Exponential Approximations of Geometri

Sums for Reliability

Jean-Louis Bon

Universite des S ien es et Te hnologies de Lille, Eudil,

Cite S ientique,
59655 Villeneuve d'As q
Fran e
jean-louis.boneudil.fr

Abstra t

Many papers are devoted to analysis of geometri sums (also alled geometri onvolutions).
Various elds of applied probability are on erned. We are here interested in the interpretation
as the distribution of sojourn time in a perfe t state in a repairable system. The lifetime is
de omposed in su essive i.i.d. y les, the number of y les having a geometri distribution.
It is usual to approximate the lifetime by the random exponential variable with the same
mean. We propose to bound the error improving some lassi al results.
1

From system reliability to geometri sum

A large and highly reliable system spends the most fun tioning part in the perfe t state where all omponents are fun tioning. Indeed, during the lifetime, many failures of omponents an o ur, but, owing
to the fa t that repair times are relatively very small, the umulative time spent without failure an be
seen as a reasonable approximation of the system lifetime. Su h approximations are popular be ause of
their pessimisti aspe t. They are based on the regenerative property of the pro ess, (see, for example,
Solovyev (1983)). It is not ne essary to des ribe more pre isely the system. All what we need is the
de omposition of the lifetime as a geometri sum of i.i.d. positive random variables. It is learly the ase
when the dynami of the system until its failure is a su ession of independent y les and the number 
of y les is geometri .
P ( = k ) = qpk ; (q = 1 p):
The probability q is nothing else that the probability of an unsu essful restoration during a y le. The
lenght of the ith y le is a random ontinuous variable Xi with distribution F . All these random variables
are supposed independent. Some renements an be made to take into a ount the parti ularity of the
last y le but the most di ult problem is the evaluation of the geometri sum distribution
1

( ) = P(

W x


X
k=1

Xi

 x) = q

1
X
k=1

pk

()

Fk x

(1)

where Fk is the k-fold onvolution of F . Su h geometri sums appear naturally in a variety of appli ations
and therefore have been in the fo us of numerous works (see Kalashnikov (1997) and referen es therein).
A losed form for W is usually not available and we have to get some approximations. In reliability
theory, for very small values of q, the following approximation is often used


(2)
( ) :
This approximation is justied by the Renyi Theorem whi h gives the distribution onvergen e when q
is vanishing for ea h xed x. But the exponential approximation has a good a ura y in other ases and
therefore is very popular among engineers. The goal of next se tion is to propose a spe i approa h of
the exponential geometri sum approximation in a similar way of the Chen-Stein method.
( ) = exp

W x

qx

E X

A Stein equation for exponential lifetimes

All what follows is based on the next hara terisation of the exponential distribution. Let T be a random
variable having the distribution fun tion W and the reliability W (x) = 1 W (x).

Lemma 1

A random positive variable

has the exponential distribution E if and only if

h0 T

( ( )

( )) = 0
(3)
for any non-negative fun tion h satisfying the ondition jh0 j < 1 on [0; 1) and su h that h(0) = 0.
From this, one an see that the quantity E (h(T ) h0(T )) an be viewed as a measure of loseness
between W and E . Let us fo use on the dieren e at the point a  0 and denote:

(a) = E (a) W (a):
(4)
The analogous of the Stein equation in our ontext onsists in the next equation in h.
E (h(T ) h0 (T )) =
(a):
Lemma 2 Let x a  0, there exists a fun tion ha su h that,

(a) = E (ha (T ) h0a(T )):
(5)
E h T

is valid for any ontinuous positive random variable

T:

a

The fun tion may be equal to :

( ) = e  (e u;a 1)
(6)
It is interesting to note how this fun tion appears.
Z 1
Z 1
a
a

(a) = W (a) e = (1fuag e )dW (u) = (h(u) h0(u))dW (u):
It is su ient to get h as a solution of the dierential equation


h0 (u) h(u) + 1fu>ag e a = 0:
The usefullness of this result learly appears in the ase where no expli it form of the distribution W of
T is available but a spe ial stru ture of T permits to estimate (or approximate)
(a). It is the ase when
T is a geometri sum of i.i.d. random variables Xi ,
ha u

min(


X
k=1

Xi :

(7)

Let note that W has a renewal property W = qF + pF  W whi h an be seen in terms of variables (see
Kalashnikov (1997)). Let =d denote the equality in distribution.
Lemma 3

Let

be the Bernouilli random variable:

Then there exist T 0 su h that


= 01;;

where

with probability p,
with probability q .

(8)

=d X + T 0;

(9)

and T 0 have the same distribution and all these involved random variables are independent.

Clearly, from the Wald Theorem, E (T ) = E ( )E (X ) = 1= and the distribution W of T is onverging
to E when q is vanishing. In 1990, Brown gived some bounds to evaluate this onvergen e. Others
works were following in the same dire tion as Bon and Kalashnikov (1999), Cai (1999) , Willmot and Lin
(2001),


). In the next se tion, we propose to start from the Stein equation to get new bounds.

Bounds of geometri sums

Our aim is to get e ient estimates of the dieren e
(a) = E (a) W (a); for a xed a > 0. The
method onsists to mix the previous renewal relation and the hara terisation of the lemma 1. First we
propose an upper bound for
:
Let X1 ; X2 ; ::: be i.i.d. positive random variables with the same distribution as
geometri random variable independent from Xi with

Theorem 1

( = k) = q(1

P 

The geometri sum

P

P
n=1 Xn


X
n=1

Xn

q k

and

 1:

is bounded with
!

u  1

q e qu

e qu

+ (1

) ( ) + 2q E (X )

e qu F u

(10)

here the fun tion ha is denoted h. In view to use a lo al expansion of the fun tion h, we propose to
fo use on V = qT instead of T . It is only a hange of s ale and we have a similar renewal property. We
start from the de omposition
d
h(V ) h0 (V ) = h(qX + V 0 ) h0 (V );
(11)
with evident notations. Now,
E (h(V ) h0 (V )) = E (h(qX + V 0 ) h0 (V ))
= E (qh(qX ) + ph(qX + V 0 ) h0 (V ))
= E (qh(qX ) + p(h(V 0 + qX ) h(V )) + p(h(V ) h0(V )) qh0 (V ))
= qE (h(qX )) + pE (h(V + qX ) h(V )) + pE (h(V ) h0(V )) qE (h0(V )): (12)
Grouping the terms gives
p
(13)
E (h(V ) h0 (V )) = E (h(qX )) +  E (h(V + qX ) h(V )) E (h0 (V )):
q
Now let fo use on the expression
A

  pq E (h(V + qX )

( )) :

(14)

h V

Let split the expe tation between the events fV > ag and fV < ag
In the rst ase E (h(V + qX ) h(V ))1fV >ag
= 0 and Eh0(1fV >agV ) = 0. It follows that A = 0 on
[a; +1); and
E (h(V ) h0 (V )1fV >ag ) = E (h(qX )):
In the other ase V  a; we have to onsider X~ = min(X; (a V )=q). From the Taylor expansion, there
exists a fun tion  with values in [0; 1 su h that

~ !
p
q X
p 
0
00
~
~
~
(15)
A =  E h(V + q X ) h(V ) =  E h (V )q X + h (V + q X )
q
q
2 :
Therefore, from h00 (V + qX~ )  , we get
2

 pEh0 (V )X~ +  2pq X~

2

whi h an be rewritten as

(16)
( ) ~ h0(V ) +  p q m2 + E (h0 (V )):
After some manipulations we obtain various bounds for the reliability. The theorem gives one of them.
This expression of the bound an be hanged with the known parameters. For example, only the
moments of F may be known and a majorisation of F (u) must be used. It is useful to appre iate the
omparison with the well-known bounds of Brown (1990)
!

X
1
 q
P
Xn > u  e qu=p +
(17)
p
2p E (X )
n
This omparison has been studied in various situations and the renement is not uniform. Numeri al
simulations have given a signi ate improving for a large varian e of F .
In the same way, lower bounds an be obtained and we propose here one of them.
A

E

 p h0 V X

=1

Theorem 2

Let

X1 ; X2 ; :::
P


X
n=1

and

as above. The geometri sum may be bounded with

!
Xn > u

 1p

e qu

( ) ( ) + qe

2 qE X 2 F u

qu F u
:

()

(18)

Simulations have been made to appre iate the a ura y. As for the upper bound, omparing to the Brown
bound (1990),
!



X
q
(u +  E (X ) 1)
(19)
P
Xn > u  exp
p
2

n=1

shows that the improving is not uniform. Nevertheless, these new bounds are useful as we an estimate
their terms more a urately if ne essary, espe ially, for small values of u.
Referen es

Bon, J.L. and Kalashnikov, V. V.(1999). Bounds for Geometri Sums used for Evaluation of Reliability
of Regenerative Models. J. Math. S ien es 93 (4), 486{510.
Brown, M. (1990). Error bounds for exponential approximations of geometri onvolutions. Ann.
Proba. 18 , 1388{1402.
Cai, M. (1999). A unied approa h to the study of tail probabilities of ompound distributions
J.Appl. Prob. 36 , 1058{1073.
Kalashnikov, V. (1997). Geometri Sums: Bounds for Rare Events with Appli ations. Kluwer
A ademi Publishers.
Solovyev A.D.,(1983). Mathemati al Problems in relliability theory. ed. Gnedenko, Radio i Sviaz (in
russian).
Willmot, G., Lin, X. (2001). Lundberg Approximations for Compound Distributions with Insuran e
Appli ations. Springer, New York.