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On-line parameter estimation for a failure-prone system subject to condition monitoring

Part of: Operations research and management science Special processes Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Daming Lin  and
Viliam Makis
Daming Lin*
Affiliation:
University of Toronto
Viliam Makis*
Affiliation:
University of Toronto
*
∗ Postal address: Department of Mechanical and Industrial Engineering, University of Toronto, 5 King's College Road, Toronto, Ontario M5S 3G8, Canada.
∗ Postal address: Department of Mechanical and Industrial Engineering, University of Toronto, 5 King's College Road, Toronto, Ontario M5S 3G8, Canada.
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Abstract

In this paper, we study the on-line parameter estimation problem for a partially observable system subject to deterioration and random failure. The state of the system evolves according to a continuous-time homogeneous Markov process with a finite state space. The state of the system is hidden except for the failure state. When the system is operating, only the information obtained by condition monitoring, which is related to the working state of the system, is available. The condition monitoring observations are assumed to be in continuous range, so that no discretization is required. A recursive maximum likelihood (RML) algorithm is proposed for the on-line parameter estimation of the model. The new RML algorithm proposed in the paper is superior to other RML algorithms in the literature in that no projection is needed and no calculation of the gradient on the surface of the constraint manifolds is required. A numerical example is provided to illustrate the algorithm.

Keywords

Partially observable systemcontinuous-discrete modelon-line parameter estimationrecursive maximum likelihoodcondition-based maintenance

MSC classification

Primary: 60K10: Applications (reliability, demand theory, etc.)
Secondary: 60G35: Signal detection and filtering 90B25: Reliability, availability, maintenance, inspection
Type
Research Papers
Information
Journal of Applied Probability , Volume 41 , Issue 1 , March 2004 , pp. 211 - 220
Copyright
Copyright © Applied Probability Trust 2004 

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