Limiting State Probabilities

Matrix Multiplication Method:

1
Up

2
Down
1

t .
t
stochastic transitional probability matrix, P = 1 1 - .
2 .
t 1 - .
t

1
For limiting state probabilities evaluation, P = 1 1 -
t terms disappear during computation
2
limiting state probability vector, = [P1 P2]
Using the equation P = ,
[P1 P2]

1-
= [P1 P2]

1-

The two matrix equations are:

) = P1
P1.(1 - ) + P2.(

or - P1 + P2 = 0

P1.(
) + P2.(1 - ) = P2

or

P1 - P2 = 0

1-

If t was used in the P matrix, then the two equations would be:
- t P1 + t P2 = 0
t P1 - t P2 = 0
since t is finite & non-zero, it is cancelled out resulting:
- P1 + P2 = 0
P1 - P2 = 0

The same equations as the case where

t was not used in the P matrix

These are identical equations that can be written as:

P2

.. Eq. 1

P1 + P2 = 1

.. Eq. 2

P1 =
The other equation is

Solving Equations 1 and 2,

P1 = A =

P2 = U =

Limiting State Probabilities

System with two identical repairable components

2

1
Both
Up

2
1 Up
1 Down

3
Both
Down

State Space Diagram

1

stochastic transitional
probability matrix,

1 1-2
2

0
P = 2 1-
-

3 0
2
1-2

2 .
t 1 - .
t

limiting state probability vector, = [P1 P2 P3]

Using the equation P = ,
[P1

1-2
2

0
P2 P3] 1-
-

0
2
1-2

2 .
t 1 - .
t

P1.(1 - 2
) + P2.(
) = P1
P2.
+ P3.(1 - 2
) = P3

= [P1 P2 P3]

or - 2
P1 + P2 = 0 Eq. 1
or P2 - 2
P3 = 0 Eq. 2
P1 + P2 + P3 = 1 Eq. 3

Solving Equations 1, 2 and 3,

2
P1 =
,
( + )2

2
P2 =
( + )2

and

2
P3 =
( + )2

Limiting State Probabilities

Alternate Method:
2

1
Both
Up

2
1 Up
1 Down

Both
Down

State Space Diagram

Availability of each component,

A=

Unavailability of each component,

U=

Using Binomial Expansion,

P1 = P(Both Up)

=A

P2 = P(1 Up, 1 Down) = 2AU

P3 = P(Both Down)

=U

2
=
( + )2

2
( + )2

2
=
( + )2

Limiting State Probabilities

Frequency & Duration

1
Failure rate, =
m

Repair rate, =

1
Up

1
r

Pup =

2
Down

Single Repairable Component

m
m
1/
f
=
=
=
=
+
m+r
T
1/f

where, T = mean time between failures

f = freq of encountering the Up state = Pup .
Similarly,

f = freq of encountering the Dn state = PDn .

In a 2-state system, fup = fDn

i.e. Pup . = PDn .

Frequency of encountering State i

= P(being in State i) x (rate of departure from State i)
= P(not being in State i) x (rate of entry from State i)
This concept can be used to deduce limiting state probabilities
when the transition rates are known
Frequency Balance Approach

Limiting State Probabilities

Frequency Balance Approach

1
Up

2
Down

Single Repairable Component

Frequency of encountering State 1

= P(being in State 1) x (rate of departure from State 1)
= P(not being in State 1) x (rate of entry from State 1)
= P1.
= P2.
.. Eq. 1
Similarly, Frequency of encountering State 2
= P1.
.. Eq. 2
= P2.
Eq. 1 and 2 are the same equations. The other equation is
P1 + P2 = 1 .. Eq. 3
Solving Equations 1 and 3,

mean duration in State i, mi =

m1 = MTTF =

P1 =

and P2 =
+
+

1
rate of departure from State i

m2 = MTTR =

Limiting State Probabilities

System with two identical repairable components

2

1
Both
Up

1 Up
1 Down

3
Both
Down

State Space Diagram

Using Frequency Balance Approach:
Frequency of encountering State 1,
= P2.

P1.2

Eq. 1

Frequency of encountering State 2,

) = P1.2
+ P3.2
Eq. 2
P2.( +
Frequency of encountering State 3,
= P2.

P3.2

Eq. 3

Only two of the above 3 equations are independent.

The other equation is,

P1 + P2 + P3 = 1

Solving Equations 1, 3 and 4,

2
2
2
P1 =
, P2 =
and P3 =
( + )2
( + )2
( + )2

... Eq. 4

Reliability/Availability Evaluation
in Repairable Systems
2

1
Both
Up

2
1 Up
1 Down

3
Both
Down

parallel system with 2 identical repairable components

Availability: probability of finding the system in the up state

A = P1 + P2 = 1 U

2
Unavailability, U = P3 =
( + )2
Reliability:
- probability of staying out of the failed state
- failure states absorbing states
- time dependent probability
- limiting state reliability = 0
- MTTF (average time before the system enters the
absorbing state) can also be calculated
o differential equations method
o truncated matrix method

Parallel System with 2 Non-repairable Components

1
Both
Up

2
1 Up
1 Down

3
Both
Down

The differential equations are:

P1(t) = - 2
P1(t)

--- Eq. 1

P2(t) =

2
P1(t) P2(t) --- Eq. 2

P3(t) =

P2(t)

--- Eq. 3

Solving the equations using Laplace Transform, we get

P1(t), P2(t) and P3(t)
Rs(t) = P1(t) + P2(t)
For non-repairable components, we can directly apply Product
Rule of Unreliability for a parallel system:
Qs(t) = Q1(t) x Q2(t) = (1 - e t ) (1 - e t )
Rs(t) = 1- Qs(t) = 2 e t - e 2 t

3
MTTF = R s ( t )dt =
2
0

Parallel System with 2 Repairable Components

2

1
Both
Up

2
1 Up
1 Down

3
Both
Down

The differential equations are:

P1(t) = - 2
P1(t) + P2(t)

--- Eq. 1

P2(t) =

2
P1(t) (
+ ) P2(t)

--- Eq. 2

P3(t) =

P2(t)

--- Eq. 3

Solving the equations using Laplace Transform, we get

P1(t), P2(t) and P3(t)
Rs(t) = P1(t) + P2(t)

MTTF =

R s ( t )dt =
0

3 +
2 2

MTTF using Truncated Matrix Method

In discrete Markov chain:
average # of time intervals before entering the absorbing state is
given by
N = [ I Q ] -1
where,
I = identity matrix
Q = truncated matrix created by deleting row(s) and column(s)
associated with the absorbing states

In continuous Markov process:

Average time before the system enters the absorbing state (i.e.
MTTF) is given by
M = [ I Q ] -1
where,
M = termed as the fundamental matrix
mij = average time spent in State j before being absorbed,
given that the process starts in State i

1
Both
Up

2
1 Up
1 Down

Both
Down

stochastic transitional
probability matrix,

1 1-2
2

P = 2 1-
3 0
0
2 .
t 1 - .
t
1

1
2

1 1-2
2

Q = 2 1-
-

State 3 is the absorbing state

M = [ I Q ] 1

={

1
0

0
1

1-2
2

1-
-

} -1 =

1 +

2 2

If the system starts in State 1, MTTF = m11 + m12 =

3 +
2
2

If the system starts in State 2, MTTF = m21 + m22 =

2 +
2
2

If Series System:
States 2 and 3 are the absorbing states, Q = [ 1-2
]
M=[IQ]

= [ 1 1 + 2
]

1
= 2