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INTRODUCTION TO RELIABILITY

CALCULATION METHODS

CHANAN SINGH
DEPARTMENT OF ELECTRICAL & COMPUTER
ENGINEERING
TEXAS A&M UNIVERSITY
COLLEGE STATION, TX
May, 2006

INTRODUCTION TO QUANTITATIVE
RELIABILITY
RELIABILITY RELATES TO THE ABILITY OF A
SYSTEM TO PERFORM ITS INTENDED FUNCTION
IN A QUALITATIVE SENSE, PLANNERS AND
DESIGNERS ARE ALWAYS CONCERNED WITH
RELIABILITY
WHEN QUANTITATIVELY DEFINED, RELIABILITY
BECOMES A PARAMETER THAT CAN BE TRADED
OFF WITH OTHER PARAMETERS LIKE COST
NECESSITY OF QUANTITATIVE RELIABILITY:
-EVER INCREASING COMPLEXITY OF SYSTEMS
-EVALUATION OF ALTERNATE DESIGNS
-COST COMPETITVENESS AND COST-BENEFIT
TRADE OFF

MEASURES OF RELIABILITY

BASIC INDICES
PROBAILITY OF FAILURE LONG RUN
FRACTION OF TIME SYSTEM IS FAILED
FREQUENCY OF FAILURE EXPECTED OR
AVERAGE NUMBER OF TIMES PER UNIT TIME
MEAN DURATION OF FAILURE MEAN
DURATION OF A SINGLE FAILURE

OTHER INDICES CAN BE OBTAINED AS


FUNCTIONS OF THESE BASIC INDICES

COST VS RELIABILITY

Total Cost

Investment Cost

Failure Cost
To Customer

ROPT
4

Optimum

SEQUENCE OF PRESENTATION
DESCRIBE AN EXAMPLE THAT WILL BE USED TO
ILLUSTRATE CONCEPTS
INTRODUCE ANALYTICAL METHODS OF
RELIABILITY EVALUATION
INTRODUCE MONTE CARLO SIMULATION
METHODS OF RELIABILITY EVALUATION

EXAMPLE SYSTEM
Generators

Transmission

Load

Figure 1: System diagram


Data__________________________________________________________________

Generators:
Each generator either has full capacity of 50 MW or 0 MW when failed.
Failure rate of each generator is 0.1/day and mean-repair-time is 12 hours.
Transmission Lines:
The failure rate of each transmission line is assumed to be 10 f/y during the
normal weather and 100 f/y during the adverse weather. The mean down time
is 8 hours. Capacity of each line is 100 MW.
Weather:
The weather fluctuates between normal and adverse state with mean duration
of normal state 200 hours and that of adverse state 6 hours.
Breakers:
Breakers are assumed perfectly reliable except that the pair B1&B2 or
B3&B4 may not open on fault on the transmission line with probability 0.1.
Load:
Load fluctuates between two states, 140 MW and 50 MW with mean duration
in each state of 8hr and 16hr respectively.
FOR THE DESCRIBED SYSTEM,
HOW CAN YOU CALCULATE
RELIABILITY INDICES ?
1. Loss of load probability
2. Frequency of loss of load
3. Mean duration of loss of load

THE

FOLLOWING

BASIC

METHODS OF QUANTITATIVE RELIABILITY ANALYSIS


ANALYTICAL METHODS
- STATE SPACE USING MARKOV PROCESSES
- MIN CUT SETS
- NETWORK REDUCTION
MONTE CARLO SIMULATION
- RANDOM SAMPLING
- TIME SEQUENTIAL

Markov Processes
Using
8

Frequency Balance Approach

Concept of Transition Rate


Consider two system states i and j.
Transition rate from state i to j is the mean number of transitions from
state i to j per unit of time in state i.
If the system is observed for T hours and Ti hours are spent in state i,
then the transition rate from state i to j is given by
ij = nij / Ti
where
nij = number of transitions from state i to j during the
period of observation

Fig. 1 Four state model

Example 1 : A 2- state component


1

UP

2
DN

Fig. 2 A 2-state model


Let UP state be #1 and Down state be #2.
Transition rate from up to down state = failure rate
= n 12 / T1
= 1 / ( T 1 / n12 )
= 1/ MUT

10

where
MUT= mean up time
Also
Transition rate from down to up state = repair rate
= n 21 / T2
= 1/( T 2 / n21 )
=1 / MDT
where
MDT = mean down time of the component

Concept of Frequency
Frequency of encountering state j from state i is the expected (mean)
number of transitions from state i to state j per unit time.
Fr(ij) = steady state or average frequency of transition from state i to
j
= nij / T
= ( Ti / T) (nij / Ti )
= pi ij
where
pi = long term fraction of time spent in state i
= steady state probability of system state i

11

State transition diagram

10MW

0 MW

UP
DN
2 State Model for a 10MW Generator
1u

1 2u
30 MW

2
20 MW

< 10MW

2D

3u

1u
7

10 MW

1 u
2u
3 D

2D

20 MW

1 D
2u
3 D

6
10 MW

3 D

0 MW

1u
3

1 D
2D
3 U

10 MW

20 MW

3u

1 D
2u
3 U

1 D
2D

3 D

Fig 5 Model for three 2-state units

Concept of Frequency Balance


In steady state or average behavior,
Frequency of encountering a state (or a subset of states) equals the
frequency of exiting from the state (or the subset of states).
Example 2:
12

Consider the state transition diagram for three 2-state units.


Equation for state 2 can be written as,
p1 1 +p 5 2 + p 6 3 = p 2 ( 1 + 2 + 3 )
Calculation of state probabilities:
If components are independent, system state probabilities can be found
by the product of unit state probabilities.
If components are not independent then
- write an equation for each of n system states using frequency
balance.
- any n-1 equations together with

p
n

i 1

can be solved to find state probabilities.

EQUATIONS ARRANGED IN MATRIX FORM :


THE STATE PROBABILITIES CAN BE OBTAINED BY
SOLVING
BP = C
WHERE
B : MATRIX OBTAINED FROM THE TRANSPOSE OF
TRANSITION RATE MATRIX R BY REPLACING THE
ELEMENTS OF AN ARBITRARILY SELECTED ROW k BY
1s
R : MATRIX OF TRANSITION RATES SUCH THAT ITS
ELEMENT ri j = i j
ij : CONSTANT TRANSITION RATE FROM STATE i TO j
13

P : COLUMN VECTOR WHOSE iTH TERM pi IS THE


STEADYSTATE PROBABILITY OF THE SYSTEM BEING
IN STATE i
C
COLUMN VECTOR WITH kTH ELEMENT EQUAL
TO ONE AND OTHER ELEMENTS SET TO ZERO.

14

Other indices:
Mean cycle time of an event (MCT) = 1 / frequency of the event
Mean duration of the event = MCT x Prob. of the event
Thus
Mean cycle time between failures = 1/ freq of failure
Mean down time (MDT) = prob of failure / freq of failure
Mean up time = MCT - MDT
= prob of system up / freq of failure

15

Frequency of a Set of States


X

Disjoint Subsets

Fig 4 Concept of set frequency

Frequency of encountering subset Y from subset X,


Fr(X Y) = pi ij
iX jY
Therefore freq of encountering subset X,
Fr(X) =
pi ij
i(S-X)
jX

To find the frequency of a subset of states:


1. Draw boundary around the subset of states.

16

2. Find the expected transition rate into the boundary or out of the
boundary.

Example:
For the case of three 2-state units,
Fr(capacity 10) = p2 ( 2 + 3 ) + p3 ( 1 + 3 ) + p4 (1 + 2 )
=p5( 1 + 2 ) +p7 ( 2 +3) + p6 (1 + 3)
This frequency is typically called cumulative frequency.

17

Equivalent Transition Rate

The equivalent transition rate from X to Y in Fig 4 is given by


XY = Fr(XY) / Prob(X)

Solving Example Problem using Markov Approach1


1

Calculations provided by Maja Knezev

18

1. System State Description & Equivalents


The first task is to obtain probabilities for the generators, transmission lines and
loads, which are independent parts of the system.
1. 1. Generators

Down
State
0 MW
Figure 2: Each Generator has two possible states
Up State
50 MW

0.1 / day 36.5 / year

1
730 / year
12
8760

Figure 3: State Transition Diagram Generator System

19

(1)

Merging Identical Capacity States

State 2
State 3
State 1
12
34
23
Two
UP,
one
DN
One
UP, two DN 43
32
All UP -150MW 21
100MW
50MW

State 4
All DN - 0MW

Figure 4: Equivalent State Transition Diagram Generator System


Equivalent transition rates:

12G

P1 P1 P1
3
P1

21G

P2 P3 P4

P2 P3 P4

23G

2 P2 2 P3 2 P4
2
P2 P3 P4

32G

(2)

2 P 2 P6 2 P7
5
2
P5 P6 P7

34G

P5 P6 P7

P5 P6 P7

43G

P8 P8 P8
3
P8

Transition rate matrix is:

RG

3
( 2)
2
0

0
2
(2 )
3

0
0

(3)

If we substitute values for and obtained in (1) into the matrix (3), transition rate matrix
for the generator system is:

RG

109.5
730

109.5

803
1460
0

73
1496.5
2190

0
36.5

2190

1. 2. Transmission Lines

20

(4)

Up State
100 MW

Down
State
0 MW

Figure 5: Each Transmission line has two possible states


During the normal weather 10 / year ,
During the adverse weather 100 / year
1

1095 / year
8
8760

(5)

If all the breakers are perfectly reliable, for the two-transmission-line system, there will be 4
states.

State 1
1U 2U
200 MW

State 2
1D 2U
100 MW

State 4
1D 2D
0 MW

State 3
1U 2D
100 MW

Figure 6: Four State Transition Diagram Transmission System

If breakers
open on command:
State may
5 not
0.1

1D 2U
0 MW

State 1
1U 2U
200 MW

State 6
1U 2D
0 MW

0.1

0.9

21
0.9

State 2
1D 2U
100 MW

State 4
1D 2D
0 MW

State 3
1U 2D
100 MW

Figure 7: Six State Transition Diagram Transmission System

Merging of states:

State 1
12
one UP one DN 21
0MW

State 2
two UP
200MW

32

23

State 3
34
one UP one DN 43
100MW

State 4
two DN
0MW

Figure 8: Equivalent Four State Transition Diagram Transmission System

22

Equivalent transition rates:

12

P5 P6

P5 P6

21

P1 (0.1 0.1 )
0.2
P1

23

P1 (0.9 0.9 )
1.8
P1

32

P2 P3

P2 P3

34

P2 P3

P2 P3

43

P4 ( )
2
P4

1.2.1

(6)

Weather

State 4
1 UP, 1
DOWN
0 MW
S

0.2

N
State 8
1 UP, 1
DOWN
0 MW

State 1
2 UP
200
MW
S

1.8

State 5
2 UP
200
MW

State 2
1 UP, 1
DOWN
100 MW
S

State 6
1 UP, 1
DOWN
100 MW

State 3
2
DOWN
0 MW
S
N

State 7
2
DOWN
0 MW

0.2
1.8

Figure 9: Equivalent
Eight State Transition Diagram Transmission System

23

Transition rate from normal weather to adverse weather is:

Transition rate from adverse weather to normal weather is:

1
43.8 / year
200
8760
1
1460 / year
6
8760

Transition rate matrix of transmission system is:

RT

0
0.2
- (2 N) 1.8
- ( N)
0

0
2 - (2 N)
0

0
0
- ( N)

S
0
0
0

0
S
0
0

0
0
S
0

0
0
0
S

0
0
0
N

- (2'S) 1.8'
0
0.2'
- ( 'S) '
0
0
2 - (2 S)
0

0
0
- ( S)

N
0
0
0

0
N
0
0

0
0
N
0

(7)

24

1.3

Load

State 1
140 MW

21

State 2
50 MW

Figure 10: State Transition Diagram Load


12

1095 / year
8
8760

21

1
547.5 / year
16
8760

Transition rate matrix:

1095 1095
RL

547.5 547.5

(8)

25

Steady State Probabilities, Frequency and Mean Duration of Loss of Load

2. 1.

Generation System

In order to get the steady probability of each state, we can write:

P1G
P
T
R G 2G
P 3G


P4G

0
0

i 1

iG

(9)

Using the RG we obtained in equation (4), solving equations (9), we get the steady state
probability of each state.
If generators are independent probabilities can be calculated by product rule also.
Probabilities calculated in either way are the same.

0.95238

Pd
0.047619

Pu

P1G= Pu * Pu * Pu
P1G= 3*Pu * Pu * Pd
P1G= 3*Pu * Pd * Pd
P1G= Pd * Pd * Pd
2. 2.

=0.8638377
=0.1295725
=0.00647876
=0.000107979

(10)

Transmission System

We have the following equations:

P1 0
P
2 0
P 3 0
P 0
4
R TT 0
P5
P 0
6
P7 0
0
P8

P
i 1

(11)

Using the RT we obtained in equation (7), solving equations (11), we get the steady state
probability of each state:

26

RtT =
1.0e+003 *
-0.0638
0.0180
0
0.0020
0.0438
0
0
0

1.0950
-1.1488
0.0100
0
0
0.0438
0
0

0
2.1900
-2.2338
0
0
0
0.0438
0

1.0950
0
0
-1.1388
0
0
0
0.0438

1.4600
0
0
0
-1.6600
0.1800
0
0.0200

0
1.4600
0
0
1.0950
-2.6550
0.1000
0

0
0
1.4600
0
0
2.1900
-3.6500
0

P1=0.9507726
P2=0.01787034
P3=0.0001196528
P4=0.0019820304
P5=0.02678843
P6=0.002162378
P7=0.000060686
P8=0.00024383

0
0
0
1.4600
1.0950
0
0
-2.5550

(12)

We can also reduce the eight-state transmission transition diagram given in Fig 11 to a threestate diagram with respect to the capacities of the states:

State 1
200MW

21T
12T

State 2
100MW

32T
23T

31T

State 3
0MW

13T

Figure 11: Equivalent Three State Transition Diagram Transmission System


For the reduced model, the following results apply:

P1T P1' P5' 0.9507726 0.02678843=0.97756103


P2T P2' P6' 0.01787034 0.002162378=0.020032718
P3T P3' P4' P7' P8' 0.00011965 28 0.0019820304+0.000060686+0.00024383
P3T P3' P4' P7' P8' 0.0024061992

12T

P1' 1.8 P5' 1.8' 0.9507726 18 0.02678843 180

22.439339
0.97756103
P1' P5'

27

21T

P2' P6'
10
P2' P6'

23T

P2' P6' ' 0.01787034 10 0.002162378 100

19.714808
0.020032718
P2' P6'

32T

P3' 2 P7' 2
'
1095
P3 P7' P4' P8'

13T
31T

2. 3.

P1' 0.2 P5' 0.2' 0.9507726 2 0.02678843 20

2.493259
0.97756103
P1' P5'

P4' P8'
'
2090
P3 P7' P4' P8'

(13)

Load

The following equations apply:

P1L
0

0
P2 L

R TL

P
i 1

iL

(14)

Using the RL we obtained in equation (8), solving equations (14), we get the steady state
probability in each state:

P1L 0.3 3 3 3

P 2L 0.6 6 6 7
28

29

2. 4.

Solution for the System

Steady state probability, frequency and mean time of loss of load could be found using the
following table:

P1G = 0.8638377
P2G = 0.1295725
P3G = 0.00647876
P4G = 0.000107979
System
State

P1T = 0.97756103
P2T = 0.020032718
P3T = 0.0024061992

P1L = 0.3333333
P2L = 0.6666667

Generation,
transmission, load
system state
111

Probability of
system state

Transition to the states


with loss of load

Loss of
load

0.281485

2,3,4
( 12 T , 13T , 12 G )

No

2
3
4
5
6
7
8
9
10
11
12
13
14

121
131
211
221
231
311
321
331
411
421
431
112
122

0.562969
0.0115367

15( 13T )
2,15
( 21L , 23T )

15
16

132
212

0.0844453

17

222

0.0017305

4,18
( 21L , 13T )
5,18
( 21L , 23T )

18
19

232
312

0.00422226

20

322

0.000086525

21
22
23
24

332
412
422
432

7,21,22,
( 21L , 13T , 34G )
8,21,23

( 21L , 23T , 34 G )

Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
No
No
Yes
No
No
Yes
No
No
Yes
Yes
Yes
Yes

We can calculate the probability of states having no load loss. Those probabilities are obtained
for the generators, transmission lines and loads as independent.
From Table 1, we can get the steady state probability of the loss of load as follows.

30

P=1(0.281485+0.562969+0.0115367+0.0844453+0.0017305+0.00422226+0.000086525)
P=0.053524715

(15)

The frequency of loss of load is:


F

i X j X

ij

P1 ( 12 T 13T 12 G ) P13 13T P14 ( 21L 23T )

(16)
P16 ( 21L 13T ) P17 (21L 23T ) P19 ( 21L 13T 34G ) P20 ( 21L 23T 34G )
F = 95.742635 /year
Values needed for F that are calculated previously:
23T 19.714808
12T 22.439339
12G 3 109.5

23G 2 73
34G 36.5

13T 2.493259

21L 547.5 / year

The mean time of loss of load is:


MD

P
0.053524715

4.89726hours
F
95.742635 / year

31

(17)

-Cut Set Method


A cut set is a set of components or conditions that cause system
failure.
A min cut set is a cut set that does not contain any cut set as
a subset.
In this presentation a cut set implies a min cut set.
The term component will be used to indicate both a physical
component as well as a condition.
Components in a given cut set are in parallel, as they all need to
fail to cause system failure.
Cut sets are in series as any cut set can cause system failure.

32

Frequency & Duration Equations For Cut Sets


First Order Cut Set: One component involved
csk i
rcsk ri

where
i , ri

Failure rate and mean duration of component i


rate and mean duration of cut set k that contains
component i

csk ,r csk Failure

Second Order Cut Set k:Two components involved


csk

i j (ri rj )
1 i ri j rj

rcsk

ri rj
ri rj

where
i , j
ri , rj

Failure rates of components i and j comprising cut set k


Mean failure durations of components i and j comprising
cut set k

Second Order Cut Set with Components subject to


Normal and Adverse Weather.
i , i Failure

rate of component i in the normal and adverse


weather
N , S Mean duration of normal and adverse weather
csk a b c d

Nr Nr
N
( i j i j i j)
N S N ri
N rj

33

r
Srj
N
r
Sri
(i i j
j j i
)
N S
N S ri
N S rj

Nrj
S
Nri
(i j
j i
)
N S
N ri
N rj

Srj
S
Sri
(i j
j i
)
NS
S ri
S rj

where
Component due to both failures occurring during normal
weather
Initial failure in normal weather, second failure in adverse
weather
Initial failure in adverse weather, second failure in normal
weather
Both failures during adverse weather.
a

Combining n Cut Sets


T cs1 cs 2 csn
rT (cs1rcs1 cs 2 rcs 2 csn rcsn ) / T

34

APPLICATION OF CUT SET METHOD TO


EXAMPLE SYSTEM
Cut set 1: One line failure and breaker stuck.
av

N S
12.621
NS

cs1 2 av 0.1 2.524 f / y

rcs1 8hr

Cut set 2: One generator failure and load changes from


50 to 140
g 0.1 / day 36.5 / year

load

8760
547.5 / year
16

rg 12hr .00137 yr

rload 8hr .000913 yr

cs 2

g load (rg rload )


88.306 / yr
(1 g rg load rload )
rcs 2

rg rload
rg rload

35

4.8hr

Cut set 3:One line failure (breaker not stuck) and load
changes from 50 to 140
l av 0.9
rl 8hr

cs 3
rcs 3

l load ( rl rload )
15.03 / yr
(1 l rl load rload )

rl rload
4hr
rl rload

Cut set 4: Two lines fail(breaker not stuck)


For each line

10 .9 9 / yr

100 .9 90 / yr
r 8hr .000913 yr

N 200hr .022831 yr
S 6hr .000685 yr

Applying the equation for second order cut set exposed


to fluctuating environment,
cs 4 .3888 / yr
rcs 4 4hr .

For the system

T cs1 cs 2 cs 3 cs 4 106.25 / yr

rT
T

(cs1rcs1 cs 2 rcs 2 cs 3 rcs 3 cs 4 rcs 4 )


4.76hr
T

1
rT

Frequency of failure =
Probability of failure =

36

T
T 100.45 / yr
T T
T
T T

= .0546

Monte Carlo Simulation

37

Introduction
The Monte Carlo method mimics the failure and repair history of
components and the system by using the probability distributions
of component states.
Statistics are collected and indices estimated by statistical
inference.
Two main approaches: random sampling , sequential simulation.

Random number generator:


Each number should have equal probability of taking on any one of the
possible values and it must be statistically independent of the other
numbers in the sequence. Random numbers in a given range follow a
uniform probability density function.
Multiplicative congruential method:
Random number Rn+1, can be obtained from Rn :
Rn+1 = (a Rn ) (modulo m)
where
a,m= positive integers, a < m.
Rn+1 is the remainder when (aRn) is divided by m.
suggested values
a=455 470 314
m=231 -1 = 2147 483 647
R0 = seed
= any integer between 1 and 2147 483 64
Range can be limited by truncation. For example if rn between 0 and 999
are required, the last three digits of the random number generated can
be picked up. If rn between 0 and 1 is required, put a decimal before the
rn generated.

Random sampling
Sampling a component state:
38

Consider a component that has probability distribution:


State
number Probability
(random variable)
1
.1
2
.2
3
.4
4
.2
5
.1
Let us assume that the random numbers lie in the range 0 to 1. We can
assign the random numbers proportional to their probability as follows:
Random
number drawn
0 to.1
.1+ to .3
.3+ to .7
.7+ to .9
.9+ to 1.

State sampled
1
2
3
4
5

So if a rn is .56 ,then we say that state number 3 is sampled.


This procedure can be more simply carried out by using a cum prob or
probability distribution function. The prob mass function and
corresponding probability distribution function for this component are
shown below:

P(X=

1.0

1.0

0.9

0.9

0.8

0.8

0.7

0.7

x ) 0.6

0.6

0.5

0.5

0.4

0.4

0.3

0.3

0.2

0.2

0.1

0.1

0
1

Random Observation
1

39

< x)

F(x)=P(X

Now you can place the rn on the vertical axis and read the value of the
state sampled on the horizontal axis. It can be seen that this is equivalent
to proportional sampling.

Sampling a system state:

If a system consists of n independent components, then to sample a


system state, n random numbers will be needed to sample the state of
each component. For example for a system of two components with the
pdfs shown above, sampling may proceed as follows. Random numbers
used are found by a computer program and are shown on the next page.
RN for component 1
RN for comp 2
System state
.946
.601
(5,3)
.655
.671
(3,3)
.791
.333
(4,3)
.345
.532
(3,3)
.438
.087
(3,1)
.311
.693
(3,3)
.333
.918
(3,5)
.998
.209
(5,2)
.923
.883
(5,4)
.851
.135
(4,2)
.651
.034
(3,1)
.316
.525
(3,3)
.965
.427
(5,3)
.839
.434
(4,3)
Now if you want to estimate the probability of say state (3,3)
-

P(3,3) = n/N
where
n = number of times state sampled
N = total number of samples.
From the table
-

P(3,3) = 4/14

40

=2/7
=.286
The actual prob of (3,3) is
.4x.4 = .16
If this sampling and estimation are continued the estimated value will
come close to .16.
You can appreciate on of the problems of Monte Carlo that the indices
obtained are estimates. So one must have some criterion to decide
whether the indices have converged or not.

A Sequence of Random Numbers Generated


.946
.601
.655
.671
.791
.332
.345
.532
.438
.087
.311
.693
.333
.918

.308
.116
.864
.917
.126
.157
.837
.029
.865
.603
.203
.823
.969
.509
41

.998
.209
.923
.883
.851
.135
.651
.034
.316
.525
.965
.427
.839
.434

.407
.355
.885
.931
.896
.680
.057
.922
.113
.852
.931
.538
.504
.925

42

Sequential Simulation

Sequential simulation can be performed either by advancing time in


fixed steps or by advancing to the next event.
Fixed time interval method:
This method is useful when using Markov chains,i.e., when transition
probabilities over a time step are defined. This is simulated using
basically the proportionate allocation technique described under
sampling. This is indeed sampling conditioned on a given state. This can
be illustrated by taking an example. Assume a two state system and the
probability of transiting from state to state over a single step given by the
following matrix:

Initial State
0
1

Final State
0
0.3
0.4

1
0.7
0.6

Starting in state 0, select a rn and the next state is determined as follows:


digit
0 to 0.3
0.3+ to 1.0

event
stay in state 0
transit to 1

Similarly starting in state 1,


digit
0 to 0.4
0.4+ to 1.0

event
transit to 0
stay in 1

Construction of a realization for 10 steps:


43

Step
1
2
3
4
5
6
7
8
9
10

RN
.947
.601
.655
.671
.791
.333
.345
.531
.478
.087

State
0
1
1
1
1
1
0
1
1
1

Next event method:


This method is useful when the times in system states are defined using
continuous variables with pdfs. Keeping in mind that discrete rvs are
only a special case of continuous rvs ,the previously described method of
reading a variable from the pdf using a rn can be used. Consider for
example a rv X representing the up time of a component and
distribution
F(x) = P(X x)
as shown in the following figure. Now if a rn between 0 and 1. is drawn,
then the time to failure can be read as shown:

F(x) = P(X

< x)

RN

Value of RV

RV X

Continuous distributions are approximated by discrete distributions


whose irregularly spaced points have equal probabilities. The accuracy
44

can be increased by increasing the number of intervals into which (0,1) is


divided. This requires additional data in the form of tables. Although the
method is quite general, its disadvantages are the great amount of work
required to develop tables and possible computer storage problems. The
following analytic inversion approach is simpler.
Let Z be a random number in the range 0 to 1 with a uniform probability
density function, i.e., a triangular distribution function:

0 Z 0

f ( z ) 1 0 Z 1
0 Z 0

Similarly

0 Z 0

F ( z) z 0 Z 1
1 Z 1

Let F(x) be the distribution from which the random observations are to
be generated. Let
z = F(x)
Solving the equation for x gives a random observation of X. That the
observations so generated do have F(x) as the probability distribution
can be shown as follows.
Let be the inverse of F; then
x = (z)
Now x is the random observation generated. We determine its
probability distribution as follows

45

P(x X) = P(F(x) F(X))


= P(z F(X))
= F(X)
Therefore the distribution function of x is F(X), as required. In the case
of several important distributions, special techniques have been
developed for efficient random sampling.
In most studies, the distributions assumed for up and down times are
exponential. The exponential distribution has the following probability
distribution

P( X x) 1 ex
where 1/ is the mean of the random variable X. Setting this function
equal to a random decimal number between 0 and 1,

z 1 e x
Since the complement of such a random number is also a random
number, the above equation can as well be written as

z ex
Taking the natural logarithm of both sides and simplifying, we get
x

ln( z)

which is the desired random observation from the exponential


distribution having 1/ as the mean.
This method is used to determine the time to the next transition for every
component, using or for , depending on whether the component is
UP or DOWN. The smallest of these times indicates the most imminent
event, and the corresponding component is assigned a change of state. If

46

this event also results in a change of status, (e.g., failure or restoration) of


the system, then the corresponding system indices are updated.

The procedure can be illustrated using an example of two components


with data as given below.
Component
(f/hr)
(rep/hr)
1
.01
.1
2
.005
.1
Time

0
5
9
49
51
101
112
161

Random Number
for Component
1
2
.946
.655
.670
.790
.332
.437

.601
.345
.531
-

47

Time to change
1

5
0/4
0/40
0/2
0/110
60
49
0/8

101
96
92
52
50
0/11
0/127
78

Compon
ent state
1
2
U
D
U
D
U
U
U
D

U
U
U
U
U
D
U
U

169
239
251
324

.087
-

.311
.693
.333

0/244
174
162
89

70
0/12
0/73
0/

U
U
U
U

indicates time causing change and is added to obtain the total time.

48

U
D
U
D

REFERENCES
1. C. Singh, Course Notes: Electrical Power System
Reliability, http://www.ece.tamu.edu/People/bios/singh/
2. C. Singh, R. Billinton, System Reliability Modelling and
Evaluation, Hutchinson Educational, 1978, London
3. R. Billinton, R. Allen, Reliability Evaluation of Power
Systems, Plenum Press, 1984

49