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Optimization of maintenance policy under parameter uncertainty using portfolio theory

Wu, Shaomin, Coolen, Frank P. A., Liu, Bin (2016) Optimization of maintenance policy under parameter uncertainty using portfolio theory. IISE Transactions, 49 (7). pp. 711-721. ISSN 2472-5854. E-ISSN 2472-5862. (doi:10.1080/24725854.2016.1267881) (KAR id:59092)

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http://dx.doi.org/10.1080/24725854.2016.1267881

Abstract

In reliability mathematics, optimisation of maintenance policy is derived based on reliability indexes such as the reliability or its derivatives (e.g., the cumulative failure intensity or the renewal function) and the associated cost information. The reliability indexes, also referred to as models in this paper, are normally estimated based on either failure data collected from the field or lab data. The uncertainty associated with them is sensitive to factors such as the sparsity of data. For a company that maintains a number of different systems, developing maintenance policies for each individual system separately and then allocating maintenance budget may not lead to optimal management of the model uncertainty and may lead to cost ineffective decisions. To overcome this limitation, this paper uses the concept of risk aggregation. It integrates the uncertainty of model parameters in optimisation of maintenance policies and then collectively optimises maintenance policies for a set of different systems, using methods from portfolio theory. Numerical examples are given to illustrate the application of the proposed methods.

Item Type: Article
DOI/Identification number: 10.1080/24725854.2016.1267881
Uncontrolled keywords: Maintenance, parameter uncertainty, portfolio theory, maintenance policy
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HA Statistics > HA33 Management Science
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Shaomin Wu
Date Deposited: 26 Nov 2016 08:32 UTC
Last Modified: 16 Feb 2021 13:39 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/59092 (The current URI for this page, for reference purposes)
Wu, Shaomin: https://orcid.org/0000-0001-9786-3213
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