8 and 9 enable the comparison of the ANIs of the different
charts in each situation, and, together with the ARL
1
tables, support the practitioner in the
decision on which control scheme to use. They show that, effectively, the ANIs of the DS (and
VSS) schemes are often much greater than the other charts ANIs, but this is the counterpart
for much quicker detection of special causes.
Regarding the zero-state performance of the several schemes analyzed, Tables 6, 7 and 11 show
the following results:
Effect of the FIR feature on the CUSUM zero-state performance: As expected, the FIR fea-
ture greatly enhances the CUSUM zero-state performance: the zero-state ARL
1
s of the FIR
CUSUM are signicantly shorter than the ordinary CUSUMs; they are also shorter than the
steady-stateARL
1
s of either CUSUMscheme. This raises the FIRCUSUMin the performance
ranking, as detailed below.
Best scheme (zero-state): The FIR CUSUM becomes the best scheme for increases of 50% in
p; for larger increases, the best scheme for the zero-state is the same as for the steady-state (see
Table 11, which still reveals that, as in the steady-state case, the best scheme is invariant with
the values of ARL
0min
and

.
Insensitivity of the relative performance of the schemes to the ARL
0min
constraint: As in the
steady-state case, the performance rank of the schemes is insensitive to the ARL
0min
constraint,
at least between the two values considered (200 and 370.4).
Final remarks: It is important not to forget that even when one is concerned with the zero-state
performance of the control scheme, the steady-state performance should not be neglected and
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Table 11. Best scheme, zero-state (ARL
1
minimized either for

= p

1
/p
0
= 1.5 or 2.0, and ARL
0min
equal to 200 or 370.4).
n = p
1
/p
0
p
0
= 0.005 p
0
= 0.010 p
0
= 0.020 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
100 50 25 FIR CUSUM VSS VSS VSS/DS
a
DS DS DS DS
200 100 50 FIR CUSUM
b
FIR CUSUM (VSS)
c
DS DS DS DS DS DS
400 200 100 FIR CUSUM (VSS)
c
DS (VSS)
d
DS DS DS DS DS DS
800 400 200 VSS (DS)
e
DS DS DS DS/FIR CUSUM
f
DS/FIR CUSUM
f
DS/FIR CUSUM
f
DS/FIR CUSUM
f
Notes: Parentheses enclosing the acronym of a scheme indicate that it is the best one when all schemes are minimized for

= 2.0, but not when they are minimized for

= 1.5. For

= 3.0, the VSS scheme tends to lose the rst place for the FIR CUSUM or the DS scheme.
a
The best scheme depends on the case (p
0
, ARL
0min
and

).
b
In just one case (p
0
= 0.01, n = 100, ARL
0min
= 370.4 and

= 2.0), the VSS schemes ARL

1
is 10% smaller than the FIR CUSUMs, and in just one other case (p
0
= 0.02, n = 50,
ARL
0min
= 370.4 and

= 2.0), the ARL

1
s of these schemes differ by less than 0.15%.
c
For these combinations of np
0
and , FIR CUSUM provides the minimum ARL
1
only when the schemes are optimized for

= 1.5; when they are optimized for

= 2.0, the VSS

scheme provides the minimumARL
1
values (except in the case p
0
= 0.02, n = 100 and ARL
0min
= 370.4).
d
With

= 2.0, the VSS scheme outperforms the DS scheme in some cases (depending on p
0
and ARL
0min
).
e
With

= 2.0, the DS scheme outperforms the VSS scheme in some cases (depending on p
0
and ARL
0min
).
f
The DS and FIR CUSUM schemes have practically identical ARL
1
values, ranging from 1.00 (for = 5.0) to 1.06 (for = 3.5).
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Journal of Applied Statistics 109
that, in terms of zero-state performance, the FIR CUSUM is the best scheme only in a few cases
(with

= 1.5: for = 1.5, with np

0
2 or still for = 2.0, with np
0
= 1; with

= 2.0: only
for = 1.5, with np
0
1; with

= 3.0: for = 1.5 and sometimes for = 2.0); in all other

cases it is at most the second-best scheme, the best scheme being either theVSS or the DS scheme,
depending on the case. In terms of steady-state performance, as already seen, in all cases the best
scheme is either the VSS or the DS scheme; they often switch places between the rst and second
position in the smallest ARL
1
ranking. The VSS scheme is the best one for smaller increases in p
(where the range denoted by smaller increases depends on the ASS constraint, n see Table 5).
Regarding the zero-state performance, the only modication in these results is in the cases just
mentioned, when the FIR CUSUM gives the smaller ARL
1
, but in this case the VSS scheme gives
the second smallest zero-state ARL
1
. For all other combinations of and n, the DS scheme gives
the smallest ARL
1
s, outperforming even the SS np chart for large increases in p (when the latter
becomes the second-best scheme). In summary, the DS np chart is a very interesting option for
monitoring the process non-conforming fraction.
6. Conclusions
In this paper, we propose a DS procedure for the np chart and provide the designs that minimize
the ARL
1
against increases of 50%, 100% and 200% in the process non-conforming fraction,
for processes with in-control non-conforming fraction p
0
equal to 0.005, 0.010 and 0.020, for
ARL
0
200 and for ARL
0
370.4. The optimal designs were given for average sample sizes n
such that np
0
= 0.5, 1.0, 2.0 and 4.0.
For the values of p
0
, n and ARL
0min
considered, the ARL
1
s of the optimal DS np charts are
3080% smaller than the ones of the traditional np chart.
The performance comparison between the proposed chart, the traditional np chart, the VSS np
chart, the CUSUM and the EWMA np charts revealed that, as a general simple rule, for average
sample size of at least 200 items (for p
0
= 0.005), or 100 items (for p
0
= 0.010), or 50 items
(for p
0
= 0.020), the DS scheme can be considered the fastest one for the detection of increases
of 100% or more in the process non-conforming fraction, and the VSS scheme is the fastest one
for the detection of smaller increases. With smaller ASSs, the VSS scheme is the fastest one for
the detection of increases up to 200% in the non-conforming fraction, and the DS scheme is the
fastest one for the detection of larger increases.
For the largest increases in p, the traditional np chart outperforms all the other control schemes
considered here but the DS np chart, which provides the least ARLs in these cases. Thus, the
DS chart is the most robust of the schemes considered, in the sense of being the best scheme for
values of much larger than the value for which it has been optimized.
Neither the CUSUMnor the EWMAscheme was the fastest in any situation, with the exception
of the FIRCUSUMin the zero-state scenario, in some cases of small increase in p. The user should
keep in mind, however, that even when the zero-state performance is of interest, the steady-state
performance should not be neglected.
Inconclusion, the DSnpchart becomes aninterestingoptionfor monitoringthe non-conforming
fraction of a process.
Acknowledgements
The nancial support of this joint work was provided in part by CNPq (the Brazilian Council for Scientic and Techno-
logical Development). Its assistance is gratefully acknowledged. The authors are very grateful to the anonymous referees
for valuable suggestions and comments, which led to signicant improvement of this paper.
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A1. Appendix 1: Calculation of the CUSUM np ARLs
Dene the CUSUM chart with k = (a/b np
0
) and H = c/b, where a, b and c are positive
integers and a/b np
0
. The temporal evolution of S
+
t
can be modelled as a Markov chain with
c + 1 transient states i = {1, 2, . . ., c + 1}, where state i corresponds to S
+
t
= (i 1)/b, and a
(c + 2)th absorbing state corresponding to S
+
t
> H = c/b. For computational purposes, we used
b = 10.
The transition matrix is given as follows:
P =
_
Q
NN
S
N1
0
1N
1
_
=
_
Q (I-Q)1
0 1
_
=
_
_
_
_
_
_
_
q
11
q
12
q
1,c+1
q
1,c+2
q
21
q
22
q
2,c+1
q
2,c+2
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
q
c+1,1
q
c+1,2
q
c+1,c+1
q
c+1,c+2
0 0 0 1
_

_
,
where N = c + 1.
The one-step transition probabilities q
ij
(from state i to state j) are calculated according to the
probability distribution of d, the number of non-conforming items in a sample, which is assumed
to be binomial (n, p). There are two cases to consider: with the process in control, p = p
0
; with
the process out of control, p = p
1
. These two cases lead to different values of the matrix Q: Q
0
and Q
1
, respectively. With the exception of the value of p, the formulae and procedure to calculate
the values of q
ij
are the same:
Elements of the rst column of matrix Q are as follows:
q
ij
=
_
Pr[d
t
(a i + 1)/b], if 0 (a i + 1)/b,
0, otherwise.
(A1)
Elements of the remaining columns of matrix Q are as follows:
q
ij
=
_
Pr[d
t
= (a i + j)/b], if (a i + j)/b = 0, 1, . . . , n,
0, otherwise.
(A2)
The ARL
0
is calculated by
ARL
0
= r

[I Q
0
]
1
1, (A3)
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where, without the FIR feature, r

= [1 0 0 . . . 0] and with the FIR feature, r

= [0 0 . . . 1 . . . 0 0].
In the latter case, the position of the unit element corresponds to the value of S
+
0
when the FIR
feature is adopted. If S
+
0
= H/2 (as in the FIR CUSUM designs in this paper), the value chosen
for c must be even in order that one of the states of the chain corresponds to H/2, and the 1 will
be the (c/2 + 1)th element of r.
The steady-state ARL
1
is calculated by
ARL
1steadystate
= s

[I Q
1
]
1
1, (A4)
where s

is the vector of state probabilities immediately before the occurrence of the assignable
cause. These are the steady-state probabilities when the process is in control (state probabilities
not conditioned on the previous state, but given that the current state is not the absorbing one,
also called cyclical steady-state probabilities by Lucas and Saccucci [28]), given by
s

=
r

(I Q
0
)
1
ARL
0
. (A5)
Analogously, the zero-state ARL
1
is given by
ARL
1zerostate
= r

[I Q
1
]
1
1, (A6)
where, without the FIRfeature, r

= [1 0 0 . . . 0] and with the FIRfeature, r

= [0 0 . . . 1 . . . 0 0],
as described above.
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