Modelling and estimating the reliability of stochastic dynamical systems with Markovian switching |
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Authors: | Julien Chiquet Mohamed Eid |
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Affiliation: | a GI/LMAC, Université de Technologie de Compiègne, BP 20529, 60205 Compiègne cedex, France b DEN/DM2S/SERMA, Commissariat à l’Énergie Atomiquede Saclay, F-9119 Gif sur Yvette cedex, France |
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Abstract: | In this paper, a general framework for the modelling of physical phenomena with stochastic dynamical systems switched by jump Markov processes is given. A methodology of the associated estimation procedures is provided. A particular attention is paid to the estimation of the underlying jump process, which is not observable.As an application, a stochastic model is proposed for the fatigue crack growth problem. The estimation of the model parameters is made on a real crack growth data set. We are thus able to simulate some crack growth paths which are used for reliability analysis through Monte Carlo techniques. |
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Keywords: | Stochastic dynamical system Jump Markov process Estimation of processes Fatigue crack growth |
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