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Modelling and estimating the reliability of stochastic dynamical systems with Markovian switching

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  • Chiquet, Julien
  • Eid, Mohamed
  • Limnios, Nikolaos

Abstract

In this paper, a general framework for the modelling of physical phenomena with stochastic dynamical systems switched by jump Markov processes is given. A methodology of the associated estimation procedures is provided. A particular attention is paid to the estimation of the underlying jump process, which is not observable.

Suggested Citation

  • Chiquet, Julien & Eid, Mohamed & Limnios, Nikolaos, 2008. "Modelling and estimating the reliability of stochastic dynamical systems with Markovian switching," Reliability Engineering and System Safety, Elsevier, vol. 93(12), pages 1801-1808.
    • Handle: RePEc:eee:reensy:v:93:y:2008:i:12:p:1801-1808
    DOI: 10.1016/j.ress.2008.03.016
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    References listed on IDEAS

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    1. Biernacki, Christophe & Celeux, Gilles & Govaert, Gerard & Langrognet, Florent, 2006. "Model-based cluster and discriminant analysis with the MIXMOD software," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 587-600, November.
    2. Julien Chiquet & Nikolaos Limnios, 2006. "Estimating Stochastic Dynamical Systems Driven by a Continuous-Time Jump Markov Process," Methodology and Computing in Applied Probability, Springer, vol. 8(4), pages 431-447, December.
    3. Myötyri, E. & Pulkkinen, U. & Simola, K., 2006. "Application of stochastic filtering for lifetime prediction," Reliability Engineering and System Safety, Elsevier, vol. 91(2), pages 200-208.
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    Cited by:

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    2. Jiang, Shan & Li, Yan-Fu, 2021. "Dynamic Reliability Assessment of Multi-cracked Structure under Fatigue Loading via Multi-State Physics Model," Reliability Engineering and System Safety, Elsevier, vol. 213(C).

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