World Applied Programming, Vol (4), Issue (1), January 2014.

1-7
ISSN: 2222-2510
2013 WAP journal. www.tijournals.com

Improving the Minimum of Long-term Expected Cost in

Fuzzy Renewal Process based on Fuzzy Simulation with
Halton Sequence
Behrouz Fathi-Vajargah

Sara Ghasemalipour

Department of Statistics, Faculty of

Mathematical Sciences,
University of Guilan, Iran.
fathi@guilan.ac.ir

Department of Statistics, Faculty of

Mathematical Sciences,
University of Guilan, Iran.
s.ghasemalipour@gmail.com

Abstract: One of the most popular maintenance policies is the age-dependent replacement policy. In this paper,
a fuzzy age dependent replacement policy is considered in which the lifetimes of components are as fuzzy
variables. To minimize the long-term expected cost per unit time, a programming model is formulated. Also, a
theorem for optimal solution existence is proposed. In order to solve the proposed model, a fuzzy simulation
technique is designed which estimates the expected value of the objective function. The simultaneous
perturbation stochastic approximation (SPSA) algorithm is used to determine a solution of this method that we
use the random numbers generated by Halton sequence. Halton sequence is quasi random number generator
that we improve the results with Halton sequence. Finally, a numerical example is presented to illustrate the
eectiveness of this technique and compare the results with rand function in Matlab.
Keywords: Fuzzy simulation, Maintenance policy, Replacement policy, SPSA algorithm, Halton sequences.
I.

INTRODUCTION

Failure of a system during operation may have costly or safety-related consequences. However, if a suitable maintenance
policy were to be adopted, the lifetime of the system could be extended considerably. Since the 1960s, there has been
much focus on reliability theory in an attempt to reduce failures and extend system lifetimes. Central to this theory is the
uncertainty of randomness, however, the environment in which real maintenance problems occur is often imprecise and
the parameters which inuence the decisions in the maintenance schedule cannot be assessed exactly. As a result of this,
fuzzy variables are more suitable for the characterization of system lifetimes.
Considerable work in the area of maintenance policies has been carried out. Zadeh [1-3] introduced the concepts of fuzzy
sets and possibility measures and outlined the generalized theory of uncertainty in a much broader perspective. Bag and
Samanta [4] dened strongly fuzzy convergent sequences, and provided xed point theorems for fuzzy non-expansive
mappings.
In this paper, we develop a method for the investigation of age-dependent replacement policies with fuzzy lifetimes.
Section 2 reviews some of the properties of fuzzy variables and in Section 3, we introduce the Halton sequence ,in
Section 4 the age-dependent replacement policy is considered, and a model that uses fuzzy lifetimes is proposed. A fuzzy
simulation technique is explored in Section 5, as it is almost impossible to dene an analytical method which can
compute the expected values of fuzzy variables. The SPSA algorithm based on fuzzy simulation with Halton sequence is
also proposed in order to discover an optimal solution, is discussed in section 6. Finally, a numerical example is given to
illustrate the proposed method. In section 7 compare the results when we use rand function instead of Halton sequence.
II.

FUZZY NUMBERS AND FUZZY VARIABLES

Some basic denitions of fuzzy numbers and fuzzy random variables are stated in this section.
II.1 Fuzzy numbers
If is some set, then a fuzzy subset A of is defined by its membership function, written by A (x ) , which
produces values in [0,1] for all

in . So,

A (x ) is a function mapping into [0,1] . When A (x ) is

always equal to one or zero we obtain a crisp (nonfuzzy) subset of .

B. Fathi-Vajargah and Sara Ghasemalipour. World Applied Programming, Vol (4), No (1), January 2014.

A general definition of fuzzy number may be found in ([5],[6]), however our fuzzy numbers will be almost,
fuzzy numbers. A triangular fuzzy number N is defined by three numbers a < b < c where the base of the
triangle is the interval [a , c] and its vertex is at x = b. Triangular fuzzy numbers will be written as N =
(a/b/c).

Alpha-cuts are slices through a fuzzy set producing regular (non-fuzzy) sets. If A is a fuzzy subset of some set , then
an -cut of A , written A[ ] is defined as
A[ ] { x | A ( x) },

(1)

for all ,0 1 .
A is called convex fuzzy set if A [x (1 ) y ] min{ A ( x), A ( y )} for [0,1].

Let A be a fuzzy set with membership function A (x ) and A[ ] {x | A ( x) }, Then

A ( x) sup 1 A ( x ),

(2)

1, x A
1 A ( x )
o.w.
o,

(3)

[ 0,1]

where

Fuzzy variable: Let be a nonempty set, and P () shows the power set of . In order to present the axiomatic
definition of possibility, Nahmias [7] and Liu [8] gave the following four axioms:
Axiom 1. Pos{} 1.
Axiom 2. Pos{} 0.
Axiom3. Pos{ i Ai } sup i Pos{ Ai } for any collection Ai in P () .
Axiom 4. Let i be nonempty sets on which Posi {.} satisfies the first three axioms, i=1,2,...,n, respectively, and
1 2 ... n . Then
(4)
Pos{A} sup Pos1{1} Pos2 { 2 } ... Pos n { n }
(1 ,..., n )A

for each A P ().

Definition 1. (Liu and Liu [9]). Let be a nonempty set, and P () the power set of . Then the set function Pos is
called a possibility measure, if it satisfies the first three axioms, and (, P ( ), Pos ) is called a possibility space.
Definition 2. Let (, P(), Pos ) be a possibility space, and A presents a set in P () . Then the necessity measure of A is
defined by:
Nec{A} 1 Pos{Ac }.
(5)
Definition 3. (Liu and Liu [9]). Let (, P(), Pos) be a possibility space, and A be a set in P () . Then the credibility
measure of A is defined by:
1
Cr{ A} ( Pos{ A} Nec{ A}).
(6)
2
Definition 4. A fuzzy variable is defined as a function from the possibility space (, P(), Pos ) to the set of real
numbers, and its membership function is derived by:
(r ) Pos{ | ( ) r}.
(7)
Definition 5. (Liu and Liu [9]). Let be a fuzzy variable on the possibility space (, P ( ), Pos ) . Then the expected
value E[ ] is defined by:

E[ ] Cr{ r}dr Cr{ r}dr ,

(8)

B. Fathi-Vajargah and Sara Ghasemalipour. World Applied Programming, Vol (4), No (1), January 2014.

provided that at least one of the two integrals is finite. In particular, if the fuzzy variable is positive (i.e.
Pos{ 0} 0 ), then
0

E[ ]

Cr{ r}dr.

(9)

III.

HALTON SEQUENCE

In statistics, Halton sequences are well-known quasi-random sequences, rst introduced in 1960 as an alternative to
pseudo-random number sequences. They were designed mainly for use in Monte Carlo simulations of integrals that do
not have a closed-form expression in order to achieve variance reduction. The original Halton sequence is constructed
according to a deterministic method that uses a prime number as its base. The one-dimensional Halton sequence based
on prime p( 2) lls the 0-1 space by dividing it into p segments, and by systematically lling in the empty spaces,
using cycles of length p that place one draw in each segment.
Formally, p (i) , the i-th element in the Halton sequence based on prime p, is obtained by taking the radical inverse of
integer i in base p by reection through the radical point, such that:
L

p (i) bl (i) p l 1 ,

(10)

l 0

where the values of b0 (i),..., bL (i ) are obtained by solving:

L

i bl (i ) p l ,

(11)

l 0

Even though standard Halton sequences perform very well in low dimensions, correlation problems have been noted
between sequences generated from higher primes. Of course, this indicates serious risk during estimation of high
dimensional integrals (e.g. spatial choice modeling, such as location or route).

IV.

FUZZY AGE-DEPENDENT REPLACEMENT POLICY

One of the most popular maintenance policies is the age-dependent replacement policy. Using this policy, a unit is
always replaced either at age T(where T is a constant) or following failure, whichever occurs rst.
Let the positive fuzzy variable k be the lifetime of the k-th renewed component, k = 1, 2, ..., respectively.
Further, we assume that the system is as new following a replacement such that the fuzzy variables k have an identical
membership function for k = 1, 2, ... Thus, the length of the k-th cycle is:
(12)
Lk (T ) k I ( T ) TI ( T ) ,
k

where I A = is the characteristic function of the event A, and dened as:

1, if enent A has occurred ,
1A
o.w.
o,

(13)

Moreover, the cost of the k-th cycle is:

C k (T ) c f I ( k T ) c p I ( k T ) ,

(14)

where c f and c p are the respective costs of replacement upon failure and age T. Usually, we assume that c f c p . If

c f c p , it is clear that we do not need to carry out any maintenance, rather another replacement when the system fails.
Dene S 0 0 and for all k 1

S k L1 (T ) L2 (T ) Lk (T ).

(15)

It follows that S k is the time of the k-th replacement. Let N (t ) be the number of replacements in time interval (0,t].
Then

B. Fathi-Vajargah and Sara Ghasemalipour. World Applied Programming, Vol (4), No (1), January 2014.

N (t ) maxk 0 S k t .

(16)

k 0

It is clear that N (t ) is a fuzzy variable, and its membership function is characterized by:

N (t ) (k ) Posk S k t S k 1.

(17)

We call N (t ) the fuzzy renewal variable.

Let C (t ) denote the total cost in (0,t], i.e.,
N (t )

C (t )

(T ).

(18)

k 1

Denition 6. The long-term expected cost per unit time under the age-dependent replacement policy is dened as:
The Expected Cost in (0, t ]
Ca (T ) lim
.
t
t
It is easy to see that
C a (T ) lim
t

E[C (t )]
.
t

(19)

(20)

Also, in [10], if Lk (T ), k 1 is a sequence of positive fuzzy interarrival times with the same membership function,
C k (T ) is the positive fuzzy reward with the same membership function associated with the k-th interarrival time Lk (T ) ,
then
cp
c f

C (T )
(21)
C a (T ) E 1
I (1 T ) ,
E I (1 T )
L
(
T
)

T
1

provided that E C1 (T ) is nite.

L1 (T )
The aim is to nd an optimal value T such that C a (T ) is minimized, and also one which can be described by the
following model:
C (T )
min E 1
,
L1 (T )
s.t .
T 0,

(22)

where

L1 (T ) 1I (1 T ) TI (1 T )

(23)

C1 (T ) c f I (1T ) c p I (1 T ) ,

(24)

is the length of the rst cycle, and

the cost of the rst cycle, and

1 the lifetime of the rst renewed component.

Theorem 1. Let C a (T ) be the long-term expected cost per unit time dened by denition 6, C a (T ) is a convex
function with respect to T, if

dC a (T ) d 2 C a (T )
d 2 Cr1 T
exist, and
,
0.
dT
dT 2
dT 2

Proof. see [11].

Corollary 1. Let C a (T ) be the long-term expected cost per unit time dened by denition 6. There is one optimal
solution T * which minimizes C a (T ) , if
Proof. see [11].

1 is an LR fuzzy variable.

Theorem 1 and corollary 1 give two sucient conditions for the existence of solutions of model (22). However, this
theorem cannot provide a method of nding such a solution. In the following section, a method will be proposed to solve
this.

B. Fathi-Vajargah and Sara Ghasemalipour. World Applied Programming, Vol (4), No (1), January 2014.

V.

FUZZY AGE-DEPENDENT REPLACEMENT POLICY

It is dicult to compute the membership function of C1 (T ) using an analytical method due to its complexity. This is
L1 (T )
because it is practically impossible to design an analytical method to compute E C1 (T ) . Liu and Liu [9] proposed a

L1 (T )
method to estimate the expected value of a fuzzy variable, and we also employ this method to estimate that value.
For any given time T, the fuzzy simulation for estimating E C1 (T ) is given as follows:

L1 (T )

1.

Calculate

k C1 (T ) ( xk ) for k = 1, 2, ..., n. It is dicult to compute k directly, and the following method

L1 ( T )

is proposed to solve this problem. Firstly, with Halton sequence, generate a sequence of { k } from such that

Pos{ k } 0 , k = 1, 2, ..., n, respectively. Thus, n real numbers

degree k (1 ( k )) . Let

1 ( k ) can be obtained with the membership

xk

c f I (1 ( k )T ) c p I (1 ( k ) T )

1 ( k ) I ( k T ) TI ( k )T )

(25)

If xi and x j have the same values, remove x j from the result sequence and set j max( i , j ) .
2.

Employ

k 1

xk wk to estimate

C (T ) , where
E 1

L1 (T )

w1

1
(1 max j max j ),
2
1 j
1 j

1
wk (max j max j max j max j ),
2 1 j k
1 j k
k j
k j

(26)

2 k n.

(27)

In this step, x1 x2 ... x n is needed, sorted in ascending order, and the sequence of k should be modied
respectively.
Theorem 1 and corollary 1 give two sucient conditions for the existence of solutions to model (22). This type of
problem can be resolved through the use of gradient-based algorithms. However, the relationship between the objective
function and the decision variables is not often detailed enough to ensure that the gradient of C a (T ) with respect to T
always exists. Here, a kind of recursive optimization algorithm based on an approximation to the gradient is used to
solve this.
The SPSA algorithm ([12,13]) is based on an easily implemented and highly ecient gradient approximation that relies
on measurements of the objective function. However, it does not rely on measurements of the gradient of the objective
function [14].
For nding the optimal value of T, we employ the following algorithm:
Step1. Initiation and parameter selection: Set the counter index k = 0, and randomly choose an initial value b T0 of T
(where T is the decision variable). Then, select nonnegative parameters

a, c, A, , and in the SPSA gain sequence a k /( A k 1) and c k c /( k 1) . Usually and are taken to
be 0.602 and 0.101, respectively. The parameters a, A and c can be determined by specic situations([12,13]).
Step2. Generation of simultaneous perturbation variables: Generate a sequence of random perturbation variables
{ k } with Halton sequence, which are independently generated from a zero-mean probability distribution satisfying the
conditions in [12]. Here, we randomly generate k in [1,1], and the distribution function of k is dened as follows:

B. Fathi-Vajargah and Sara Ghasemalipour. World Applied Programming, Vol (4), No (1), January 2014.

k 1,
0,
k 1
F ( k )
, 1 k 1,
2
k 1.
1,

(28)

Step 3. Loss function evaluation: Calculate the two measurements of objective functions Ca (Tk ck k ) and

C a (Tk ck k ) by fuzzy simulation as shown in last algorithm.

Step 4. Gradient approximation: Calculate the simultaneous perturbation approximation to the unknown gradient:

g k (Tk )

Ca (Tk c k k ) Ca (Tk c k k )
.
2c k k

(29)

Step 5. Update estimate: Set Tk 1 Tk ak g k (Tk ).

Step 6. Iteration or termination: Return to step 2 with k+1 replacing k. Terminate the algorithm and return Tk , if there is
little change in several successive iterations, or the maximum allowable number of iterations has been reached. Thus,
Tk is reported as the optimal value of T.
VI.

NUMERICAL RESULTS

Example. Let 1 be the lifetime of the rst component dened as 1 2 9 with ( 0 / 3 / 6) and

c f 200, c p 30 .

Then

the

long-term

expected

cost

per

unit

time

is

C (T )
C a (T ) E 1
.
L1 (T )

where

L1 (T ) 1 I (1 T ) TI (1 T ) and C1 (T ) 200 I (1 T ) 30 I (1 T ) , . In order to nd the optimal value T, the

following mathematical model is established:
min
s.t.

200I (1 T ) 30 I (1 T )
E
,
1 I (1 T ) TI (1 T )
T 0,

It is clear that 1 is also a LR fuzzy variable and that C a (T ) is a convex function (corollary 1), thus, there is at least one
optimal solution. The parameters are set such that: A = 100, c = 0.2, a = 0.602, = 0.101 and the proposed algorithm is
run with stochastic samples for 200 iterations. The results obtained using Halton sequence and Rand function in Matlab
are shown in Table 1.
It can be seen that using Halton sequence, the mean value T * 18.9682, C a (T * ) 6.0033 and C a (T * ) 5.1931 are
reported as the optimal solution with T * 18.8626 and using rand function, we have the mean value
T * 17.9352, C a (T * ) 7.3286 and C a (T * ) 6.02571 are reported as the optimal solution with T * 17.0172. That is,
the results with Halton sequence is better than the Rand function in Matlab.
Figuer 1 shows the solutions with dierent initial values.
I.

CONCLUSION

In this paper, the age-dependent replacement policy with fuzzy lifetimes was discussed. The systems in which
components lifetimes are characterized by independent nonnegative fuzzy variables with identical membership functions
and a model to describe this maintenance policy were presented.
Numerical results and their comparison demonstrate that if use Halton sequence instead of rand function, the results will
improve, T * increases and C a (T * ) decreases too. This is the advantage of this algorithm.

B. Fathi-Vajargah and Sara Ghasemalipour. World Applied Programming, Vol (4), No (1), January 2014.

Table 1. SPSA algorithm using Halton sequence and Rand function

Figure 1. The solutions with dierent initial values.

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