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A novel gradient approach for optimal design and sensitivity analysis of EWMA control charts 下载免费PDF全文
Conventional control charts are often designed to optimize out‐of‐control average run length (ARL), while constraining in‐control ARL to a desired value. The widely employed grid search approach in statistical process control (SPC) is time‐consuming with unsatisfactory accuracy. Although the simulation‐based ARL gradient estimators proposed by Fu and Hu [Manag Sci 45 (1999), 395–413] can alleviate this issue, it still requires a large number of simulation runs to significantly reduce the variance of gradient estimators. This article proposes a novel ARL gradient estimation approach based on integral equation for efficient analysis and design of control charts. Although this article compares with the results of Fu and Hu [Manag Sci 45 (1999), 395–413] based on the exponentially weighted moving average (EWMA) control chart, the proposed approach has wide applicability as it can generally fit into any control chart with Markovian property under any distributions. It is shown that the proposed method is able to provide a fast, accurate, and easy‐to‐implement algorithm for the design and analysis of EWMA charts, as compared to the simulation‐based gradient estimation method. Moreover, the proposed gradient estimation method facilitates the computation of high‐order derivatives that are valuable in sensitivity analysis. The code is written in Matlab, which is available on request. © 2014 Wiley Periodicals, Inc. Naval Research Logistics 61: 223–237, 2014 相似文献
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为利用仿真模型在有限校射样本的条件下对校射补偿量进行合理估计,对考虑仿真可信度的舰炮虚拟校射方法进行了研究。对自适应加权贝叶斯估计方法进行了研究,一方面对仿真先验可信度的计算方法进行了分析,另一方面对考虑先验可信度的自适应加权贝叶斯估计算法进行了研究。在此基础上,结合舰炮虚拟校射的原理和需求,建立了舰炮虚拟校射诸元误差自适应加权贝叶斯估计模型。仿真验证表明:自适应加权贝叶斯估计方法能够利用试验数据对仿真模型的可信度进行有效验证并进一步实现对目标分布的有效估计;所设计的校射方法能够综合利用仿真模型和校射样本的优势,实现对诸元误差的合理估计,达到有效提高校射精度的目的。 相似文献
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针对拦截水下高速小目标时近场区体目标效应对多普勒频率估计的影响,本文设计了一种选择区间加权频率估计方法,该算法将近场区时高速小目标看成体目标进行处理,通过对频率估计分量进行选择性幅度加权平均,降低了频率估计误差,减少了由于目标姿态变化对频率估计稳定性产生的不良影响。经仿真研究,与直接进行频率估计相比较,该方法能够较好的抑制体目标效应对多普勒频率估计造成的影响。在最不利情况下,频率估计误差数值低于300Hz,较好地满足了声引信利用多普勒频率进行后续参数估计的要求。 相似文献
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针对系统误差变化规律未知时的传感器探测系统偏差估计问题,提出了一种改进的基于Mean-Shift(均值偏移)的传感器动态偏差估计算法.该算法利用Mean-Shift方法对不同样本点对估计结果贡献不同的特点,根据样本点偏离均值的偏移量以及偏移时间构建权系数.仿真结果表明,该方法在系统误差变化规律未知的情况下,可有效估计多... 相似文献
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Paolo Tripodi 《战略研究杂志》2013,36(4):108-123
Chile's controversial and little known role in the Flaklands Islands War has been the subject of much speculation. Recently, retired General Fernando Matthei, a former member of Chile's military regime and Commander-in-Chif of the Air Force, revealed key details about Chilean support of the British Task Force in the South Atlantic. This article analyses Matthei's statement and offers an initial assessment of the imapct of Chile's contribution to the military campaign. It explains the regional and international factors that conditioned Santiago's decision to support London. The article concludes that while it is impossible to determine with absolute certainty if the outocme of the conflict would have been different without Chile's support, it is clear that the campaign would have been longer and much more complicated without Santiago's cooperation. 相似文献
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This article deals with optimization problems that have some uncertain parameters with unknown probabilities. The article proposes a strategy of transferring the system's uncertainty associated with these optimization problems into a norm or a set of norms that is added to the original objective function(s) within a multiobjective framework. The uncertainty sensitivity index method (USIM) proposed by Haimes and Hall [1977] is extended to several general cases. A robust algorithm is developed to guarantee an ideal solution for cases where the nominal value of the uncertain parameter is itself an uncertain variable. A design problem is also addressed to identify the best-compromise values of the system's parameters by integrating the USIM with the envelope approach. 相似文献
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In this article we extend the work of Mehrez and Stulman [5] on the expected value of perfect information (EVPI) to the expected value of sample information (EVSI) for a class of economic problems dealing with the decision to reject or accept an investment project. It is shown that shifting the mean of the underlying a priori distribution of X, the project's monetary value from zero in either direction will decrease the associated EVSI of Y, the random sampled information. A theorem is then presented which gives an upper bound on the EVSI over all distributions of Y, as well as the structure of the posterior mean E[X|Y] for which this upper bound is achieved. Finally, the case where E[X|Y] is linear in Y is discussed and its performance compared with that of the optimal case. 相似文献
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We extend the qualitative theory of sensitivity analysis for minimum-cost pure network flows of Granot and Veinott [17] to generalized network flow problems, that is, network flow problems where the amount of flow picked up by an arc is multiplied by a (positive) gain while traversing the arc. Three main results are presented. The ripple theorem gives upper bounds on the absolute value of optimal-flow variations as a function of variations in the problem parameter(s). The theory of substitutes and complements provides necessary and sufficient conditions for optimal-flow changes to consistently have the same (or the opposite) sign(s) in two given arcs, whereas the monotonicity theorem links changes in the value of the parameters to changes in optimal arc flows. Bounds on the rates of changes are also discussed. Compared with pure networks, the presence of gains makes qualitative sensitivity analysis here a much harder task. We show the profound effect on computational issues caused by the departure from the pure network structure. © 1996 John Wiley & Sons, Inc. 相似文献
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Consider an auction in which increasing bids are made in sequence on an object whose value θ is known to each bidder. Suppose n bids are received, and the distribution of each bid is conditionally uniform. More specifically, suppose the first bid X1 is uniformly distributed on [0, θ], and the ith bid is uniformly distributed on [Xi?1, θ] for i = 2, …?, n. A scenario in which this auction model is appropriate is described. We assume that the value θ is un known to the statistician and must be esimated from the sample X1, X2, …?, Xn. The best linear unbiased estimate of θ is derived. The invariance of the estimation problem under scale transformations in noted, and the best invariant estimation problem under scale transformations is noted, and the best invariant estimate of θ under loss L(θ, a) = [(a/θ) ? 1]2 is derived. It is shown that this best invariant estimate has uniformly smaller mean-squared error than the best linear unbiased estimate, and the ratio of the mean-squared errors is estimated from simulation experiments. A Bayesian formulation of the estimation problem is also considered, and a class of Bayes estimates is explicitly derived. 相似文献
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通过数值仿真定量地比较了三种Chirp信号参数估计算法——解线调法、迭代估计法和局部搜索最大似然法的性能,并定性地比较了算法的运算量。仿真结果表明,在三种算法中,局部搜索最大似然法的估计性能最好,而运算量居中;解线调法运算量最大,但估计性能居中;迭代估计法的估计性能最差,但运算量最小。对于实际系统,应根据不同的估计精度和运算量要求,灵活选择不同的算法。综合考虑估计性能和运算量之间的折衷可以得到结论,在三种算法中局部搜索最大似然法是一种相对较好的选择。 相似文献
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针对多约束条件的无人机航路规划评价方法缺乏合理性和动态特性的问题,提出了基于无人机六自由度模型的飞行仿真动态评价方法。分析了无人机航路规划的约束条件和影响航路评价的因素,基于某型无人机六自由度飞行动力学模型和飞行控制系统模型建立了无人机飞行仿真系统模型,将航路规划与评价进行有机结合进而进行航路评价方法软件的设计,通过对无人机沿规划航路的仿真飞行参数进行动态特性分析,以更接近真实情况的仿真手段对多约束条件下的航路规划效果进行评价。结果表明,该方法形象直观的实现了对无人机规划航路的动态综合评价,满足工程需求。 相似文献
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Frequently in warfare, a force is required to attack a perishable enemy target system - a target system where the targets are detected seemingly at random, and if not immediately attacked, will shortly escape from detection. A conflicting situation arises when an attack element detects a target of relatively low value and has to decide whether to expend his resources on that particular target or to wait for a more lucrative one, hoping one will be found. This paper provides a decision rule giving the least valued target that should be attacked as well as the resources that should be expended as a function of the attack element's remaining mission time. 相似文献
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In this paper we consider a simple three-order-statistic asymptotically unbiased estimator of the Weibull shape parameter c for the case in which all three parameters are unknown. Optimal quantiles that minimize the asymptotic variance of this estimator, c? are determined and shown to depend only on the true (unknown) shape parameter value c and in a rather insensitive way. Monte Carlo studies further verified that, in practice where the true shape parameter c is unknown, using always c? with the optimal quantities that correspond to c = 2.0 produces estimates, c?, remarkably close to the theoretical optimal. A second stage estimation procedure, namely recalculating c? based on the optimal quantiles corresponding to c?, was not worth the additional effort. Benchmark simulation comparisons were also made with the best percentile estimator of Zanakis [20] and with a new estimator of Wyckoff, Bain and Engelhardt [18], one that appears to be the best of proposed closed-form estimators but uses all sample observations. The proposed estimator, c?, should be of interest to practitioners having limited resources and to researchers as a starting point for more accurate iterative estimation procedures. Its form is independent of all three Weibull parameters and, for not too large sample sizes, it requires the first, last and only one other (early) ordered observation. Practical guidelines are provided for choosing the best anticipated estimator of shape for a three-parameter Weibull distribution under different circumstances. 相似文献
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由于信号模型的偏差,传统的点目标假设下的DOA估计算法对分布信号源的估计误差较大,为此建立了分布信号源的模型,提出适用于分布源信号的DIS-MUSIC算法,并分析了该算法的估计性能。仿真结果表明,所提算法对分布信号源的DOA估计性能远优于MUSIC算法。 相似文献
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This paper represents a continuation of three previous papers [1-.3] in the study of competitive bidding processes. It treats the case where a bidder's knowledge of his competitor's cost i s given by a probability distribution over a certain interval. The results obtained extend the work of Vickrey [4] to the case where the cost intervals a r e not necessarily symmetric. 相似文献
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一种鱼雷辐射噪声的线谱估计方法 总被引:1,自引:0,他引:1
基于鱼雷辐射噪声的物理特性和线谱特征,探讨了一种鱼雷目标特征提取方法。该方法结合经典谱与现代谱估计,提取水下目标辐射噪声线谱特征。通过两次估计采集数据的功率谱,得到估计算法功率谱图,然后分析功率谱图,先确定线谱存在的大致区域,再估计精确线谱。进行仿真研究,得到了较好的效果,证明该方法对低频段的线谱特征提取有很好的实用性。 相似文献