Beruflich Dokumente
Kultur Dokumente
Jørn Vatn
NTNU
1
Introduction
Markov analysis is used to model systems which have
many different states
These states range from “perfect function” to a total fault
state
The migration between the different states may often be
described by a so-called Markov-model
The possible transitions between the states may further be
described by a Markov diagram
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Purpose
Markov analysis is well suited for deciding reliability
characteristics of a system
Especially the method is well suited for small systems with
complicated maintenance strategies
In a Markov analysis the following topics will be of interest
Estimating the average time the system is in each state. These
numbers might further form a basis for economic considerations.
Estimating how frequent the system in average “visits” the various
states. This information might further be used to estimate the need
for spare parts, and maintenance personnel.
Estimate the mean time until the system enters one specific state,
for example a critical state.
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Markov Analysis procedure
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Make a sketch of the system
Pump system wit active pump and a spare pump in
standby
Active
pump
Standby
pump
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Definition of system states
x1 = state of active pump
x2 = state of standby pump
1 if component i is functioning
�
xi = �
0 if component i is in a fault state
�
System state Component state Comments
xS x1 x2
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Markov state space diagram
The circles represent the system states, and the arrows
represent the transition rates between the different system
states
The Markov diagram and the description of states
represent the total qualitative description of the system
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Quantitative assessment
9
�a00 a01 L a0 r �
� a1r �
Transition matrix �
a10 a11 L
�
A=� �
�M aij �
The indexing starts on 0, and moves � �
to r, e.g. there are r +1 system states �ar 0 a r1 L arr �
� �
Each cell in the matrix has two indexes,
where the first (row index) represent the
”from” state, whereas the second
(column index) represent the “to” state.
The cells represent transition rates from one state to
another
aij is thus the transition rate from state i to state j
The diagonal elements are a kind of ”dummy”-elements,
which are filled in at the end, and shall fulfil the condition
that all cells in a row adds up to zero
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Example transition matrix: (From , To )
0 1 2
0 �-B 0 B �
A= �
1 �2 -2 - 1 1 ��
2 �
�0 1 -1 �
�
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State probabilities
P(t) A = d P(t)/d t
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Steady state probabilities
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The steady state solution
In the long run when the system has stabilized we must
have that d P(t)/d t = 0, hence
PA = 0
This system of equations is over-determined, hence we
may delete one column, and replace it with the fact that
P0+ P1+…+Pr = 1
Hence, we have
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The steady state solution
P A1 = b
where
�a00 a01 L 1�
�a10 a11 L 1�
A1 = � �
�M �
� �
�a r 0 ar1 L 1�
and
b = [0,0, …,0,1]
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Example
�- B 0 1�
[ P0 P1 P2 ] �2 -2 - 1 1�= [ 0 0 1]
� �
�
�0 1 1�
�
which gives
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P0 =
(2 B )1 (2 1 ) B
B 1
P1 =
( 2 B ) 1 ( 2 1 ) B
B ( 2 1 )
P2 =
( 2 B )1 ( 2 1 ) B
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Numerical solution
17
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Visiting frequencies
Often we are interested in evaluating how many times the
system enters the various states, i.e. the visiting
frequencies
The visiting frequency for state j is denoted j, and could
be obtained by:
j = -Pjajj
From our example we obtain the “system failure rate”
B 12
0 = - P0a00 =
(2 B )1 (2 1 ) B
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Time dependent solution
Up to now we have investigated the steady state situation
In some situations we also want to investigate the time
dependent solution, i.e. the probability that the system is in
e.g. state 0 at time t
We now let Pi(t) be the probability that the system is in
state i at time t
The time dependent solution may be found by:
P(t) A = d P(t)/d t
Which could be solved by Laplace methods, or numerical
methods
For numerical methods we apply Markov.xls
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Spare parts – Simple model
Assume a spare part regime where there is only one
spare in the stock
Upon a demand (with demand rate ) a new spare is
ordered
The intensity of arrival of a new spare is = 1/ MTA
(Mean Time to Arrival)
�- �
A=�
� - �
�
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Spare parts 2 spares in stock
Assume a spare part regime where there are two
spares in the stock
Upon a demand (with demand rate ) a new spare is
ordered
The intensity of arrival of a new spares is = 1/ MTA
(Mean Time to Arrival) independent of how many in
order 0 1 2
0 �- 0 �
A= �
1 � - - ��
2 �
�0 - �
�
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