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On-line parameter estimation for a failure-prone system subject to condition monitoring
- Source :
- Journal of Applied Probability. 41:211-220
- Publication Year :
- 2004
- Publisher :
- Cambridge University Press (CUP), 2004.
-
Abstract
- In this paper, we study the on-line parameter estimation problem for a partially observable system subject to deterioration and random failure. The state of the system evolves according to a continuous-time homogeneous Markov process with a finite state space. The state of the system is hidden except for the failure state. When the system is operating, only the information obtained by condition monitoring, which is related to the working state of the system, is available. The condition monitoring observations are assumed to be in continuous range, so that no discretization is required. A recursive maximum likelihood (RML) algorithm is proposed for the on-line parameter estimation of the model. The new RML algorithm proposed in the paper is superior to other RML algorithms in the literature in that no projection is needed and no calculation of the gradient on the surface of the constraint manifolds is required. A numerical example is provided to illustrate the algorithm.
- Subjects :
- Statistics and Probability
Mathematical optimization
Discretization
Estimation theory
General Mathematics
Condition-based maintenance
010102 general mathematics
Condition monitoring
Markov process
Observable
01 natural sciences
010104 statistics & probability
symbols.namesake
symbols
Range (statistics)
0101 mathematics
Statistics, Probability and Uncertainty
Projection (set theory)
Algorithm
Mathematics
Subjects
Details
- ISSN :
- 14756072 and 00219002
- Volume :
- 41
- Database :
- OpenAIRE
- Journal :
- Journal of Applied Probability
- Accession number :
- edsair.doi.dedup.....1b372af2e1a24145a9780bbd444e1643