Related papers: Optimal stopping for the predictive maintenance of…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
This paper deals with the problem of preventive maintenance (PM) scheduling of pipelines subject to external corrosion defects. The preventive maintenance strategy involves an inspection step at some epoch, together with a repair schedule.…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
We present a numerical method to compute an optimal maintenance date for the test case of the heated hold-up tank. The system consists of a tank containing a fluid whose level is controlled by three components: two inlet pumps and one…
In this paper we study the problem of designing periodic orbits for a special class of hybrid systems, namely mechanical systems with underactuated continuous dynamics and impulse events. We approach the problem by means of optimal control.…
Maintenance optimization has been extensively studied in the past decades. However, most of the existing maintenance models focus on single-component systems and are not applicable for complex systems consisting of multiple components, due…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
Considering the close interaction between spare parts logistics and maintenance planning, this paper presents a model for joint optimization of multi-location spare parts supply chain and condition-based maintenance under predictive and…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
Engineered and infrastructure systems deteriorate (e.g., loss capacity) as a result of adverse environmental or external conditions. Modeling deterioration is essential to define optimum design strategies and inspection and maintenance…
Implementing an appropriate maintenance policy would help us to have a more reliable system and reduce the total costs. In this paper, a dynamic maintenance plan is proposed for repairable multi-component systems, where each component is…
We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location---inter-arrival time Markov…
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…
We consider many-body problems in classical mechanics where a wide range of time scales limits what can be computed. We apply the method of optimal prediction to obtain equations which are easier to solve numerically. We demonstrate by…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
An optimization model has been formulated and solved to determine on-condition failure thresholds and inspection intervals for multi-component systems with each component experiencing multiple failure processes due to simultaneous exposure…
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…
In many real-life scenarios, system failure depends on dynamic stress-strength interference, where strength degrades and stress accumulates concurrently over time. In this paper, we consider the problem of finding an optimal replacement…