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 nonnegative off
diagonal entries, nonpositive 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 Tage replacement policies
A Tage replacement policy calls for replacement every Tunits 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 Tage 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 Tage 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 Tpolicy 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 2.3age 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 2.3age to
a 1.8age 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 Tage policy;
n = 3, c
0
= 70, c
s
= 10, c
r
= 50, c
d
= 30.
5. mfailure 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
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 mfailure policies
Note that, for mfailure policies, Var[C] = c
d
2
{E[D
2
] E[D]
2
}. Thus, from (1),
the asymptotic variance per unit time associated with an mfailure 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 3failure 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 3failure policies. The 2failure 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
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
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 righthand 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
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 closedform 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 mpolicies 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[CL = T]
and E[CL = 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 righthand 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[CL x ]d G( x)
0
T
(
x E[CL 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[ DN
f
(T ) i] i[ F( T )]
1
0
T
(
F(t )d t. ( 59)
E[ DN
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
+ 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
'
;
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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