OPTIMAL STOPPING BY MEANS OF POINT PROCESS OBSERVATIONS WITH APPLICATIONS IN RELIABILITY

	OPTIMAL STOPPING BY MEANS OF POINT PROCESS OBSERVATIONS WITH APPLICATIONS IN RELIABILITY
	JENSEN, U; HSU, GH
刊名	MATHEMATICS OF OPERATIONS RESEARCH
	1993-08-01
卷号	18 期号:3 页码:645-657
ISSN号	0364-765X
英文摘要	A problem in reliability is considered in which only partial information is available. Some technical system is assumed to work in one of N unobservable states. The changes of the states are driven by a Markov process with known characteristics. The system fails from time to time according to a point process with a failure rate (intensity) which depends on the unobservable state. After failure a minimal repair is carried out immediately which leaves the state of the system unchanged. It is investigated under which conditions there exists an optimal time to stop operating the system with respect to some reward functional. The only available information is given by the failure point process observations. An explicit solution to this optimal stopping problem with partial information is derived. The problem is solved in the martingale framework. Results for monotone stopping problems are used and a generalization of the so-called monotone case is considered. The well-known disruption or disorder or detection problem is a special case (N = 2) and will be examined in the given context.
WOS研究方向	Operations Research & Management Science ; Mathematics
语种	英语
出版者	INST OPERATIONS RESEARCH MANAGEMENT SCIENCES
WOS记录号	WOS:A1993LT62800011
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/28433]
专题	中国科学院数学与系统科学研究院
通讯作者	JENSEN, U
作者单位	CHINESE ACAD SCI,INST APPL MATH,BEIJING 100080,PEOPLES R CHINA
推荐引用方式 GB/T 7714	JENSEN, U,HSU, GH. OPTIMAL STOPPING BY MEANS OF POINT PROCESS OBSERVATIONS WITH APPLICATIONS IN RELIABILITY[J]. MATHEMATICS OF OPERATIONS RESEARCH,1993,18(3):645-657.
APA	JENSEN, U,&HSU, GH.(1993).OPTIMAL STOPPING BY MEANS OF POINT PROCESS OBSERVATIONS WITH APPLICATIONS IN RELIABILITY.MATHEMATICS OF OPERATIONS RESEARCH,18(3),645-657.
MLA	JENSEN, U,et al."OPTIMAL STOPPING BY MEANS OF POINT PROCESS OBSERVATIONS WITH APPLICATIONS IN RELIABILITY".MATHEMATICS OF OPERATIONS RESEARCH 18.3(1993):645-657.