IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO.

2, JUNE 2015 687

Remaining Useful Life Prediction for a

Nonlinear Heterogeneous Wiener Process
Model With an Adaptive Drift
Zeyi Huang, Zhengguo Xu, Member, IEEE, Wenhai Wang, and Youxian Sun

AbstractNonlinear degradation trajectories are encountered MSE mean square error

frequently, and not all of them evolve homogeneously in practical MTTF mean time to failure
systems. To take nonlinearity, heterogeneity, and the entire histor-
ical degradation data into account, we propose a nonlinear hetero- PDF probability density function
geneous Wiener process model with an adaptive drift to charac- PHM prognostics and health management
terize degradation trajectories. A state-space based method is em-
ployed to delineate our model. Due to the introduction of the adap- RMS root mean square
tive drift, it is difcult to directly apply Kalman lter methods to RUL remaining useful life
update the distribution of the estimated degradation drift. To ad-
dress this issue, we develop an online ltering algorithm based on SP stochastic process
Bayes theorem. The expectation-maximization (EM) algorithm, STF strong tracking ltering
as well as a novel Bayes-theorem-based smoother, are adopted
to estimate the unknown parameters in our model. Moreover, the TMSE total mean square error
distribution of the predicted remaining useful life (RUL) incorpo- WP Wiener process
rating the complete distribution of the estimated degradation drift
is achieved analytically. Finally, a simulation, and a case study are
provided to validate the proposed approach. NOTATION:
Index TermsAdaptive drift, Bayes theorem-based lter,
Discrete time index
Bayes theorem-based smoother, expectation-maximization al- Time at the th CM point
gorithm, nonlinear degradation trajectory, remaining useful life
prediction.
A nonlinear function with respect to
where represents the unknown
parameters in
ACRONYMS AND ABBREVIATIONS: , The degradation drift, and the
BM Brownian motion degradation measurement at the th
CM point, respectively
CDF cumulative distribution function
History of the degradation
CM condition monitoring measurements to the th CM
EM expectation-maximization point
FPT rst passage time History of the degradation drifts to
the th CM point
GP general path System noise that satises
IG inverse Gaussian at the th CM point
KF Kalman lter Standard Brownian motion
MLE maximum likelihood estimation Diffusion coefcient of the Wiener
process
, Expectation, and variance of
Manuscript received September 22, 2013; revised March 01, 2014 and May estimated
14, 2014; accepted May 28, 2014. Date of publication February 27, 2015; date
of current version June 01, 2015. This work was supported in part by the 973
, Expectation, and variance of
Program of China under grant 2012CB720500; the National Natural Science estimated
Foundation of China (NSFC) under Grants 61473254 and 61134001; the Na- Unknown parameter set
tional High-Tech Research and Development Program of China (863 Program)
under Grant 2012AA06A404; and the Fundamental Research Funds for the Cen- Estimated at the th step in the EM
tral Universities . Associate Editor: O. Gaudoin. algorithm at the th CM point
The authors are with the State Key Laboratory of Industrial Control Tech- Joint log-likelihood function for
nology, Department of Control Science and Engineering, Zhejiang University,
Hangzhou 310027, China (e-mail: zeyihuang@zju.edu.cn; xzg@zju.edu.cn; and
whwang@iipc.zju.edu.cn; yxsun@iipc.zju.edu.cn). Expectation of with respect to
Color versions of one or more of the gures in this paper are available online the conditional distribution of
at http://ieeexplore.ieee.org.
Digital Object Identier 10.1109/TR.2015.2403433 given and

0018-9529 2015 IEEE. Personal use is permitted, but republication/redistribution requires IEEE permission.
See http://www.ieee.org/publications_standards/publications/rights/index.html for more information.
688
, The backward smoothed expectation,
and variance of at the th CM
point, where
The backward smoothed covariance
of two consecutive estimated
degradation drifts at the th CM
point, where
Convergence threshold of the EM
algorithm
Random variable of RUL
Failure threshold
, PDF, and CDF of predicted RUL at
the th CM point
I. INTRODUCTION
W ITH recent advancements in sensing technologies,
prognostics and health management (PHM) based upon
condition monitoring (CM) has attracted much attention over
the past few years [1][4]. PHM is composed of prognostics,
and health management. The main purpose of prognostics
is to predict the remaining useful lives (RULs) of systems
accurately according to the CM information. Generally, the pre-
dicted RUL is characterized by the probability density function
(PDF), which incorporates the expectation and the uncertainty
of the predicted RUL simultaneously. Once the accurate and
informative RUL prediction is obtained, an effective support
for the subsequent management can be launched, such as the
schedules of maintenance behaviors [5], the supplies of spare
parts inventory [6], and so on.
For practical systems, it is always difcult to acquire their
physical models. Thus, the data-driven approaches in the ab-
sence of the prior knowledge of physical models to RUL predic-
tion have gained widespread popularity. In literature, the models
used in the data-driven approaches can be mainly classied into
general path (GP) models, and stochastic process (SP) models.
In a GP model, a regression model is used to characterize the
common degradation properties of a class of systems, and the
parameters in the model are usually randomized to characterize
sampling variability. To our knowledge, Lu and Meeker [7] rst
applied a nonlinear mixed-effects model to characterize degra-
dation trajectories, and then inferred the time-to-failure distribu-
tion. Along the way of [7], there are many extensions [8][10].
As pointed out in [11], GP models can characterize the sam-
pling uncertainties, whereas they cannot model the temporal un-
certainties. To address this issue, SP models are introduced to
RUL prediction. A basic distinction between GP models and
SP models is that the considered degradation trajectories are
deterministic in GP models, while they remain uncertain in SP
models.
For RUL prediction, there are three main SP models used
in literature: the Wiener process (WP) model [12][14], the
gamma process model [15][17], and the inverse Gaussian
(IG) process model [18], [19]. Trajectories of gamma processes
or IG processes are monotonic, whereas trajectories of WPs
can be non-monotonic. Due to its important physical inter-
pretation and nice mathematical properties, the WP model,
IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015
i.e., Brownian motion (BM) with a linear drift, becomes one
of the most popular SP models. On one hand, the WP model
can model a degradation state as an innitely divisible process
[20], as well as characterize a practical degradation trajectory
that may vary bi-directionally with time. On the other hand,
the explicit distribution of the rst passage time (FPT) of
the WP model is available, which is well known as the IG
distribution [21]. Whitmore [22] applied a WP model subject
to measurement noises to model the declined tendency of the
gain of a transistor. Peng and Tseng [23] adopted a WP model
with a random drift coefcient and measurement noises to
estimate the mean-time-to-failure (MTTF) of the lasers. Xu et
al. [24] considered a real-time reliability prediction problem
for a dynamic system with a hidden degradation process. They
utilized particle ltering to identify the system's state, and
employed the WP model to predict the reliability. Doksum et
al. [12] and Whitmore et al. [13] applied a WP model with a
time scale transformation to model the accelerated degradation
data. However, the conventional WP model used for lifetime
analysis is based on a Markovian assumption that the degra-
dation evolution and the predicted RUL depend only on the
current degradation level, rather than the historical degradation
data. This assumption may give rise to an inaccurate RUL pre-
diction owing to the lack of the information from the historical
degradation data.
On one hand, Bayesian updating is a powerful tool to estimate
hidden states or random coefcients in a model [25][29]. For
example, Gebraeel et al. [27] proposed an exponential degrada-
tion model based on the WP model to characterize the degra-
dation data of rotating element bearings. Unlike the conven-
tional WP model, the authors updated the stochastic parameters
in the exponential degradation model by incorporating the his-
torical degradation data to date under a Bayesian framework.
It is notable that the WP model was used as the error term in
their model, but the available explicit FPT of the WP model
was not utilized. They derived an analytical distribution for the
predicted RUL under an implicit assumption that the degrada-
tion trajectories were monotonic. However, the WP model does
not evolve monotonically. Consequently, the predicted RUL ob-
tained in [27] was approximate. On the other hand, Wang et al.
[30] explored a novel way to take historical degradation data
into account for RUL prediction. They extended the degrada-
tion drift coefcient to the degradation drift state, and then em-
ployed Kalman lter (KF) to estimate the hidden degradation
drift recursively. The contribution of [30] was that the authors
established a link between the evolution of the degradation level
and the historical data by incorporating the historical data into
the estimated degradation drift. However, they didn't consider
the complete distribution of the updated drift in the RUL predic-
tion. Motivated by [30], Si et al. [31] adopted the same model as
[30] with a recursive lter algorithm for RUL prediction. Dis-
similar to [30], the updated drift was treated as a random vari-
able, and its complete distribution was considered in the RUL
prediction. Furthermore, they revealed that considering such a
distribution could reduce the uncertainties in the RUL predic-
tion. For convenience, the proposed models in [30], and [31]
are named Wang's model, and Si's model in this paper, respec-
tively. We note that the mean degradation trajectories in Wang's
HUANG et al.: REMAINING USEFUL LIFE PREDICTION
model and Si's model are linear. It leads to the fact that both of
their models cannot trace the dynamics of nonlinear degradation
trajectories well.
From the above review of the related work, it can be found
that, though there is some research focusing on nonlinear degra-
dation trajectories or degradation models adaptive to historical
degradation data for RUL prediction, separately, few works con-
centrate on both of them simultaneously. As stated before, an
adaptive drift helps to take historical degradation data into ac-
count, and a nonlinear structure can make predicted degradation
trajectories close to actual degradation trajectories. The combi-
nation of an adaptive drift and a nonlinear structure contributes
to promoting the accuracy of RUL prediction. Accordingly, we
make three major contributions in this paper. First, we propose
a novel nonlinear heterogeneous Wiener-process-based model
with an adaptive drift for RUL prediction, and utilize a state-
space-based method to characterize our model. Second, we de-
velop an on-line ltering algorithm based on Bayes' theorem
to update the hidden degradation drift, and then apply the ex-
pectation-maximization (EM) algorithm, and a novel Bayes'-
theorem-based smoother to estimate the unknown parameters
once a new measurement becomes available. Last, we derive
an explicit analytical distribution for the predicted RUL incor-
porating the complete distribution of the estimated degradation
drift.
The rest of this paper is organized as follows. In Section II,
we formulate the problem. In Section III, we develop an on-line
ltering algorithm to estimate the degradation drift, and apply
the EM algorithm to re-estimate the unknown parameters. In
Section IV, we derive an explicit analytical distribution for the
predicted RUL. In Section V, a simulation, and a case study are
used to demonstrate the effectiveness of our model, and com-
pare the performance of our model with that of Wang's model,
and Si's model. Section VI concludes this paper.
II. PROBLEM FORMULATION
To take the complete historical degradation data into consid-
eration, as well as maintain the nice properties of the WP model,
we consider Wang's model, given as [30]
(1)
(2)
In Wang's model, (2) was the discretized conventional WP
model, and the authors constructed an updating procedure for
the degradation drift using a random walk model as in (1),
with the initial assumption that followed a s-normal distri-
bution. Hence, evolved as a time-dependent random variable.
Because was unobservable, it had to be estimated once a new
measurement became available. Each time a new measurement
came out, they updated the posterior distribution of using the
prior distribution and the new measurement by a recursive lter.
When the next measurement was available, the posterior distri-
bution at the current CM point became the prior distribution for
the next CM point. Thus, they established a link between the
historical degradation data and the predicted degradation levels
689
by incorporating the historical degradation data into the estima-
tion of . Once the degradation drift was estimated, they used a
linear function with respect to time to predict the evolution of
the degradation level.
However, in reality, nonlinear degradation trajectories are
encountered frequently, such as the degradation trajectories of
bearings [32], batteries [33], and gyros [34]. Thus, the linear
prediction used in the model described by (1) and (2) cannot
trace nonlinear degradation trajectories well. Additionally,
the conventional WP model is a time homogeneous process,
which means that the transition probability between two given
degradation states at any two CM points depends only on the
time interval. But not all degradation processes satisfy this
constraint. For example, the typical lifetime of the bearings
[35] can be roughly divided into two stages: one is the normal
stage, and the other is the defective stage. At the rst stage, the
bearings degrade slowly, whereas the defects propagate quickly
at the second stage. This example indicates that equally long
time intervals may give rise to different degradation increments.
To take nonlinearity and heterogeneity into consideration, we
incorporate a nonlinear structure into the WP model, given as
(3)
where is usually assumed to be 0. The specic form of
can be determined by domain experts, or inferred from
the lifetime data of other identical systems. It is notable that
there are three advantages in (3). First, in contrast with the con-
ventional WP model, (3) can track nonlinear degradation trajec-
tories better by adjusting to t the historical degradation data.
Second, the nonlinear function can characterize a time
heterogeneous process. Third, as pointed out in [13], (3) retains
the nice mathematical property of the WP model that the explicit
distribution of the predicted RUL can be obtained analytically
once the form of is specied.
Remark 1: There are two reasons for choosing a time-trans-
formation function instead of a more general one, e.g., a non-
linear drift used in [36], to characterize nonlinear degradation
trajectories. First, the explicit distribution of the predicted RUL
for the former can be obtained analytically, while the distribu-
tion of the predicted RUL for the latter is related to solving
the Fokker-Planck-Kolmogorov equation with boundary con-
straints, and the explicit analytical solution can be hardly ob-
tained. Second, members of a population of identical systems
have some common properties, so the specic form of
can be inferred from the lifetime data of other identical systems.
Subsequently, can approach an individual degradation
trajectory through the adjustable . Consequently, a time-trans-
formation function sufces to characterize nonlinear degrada-
tion trajectories.
To better characterize practical degradation processes and ob-
tain the predicted RULs more accurately, we take nonlinearity,
heterogeneity, and the complete historical degradation data into
consideration simultaneously by combining (1) with (3). Ac-
cording to the Euler discretization, our complete model at the
th CM point is formulated as
(4)
690
where . In (4), the degradation level
is measurable, and the degradation drift is a hidden state.
Thus, it is requisite to estimate the degradation drift once a
new degradation measurement is obtained. Because the initial
degradation drift remains unknown, it is assumed to follow a
s-normal distribution that satises . Moreover,
the initial degradation drift, and the noises at each CM point,
, are assumed to be s-inde-
pendent.
III. STATE ESTIMATION AND PARAMETER ESTIMATION
When systems are in operation, they are monitored at
, and the degradation measurements are
recorded as . Because the degradation drift is a
hidden state, it should be estimated once a new degradation
measurement becomes available. In addition, the parameter
set in (4), , remains unknown, so it also
needs to be estimated. In this section, we develop a new on-line
Bayes'-theorem-based lter to estimate the hidden degradation
drift, and employ the EM algorithm associated with a novel
recursive smoother to re-estimate the unknown parameter set.
A. State Estimation
In practice, the degradation drift represents the deteriorating
velocity of the monitored system, which is generally unobserv-
able. Nevertheless, the degradation drift is one of the determi-
nant factors for RUL prediction. Hence, the precision of the drift
estimate is directly relevant to the effectiveness of our model for
RUL prediction.
Kalman lter is the most popular algorithm for state estima-
tion which is suitable for a standard state-space model. How-
ever, it is noteworthy that the subscripts of and are different
in the second line of (4), which is distinct from the observation
equation of the standard state-space model. This distinction re-
sults in the inappropriateness for KF to estimate the degradation
drift directly.
For real-time processing, we propose an on-line ltering
algorithm based on Bayes' theorem. For convenience, we
dene the historical degradation data, and the historical degra-
dation drifts to the th CM point as , The process of calculating (7) can be partitioned into two
and , respectively. When we consider our
model at the th ( ) CM point, we have the conditional dis-
tributions , maximizes
, and the estimated distribution of
the previous state . At the
rst iteration, we have ,
, and , because is assumed to
be 0. According to the prior knowledge, the following theorem
can be obtained.
Theorem 1: Given the prior knowledge at the th ( )
CM point, the distribution of the current degradation drift
can be updated when the current
degradation measurement becomes known, where , and
are computed by
(5)
,
IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015
and
(6)
.
The proof of Theorem 1 is given in the Appendix. Once a new
degradation measurement appears, the posterior distribution of
the degradation drift can be updated based on the prior distribu-
tion and the current degradation measurement utilizing Theorem
1. Owing to the recursive nature of Theorem 1, the algorithm can
be applied to update the distribution of the degradation drift in
real time.
B. Parameter Estimation
The on-line ltering algorithm can be employed when the pa-
rameter set is known, or has been estimated from historical
data. Thus, we discuss the parameter estimation in this subsec-
tion.
Maximum likelihood estimation (MLE) is one of the most
popular methods for parameter estimation. MLE accomplishes
this estimation by selecting a set of parameters to maximize the
likelihood function. However, for the existence of the hidden
degradation drift state, it is difcult for MLE to estimate the
unknown parameters in our model. As a result, we adopt the
EM algorithm [37] to estimate in this paper, which provides a
way to handle the MLE problem in the presence of the hidden
degradation drift state.
The core idea of the EM algorithm is to supplant the hidden
degradation drift with its expectation conditional on the histor-
ical degradation data. Through iteratively calculating and max-
imizing the joint log-likelihood function, the EM algorithm en-
genders a series of parameter estimates which converge to the
parameters estimated by MLE [38].
At the th CM point, the estimate of at the th iterative step
of the EM algorithm, i.e., , can be formulated as
(7)
phases: one is to calculate the expectation of , called E
phase ; and the other is to search the parameter estimate which
, called M phase.
1) E Phase: Unlike MLE, the joint log-likelihood function
incorporating and is calculated within the EM al-
gorithm. Taking advantage of Bayes' theorem and the Markov
property, can be computed as
HUANG et al.: REMAINING USEFUL LIFE PREDICTION 691

line of (4). Therefore, we have to develop a novel smoother

suitable for our model to estimate these three quantities. To
obtain these three estimates, we need to estimate another
two quantities, specically , and
(8)
, where , and
represent the variance, and the covariance calculations, respec-
tively. Theorem 2 shows that they can be obtained recursively
from historical degradation data. Its proof is in the Appendix.
Theorem 2: Given the historical expectations ,
(9)
variances of the estimated degradation drifts, and
the parameter estimate at the last step , the backward
smoothed expectations, variances of the estimated degradation
drifts, and the covariances of two consecutive degradation drifts
can be recursively estimated as

(12)
(10)

We can go from (8) to (9) because is assumed to be 0 in our (13)

model. Subsequently, the expectation of with respect to
the conditional distribution of given and , i.e.,
, can be formulated as shown in (11) at the bottom (14)
of the page.
Obviously, to obtain the result of (11), three quantities, And their values at the th CM point, i.e., , are calculated
as
i.e., , ,
and , need to be calculated. If (15)
KF is exploited to estimate the degradation drift, these three (16)
quantities can be estimated using the RauchTungStriebel (17)
smoother. Unfortunately, KF is inappropriate for our model
because the subscripts of and are different in the second

(11)
692 IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015

Once , and are obtained, and can be 8: Calculate by (20), and search for
derived as the optimal parameter set to maximize
.
(18) 9: until

10: .
(19)
11: end for
Substituting , , and into (11), it can be rewritten as
IV. RUL PREDICTION
Thus far, we have estimated the degradation drift, and the
unknown parameters. In this section, we will discuss the RUL
prediction utilizing the estimated degradation drift and parame-
ters. In literature, there exist two methods relating the predicted
degradation level to the predicted RUL at the th CM point,
which dene the RUL as , and
. As pointed out in [31], [39],
the rst denition neglects the possible hitting events within
, which can result in the under-maintenance, and is
(20) unacceptable, especially for some safety-critical systems. Con-
sequently, we adopt the second denition, i.e., the denition of
2) M Phase: After deriving , we obtain the pa- FPT, as the link between the predicted degradation level and the
rameter estimate at the current iterative step, i.e., , by max- RUL.
imizing (20) with respect to . As , , and in the rst line In conformity with our model, at the th CM point, the evo-
of (4) are s-independent of and in the second line of (4), , lution of the degradation level is written as
, and have analytically optimal solutions.

(21) (24)
So the RUL at the th CM point is dened as the time that
(22) lapses from the current time to the FPT that the degrada-
tion level rst hits a specic threshold if has never
reached before . Due to the introduction of the adaptive drift
and the nonlinear structure, the RUL prediction based on our
(23) model cannot be directly characterized by the IG distribution as
The remaining parameters and can be estimated numeri- the conventional WP model. Thus, Theorem 3 is proposed to ad-
cally by maximizing (20). The E phase and the M phase are ex- dress this issue. Before introducing Theorem 3, we rst give the
ecuted iteratively until the parameter estimates converge. The following Lemma 1 [31] to simplify the derivation of Theorem 3.
estimation of the degradation drift and the unknown parameters Lemma 1: If a random variable satises that
is summarized as Algorithm 1. , then the expectation can be formulated
as
Algorithm 1 Estimation of the Degradation Drift and the
Unknown Parameters (25)

1: Initialize the parameters in , and the convergence

threshold . where denotes the cumulative distribution function (CDF)
of the standard s-normal distribution.
2: for Each degradation measurement of , do According to Lemma 1, the complete distribution of the pre-
3: . dicted RUL can be obtained by Theorem 3, and its proof is given
in the Appendix.
4: repeat Theorem 3: If is a monotonic function, then the PDF
5: . and CDF of the predicted RUL at the th CM point conditional
on are formulated as
6: At the th CM point, and the th iterative step
of the EM algorithm, achieve the degradation drift
estimate, i.e., and , with by Theorem 1.
7: Update the backward smoothed state of , , (26)
and recursively by Theorem 2.
HUANG et al.: REMAINING USEFUL LIFE PREDICTION 693

(27)

where .
Remark 2: Wang's model, which ignores the uncertainty of
, simply supplants with its expectation in (24). Further-
more, in both Wang's model and Si's model equal , so
their models cannot trace the evolution of nonlinear degradation
trajectories well. Our model considers the complete distribution
of , and incorporates a nonlinear structure into . Both
of them make our model to trail practical degradation trajecto-
ries better, and attain more accurate RUL prediction in compar-
ison with Wang's model and Si's model.

V. SIMULATION AND CASE STUDY

In this section, a numerical simulation is provided to verify
the effectiveness of our model. Subsequently, a practical case
study about bearings is utilized to compare the performance of
the RUL prediction with that of Wang's model, and Si's model.

A. A Numerical Simulation
The degradation drift and the unknown parameters need to be
estimated in our model, so the accuracies of the estimated drift
and parameters should be tested. However, their explicit values
may be difcult to be specied in practical systems. Hence, to
demonstrate the convergent property and the predictive capa-
bility of our model, a numerical simulation is provided.
For illustration, we consider the nonlinear structure
as , so the unknown parameter equals . Specically, the
following model is exploited to generate the simulation data.

Fig. 1. Estimation of the parameters. (a) Estimation of . (b) Estimation of .

(28) (c) Estimation of .

The parameters are set as , , ,

, , , and the sampling interval . The estimated parameters at each CM point against the cor-
When we dene the threshold as 34, the FPT is approximately
6 s after 30 CM points. This set of degradation data is used to
validate the effectiveness of our model.
Once a new degradation measurement becomes available, we
estimate the hidden degradation drift and the unknown param-
eters by Algorithm 1, and then predict the RUL by Theorem
3. The total time processing all the 30 degradation measure-
ments is 0.9201 s on the MATLAB platform with a computer
equipped with a 3.1 GHz Inter Core i3 2100 processor and 2G
RAM. The result implies that the average processing time for
each degradation measurement is 0.0317 s, approximately. The
average time is much smaller than the sampling interval, which
indicates that the proposed approach is competent for real-time
applications.
responding true parameters are shown in Fig. 1. The solid lines
represent the estimated parameters, and the dashed lines are the
actual parameters. It is straightforward to nd that all of the pa-
rameters eventually converge to their true values, and the con-
vergence speed of is faster than those of the variance param-
eters and . The phenomena revealed in Fig. 1 testify to the
effectiveness of the parameter estimation method.
Completing the parameter estimation, we substitute the esti-
mated parameters into the proposed on-line ltering algorithm
to evaluate the hidden degradation drift at each CM point. The
estimated expectations of the degradation drifts and their cor-
responding condence intervals against the actual degradation
drifts are plotted in Fig. 2. The solid line, the dotted line, and the
dot-dashed line are the estimated expectation, the lower limit,
694
Fig. 2. The estimated and condence intervals against the actual .
Fig. 3. PDFs of the RULs based on our model and the WP model against the
actual RULs.
and the upper limit of the degradation drifts, respectively. The
dashed line represents the actual degradation drifts. It shows that
the estimated degradation drifts can track their true values well.
So far, we have demonstrated that we can estimate both the
hidden degradation drift and the unknown parameters quite well
by Algorithm 1. Subsequently, we will utilize both of them to
predict the RULs at each CM point. What's more, the predicted
RULs based on the WP model are also calculated for compar-
ison. The PDFs dependent on our model and the WP model at
the 15th, 18th, 21st, and 24th CM points are plotted in Fig. 3.
It shows that the PDFs of the predicted RULs provided by our
model are more compact than those given by the WP model,
which indicates that the uncertainties of the predicted RULs
from our model are lower than those from the WP model. In ad-
dition, our model can obtain more accurate RULs than the WP
model does. The predicted RULs from the WP model are far
away from the actual RULs, especially at the early CM points.
In contrast, the actual RULs are always covered by the predicted
RULs from our model with large probability densities.
B. A Practical Case Study
In this subsection, we utilize a practical example to compare
the performance of the RUL prediction from our model with that
from Wang's model, and Si's model. The bearing dataset [35]
comes from a laboratory experimental platform (PRONOSTIA)
which enables the accelerated degradation of bearings
under constant or variable operating conditions, and gathers
IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015
Fig. 4. The raw vibration signal, and the RMS feature of bearing #1 3. (a) The
raw vibration signal of bearing #1 3. (b) The RMS feature of bearing #1 3.
the on-line CM information. In contrast with other bearing
experimental platforms, the data engendered by PRONOSTIA
correspond to normally degraded bearings, which indicates
that the defects are not initiated on the bearings; and that the
degraded bearings contain almost all the types of defects,
including faults in balls, rings, and cages.
The sampling frequency of the vibration signal is 25.6 kHz,
but the experimenters do not record each sample. They record
2560 consecutive samples (i.e., the samples during 0.1 s) every
10 seconds. The raw signal is pre-processed by extracting the
root mean square (RMS) feature for the recorded data. After the
transformation, the RMS feature sequence forms a new time se-
ries of degradation data whose sampling interval is 10 seconds.
To avoid propagation of damages to the whole experimental
platform, the test is ceased when the amplitude of the vibra-
tion signal overpasses 20 g, where 20 g is short for twenty-fold
gravity acceleration. The raw horizontal vibration signal of one
of the bearings, called bearing #1 3, and its corresponding
RMS feature, are shown in Fig. 4.
In conformity with the denition of failure, once a raw signal
overpasses 20 g, the tested bearing is considered to reach the
failure threshold, so the amplitude of the corresponding RMS
is dened as the failure threshold in the RMS feature domain
in this paper. Taking bearing #1 3 for example, at its 2342nd
sampling set, the raw vibrational signals overpass 20 g, so its
corresponding RMS value, 4.7145, is dened as the threshold
in the RMS feature domain, and the degradation trajectory is
truncated after the 2342nd CM point.
HUANG et al.: REMAINING USEFUL LIFE PREDICTION
TABLE I
ESTIMATED PARAMETERS OF ALL DEGRADATION MODELS
Fig. 5. The comparison of the performances of RUL prediction. (a) Compar-
ison with Wang's model. (b) Comparison with Si's model.
Bearing #1 3 is used to compare the accuracies of the pre-
dicted RULs from our model with those from Wang's model, and
Si's model. For illustrative purpose, we consider . calculate the mean square error (MSE) at each CM point. The
When all the degradation data are processed, the average con-
sumed time, and the longest consumed time are 2.2147 s, and
4.6403 s, respectively. Both of them are much smaller than the
sampling interval, 10 s, which demonstrates that the proposed
approach is suitable for the real-time application. The estimated
parameters of all degradation models are shown in Table I. It is
noteworthy that the estimated parameter in our model is not
equal to 1, which indicates that the degradation process is not a
linear path.
The comparative performances of RUL prediction from our
model, Wang's model, and Si's model are revealed in Fig. 5.
Compared with Wang's model, the PDFs of the predicted RULs
from our model are much more compact, which means the un-
certainties of our model are much smaller. Each actual RUL
is completely covered by both Wang's model and our model.
In Fig. 5(b), though the PDFs of the predicted RULs from Si's
695
Fig. 6. The contrasting MSEs of RUL prediction. (a) The contrasting MSEs of
our model and Wang's model. (b) The contrasting MSEs of our model and Si's
model.
model are more compact than those from ours, not all actual
RULs are covered by Si's model. It implies that the predicted
RULs from Si's model deviate from the true RULs, especially at
the early CM points. The deviation may result from the strong
tracking ltering (STF) algorithm used in Si's model, because
the STF algorithm is more appropriate for the degradation pro-
cesses that have jumps, or sudden changes, but the degradation
trajectory in this experiment is a smooth one as seen in Fig. 4(b).
To further compare the accuracies of the RUL prediction, we
contrasting MSEs are shown in Fig. 6. The dashed line, and the
solid line in Fig. 6(a) represent MSEs of Wang's model, and
our model, respectively. The dashed line, and the solid line in
Fig. 6(b) represent MSEs of Si's model, and our model, respec-
tively. It can be seen that, with the increase of the operating time,
the MSEs of both Si's and our models, rather than Wang's model,
approach zero gradually. Note that the variations of the MSEs
of Wang's model and Si's model are much larger than those of
our model, which means that the accuracies of the RUL predic-
tion from their models uctuate obviously. In addition, most of
the MSEs of their models are larger than those of ours, and the
total MSEs (TMSEs) are listed in Table II. It is evident that the
TMSE of our model is half of that of Wang's model, and one
fth of that of Si' model. In conclusion, all of the above results
indicate that the performance of RUL prediction from our model
surpasses that from Wang's model and Si's model.
696 IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015

TABLE II There might be an extension in the future which is to view

TMSES OF ALL DEGRADATION MODELS
the degradation process as a hidden process, and the relation-
ship between the observations and the actual degradation levels
will be considered. We will investigate the extension to improve
the robustness and accuracy of RUL prediction for a complex
practical system.

VI. CONCLUSION
APPENDIX
In practical systems, nonlinear degradation trajectories exist
extensively, and the components may degrade slower or faster at Proof of Theorem 1:
different times, which indicates that the degradation processes
are not homogeneous all the time. Moreover, the conventional Proof: At the th ( ) CM point, we have the prior
WP model depends on a strong Markovian assumption which knowledge ,
implies that the degradation level prediction relies only on the , and
current degradation level rather than the historical degradation . According to the law of total probability, and
data. It may give rise to an inaccurate prediction. To correct Bayes' theorem, the PDF of the estimated current degradation
these deciencies, we concentrate on a nonlinear heterogeneous drift is derived as shown in (29) at the bottom of the page,
WP model with an adaptive drift. To update the distribution of where
the estimated degradation drift, an online ltering algorithm
based on Bayes' theorem is proposed. Additionally, the EM
algorithm is adopted to re-estimate the parameters, while the
backward smoothed degradation drift is calculated by a novel
smoother based on Bayes' theorem. Subsequently, the PDF ,
and CDF of the predicted RUL incorporating the complete ,
distribution of the estimated degradation drift are obtained an- and . Invoking the integral
alytically. A simulation is provided to verify the effectiveness , we have (30), shown at
of the online ltering algorithm and the parameter estimation the bottom of the next page.
method. In addition, it shows that our model can obtain more In comparison with the PDF of the Gaussian distribu-
accurate predicted RULs than the conventional WP model does tion, it is not difcult to verify that
for nonlinear degradation trajectories. Furthermore, a practical is s-normally distributed with the expectation
example is presented to compare the performance of RUL , and the vari-
prediction from our model with that from Wang's model and ance .
Si's model, and the experimental results indicate that our model At the rst iteration, i.e., , we have the prior knowl-
surpasses both of them. edge , ,

(29)
HUANG et al.: REMAINING USEFUL LIFE PREDICTION 697

. Similar to the derivation of other iterations, the degra- According to the state estimation and the structural infor-
dation drift at the rst iteration is formulated as mation of our model, we have ,
, and . In
addition, is assumed to satisfy
. Substituting these quantities into (32), we
have

(31)

It is evident that is s-normally distributed with the

expectation
(33)

It is noteworthy that, if follows a bivariate

and the variance s-normal distribution with the expectation , and
, for . The proof is complete. the covariance matrix , the logarithmic PDF
is formulated as
Proof of Theorem 2:
Proof: Similar to the distribution of the forward state
estimation , the backward smoothed distribution
is also s-normal, where . We are interested
in the expectation , where
(34)
; the variance , where ;
Invoking the matrix inversion lemma, the covariance of can
and the covariance ,
be derived as
where . According to Bayes' theorem, and the
Markov property, the logarithmic joint distribution, i.e.,
, where , is expanded as

(35)

Comparing the rst three expressions in (33) with (34), the co-
variance matrix of the joint distribution, , is for-
mulated as

(36)
(32)

(30)
698 IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015

so

(37) (44)

and If is monotone, then the CDF of the predicted RUL

conditional on and can be expressed as
(38)

Substituting (37) into (38), the covariance is derived as

(39)
(45)
To seek the recursive relationship between the consecutive
expectations, we compare the fourth expression of (33) with Subsequently, the PDF of the predicted RUL conditional on
(34) to achieve and can be obtained by taking the derivative of (45)
with respect to the residual lifetime , given as
(40)

When , because , the initial ex-

pectation and variance can be calculated as

(41)
(46)
(42)

Substituting (42) into (38), the initialization of the covariance is Considering the complete distribution of the estimated degra-
given as dation drift, the PDF, and CDF of the predicted RUL are respec-
tively calculated as
(43)

The proof is complete.

Proof of Theorem 3:
Proof: According to [13], at the th CM point, the FPT
crossing the threshold conditional on and follows the (47)
IG distribution, that is,

and see (48) at the bottom of the page.

(48)
HUANG et al.: REMAINING USEFUL LIFE PREDICTION 699

(50)

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IEEE TRANSACTIONS ON RELIABILITY, VOL. 64, NO. 2, JUNE 2015
Zeyi Huang received his B.Eng. from the College of Automation Science
and Engineering at South China University of Technology in 2012. He is
currently a master candidate with the State Key Laboratory of Industrial
Control Technology, and the Department of Control Science and Engineering,
Zhejiang University.
His research interest covers residual life time prediction.
Zhengguo Xu (M09) received the B.Eng. degree in electrical engineering from
Changsha Electric Power University, Changsha, China, in 2002; and the Ph.D.
degree in control science and engineering from Tsinghua University, Beijing,
China, in 2009.
He is currently an Associate Professor with the State Key Laboratory of In-
dustrial Control Technology, and the Department of Control Science and Engi-
neering, Zhejiang University, Hangzhou, China. His research interests include
control and safety for railway transportation, reliability analysis for complex
systems, and fault diagnosis.
Wenhai Wang received the B.Eng., M.Sci., and Ph.D. degrees from Zhejiang
University, Hangzhou, China, in 1989, 1992, and 1996, respectively.
He is currently a Professor with the State Key Laboratory of Industrial
Control Technology, and the Department of Control Science and Engineering,
Zhejiang University. His research interests include railway transportation,
distributed control systems, and industrial automation.
Youxian Sun received the B.Eng. degree from Zhejiang University, Hangzhou,
China, in 1964.
Since then, he has been with Zhejiang University, where he was promoted
to Associate Professor in 1982, and Professor in 1988. From 1984 to 1987, he
received the Humboldt Fellowship to be a Visiting Professor with Stuttgart Uni-
versity, Stuttgart, Germany. He is currently the Director of the Institute of In-
dustrial Process Control, and the Director of the National Engineering Research
Center of Industrial Automation. He also serves as President of the Chinese As-
sociation of Automation, and Vice President of the China Instrument and Con-
trol Society. He previously served as Vice Chairman of the IFAC Pulp and Paper
Committee. He has authored or coauthored six books, and published more than
400 papers. His research interests include modeling, control, and optimization
of complex engineering systems; robust control theory and applications; and
distributed control systems.