The Repair VS. Replacement problem: A stochastic control approach | Zendy

L'Ecuyer Pierre | Zendy; Haurie Alain | Zendy

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The Repair VS. Replacement problem: A stochastic control approach

Author(s) -

L'Ecuyer Pierre,

Haurie Alain

Publication year - 1987

Publication title -

optimal control applications and methods

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.458

H-Index - 44

eISSN - 1099-1514

pISSN - 0143-2087

DOI - 10.1002/oca.4660080304

Subject(s) - mathematical optimization , dynamic programming , limit (mathematics) , computation , decision maker , control limits , computer science , stochastic programming , stochastic control , optimal control , mathematics , operations research , algorithm , mathematical analysis , process (computing) , control chart , operating system

This paper is concerned with a repair vs. replacement problem for a system observed in continuous time and subject to random failure. When the system fails, a decision is taken, based on the observed values of the (random) repair cost and the system's age, to either perform a minimal repair or to replace the system by a new one. At any time, the system may also be replaced preventively, and the aim of the decision maker is to minimize the total expected discounted cost. A dynamic programming approach is proposed to solve this problem. Sufficient conditions under which a repair‐limit rule is optimal are given. An efficient algorithm is devised for the computation of such an optimal policy, and a numerical illustration is worked out.

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