Bayesian sequential update for monitoring and control of high-dimensional processes

Sangahn Kim and Mehmet Turkoz ()
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Sangahn Kim: Siena College
Mehmet Turkoz: William Paterson University

Annals of Operations Research, 2022, vol. 317, issue 2, No 17, 693-715

Abstract: Abstract Simultaneous monitoring of multi-dimensional processes becomes much more challenging as the dimension increases, especially when there are only a few or moderate number of process variables that are responsible for the process change, and when the size of change is particularly small. In this paper, we develop an efficient statistical process monitoring methodology in high-dimensional processes based on the Bayesian approach. The key idea of this paper is to sequentially update a posterior distribution of the process parameter of interest through the Bayesian rule. In particular, a sparsity promoting prior distribution of the parameter is applied properly under sparsity, and is sequentially updated in online processing. A Bayesian hierarchical model with a data-driven way of determining the hyperparameters enables the monitoring scheme to be effective to the detection of process shifts and to be efficient to the computational complexity in the high-dimensional processes. Comparison with recently proposed methods for monitoring high-dimensional processes demonstrates the superiority of the proposed method in detecting small shifts. In addition, graphical presentations in tracking the process parameter provide the information about decisions regarding whether a process needs to be adjusted before it triggers alarm.

Keywords: Bayesian sequential update; High-dimensional process; Statistical process monitoring; Variable selection (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10479-021-04188-9

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