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Parameter estimation for partially observable systems subject to random failure

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  • Michael Jong Kim
  • Viliam Makis
  • Rui Jiang

Abstract

In this paper, we present a parameter estimation procedure for a condition‐based maintenance model under partial observations. Systems can be in a healthy or unhealthy operational state, or in a failure state. System deterioration is driven by a continuous time homogeneous Markov chain and the system state is unobservable, except the failure state. Vector information that is stochastically related to the system state is obtained through condition monitoring at equidistant sampling times. Two types of data histories are available — data histories that end with observable failure, and censored data histories that end when the system has been suspended from operation but has not failed. The state and observation processes are modeled in the hidden Markov framework and the model parameters are estimated using the expectation–maximization algorithm. We show that both the pseudolikelihood function and the parameter updates in each iteration of the expectation–maximization algorithm have explicit formulas. A numerical example is developed using real multivariate spectrometric oil data coming from the failing transmission units of 240‐ton heavy hauler trucks used in the Athabasca oil sands of Alberta, Canada. Copyright © 2012 John Wiley & Sons, Ltd.

Suggested Citation

  • Michael Jong Kim & Viliam Makis & Rui Jiang, 2013. "Parameter estimation for partially observable systems subject to random failure," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 29(3), pages 279-294, May.
    • Handle: RePEc:wly:apsmbi:v:29:y:2013:i:3:p:279-294
    DOI: 10.1002/asmb.1920
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    Cited by:

    1. Duan, Chaoqun & Li, Yifan & Pu, Huayan & Luo, Jun, 2022. "Adaptive monitoring scheme of stochastically failing systems under hidden degradation processes," Reliability Engineering and System Safety, Elsevier, vol. 221(C).
    2. Akram Khaleghei & Viliam Makis, 2015. "Model parameter estimation and residual life prediction for a partially observable failing system," Naval Research Logistics (NRL), John Wiley & Sons, vol. 62(3), pages 190-205, April.
    3. Duan, Chaoqun & Makis, Viliam & Deng, Chao, 2020. "A two-level Bayesian early fault detection for mechanical equipment subject to dependent failure modes," Reliability Engineering and System Safety, Elsevier, vol. 193(C).

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