A risk-averse stochastic approximation of the optimal allocation of active redundancies to coherent systems

Abstract

This article deals with the active redundancy allocation to coherent systems. We extend the optimal allocation policy uniformly maximizing the redundant system reliability function to that maximizing the mean lower semi-deviation of the redundant system lifetime, and then we propose a stochastic algorithm to approximate the optimal redundancy allocation policy through maximizing the mean lower semi-deviation of the system lifetime. Some numerical examples are presented to illustrate the algorithm as well.

Keywords:

• Acceptability functional
• Lower semi-deviation
• Reliability function
• Sample average approximation
• Stochastic order

MATHEMATICAL SUBJECT CLASSIFICATION:

• Primary 90B25
• Secondary 90C15, 60E15

Acknowledgments

Authors would like to address their thanks to Professor Darinka Dentcheva at Stevens Institute of Technology for the insightful discussions on some technical issues and the anonymous reviewer for his/her valuable comments to have essentially improved the presentation of this manuscript.