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Optimal replacement policies with continuously varying observable damage

Author

Listed:
  • Attia, F. A.
  • Brockwell, P. J.

Abstract

A system is subject to random failure with failure rate k(Xt) dependent upon the level Xt of accumulated damage at time t. Given the replacement cost C and the additional cost K for replacement after failure, an optimum level of damage at which replacement should be made is investigated when the damage process is (a) a Wiener process with drift, (b) the integral of a Markov chain and (c) a linearly increasing deterministic process. The solution of (c) is used to derive approximations for cases (a) and (b) when the damage process is 'nearly deterministic'.

Suggested Citation

  • Attia, F. A. & Brockwell, P. J., 1984. "Optimal replacement policies with continuously varying observable damage," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 113-126, September.
    • Handle: RePEc:eee:spapps:v:18:y:1984:i:1:p:113-126
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