J.C.

Baltzer AG, Science Publishers

Group replacement policies for parallel systems whose
components have phase distributed failure times
5
Elmira Popova
a
and John G. Wilson
b
a
Graduate Program in Operations Research and Industrial Enginering,
Department of Mechanical Engineering, The University of Texas at Austin,
Austin, TX 78712, USA
E-mail: elmira@mail.utexas.edu
b
The Richard Ivey School of Business, The University of Western Ontario,
London, Ontario, Canada N6A 3K7
Consider a system of components operating in parallel. Downtime costs are incurred
when failed components are not repaired or replaced. There are also fixed, unit repair and
replacement costs associated with the system. The failure distributions of the components
are assumed to be identically distributed random variables. Results on calculating the expected
cost and variance per unit time of various group replacement policies will be provided.
Consideration of variance is important since, in many cases, practitioners wish not only to
achieve small expected cost but also to reduce variability from cycle to cycle. Phase distri-
butions allow for the modeling of a wide range failure time behavior. Closed-form results
are derived for the three major classes of group replacement policy (m-failure, T-age, and
(m, T)) when the underlying distribution is of phase type.
Keywords: maintenance, phase distributions, production planning, cost variability
AMS subject classification: Primary 90B25; Secondary 60K20, 62N05
1. Introduction
Over the past few decades, the complexity of industrial systems has grown enor-
mously. New industrial paradigms to ensure fast production, delivery, and profit have
been introduced. Just-in-time systems are among the most popular. Proper planning
of maintenance is important to minimize disruptions to the system. The literature on
reliability and maintainability of complex systems has evolved at a relatively slow
pace due to the mathematical complexity of such problems and limited computational
capabilities in the past.
5
This research has been partially supported by Grant #0003658-472 from the State of Texas Advanced
Technology Program, National Science Foundation Grant #DMC-8910378, and a Babcock Research Grant.
Annals of Operations Research 91(1999)163189 163
In this paper, a system of stochastically independent and identical components is
analyzed. Group replacement policies are investigated in detail. Group replacement
policies require the replacement or repair to as good as new of all components when-
ever any replacement or maintenance is performed. Their great advantages are that
they allow for economies of scale and are straightforward to implement.
There are three main classes of group replacement policy. A T-age policy (see,
e.g., Okumoto and Elsayed [11]) calls for replacement every T units of time. An m-
failure policy (see, e.g., Assaf and Shanthikumar [1] and Wilson and Benmerzouga
[17]) calls for replacing the system at the time of the mth failure. A policy that com-
bines features of both of the above classes is the (m, T) policy, which calls for replace-
ment at the time of the mth failure or at time T whichever occurs first (see Ritchken
and Wilson [13] and Nakagawa [8]).
The work referenced above assumes that the parameters of the underlying failure
time distributions are known with certainty. In practice, an engineers opinion of the
failure time distributions will change as data from the actual operation of the system
is obtained. There have been a number of recent results on adaptive Bayesian ap-
proaches to modeling this situation. For the case of exponential failure times, Wilson
and Benmerzouga [18] analyzed a policy class that called for replacement of the
system whenever the expected posterior value of the exponential parameter exceeded
a certain threshold. A more general form of this policy for the case of three machines
operating in parallel was considered in Wilson and Popova [19]. The case of a single
machine with a Weibull failure time is considered in Mazzuchi and Soyer [7].
Group replacement policies are popular in large part due to the ease with which
they can be implemented in a real production setting. There has been little work in the
literature on identifying which class of policies contains the optimal policy for a given
system. For a parallel system where the components have exponential i.i.d. failure
times, Assaf and Shanthikumar [1] showed that the class of m-failure policies is opti-
mal if one knows the value of the underlying exponential parameter. Wilson and
Popova [20] provide optimality results for the adaptive Bayesian case where the
parameter is continuously estimated from the failure time data. The case where the
system consists of only one component, but where the failure distribution is allowed
to be any continuous distribution whose parameters are continuously updated, is con-
sidered in Popova and Wilson [12].
All of the above approaches assume that one is only interested in finding a policy
that minimizes the expected cost per unit time. However, many managers and engi-
neers are often just as interested in the variability of cost from cycle to cycle. Indeed,
many might prefer a policy with a slightly higher expected cost per unit time if the
variability of these costs is small. In any case, knowledge of the variance associated
with a given policy provides useful information. Consequently, it is somewhat sur-
prising that most approaches in the literature ignore variance considerations. In this
paper, both expected cost and variance per unit time are explicitly modeled. Deriva-
tions of the quantities needed to compute the variance per unit time are provided in
164 E. Popova, J.G. Wilson Group replacement policies
the appendix. These derivations apply to any continuous failure distribution with finite
first and second moments. (A summary of this material and some examples can be
found in Wilson [16].)
One difficulty with much of the literature on group replacement policies is the
restrictive assumptions that must often be made regarding the failure time distribution.
A goal of this paper is to analyze the situation where the failure distribution can be
drawn from a very wide class. Phase distributions (see Neuts [9]) can be used to
approximate most existing continuous distributions (see, e.g., Bobbio and Cumani
[2], Johnson [5] and Malhotra and Reibman [6]). Consequently, an extensive analysis
for this case is provided.
Some research on the reliability of systems with phase distributed lifetimes has
recently appeared. The two unit priority redundant system with phase failure time and
underlying repair time of the non-priority unit is analyzed by Gururajan and Bhat [4],
where closed-form results for the reliability and availability of the system are provided.
Chakravarthy [3] considers the system of two machines in series with a buffer in
between. The machines have exponential failure and repair times and the processing
time is phase distributed. An algorithm for obtaining the steady-state probabilities
and some system performance measures is presented.
Consider the class of (m, T) policies. Assume that the failure distribution is con-
tinuous e.g. Weibull. Suppose the values for T are restricted to the set {T
1
, T
2
,, T
k
}.
Then a total of mk policies must be considered. Calculating the expected cost per unit
time for each of these policies involves many numerical integrations. If one also wishes
to compute the appropriate variance associated with each of these policies, then even
more integrations are required. However, as will be demonstrated in this paper, no
integrations are required if a phase distribution is used. One need only consider opera-
tions with matrices. However, if one is analysing a large system of components, the
dimension of the matrices necessary to compute the expected cost and variance for m
and (m, T) failure policies grows exponentially. Consequently, the size of the problem
one can consider depends on the computer power currently available. The class of
phase distributions is sufficiently wide to capture most reasonable failure behavior.
For instance, one can find phase distributions that approximate the Weibull distribution
(see, e.g., Johnson [5], Malhotra and Reibman [6]).
The applicability of group replacement models is greatly enhanced when the
failure distributions are realistic, managerially important quantities such as variances
are also calculated and results are relatively easy to obtain numerically. It is demon-
strated in this paper that all of these objectives are satisfied when phase distributions
are used to model failure times.
Notation and basic assumptions are provided in section 2. Since the focus of this
paper is on replacement policy issues, most of the phase-related derivations are sum-
marized in the appendix in an effort to reduce the algebraic complexity of the paper.
Section 3 contains preliminary results, while sections 4 and 5 contain explicit results
for the expected costs and variances associated with T-age and m-failure policies,
E. Popova, J.G. Wilson Group replacement policies 165
respectively. Section 6 contains an analysis of the more algebraically complex (m, T)-
policies.
2. Notation and assumptions
Assume that n independent components, or machines with identical failure time
distributions, are in operation. The system is working if at least one of the components
is operating. Each time group maintenance is performed, a fixed cost of c
o
is incurred.
The cost of either replacing or repairing a broken component to as good as new is
denoted by c
r
. The cost of either replacing or repairing a functioning component to as
good as new is denoted by c
s
. The quantity c
r
c
s
is assumed to be positive and can
be interpreted as the salvage value for a used but functioning machine. Each failed
machine results in a downtime cost of c
d
per unit time until the machine is repaired or
replaced.
The times of group replacement maintenance are renewal points for the system,
with the renewal cycle being the time between successive group maintenance opera-
tions. Let L and C, respectively, denote the random variables for the length of the
cycle and the total cost incurred during the cycle. The cost, C, incurred during the
repair cycle can be written as C = c
o
+ nc
s
+ (c
r
c
s
)N + c
d
D, where N is the total
number of components that fail during the cycle and D is the total down time incurred
during the cycle. The mean and variance of L will be denoted by and
2
, respectively.
Let C(t) denote the total cost incurred over all cycles between times 0 and t.
The goal of this paper is to develop explicit closed-form expressions that do not
require integration for the expected cost per unit time lim
t
t
1
E[C(t)] and the asymp-
totic variance per unit time lim
t
t
1
Var[C(t)]. It can be shown from renewal theory
that the following relationships hold:
lim
t

t
1
E[ C( t )] E[C] ,
lim
t

VarC( t ) {E[C]}
2

3
+
1
Var[ C] + 2{E[C]}
2

1
2
2
E[C L]E[C]
(see Ross [14] and Smith [15]).
Let F() and f () denote the cumulative distribution and density functions,
respectively, for the time to failure of a given machine. For 1 i m, let f
i
(x) denote
the density function of
i
(the time to the i th failure) and let p(i, x) denote the prob-
ability that exactly i out of n machines will have failed x time units into the cycle, i.e.
and
p( i , x)
n
i



_
,

[ F( x)]
i
[1 F( x)]
n i
. (3)
f
i
( x)
n!
( i 1 ) ! ( n i) !
f ( x)[ F( x)]
i
[1 F( x)]
n i
( 2 )
(1)
166 E. Popova, J.G. Wilson Group replacement policies
Explicit results for the terms in (1) are derived in the appendix. These results are
expressed in terms of F(), f (), f
i
(), and p(,). Note that these results apply to any
failure time distribution whose first and second moments are finite.
For the remainder of the paper it will be assumed that the failure time is a phase
distributed random variable with representation (, A), i.e.
F( x) 1 e
Ax
e, ( 4 )
where e
t
= (1, 1,,1) R
r
and A is an r r stable matrix with non-negative off-
diagonal entries, non-positive row sums and negative diagonal entries. The initial
probability vector is given by (,
m+1
) with e +
m+1
= 1. One interpretation for
this distribution is that it represents the time to absorption of a Markov process defined
on the states labeled 1, 2,, r + 1, where the states 1,, r are transient and the state
r + 1 is absorbing. (The number r is the dimension of the distribution representation.)
The infinitesimal generator for this process can be written as
A A
0
0 0



1
]
1
,
where Ae + A
0
= 0 and the initial probability vector of the process is given by (, d
r +1
),
where e + d
r +1
= 1 (d
r +1
= 0 in our analysis). The density function is given by
f ( x ) e
Ax
A
0
, for x > 0 (5)
(see Neuts [9, p. 44] for details).
Let I denote the r r identity matrix, let I
k
denote the r
k
r
k
identity matrix and
let e
k
denote the r
k
column vector that consists entirely of 1s. Let X
i
, 1 i n, denote
the i.i.d. times to failure of the n components. Then, min(X
1
, X
2
) has a phase distri-
bution with representation (
2
, A
2
), where
2
, A
2
A I + I A and
denotes the Kronecker product (see Neuts [9] for details). Apply this recursively to
see that min(X
1
,, X
k
) for k {1, 2,, n} has a phase distribution with representation
(
k
, A
k
), where

for k 1,

k 1
otherwise;

'

A
k

A for k 1,
A
k 1
I
k 1
A otherwise.

'

The function 1 [1 F(x)]
k
is the distribution function of min(X
1
,, X
k
), which
is a phase distribution with representation (
k
, A
k
). Consequently,
1 [1 F( x)]
k
1
k
e
A
k
x
e
k
, for k 2. ( 6 )
Expand F( x)
i 1
[1 (1 F( x))]
i 1
in (2) and (3) with the binomial theorem
and use (4), (5) and (6) to see that f
i
(x) and p(i, x) can be written as follows:
E. Popova, J.G. Wilson Group replacement policies 167
Example. In order to approximate a Weibull distribution with a shape parameter equal
to c and a location parameter equal to b, Malhotra and Reibman [6] suggest solving
the following two equations for r and :
f
i
( x ) i
n
i


_
,
e
Ax
A
0
i 1
k


_
,
( 1)
i 1 k

n k 1
e
A
n k1
x
e
n k 1
,
k 0
i 1

p(i , x )
n
i


_
,
i
k


_
,
( 1)
i k

n k
e
A
n k
x
e
n k
.
k 0
i

(7)
(8)
r
1
b
c + 1
c


_
,
,
r (r + 1)
2
b
2

c + 2
c


_
,
.
(9)
(If the above produces a nonintegral solution for r, then choose the closest integer
to the solution.) Then use an Erlang distribution with parameters r and to approxi-
mate the given Weibull.
Let = (1, 0, 0, 0) and
A
0 0
0 0
0 0
0 0 0






1
]
1
1
1
1
.
Then X has an Erlang distribution with parameters r = 4 and , and a distribution
function given by F(x) = 1 e
Ax
e.
From (9), this distribution can be used to approximate a Weibull distribution
with parameters c = 2 and b = 4.51
1
.
3. Preliminary results
In order to simplify the algebraic exposition, a number of results and definitions
that will be needed in the rest of the paper are collected in this section. A number of
identities involving F() and f () will be required and are listed below:
(10)
(11)
0
T


(
[1 F( t )]
k
dt
k
[ e
A
k
T
I
k
] A
k
1
e
k
, for k 1,n,
0

(
[1 F( t )]
k
dt
k
A
k
1
e
k
, for k 1,n,
168 E. Popova, J.G. Wilson Group replacement policies
(see the appendix). For i j n, define S
1
( j, T), S
2
( j, T), S
3
( j, T) as follows:
0
x


(
y f ( y) d y A
1
e
Ax
e xe
Ax
e A
1
e, for x > 0,
0
x


(
F(t )d t x A
1
e
Ax
e + A
1
e, for x > 0,
0
T


(
( T t )
2
f (t )d t 2T( A
1
e) + 2( A
1
)
2
e 2( A
1
)
2
e
AT
e + T
2
(12)
(13)
(14)
S
1
( j , T)
0
T


(
x
2
f ( x) [1 F( x)]
j
d x,
S
2
( j , T)
0
T


(
x f ( x) [A
1
e
Ax
e][1 F( x)]
j
d x,
S
3
( j , T)
0
T


(
x f ( x) [ 1 F( x)]
j
d x.
(15)
(16)
(17)
Then, as is shown in the appendix, the following identities hold:
S
1
( j , T) {T
2

j +1
e
A
j +1
T
A
j + 1
1
2T
j +1
e
A
j +1
T
( A
j + 1
1
)
2
+ 2
j + 1
[e
A
j +1
T
I
j +1
] [A
j + 1
1
]
3
}( e
j
A
0
),
S
2
( j , T) {T[A
1

j + 1
]e
A
j +2
T
A
j + 2
1
A
1

j + 1
[ e
A
j+2
T
I
j + 2
] (A
j + 2
1
)
2
}( e
j +1
A
0
),
S
3
( j , T) {T
j +1
e
A
j+1
T
A
j + 1
1

j +1
[e
A
j +1
T
I
j +1
] (A
j +1
1
)
2
}( e
j
A
0
).
(18)
(19)
(20)
On letting T go to infinity in (18) to (20) and noting that for any substochastic
matrix, A, lim
x
e
Ax
= 0, the following can be obtained:
S
1
( j , ) 2
j + 1
( A
j +1
1
)
3
( e
j
A
0
),
S
2
( j , ) (A
1

j +1
) (A
j + 2
1
)
2
( e
j +1
A
0
),
S
3
( j , )
j +1
( A
j + 1
1
)
2
( e
j
A
0
).
(21)
(22)
(23)
Now some identities involving F(), f () and f
i
() are needed. For 1 i n,
define U
1
(i, T) and U
2
(i, T) by
E. Popova, J.G. Wilson Group replacement policies 169
respectively, and U
3
(i, T) and U
4
(i, T) by
U
1
( i, T)
0
T


(
x f
i
( x)
0
x


(
y f ( y) d y

'




;



{F( x)}
1
d x ( 24)
and
U
2
(i , T)
0
T


(
x
2
f
i
( x) d x, ( 25)
U
3
( i , T)
0
T


(
x f
i
( x) K
i
( x)
0
x


(
y f ( y)d y

'




;



{F( x )}
1
d x ( 26)
and
U
4
( i, T)
0
T


(
x
2
f
i
( x) K
i
( x )d x, ( 27)
respectively, where
K
i
( x ) [1 F( x)]
( n i )
j m i
n i

[ F( T) F( x)]
j
[1 F( T )]
n i j
. ( 28)
It is shown in the appendix that U
1
(i, T), U
2
(i, T), U
3
(i, T) and U
4
(i, T) can be written
in terms of S
1
( , T), S
2
( , T) and S
3
( , T):
(29)
U
2
(i , T) i
n
i


_
,
k 0
i 1

i 1
k


_
,
( 1)
i k 1
S
1
( n k 1, T), (30)
(31)
U
1
( i , T) i
n
i


_
,
k 0
i 1

'



i 1
k


_
,
( 1)
i k 1
S
1
( n k 1, T)

k 0
i 2

i 2
k


_
,
( 1)
i k 2
[S
1
( n k 2, T ) S
2
( n k 2, T)
+ (A
1
e) S
3
( n k 2, T )]

;

,
U
3
( i, T) i
n
i


_
,
k 0
i 1

j m i
n i

i 2
k


_
,
n i
j


_
,
j
l


_
,
( 1)
i 2 k
l 0
j

(
n + l i j
e
A
n +l i j
T
e
n + l i j
) {S
2
(i + j k l 2, T )
( A
1
e)S
3
(i + j k l 2, T ) S
1
( i + j k l 1, T )},
U
4
(i , T) i
n
i


_
,
k 0
i 1

j m i
n i

i 1
k


_
,
n i
j


_
,
j
l


_
,
( 1)
i k
l 0
j

(
n + l i j
e
A
n +l i j
T
e
n + l i j
) S
1
(i + j k l , T ). (32)
170 E. Popova, J.G. Wilson Group replacement policies
4. Expected cost and variance per unit time for T-age replacement policies
A T-age replacement policy calls for replacement every T-units of time. The
expected cost per unit time equals
T
1
c
0
+ nc
s
+ ( c
r
c
s
)n F( T ) + nc
d
0
T


(
F( t ) dt

'




;



(see Okumoto and Elsayed [11]). Using (13) in the above expression, the expected
cost per unit time associated with a T-age replacement policy can be seen to be equal
to
T
1
{c
0
+ nc
r
+ n(c
s
c
r
) (e
AT
e) + nc
d
[ T + A
1
e A
1
e
AT
e]}. ( 33)
The asymptotic variance per unit time can be written as
T
1
n(c
r
c
s
)
2
F( T ) [ 1 F(T )] + 2nc
d
( c
r
c
s
) [ 1 F(T)]
0
T


(
F(t )d t

'



+ nc
d
2
0
T


(
( T t )
2
f (t )d t nc
d
2
0
T


(
F(t )d t




1
]
1
1
2

;



(see the appendix). Use (4), (13) and (14) in the above to obtain a result not involving
integration.
For T-age policies, the expressions for expected cost and variance per unit time
only involve matrices of dimension r.
Example (continued). Suppose three components are operating in parallel. Let the
cost parameters c
0
, c
s
, c
r
and c
d
equal 70, 10, 50 and 30, respectively. Assume that
equals 1.5. Then the expected cost of a T-policy equals
(34)
e
1.5T
[ 33.75T
2
+ 120T
1
+ 90] 20T
1
+ 90,
while the variance per unit time equals
e
1.5T
[ 2025T
3
4050T
2
8100T 7200]
+ e
3T
[ 379.69T
5
+ 2025T
3
+ 2700T
2
2700T 4800T
1
7200] + 4800T
1
.
Figure 1 contains plots of the expected cost and variance per unit time as a
function of T. The 2.3-age replacement policy has an expected cost of 80.15, mini-
mizes the expected cost per unit time and has an associated variance of 1367. Because
the calculation of expected costs and variances is now a computationally easy matter,
the decision maker can also consider other approaches. For instance, the decision
maker might decide that the 2% increase in expected cost in going from a 2.3-age to
a 1.8-age replacement policy is worth the 19% decrease in variance.
E. Popova, J.G. Wilson Group replacement policies 171
Figure 1. Expected cost and variance per unit time for T-age policy;
n = 3, c
0
= 70, c
s
= 10, c
r
= 50, c
d
= 30.
5. m-failure policies
In this section, expressions will be provided that enable computation of the
expected cost per unit time and asymptotic variance associated with any given m-
failure policy.
5.1. Expected cost per unit time
Use (3), (48), (53) and (11) to see that the expected length of the cycle, , and
the expected downtime incurred during the cycle, E[D] , can be written as follows:

i 0
m 1

n
i


_
,
( 1)
i k +1
i
k


_
,

n k
A
n k
1
e
n k
,
k 0
i

E[ D] i
n
i


_
,
( 1)
i k +1
i
k


_
,

n k
A
n k
1
e
n k
.
k 0
i

i 1
m 1

The expected cost of a cycle is given by the following:

E[C] c
0
+ mc
r
+ ( n m)c
s
+ c
d
E[ D]. ( 37)
The mean asymptotic cost E[C] is obtained from (35), (36) and (37).
(35)
(36)
172 E. Popova, J.G. Wilson Group replacement policies

2
E[ L
2
]
2
U
2
( m, )
2
.
E[ D] E[ D
2
] 0,
E[ CL] [c
0
+ mc
r
+ (n m) c
s
],
Var[ C] 0.
E[ CL] [c
0
+ mc
r
+ (n m) c
s
] + (m 1)c
d
0

(
0
x


(
F(t )d t

'




;



[ F( x)]
1
x f
m
( x) d x
5.2. The asymptotic variance associated with m-failure policies
Note that, for m-failure policies, Var[C] = c
d
2
{E[D
2
] E[D]
2
}. Thus, from (1),
the asymptotic variance per unit time associated with an m-failure policy can be calcu-
lated once expressions for
2
, E[CL], E[D
2
], , E[D] and E[C] are available. Identities
for , E[D] and E[C] have been provided in (35), (36) and (37). Expressions for
2
,
E[C] and E[D]
2
will now be provided. Use (25) and (49) to obtain the following:
For m = 1,
In what follows, the more difficult case where m 2 is considered. The expres-
sion E[CL] can be written as follows:
(38)
(39)
(see the appendix, equation (52)). Use (2) and (13) to see that the integral on the right-
hand side can be written as
0

(
x{x A
1
e
Ax
e + A
1
e}m
n
m


_
,
f ( x) F( x )
m 2
[1 F( x)]
n m
d x

0

(
x{x A
1
e
Ax
e + A
1
e}m
n
m


_
,
f ( x )

m 2
k


_
,
k 0
m 2

( 1)
m 2 k
[1 F( x)]
n 2 k
d x.
E[ CL] [c
0
mc
r
+ (n m) c
s
]
+ c
d
m( m 1)
n
m


_
,
i 0
m 2

m 2
i


_
,
( 1)
m 2 i
[S
1
( n 2 i , )
S
2
( n 2 i , ) + (A
1
e) S
3
( n i 2, )].
Now use (21), (22) and (23) to obtain the result
(40)
From (67) in the appendix, the following can be obtained:
E. Popova, J.G. Wilson Group replacement policies 173
E[ D
2
]
0

(
x
2
f
i
( x) + ( m 1)
2
f
m
( x)
i 1
m1

'




;



d x
+ 2
0

(
x ( i 1) f
i
( x) ( m 1)
2
f
m
( x)
i 2
m1

'




;



[ F( x)]
1
0
x


(
y f ( y)d y

'




;



.
E[ D
2
] U
2
( i, ) + ( m 1)
2
U
2
( m, )
i 1
m1

+ 2 U
1
( i, ) 2 (m 1)
2
U
1
( m, ).
i 2
m1

A
0 0
0 0
0 0
0 0 0






1
]
1
1
1
1
.
Recall definitions (24) and (25) and apply (29) and (30) in (41) to obtain the result
Example (continued). Suppose that n = 3 and the failure distribution is phase type
with representation =(1, 0, 0, 0) and
(41)
(42)
Then, , E[D],
2
, E[CL] and E[D
2
] can be calculated from (35), (36), (38), (40) and
(42), respectively (for m = 1, apply (39)). For n = 3, c
0
= 70, c
s
= 10, c
r
= 50 and
c
d
= 30 and = 1.5, table 1 contains the expected cost and variance per unit time for
Table 1
Expected cost and variance per unit time for 1, 2
and 3-failure policy for n = 3, c
0
= 70, c
s
= 10,
c
r
= 50 and c
d
= 30 and the failure distribution is
phase with representation given in the example.
m
Expected cost Asymptotic
per unit time variance
1 85.73 2177
2 81.45 1368
3 84.77 1059
1, 2 and 3-failure policies. The 2-failure policy has the smallest expected cost per unit
time (81.45) and its variance equals 1368.
174 E. Popova, J.G. Wilson Group replacement policies
6. (m, T)-policies
In this section, assume that an (m, T)-policy (i.e. replace at the time of the mth
failure or time T, whichever occurs first) is being followed. First, an expression for
the expected cost per unit time will be provided. Then explicit results will be provided
for each of the terms in (1) which is the expression for the asymptotic variance per
unit time.
6.1. Expected cost per unit time
From (3), (8) and (54),
E[ N] i
n
i


_
,
( 1)
i k
i
k


_
,

n k
e
A
n k
T
e
n k
k 0
i

i 0
m 1

+ m
n
i


_
,
( 1)
i k
i
k


_
,

n k
e
A
n k
T
e
n k
.
k 0
i

i m
n

n
i


_
,
( 1)
i k
i
k


_
,

n k
A
n k
1
[ e
A
n k
T
I
n k
]e
n k
,
k 0
i

i 0
m1

( 44)
From (8), (10) and (48) the expected cycle length can be written as
(43)
while the expected downtime is given by
E[ D] j
n
j


_
,
( 1)
j k

n k
A
n k
1
[e
A
n k
T
I
n k
]e
n k
.
k 0
j

j 1
m 1

( 45)
The expected cost for a cycle is given by
E[ C] c
0
+ nc
s
+ (c
r
c
s
) E[ N] + c
d
E[ D]. ( 46)
E[ L
2
]
0
T


(
t
2
f
m
( t ) dt + T
2
p(i, T )
i 0
m1

U
2
( m, T) + T
2
n
i


_
,
( 1)
i k
i
k


_
,

n k
e
A
n k
T
e
n k
,
k 0
i

i 0
m 1

6.2. The asymptotic variance associated with (m, T) policies

In order to calculate (1), it is necessary to calculate , E[D], E[C],
2
, E[CL]
and Var[C]. The terms , E[D], E[C] are provided in (44), (45) and (46), respectively.
An expression for
2
= E[L
2
]
2
follows from (44) and the identity
where the last equality follows from (2), (8) and (25).
E. Popova, J.G. Wilson Group replacement policies 175
E[ CL] ( c
r
c
s
) x f
1
( x) d x
0
T


(

0
T


(
( c
r
c
s
) x
n
1


_
,
f ( x ) [ 1 F( x)]
n 1
( c
r
c
s
)
n
1


_
,
S
3
( n 1, T ),
For m = 1, E[D] = E[D
2
] = 0,
and Var[C] = (c
r
c
s
)
2
{E[N
2
] E[N]
2
}.
In what follows, the more difficult case where m 2 is considered. From (52) in
the appendix: Use (2), 3) and (13), apply (18), (19) and (20) in (52) to get
Calculation of Var[C] is somewhat more complicated than the other calculations.
First note that
Expressions for E[N] and E[D] are provided by (43) and (45), respectively. Condition
on the number of failures at time T and use (8) to obtain
E[ CL] m
2
(c
r
c
s
)
n
m


_
,
( 1)
m 1 k
m 1
k


_
,
S
3
(n 1 k, T ) ( A
1
e)
k 0
m 1

+ c
d
m( m 1)
n
m


_
,
( 1)
m 2 k
m 2
k


_
,
{S
1
( n 2 k, T )
k 0
m 2

S
2
( n 2 k, T ) + (A
1
e)S
3
(n 2 k, T ) }
+ T (c
r
c
s
) i
n
i


_
,
( 1)
i
i
k


_
,

n k
e
A
n k
T
e
n k
k 0
i

i 1
m 1

+ Tc
d
i
n
i


_
,
( 1)
i k 1
i
k


_
,

n k
e
A
n k
T
e
n k
k 0
i

i 1
m 1

{T A
1
e
AT
e + A
1
e} + (c
0
+ nc
s
).
Var[ C] ( c
r
c
s
)
2
{E[ N
2
] E[ N]
2
} + 2c
d
(c
r
c
s
) {E[ DN] E[ D]E[ N]}
+ c
d
2
{E[ D
2
] E[ D]
2
}.
176 E. Popova, J.G. Wilson Group replacement policies
E[ N
2
] i
2
p( i , T) + m
2
p(i , T )
i m
n

i 0
m 1

i
2
n
i


_
,
i
k


_
,
( 1)
i k

n k
e
A
n k
T
e
n k
k 0
i

i 0
m 1

+ m
2
n
i


_
,
i
k


_
,
( 1)
i k

n k
e
A
n k
T
e
n k
.
k 0
i

i 0
m 1

E[ DN]
0
T


(
F(t )d t

'




;



i
2
n
i


_
,
i 1
k


_
,
( 1)
i k 1
[1 F( T )]
n k 1
k 0
i 1

i 0
m 1

+
i m
n

mj
n
i


_
,
i
j


_
,
k 0
j

( 1)
k + l
j
k


_
,
i j
l


_
,
l 0
i j

j 1
m 1

0
T


(
[1 F(t )]
n k l

'




;



[1 F(T )]
l
.
E[ DN]
{T
1
e
AT
e + A
1
e} i
2
n
i


_
,
( 1)
i 1 k
i 1
k


_
,

nk 1
e
A
n k 1
T
e
n k 1
k 0
i1

i 0
m1

Use expression (61) from the appendix to obtain

Apply (8), (10) and (13) to get
+
i m
n

mj
n
i


_
,
i
j


_
,
k 0
j

( 1)
k + l
j
k


_
,
i j
l


_
,
l 0
i j

j 1
m 1

n k l
[ e
A
n k l
T
I
n k l
]e
n k l
(
l
e
A
l
T
e
l
).
E[ D
2
] E[ I
{
m
T}
D
2
] + E[ I
{
m
> T }
D
2
] . ( 47)
Thus, only the term E[D
2
] remains to be calculated. Note that
Thus, E[D
2
] can be computed by computing the two terms on the right-hand side of
(47). Use (13) and (14) in (62) from the appendix to obtain
E[ I
{
m
> T}
D
2
]
j
n
j


_
,
( 1)
j 1 k
j 1
k


_
,
[
n k 1
e
A
n k 1
T
e
n k 1
]
k 0
j 1

j 1
m1

E. Popova, J.G. Wilson Group replacement policies 177

[ T
2
+ 2T (A
1
e) + 2( A
1
)
2
e 2( A
1
)
2
e
AT
e]
+ j ( j 1)
n
j


_
,
( 1)
j 2 k
j 2
k


_
,
[
n k 2
e
A
n k2
T
e
n k 2
]
k 0
j 2

j 1
m 1

[ T A
1
e
AT
e + A
1
e]
2
.
E[ I
{
m
T}
D
2
] 2 U
3
(i , T ) ( m 1)
2
U
1
( m, T )
i 2
m 1

+ U
4
(i , T ) + ( m 1)
2
U
2
( m, T ).
i 1
m 1

From (67) in the appendix: apply (29), (30), (31) and (32) to get
The above expressions are algebraically complex. However, for a given phase distri-
bution, all reduce to tractable closed form expressions.
Example (continued). For n = 3, = 1.5 and c
o
= 70, c
s
= 10, c
r
= 50, c
d
= 30, figures
2 and 3, respectively, contain the expected costs and variance per unit time for (1, T),
(2, T) and (3, T) failure policies as a function of T. The (2, 2.5) policy has the smallest
expected cost per unit time (79.97) and its associated variance is 1479.
7. Conclusion
Group maintenance policies form an important part of the reliability literature.
However, the analyst has often been restricted to a very narrow (and often inappro-
priate) range of distributions. Also, given the computational complexity of the prob-
lems, sensitivity analyses where failure time and cost parameters can be varied have
been problematic. By allowing the analyst to choose an arbitrary phase distribution,
the applicability of group maintenance approaches is greatly increased. A contribution
of this paper has been to provide explicit closed form results for the major policy
classes when the failure time has a phase distribution. These results, which in general
appear quite algebraically daunting, are computationally relatively easy for any given
problem. This demonstrates once again that, as predicted by Neuts [9], use of phase
distributions can be of great practical utility. Sensitivity analyses are now very easy to
conduct. Unlike most of the literature, the variability associated with group main-
tenance policies has been explicitly modeled. (The results provided for calculating
the asymptotic variability per unit time apply to general failure time distributions as
long as the first two moments are finite.) The closed-form results for the asymptotic
variance allow the analyst to consider criteria other than simply that of minimizing
expected cost per unit time. Indeed, in many applied situations, an analyst might
be willing to tolerate an increased expected cost in order to reduce variability. In
178 E. Popova, J.G. Wilson Group replacement policies
Figure 2. Expected cost per unit time for (1, T), (2, T) and (3, T) failure policies;
n = 3, c
o
= 70, c
s
= 10, c
r
= 50, c
d
= 30.
Figure 3. Asymptotic variance per unit time for (1, T), (2, T) and (3, T) failure policies;
n = 3, c
o
= 70, c
s
= 10, c
r
= 50, c
d
= 30.
E. Popova, J.G. Wilson Group replacement policies 179
any case, even if choosing the policy that minimizes expected cost is the analysts
objective, knowledge of the associated variability provides important managerial infor-
mation.
Appendix
This appendix is divided into two parts. In section A.1, expressions for calcu-
lating (1) are derived. Section A.2 contains the phase results listed in section 3.
A.1. Calculating asymptotic cost and variance per unit time
Explicit expressions for the terms in (1) required to compute the asymptotic
expected cost and variance per unit time associated with (m, T) policies will now be
derived. (Similar expressions for m-policies can be obtained by letting T in the
appropriate places.) The results of this section are general and apply to any continuous
failure distribution with finite first and second moments. (A summary of these results
together with some examples can be found in Wilson [16].)
A.1.1. Calculating ,
2
, E[CL] and E[C] for (m, T) policies
Expressions for ,
2
, E[CL] and E[C] are provided by (48), (49), (52), and (55),
respectively.
Expressions for and
2
follow by noting that

2
E[{min(T , t
m
)}
2
]
2

0
T


(
t
2
f
m
( t )dt + T
2
P(i , T )
0
T


(
p( i, t )d t
i 0
m 1

'




;



2
.
i 0
m 1

y E[ X| X < y] y
0
y


(
P[ X > t | X < y]dt [ F( y)]
1
0
y


(
F(t )d t.

0
T


(
P[min(T ,
m
) > t ]d t
0
T


(
p( i , t ) dt
i 0
m 1

( 48)
and
In order to calculate E[CL], it is first necessary to find expressions for E[C|L = T]
and E[C|L = x], where x < T. Suppose that replacement occurs at x < T, i.e. replace-
ment occurs at the mth failure. The downtime incurred over the cycle is the sum of the
downtimes for each of the first m 1 failures. For any y > 0, the expected downtime
for an individual machine given that it has failed before time y and is replaced at time
y is given by
(49)
Thus, for x < T,
180 E. Popova, J.G. Wilson Group replacement policies

E[C| L x] c
0
+ mc
r
+ ( n m) c
s
+ c
d
( m 1 ) [F( x)]
1
0
x


(
F( t ) dt , ( 50)

E[ C| L T ] c
0
+ nc
s
0( c
r
c
s
) E[ N
f
( T )|
m
T ]
+ c
d
P[ N
f
(T ) i |
m
T] i [ F( T )]
1
0
T


(
F(t )d t,
i 1
m 1

where the first three terms on the right-hand side represent the fixed and unit costs of
replacing the system with a new one, while the last term is the expected downtime
cost. Now suppose that the conditioning information is that the cycle ends at time T.
Let N
f
(t) denote the number of machines that have failed by time T. Then
where the first three terms represent the fixed and unit costs of replacing the system
with a new one, while the last term is the expected downtime cost. Use (50) and (51)
and the expression for given by (48) to obtain the following:
Let N and D, respectively, denote the random variables corresponding to the num-
ber of failures and the downtime accumulated during a cycle. On noting that
E[min(T,
j
)] =
0
T
P[
j
> t]dt =
0
T
{ p( i , t )}dt
i 0
m 1
, it can be seen that the expected
downtime in a cycle is given by the following:
(51)
E[ D] jE[min( T,
j +1
) min( T,
j
)]
j 1
m 1

0
T


(
j p( j , t ) dt .
j 1
m 1

(52)
(53)
+ T i ( c
r
c
s
) + ic
d
[ F( x)]
1
( T )
0
T


(
F( t ) dt

'




;



p( i , T)
i 1
m 1

+ ( c
o
+ nc
s
)
0
T


(
p(i , t ) dt .
i 0
m 1

E[ CL]


(
x E[C|L x ]d G( x)

0
T


(
x E[C|L x ] f
m
( x)d x + T E[ C| L T ]P[
m
T ]

0
T


(
m( c
r
c
s
) + c
d
( m 1 ) [F( x)]
1
0
x


(
F( t ) dt

'




;



x f
m
( x )d x
E. Popova, J.G. Wilson Group replacement policies 181
E[ N] i p(i , T) + m p( i, T ).
j m
n

j 1
m 1

( 54)
E[ C] c
o
+ nc
s
+ (c
r
c
s
) E[ N] + c
d
E[ D]
c
o
+ c
s
+ ( c
r
c
s
) i p( i , T ) + m( v
r
c
s
) p( i, T )
j m
n

j 1
m 1

+ c
d
0
T


(
j p( j , t )d t.
j 1
m 1

Var[ C] Var[ c
o
nc
s
+ (c
r
c
s
) N + c
d
D]
( c
r
c
s
)
2
{E[ N
2
] E[ N]
2
}
+ 2c
d
( c
r
c
s
) {E[ DN] E[ D] E[ N]}
+ c
d
2
{E[ I
{
m
T}
D
2
] + E[ I
{
m
> T }
D
2
]} c
d
2
{E[ D]
2
}.
Condition on the number of failures at time t to obtain the expected number of
failures in a cycle:
Using (53) and (54), the expected cost incurred during a cycle can be written as
follows:
A.1.2. Calculating Var[C] for (m, T) policies
Now an expression for Var[C] will be provided. The variance of the cost of one
cycle is given by
(55)
(56)
Expressions for E[D] and E[N] are provided by (53) and (54), respectively.
Expressions for E[N
2
], E[DN], E[I
{
m
T}
D
2
] and E[I
{
m
>T}
D
2
] will now be provided.
These together with (53) and (54) can then be inserted into (56) for explicit evaluation
of Var[C].
Condition on the number of failures at time T to obtain
E[ N
2
] i
2
p( i , T) + m
2
p(i , T ).
i m
n

i 0
m 1

( 57)

E[ DN] iE[ D| N
f
(T ) i| p(i , T ) + mE[ D| N
f
(T) i| p(i , T ).
i m
n

i 0
m 1

( 5 8 )
The random variable N
f
(T) equals the actual number of failures if the system is
replaced at time T. If the system is replaced before time T, N
f
, (T) represents the number
of failures that would have occurred up to time T if the system had not been replaced.
Condition on the value of this random variable to obtain
From (52), for i < m,
182 E. Popova, J.G. Wilson Group replacement policies

E[ D|N
f
(T ) i] i[ F( T )]
1
0
T


(
F(t )d t. ( 59)

E[ D|N
f
(T ) i] jE[min( T,
j +1
) min
j 1
m 1

(T ,
j
)| N
f
(T ) i ]

0
T


(
j P[ N
f
( t ) j |N
f
(T ) i ]d t
j 1
m 1

0
T


(
j
i
j


_
,
[ F(T )]
i
[ F( t )]
j
[ F( T ) F( t )]
i j
d t.
j 1
m 1

Now consider the case where i m. Conditioned on N

f
(T) = i, where i m, one has a
system of i independent machines. The (conditional) distribution function of the failure
time of one of these i machines equals [F(T)]
1
F() since the only information about
the machine is that it would have failed before time T. So, in order to compute the
expected downtime conditioned on N
f
(T) = i, one can act as if the system consists of
i (instead of n) machines with i.i.d. failure times with distribution function equal to
[F(T)]
1
F(). Thus, for this system, the probability of j failures by time t is given by
(
j
i
)[ F( T )
1
F(t )]
j
[1 F(T )
1
F( t)]
i j
.
Use this and proceed as in (53) to obtain
Use (59) and (60) in (58) to obtain
E[ DN] [ F(T)]
1
0
T


(
F( t ) dt i
2
p(i , T )
i 0
m1

+ m
n
i


_
,
i m
n

0
T


(
i
j


_
,
[1 F(t )]
n i
[ F( t )]
j
[ F( T ) F(t )]
i j
dt
j 1
m1

'




;



.
(60)
(61)
It only remains to find expressions for E[I
{
m
>T}
D
2
] and E[I
{
m
T}
D
2
]. Suppose it is
known that exactly j < m machines have failed by time T. Then, conditioned on this
information, D has the same distribution as {
j
i =1
(T Y
i
)}, where Y
1
,, Y
j
are i.i.d.
random variables with density equal to [F(T)]
1
f (), the density of the time to failure,
Y, of a single machine given that it fails by time T. Use this to obtain

E[ I
{
m
> T}
D
2
] E[ D
2
| N
f
( T) j ] p( j , T )
j 1
m 1

E. Popova, J.G. Wilson Group replacement policies 183

where the last equality follows since the i.i.d. nature of the Y
i
implies that
E[(T Y
i
)
2
] = E[(T Y)
2
] and E[(T Y
i
)(T Y
j
)] = E{[T Y]}
2
, for i j. Use the re-
sults that E[(T Y)
2
] =
0
T
(T y)
2
F(T)
1
f ( y)dy and E[T Y] =
0
T
F(T)
1
F( y)dy and
simplify to obtain
E ( T Y
i
)
i 1
j

'




;



2




1
]
1
1
p( j , T )
j 1
m 1

+ { jE[( T Y )
2
] + j ( j 1 ) (E[T Y])
2
}p( j , T ),
j 1
m 1

E[ I
{
m
> T}
D
2
] F( T)
1
0
T


(
( T y)
2
f ( y) d y

'




;



j p( j , T )
j 1
m 1

+ F( T )
1
0
T


(
F( t ) dt

'




;



2
j ( j 1) p( j , T )
j 1
m 1

'




;



.
E[ I
{
m
T}
D
2
] E I
{
m
T}
(
m

i
)
i 1
m 1

'




;



2




1
]
1
1
Suppose the mth failure occurs before time T; then D (
m

i
)
i 1
m 1
. Use
this to obtain

E[ I
{
m
T }

i
2
]
0
T


(
x
2
E[ I
{
m
T }
|
i
x] f
i
( x) d x

0
T


(
x
2
P[ N
f
(T ) m| N
f
( x) i] f
i
( x) d x.
For 2 i m,
Conditioned on the event {N
f
(x) = i}, there are n i functioning machines at time x,
each of whose lifetime distribution function equals [1 F(x)]
1
F(). For the event
{N
f
(T) m} to occur, at least m i of these must fail by time T, i.e.
(62)

E I
{
n
T }




( m 1)
2

m
2
+
i
2
2 (m 1)
m
(
m 1
+ L+
1
)
i 1
m 1

'



+ 2
i
(
i 1
+ L+
1
)
i 2
m 1

;



1
]
1
1
.
(63)
184 E. Popova, J.G. Wilson Group replacement policies
E[ I
{
m
T }

i
2
]
0
T


(
x
2
K
i
( x) f
i
( x) d x, ( 65)

E[ I
{
m
T }

i
(
i 1
+ L+
1
)]
0
T


(
x K
i
( x) E[
i 1
+ L+
1
|
1
x] f
i
( x) d x

0
T


(
x K
i
( x) (i 1)
0
x


(
y[ F( x)]
1
f ( y)d y

'




;



f
i
( x) d x.

P[ N
f
( T ) m| N
f
( x ) i ]

j m i
n i

n i
j


_
,
{P[ X T | X > x ]}
j
{P[ X > T |X > x]}
n i j
[1 F( x )]
( n i )
j m i
n i

n i
j


_
,
[ F( T ) F( x)]
j
[1 F(T )]
n i j
.
Let K
i
(x) denote (64), the probability that at least m machines will have failed by
time T given that exactly i have failed by time x. Thus,
for 2 i m. Note that conditioned on the events
i
= x and {
m
T}, the quantity

i 1
+

+
1
is the sum of i 1 independent failure times, each with density function
equal to F(x)
1
f (). Consequently,
Use (65) and (66) in (63) to obtain
E[ I
{
m
T}
D
2
]
0
T


(
x
2
f
i
( x) K
i
( x ) + ( m 1)
2
f
m
( x)
i 1
m 1

'




;



d x
+ 2
0
T


(
x ( i 1) f
i
( x) K
i
( x) ( m 1)
2
f
m
( x)
i 2
m 1

'




;



[ F( x)]
1
0
x


(
y f ( y) d y

'




;



d x.
A.2. Derivation of expressions given in section 3
The following properties of the Kronecker product will be useful in the sequel.
Let P, Q, U, V, W, Z be rectangular matrices such that the ordinary matrix product
PQU and VWZ are defined; then
(64)
(66)
(67)
E. Popova, J.G. Wilson Group replacement policies 185
0
x


(
e
At
e d t A
1
( e
Ax
I )e
S
1
( j , T )
0
T


(
x
2
(
j
e
A
j
x
e
j
) (e
Ax
A
0
) d x

0
T


(
x
2
(
j
e
A
j
x
e
j
) (e
Ax
A
0
)d x

0
T


(
x
2
(
j
) (e
A
j
x
e
Ax
) (e
j
A
0
) d x,
( PQU) (V W Z) ( P V) (Q W) (U Z). ( 68)
e
( PI
Q
) x + ( I
P
Q) x
e
Px
e
Qx
, ( 69)
1 [1 F( t )]
k
1
k
e
A
k
t
e
k
, for k 2 ( 70)
0
x


(
tA
1
e
At
e dt x( A
1
)
2
e
Ax
e ( A
1
)
3
( e
Ax
I ) e,
0
x


(
A
1
e
At
e dt ( A
1
)
2
( e
Ax
I ) e,
For any square matrices P and Q,
where I
Q
and I
P
are identity matrices of the same dimension as Q and P, respectively
(see Neuts [10, p. 373]).
A.2.1. Derivation of (10)(14)
The function 1 [1 F(t)]
k
is the distribution function of min(X
1
,, X
k
) which
is a phase distribution with representation (
k
, A
k
). Consequently,
and
0
T
[1 F(t)]
k
dt =
0
T

k
e
A
k
t
e
k
dt, from which (10) and (11) follow.
Note that, for x > 0,
simplify and use integration by parts to obtain (12), (13) and (14).
A.2.2. Derivation of (18)(20)
Use (6) and (5) and apply (68) and (69) to obtain
186 E. Popova, J.G. Wilson Group replacement policies
S
1
( j , T )
0
T


(
x
2

j +1
e
A
j+1
x
d x

'




;



( e
j
A
0
),
where the second equality follows since the product of scalars is, trivially, a Kronecker
product. Now apply (68), (69) and the definition of
j +1
and A
j +1
to obtain
from which (18) follows on integrating by parts twice.
Use (6), (5) and apply (68) and (69) to obtain
S
2
( j , T )
0
T


(
x( e
Ax
A
0
) (A
1
e
Ax
e) (
j
e
A
j
x
e
j
)d x

0
T


(
x( e
Ax
A
0
) [ (A
1

j
)e
A
j +1
x
e
j + 1
]d x,
where the last equality follows by applying (68) and using the definition of
j +1
and
A
j +1
. Again, apply (68) and the definition of A
j +1
and e
j +1
to obtain
S
2
( j , T )
0
T


(
x (A
1

j
e
A
j+1
x
e
j +1
) ( e
Ax
A
0
)d x

0
T


(
( A
1

j
) ( e
A
j +1
x
e
Ax
)d x( e
j +1
A
0
)

0
T


(
[A
1

j +1
]e
A
j +2
x
d x( e
j +1
A
0
)),
from which (19) follows on applying integration by parts.
Again, use (6), (5), (68) and (69) to obtain
S
3
( j , T )
0
T


(
x(
j
e
A
j
x
e
j
) (e
Ax
A
0
)d x

0
T


(
x
j + 1
e
A
j+1
x
d x

'




;



( e
j
A
0
).
Integration by parts of the above expression yields (20).
E. Popova, J.G. Wilson Group replacement policies 187
A.2.3. Derivation of (29)(32)
Use the binomial theorem to expand [F(x)]
i 1
= {1 [1 F(x)]}
i 1
and [F(T)
F(x)]
i
= {[1 F(x)] [1 F(T)]}
i
in (2) and (28), respectively. Insert the resulting
expressions for f
i
(x) and K
i
(x) into the definition for U
3
(i, T) and U
4
(i, T), gather terms
and recall the definition of S
1
( , ), S
2
( , ) and S
3
( , ) to obtain the results given
in (31) and (32).
Similarly, (29) and (30) follow by inserting f
i
(x) into (24) and (25), expanding
[F(x)]
i 1
using the binomial theorem and recalling the definition of S
1
( , ), S
2
( , )
and S
3
( , ).
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