Probabilistic Modelling of Monitoring and Maintenance of Multistate Monotone Systems with Dependent Components

In Gåsemyr and Natvig (2001) partial monitoring of components with applications to preventive system maintenance was considered for a binary monotone system of binary components. The purpose of the present paper is to extend this to a multistate monotone system of multistate components, where the states more realistically represent successive levels of performance ranging from the perfect functioning level down to the complete failure level. We start out close to the spirit of Arjas (1989) by using a marked point process with complete monitoring of all components, and hence of the system, as the basic reference framework. We then consider a marked point process linked to partial monitoring of some components, for instance in certain time intervals. Incorporation of information from the observed system history process is then treated. Mainly, we assume that the inspection strategy is determined by the observed component history process only, with a possible exception of a full or partial autopsy after an observed change of state of , the system. Furthermore, we consider how to arrive at the posterior distribution for the relevant parameter vector by a standard simulation procedure, the data augmentation method. The idea is to extend the observed data to the complete component history process. The theory is applied to an electrical power generation system for two nearby oilrigs with some standby components, as considered in Natvig et al. (1986).AMS 2000 Subject Classification: Primary 96B25; Secondary, 62N05, 60K10     

A unified theory for coherent systems in reliability I. A generalization for some classic theory: Monotone binary coherent systems

Binary coherent system theory has played an important part in reliability. Its extension to (‘degradable’ or ‘multistate’ or) multinary systems has recently been considered in various papers, through various definitions. This paper lays the foundations of a unified theory for coherent systems by first giving unified arguments to apply and to investigate further binary and multinary systems. Monotone binary systems are introduced and examined by generalizing classic deterministic and probabilistic results. Applications of monotone coherence to the multinary case are proposed in a companion paper with a unified viewpoint on multinary coherent systems. As an indication, monotone constraints are defined with a partition of the component set and some total orderings imposed on the elements of the concerned partition. The discrete partition retrieves the classic theory of (free) binary coherent systems; some constraints defined from component levels lead to multinary coherent systems; some other constraints apply to systems submitted to some ‘common stresses’, e.g. the organizing system of a monotone coherent decomposition.     

Stability of Order Statistics under Dependence

We precisely evaluate the upper and lower deviations of the expectation of every order statistic from an i.i.d. sample under arbitrary violations of the independence assumption, measured in scale units generated by various central absolute moments of the parent distribution of a single observation. We also determine the distributions for which the bounds are attained. The proof is based on combining the Moriguti monotone approximation of functions with the Hölder inequality applied for proper integral representations of expected order statistics in the independent and dependent cases. The method allows us to derive analogous bounds for arbitrary linear combinations of order statistics.     

Entropy estimate of probability densities having assigned moments: Hausdorff case

Considered here are absolutely continuous probability distributions, concentrated on the interval [0, 1], and with the first M algebraic moments assigned. Lower and upper bounds for entropy are provided solely in terms of assigned moments.     

Application of the problem of moments to derive bounds on integrals with integral constraints

Recently a lot of results (for a review see Goovaerts et al. (1983)) have been obtained for bounds on stop-loss premiums in case of incomplete information on the claim distribution.As a consequence some extremal distributions (depending on the retention limit) have been characterized. The extremal distributions for the stop-loss ordering in case of fixed values of the retention limit are obtained by means of deep results from the theory of convex analysis. In the present contribution it is shown, by means of some results from the problem of moments, how bounds on integrals with integral constraints can be obtained. We assume only the knowledge of the moments μ₀, μ₁, …, μ_n.     

Analytic Continuations of Fourier and Stieltjes Transforms and Generalized Moments of?Probability?Measures

We consider analytic continuations of Fourier transforms and Stieltjes transforms. This enables us to define what we call complex moments for some class of probability measures which do not have moments in the usual sense. There are two ways to generalize moments accordingly to Fourier and Stieltjes transforms; however these two turn out to coincide. As applications, we give short proofs of the convergence of probability measures to Cauchy distributions with respect to tensor, free, Boolean and monotone convolutions.     

On the importance of components for multistate monotone systems

Using decomposition results we obtain an extension of the Barlow and Proschan concept of reliability importance of system components to multistate monotone systems. In this context we consider both the reliability importance of components in a modular set and the reliability importance of a module for the system.     

Propagation dynamics of a nonlocal periodic organism model with non-monotone birth rates

This work is concerned with a nonlocal reaction–diffusion system modeling the propagation dynamics of organisms owning mobile and stationary states in periodic environments. We establish the existence of the asymptotic speed of spreading for the model system with monotone birth function via asymptotic propagation theory of monotone semiflow, and then discuss the case for non-monotone birth function by using the squeezing technique. In terms of the truncated problem on a finite interval, we apply the method of super- and sub-solutions and the fixed point theorem combined with regularity estimation and limit arguments to obtain the existence of time periodic traveling waves for the model system without quasi-monotonicity. The non-existence proof is to use the results of the spreading speed. Finally, as an application, we study the spatial dynamics of the model with the birth rate function of Ricker type and numerically demonstrate analytic results.     

EXISTENCE OF SOLUTIONS FOR MIXED MONOTONE IMPULSIVE VOLTERRA INTEGRAL EQUATIONS IN BANACH SPACES

1IntroductionThetheoryofimpulsivedifferentialequationshasbeenemergingasanimportantareaofinvestigationsinrecentyears(see[1]).Usually,differentialequationandintegralequationinBanachspacesareconsideredonlyonafiniteintervalwithafinitenumberofmomentsofimpulseeffect(see,forexample,[2,3]).InthispapertwestudytheealltenceOfsolutionsformisedmonotoneimpulsiveVolterraintegralequationsontheinfiniteintervalR withaninfinitenumberofmomentsofimpulseeffectinBanachspaces.Byusingtheabedmonotoneiterativetechniqu…     

A unified theory for coherent systems in reliability II. A unified viewpoint on multinary coherent systems through monotone coherence and relevance

Binary coherent system theory has played an important part in reliability. Its extension to (‘degradable’ or ‘multistate’ or) multinary systems has recently been considered in various papers, through various definitions. This paper studies the most general model for multinary systems, proposes a unified viewpoint on multinary coherent systems and gives unified arguments to apply and to investigate further the binary and multinary cases. In a more detailed way, the ‘helpful bridge’ lately proposed by Block and Savits¹ between the binary and multinary cases is completed and multinary systems then can be studied in terms of monotone binary coherent systems, introduced in a companion paper.² Through various results, multinary systems are examined in terms of structure functions and of life functions; fundamental relations for their analysis are obtained with their set characterizations; the main axis that can be retained among the numerous types of coherence is emphasized, in a unified way, through relevance; reliability models are examined through performance processes, life lengths and performance functions; and Birnbaum's factors of importance are thoroughly extended to the multinary case. Fundamental results proposed in previous studies are thus completed with a shorter unified approach.     

Evaluating Improvements for Spacings of Order Statistics

We evaluate sharp upper bounds for the consecutive spacings of order statistics from an i.i.d. sample, measured in scale units generated by various central absolute moments of the parent distribution. The bounds are based on the projection method combined with the Hölder inequalities. We characterize the probability distributions for which the bounds are attained. We also evaluate the so obtained bounds numerically and compare them with other existing bounds.     

Probability masses fitting in the analysis of manufacturing flow lines

The analysis of manufacturing systems with finite capacity and with general service time distributions is made of two steps: the distributions have first to be transformed into tractable phase-type distributions, and then the modified system can be analytically modelled. In this paper, we propose a new alternative in order to build tractable phase-type distributions, and study its effects on the global modelling process. Called “probability masses fitting” (PMF), the approach is quite simple: the probability masses on regular intervals are computed and aggregated on a single value in the corresponding interval, leading to a discrete distribution. PMF shows some interesting properties: it is bounding, monotonic, refinable, it approximates distributions with finite support and it conserves the shape of the distribution. With the resulting discrete distributions, the evolution of the system is then exactly modelled by a Markov chain. Here, we focus on flow lines and show that the method allows us to compute upper and lower bounds on the throughput as well as good approximations of the cycle time distributions. Finally, the global modelling method is shown, by numerical experiments, to compute accurate estimations of the throughput and of various performance measures, reaching accuracy levels of a few tenths of a percent.     

Exponential stability for time dependent potentials

For a classical Hamiltonian system on a torus defined by a time dependent, bounded and analytic potential we establish global and quantitative bounds for the solutions over an exponentially long interval of time by using techniques which go back to Nekhoroshev.     

A new look at dynamic behavior of binary coherent system from a state-level perspective

In this paper we study lifetime properties of binary coherent systems from a state-level perspective. We define and study a system whose performance levels are determined by its total number of working components and structure. That is, the more working components the better performance level for the system. This enables us to make a more detailed analysis of a binary system. We obtain the distributions of the time that is spent by the system in a specific state subset and a specific state. Our analysis is based on the use of system signature. We also define an optimization problem concerned with the determination of the number of warm standby components.     

An investigation of phase-distribution moment-matching algorithms for use in queueing models

Algorithms for matching moments to phase-type distributions are evaluated on the basis of their performance in their intended application, queueing models. The moment-matching algorithms under consideration match two moments to a hyperexponential distribution with balanced means and three moments to a mixture of two Erlang distributions of common order. These algorithms are used to approximate an interarrival-time distribution for a queueing model, and the accuracy of associated performance-measure approximations is then used to evaluate the moment-matching algorithms. Three performance measures are considered, and attention is focussed on the steady-state mean queue length (number in system) of theGI/M/1 queue. Performance-measure approximations are compared to three-moment bounds and performance-measure values arising from hypothetical approximated distributions.     

Lower Bounds on the Generalized Central Moments of the Optimal Alignments Score of Random Sequences

We present a general approach to the problem of determining tight asymptotic lower bounds for generalized central moments of the optimal alignment score of two independent sequences of i.i.d. random variables. At first, these are obtained under a main assumption for which sufficient conditions are provided. When the main assumption fails, we nevertheless develop a “uniform approximation” method leading to asymptotic lower bounds. Our general results are then applied to the length of the longest common subsequences of binary strings, in which case asymptotic lower bounds are obtained for the moments and the exponential moments of the optimal score. As a by-product, a local upper bound on the rate function associated with the length of the longest common subsequences of two binary strings is also obtained.     

Improved bounds for queues with delayed arrivals

Improved bounds are developed for a queue where arrivals are delayed by a fixed time. For moderate to heavy traffic, a simple improved upper bound is obtained which only uses the first two moments of the service time distribution. We show that our approach can be extended to obtain bounds for other types of delayed arrival queues. For very light traffic, asymptotically tight bounds can be obtained using more information about the service time distribution. While an improved upper bound can be obtained for light to moderate traffic it is not particularly easy to apply. This revised version was published online in June 2006 with corrections to the Cover Date.     

A characterization of the Pearson system of distributions and the associated orthogonal polynomials

A new derivation of the classical orthogonal polynomials is given by using thew-function which appears in the variance bounds and some properties of the Pearson system of distributions. Also a characterization of the Pearson system of distributions through some conditional moments is obtained by using a result obtained by Johnson (1993) concerning this family.     

Optimal choice of the moments of observation in a problem of distinguishing stochastic processes

The problem is considered of distinguishing two Wiener processes with known diffusion coefficients on the basis of a finite number of inexact observations on a given time interval. In connection with the optimal choice of the moments of observation, the asymptotics of the maximum of the entropy distance of the arising pairs of finite-dimensional Gaussian distributions are found; the question of the optimal choice of the moments of observations is discussed, and the behavior of the entropy distance is studied for a fixed number of observations when the accuracy is increased.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 85, pp. 129–136, 1979.     

Perfect Secret Sharing Schemes on Five Participants

A perfect secret sharing scheme is a system for the protection of a secret among a number of participants in such a way that only certain subsets of these participants can reconstruct the secret, and the remaining subsets can obtain no additional information about the secret. The efficiency of a perfect secret sharing scheme can be assessed in terms of its information rates. In this paper we discuss techniques for obtaining bounds on the information rates of perfect secret sharing schemes and illustrate these techniques using the set of monotone access structures on five participants. We give a full listing of the known information rate bounds for all the monotone access structures on five participants.