Optimal replacement with semi-Markov shock models

Abstract

Consider a system that is subject to a sequence of randomly occurring shocks; each shock causes some damage of random magnitude to the system. Any of the shocks might cause the system to fail, and the probability of such a failure is a function of the sum of the magnitudes of damage caused from all previous shocks. The purpose of this paper is to derive the optimal replacement rule for such a system whose cumulative damage process is a semi-Markov process. This allows for both the time between shocks and the damage due to the next shock to be dependent on the present cumulative damage level. Only policies within the class of control-limit policies will be considered; namely, policies with which no action is taken if the damage is below a fixed level, and a replacement is made if the damage is above that. An example will be given illustrating the use of the optimal replacement rule.