Optimality of randomized strategies in a Markovian replacement model

Bruns, Peter (2003) Optimality of randomized strategies in a Markovian replacement model. Mathematical methods of operations research, 56 (3). pp. 481-499. ISSN 1432-2994

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Abstract:	We study a replacement system with discrete-time Markovian deterioration and finite state space ${0,...,N}$ . State 0 stands for a new system, and the larger the state the worse the condition of the system with N as the failure state. We impose the condition that the long-term fraction of replacements in state N should not be larger than some fixed number. We prove that a generalized control-limit policy maximizes the expected time between two successive replacements and we explain explicitly how to derive this (randomized) optimal policy. Some numerical examples are given.
Item Type:	Article
Copyright:	© 2002 Springer
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Statistics and Probability (SP)
Link to this item:	http://purl.utwente.nl/publications/62335
Official URL:	http://dx.doi.org/10.1007/s001860200236
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