An optimal control chart for finite matrix sequences at some unknown change point

Abstract

We present a new measure for evaluating the performance of control charts to detect abrupt changes of finite matrix sequences. The objective is to minimize the probability that the control chart fails to raise the alarm at unknown change point time for a given in-control average run length. We construct and prove the optimal control chart with dynamic control limits in different pre- and post-change distributions. We validate the optimality of the proposed chart by conducting exhaustive experiments on both simulation study and real-world data.

Keywords:

• Finite observations of matrix data
• optimal control chart
• dynamic control limits
• multivariate distributions

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

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Additional information

Funding

This work was supported by the National Natural Science Foundations of China [grant number 11531001] and the National Program on Key Basic Research Project [grant number 2015CB856004].