cusum() - Signal Processing
example[iupper,ilower] = cusum(x) returns
the first index of the upper and lower cumulative sums of x that
have drifted beyond five standard deviations above and below a target
mean. The minimum detectable mean shift is set to one standard deviation.
The target mean and standard deviations are estimated from the first
25 samples of x.
example[iupper,ilower] = cusum(x,climit,mshift,tmean,tdev) specifies climit,
the number of standard deviations that the upper and lower cumulative
sums are allowed to drift from the mean. It also specifies the minimum
detectable mean shift, the target mean, and the target standard deviation.
[iupper,ilower] = cusum(___,'all') returns
all the indices at which the upper and lower cumulative sums exceed
the control limit.
example[iupper,ilower,uppersum,lowersum]
= cusum(___) also returns the upper and lower
cumulative sums.
cusum(___) with no output arguments
plots the upper and lower cumulative sums normalized to one standard
deviation above and below the target mean.
Syntax
<![CDATA[[iupper,ilower] = cusum(x) example[iupper,ilower] = cusum(x,climit,mshift,tmean,tdev) example[iupper,ilower] = cusum(___,'all')[iupper,ilower,uppersum,lowersum]
= cusum(___) examplecusum(___)]]>
Example
<![CDATA[cusum Default ValuesOpen This Example
Generate and plot a 100-sample random signal with a linear trend. Reset the random number generator for reproducible results.
rng('default')
rnds = rand(1,100);
trnd = linspace(0,1,100);
fnc = rnds + trnd;
plot(fnc)
Apply cusum to the function using the default values of the input arguments.cusum(fnc)
Compute the mean and standard deviation of the first 25 samples. Apply cusum using these numbers as the target mean and the target standard deviation. Highlight the point where the cumulative sum drifts more than five standard deviations beyond the target mean. Set the minimum detectable mean shift to one standard deviation.mfnc = mean(fnc(1:25));
sfnc = std(fnc(1:25));
cusum(fnc,5,1,mfnc,sfnc)
Repeat the calculation using a negative linear trend.nnc = rnds - trnd;
cusum(nnc)
Unstable Motion DetectionOpen This Example
Generate a signal resembling motion about an axle that becomes unstable due to wear. Add white Gaussian noise of variance 1/9. Reset the random number generator for reproducible results.
rng default
sz = 200;
dr = airy(2,linspace(-14.9371,1.2,sz));
rd = dr + sin(2*pi*(1:sz)/5) + randn(1,sz)/3;
Plot the growing background drift and the resulting signal.plot(dr)
hold on
plot(rd,'.-')
hold off
Find the mean and standard deviation if the drift is not present and there is no noise. Plot the ideal noiseless signal and its stable background.id = 0.3*sin(2*pi*(1:sz)/20);
st = id + sin(2*pi*(1:sz)/5);
mf = mean(st)
sf = std(st)
plot(id)
hold on
plot(st,'.-')
hold off
mf =
-3.6463e-16
sf =
0.7401
Use the CUSUM control chart to pinpoint the onset of instability. Assume that the system becomes unstable when the signal is three standard deviations beyond its ideal behavior. Specify a minimum detectable shift of one standard deviation.cusum(rd,3,1,mf,sf)
Make the violation criterion more strict by increasing the minimum detectable shift. Return all instances of unwanted drift.cusum(rd,3,1.2,mf,sf,'all')
Golf ScorecardsOpen This Example
Every hole in golf has an associated "par" that indicates the expected number of strokes needed to sink the ball. Skilled players usually complete each hole with a number of strokes very close to par. It is necessary to play several holes and let scores accumulate before a clear winner emerges in a match.
Ben, Jen, and Ken play a full round, which consists of 18 holes. The course has an assortment of par-3, par-4, and par-5 holes. At the end of the game, the players tabulate their scores.hole = 1:18;
par = [4 3 5 3 4 5 3 4 4 4 5 3 5 4 4 4 3 4];
nms = {'Ben';'Jen';'Ken'};
Ben = [4 3 4 2 3 5 2 3 3 4 3 2 3 3 3 3 2 3];
Jen = [4 3 4 3 4 4 3 4 4 4 5 3 4 4 5 5 3 3];
Ken = [4 3 4 3 5 5 4 4 4 4 5 3 5 4 5 4 3 5];
T = table(hole',par',Ben',Jen',Ken', ...
'VariableNames',['hole';'par';nms])
T =
hole par Ben Jen Ken
____ ___ ___ ___ ___
1 4 4 4 4
2 3 3 3 3
3 5 4 4 4
4 3 2 3 3
5 4 3 4 5
6 5 5 4 5
7 3 2 3 4
8 4 3 4 4
9 4 3 4 4
10 4 4 4 4
11 5 3 5 5
12 3 2 3 3
13 5 3 4 5
14 4 3 4 4
15 4 3 5 5
16 4 3 5 4
17 3 2 3 3
18 4 3 3 5
The player whose lower cumulative sum drifts the most below par at the end of the round wins. Compute the sums for the three players to determine the winner. Make every shift in mean detectable by setting a small threshold.[~,b,~,Bensum] = cusum(Ben-par,1,1e-4,0);
[~,j,~,Jensum] = cusum(Jen-par,1,1e-4,0);
[~,k,~,Kensum] = cusum(Ken-par,1,1e-4,0);
plot([Bensum;Jensum;Kensum]')
legend(nms,'Location','best')
Ben wins the round. Simulate their next game by adding or subtracting a stroke per hole at random.Ben = Ben+randi(3,1,18)-2;
Jen = Jen+randi(3,1,18)-2;
Ken = Ken+randi(3,1,18)-2;
[~,b,~,Bensum] = cusum(Ben-par,1,1e-4,0);
[~,j,~,Jensum] = cusum(Jen-par,1,1e-4,0);
[~,k,~,Kensum] = cusum(Ken-par,1,1e-4,0);
plot([Bensum;Jensum;Kensum]')
legend(nms,'Location','best')]]>
Output / Return Value
Limitations
Alternatives / See Also
Reference