Metrika (2009) 69:337–349

DOI 10.1007/s00184-008-0220-5

Remaining useful life in theory and practice

Dragan Banjevic

Published online: 4 December 2008

© Springer-Verlag 2008

Abstract Remaining useful life (RUL) is nowadays in fashion, both in theory and
applications. Engineers use it mostly when they have to decide whether to do mainte-
nance, or to delay it, due to production requirements. Most often, it is assumed that in
later life of an equipment (in wear-out period), the hazard function is increasing, and
then the expected RUL, µ(t), is decreasing. We noticed that the standard deviation
of RUL, σ (t), is also decreasing, which was expected and known, but that the ratio
σ (t)/µ(t) is also increasing, which was a surprise. Initiated by this observation, we
have proved that under some general conditions, which include Weibull distribution
with shape parameter >1, this is indeed the case. Even more, we have proved that
the limiting distribution of standardized RUL is exponential, so that the variability of
RUL is relatively large. The role of condition monitoring in the evaluation of RUL is
discussed. Various models for RUL depending on covariates are considered.

Keywords Remaining life · Increasing hazard · Limiting distribution · Weibull

distribution · Conditional distribution · Condition monitoring

1 Introduction

In modern industrial environment it is common to monitor periodically, or even contin-

uously, life and state of operating equipment, particularly if its lifetime (time to failure)
is a random variable and cannot be predicted with certainty. Condition monitoring can
provide information on current working age and state of the system measured by
some diagnostic variables and also on environmental conditions that may affect its

D. Banjevic (B)
Department of Mechanical and Industrial Engineering, University of Toronto,
5 Kings’ College Road, Toronto, ON M5S 3G8, Canada
e-mail: banjev@mie.utoronto.ca

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338 D. Banjevic

future life. This information then can be used for prediction of the remaining useful
life (RUL) of the system and planning of maintenance activities. Let T be the time
to failure of the system, and suppose the system has survived until time t. Then the
“conditional” random variable X t = T − t (defined when T > t), i.e., the remaining
time to failure, is called the “RUL” of the system. The conditional reliability function
Rt (x) = Pt (X t > x) = P(T − t > x|T > t) contains all information required for
prediction and planning of future activities depending on RUL. For example, a main-
tenance decision policy depending on risk may be to stop operation and do preventive
maintenance at the first moment t when for fixed x (e.g., the length of a regular
inspection interval) probability of failure before x, Ft (x) = 1 − Rt (x), exceeds cer-
tain predetermined level. Another method may be to calculate (estimate) the expected
residual life, often called mean residual life (MRL), and use it either as a point estimate
of RUL or to create a prediction interval for RUL. Obviously, MRL value itself, even if
correct, may not be very useful due to variation of RUL. On the other hand, if a failure
should be prevented, then the system should be stopped safely before MRL. Regard-
less how MRL is used, as a function of t it is an important practical and theoretical
quantity that describes aging of the equipment. MRL function is closely related to the
widely used hazard rate function h(t). This relationship will be considered in detail
later. Muth (1977) suggests that MRL is more informative and useful than the hazard
function. It may be the case, but h(t) is so rooted in engineers’ psyche that it will be
difficult to replace it with something else, even if it is more useful. A convenient rela-
tionship between µ(t) and h(t) is of interest. It will be proved that, under some mild
conditions, µ(t) ∼ 1/ h(t) and that the limiting remaining life distribution is expo-
nential. Incorporation of condition information into calculation of remaining life is of
growing interest in applications and will be discussed in the last section of the paper.

2 Definitions and basic properties

Consider a nonnegative random variable T which represents random time to failure

of an item. Let R(t) = P(T > t), t ≥ 0, be its reliability function. Let for simplicity
R(t) > 0 for all t, and let T be absolutely continuous
so that its density function
t
f (t), and its hazard function h(t) exist. Let also H (t) = 0 h(x)d x be the cumulative
hazard function.
Let X t = T − t be the RUL of T at t, which is defined if T > t, and let

Rt (x) = Pt (X t > x) = P(T − t > x|T > t), x ≥ 0,

be its reliability function, h t (x) its hazard function, and f t (x) its density function.
Then

R(t + x) ∂ f (t + x)
Rt (x) = , f t (x) = − Rt (x) = = h(t + x)Rt (x),
R(t) ∂x R(t)
x t+x
f t (x)
h t (x) = = h(t + x), Ht (x) = h t (s)ds = h(s)ds = H (t + x) − H (t).
Rt (x)
0 t

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Remaining useful life 339

Note that if we consider Rt = Rt (·) as an operator on the set of reliability functions,

then it is easy to see that Rx ◦ Rt = (Rt )x = Rt+x = Rt ◦ Rx .
Mean residual life function (MRLF) is defined as

µ(t) = E t X t = E(T − t|T > t).

Then µ(0) = µ = E T and

∞
∞
t
t R(x)d x µ − 0 R(x)d x µ − t R(t) µ
µ(t) = Rt (x)d x = = ≤ = − t,
R(t) R(t) R(t) R(t)
0

so that MRLF is defined if and only
∞if µ < ∞, which

∞we assume in the follow-
ing. Let us also note that µt (x) = 0 (Rt )x (y)dy = 0 Rt+x (y)dy = µ(t + x).

∞  (t)  (t)+1
One can easily see from µ(t) = t R(x)d x/R(t) that h(t) = − RR(t) = µ µ(t) , or

t µ (x)+1
t dx
− −
= µ(0)
dx
R(t) = e 0 µ(x) µ(t) e
0 µ(x) , i.e., MRLF uniquely defines the distribution.

This also means that µ(t) cannot be any
positive function, but with slight restrictions
∞
that µ (t) ≥ −1 (from h(t) ≥ 0) and 0 d x/µ(x) + ln µ(∞) = ∞. On the other

∞
side, restriction on h(t) is only 0 h(x)d x = ∞. The relationship between h(t)
and µ(t) can be used to derive some classes of lifetime distributions. For example, if
µ(t) = µ exp(−βt), where β ≤ 1/µ, then
  
1 βt 1 1 βt 1
h(t) = e − β, R(t) = exp − e − − µβt ,
µ µ β β

or if µ(t) = µ × (1 + t/b)−β , where β ≤ b/µ, then

   
1 t β β t −1
h(t) = 1+ − 1+ ,
µ b b b

and
    

t β b t β+1
R(t) = 1 + exp − 1+ −1
b µ(β + 1) b

(Muth 1977). For other details on RUL see Guess and Proschan (1988) and Reinertsen
(1996) for practical applications and problems.
A very interesting simple relationship exists between MRLF and the hazard func-
tion, or more directly, reciprocal of the hazard function:

∞ ∞  
1 1 1 
µ(t) = Rt (x)d x = h t (x)Rt (x)d x = E t =E T >t . (1)
h t (x) h t (Tt ) h(T ) 
0 0

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340 D. Banjevic

As a special case of (1) we have the formula

1
µ = µ(0) = E .
h(T )

So, mean time to failure is the average of the reciprocal hazard. This formula may not
have a big technical value, but may be useful as a guidance for developing statistical
procedures for estimation of the hazard and MRLF. More detailed relationship will be
considered in the following.
Let us just show how the previous definitions and properties can be applied to dis-
crete random variables. Let T be a discrete rv, where T ∈ {t0 , t1 , t2 , . . .}, 0 ≤ t0 <
t1 < t2 < · · · , where ti s need not be equally spaced (as it is the most common assump-
tion in theory). Let us define, by analogy with the continuous case and to accommodate
for nonequally spaced ti s, h(t0 ) = ∞, h(ti ) = P(T = ti |T ≥ ti )/(ti − ti−1 ), i > 0.
If we define µ(ti ) = E(T − ti |T > ti ), we also have
 
1 
µ(ti ) = E T > ti , i ≥ 0.
h(T ) 

If, by analogy with derivatives, we define divided difference at ti , i > 0, by µd (ti ) =

(µ(ti ) − µ(ti−1 ))/(ti − ti−1 ), and µd (t0 ) = ∞, then we have an analogous formula
with the continuous case

µd (ti ) + 1
h(ti ) = , i ≥ 0.
µ(ti )

The formula can be proved by noticing that µ(ti−1 )Ri−1 = (ti − ti−1 )Ri−1 +
µ(ti )Ri = [µ(ti−1 ) − µ(ti )]Ri−1 + µ(ti )Ri−1 and that h(ti ) = (Ri−1 − Ri )/
((ti − ti−1 )Ri−1 ), where Ri = P(T > ti ). We will not consider the discrete case
further on.
Our interest is in deteriorating equipment, and from now on we will assume that
the hazard function h(t) is increasing (nondecreasing) for t ≥ t0 , for some t0 ≥ 0.
Note that all results in the following that involve t are valid for t ≥ t0 . For simplic-
ity we will assume that t0 = 0. In practice the case of deterioration (“wear-out”)
is considered for more expensive and complicated equipment which is maintained
regularly and fixed when fails (which is most often a “minimal repair” which does
not change overall deteriorating trend of the unit). The goal is then to utilize the
equipment as much as possible until the end of its designed life, while still trying to
avoid a catastrophic, nonrepairable failure. This situation may explain interest in the
“RUL”, its distribution and expectation. In general, an IFR (increasing failure rate)
distribution can be defined by the property that Rt (x) decreases in t for each fixed x,
that is, the reliability for any fixed interval decreases with age. It is easy to see that
∂
∂t Rt (x) = −Rt (x)(h(t + x) − h(t)), which means that
∞
a distribution is IFR if and
only if h(t) is increasing. From the definition µ(t) = 0 Rt (x)d x, and property that
Rt (x) decreases in t, it follows that µ(t) also decreases in t, when the distribution is
an IFR. The opposite is not true, as Muth (1977) shows by a counterexample.

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3 Properties of the variance of the remaining life

Our main interest here is to investigate behavior of the variance of RUL, that is of

σ 2 (t) = V ar (X t ) = E[(T − t − µ(t))2 |T > t] = E[(T − t)2 |T > t] − µ2 (t) .

∞
Let function g(x) be such that Eg(T ) exists. Then Eg(T ) = g(x)d F(x) =

∞ 0
g(0) + 0 g  (x)R(x)d x, so that

∞
σ (t) = 2
2
x Rt (x)d x − µ2 (t) . (2)
0

We will first prove a very useful general inequality.

x
Lemma 1 Let u(x) ≥ 0, g(x) ≥ 0, and (u ∗ g)(x) = 0 u(s)g(x − s)ds. Then

∞ ∞ ∞
u(x)Rt (x)d x g(x)Rt (x)d x ≥ (u ∗ g)(x)Rt (x)d x.
0 0 0

∞
Proof 0 g(x)Rt (x)d x is decreasing in t, so that for s ≥ 0,

∞ ∞ ∞
g(x)R(x)d x ≥ g(x)Rs (x)d x ≥ g(x − s)R(x)/R(s)d x,
0 0 s

or

∞ ∞
u(s)R(s) g(x)R(x)d x ≥ u(s) g(x − s)R(x)d x,
0 s

or

∞ ∞ ∞ ∞
u(s)R(s)ds g(x)R(x)d x ≥ dsu(s) g(x − s)R(x)d x
0 0 0 s

∞ x ∞
= d x R(x) u(s)g(x − s)ds = (u ∗ g)(x)R(x)d x.
0 0 0

When we apply the last inequality to Rt (x), we get the result.

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342 D. Banjevic

Corollary 1 Let h(t) be increasing. Then

(a) σ 2 (t) is decreasing,
(b) σ 2 (t) ≤ µ2 (t).

Proof If we put u ≡ g ≡ 1, in Lemma 1 then (u ∗ g)(x) = x, and (3) follows, and

then from (3) and (2), (b) follows.

∞
x Rt (x)d x ≤ µ2 (t) . (3)
0

∞
For (a), consider (σ 2 (t)) = 2 0 x ∂t∂ Rt (x)d x − 2µ(t)µ (t) ≤ 0, or

∞
− x[h(t + x) − h(t)]Rt (x)d x ≤ µ(t)µ (t) = µ(t)(µ(t)h(t) − 1).
0

Then
∞ ∞
− xh t (x)Rt (x)d x + h(t) x Rt (x)d x ≤ µ2 (t)h(t) − µ(t),
0 0

or
∞
−µ(t) + h(t) x Rt (x)d x ≤ µ2 (t)h(t) − µ(t),
0

which is (3).
For an alternative proof of Corollary 1 and other properties of the residual variance,
see Gupta (1987). Some other useful inequalities can be obtained from Lemma 1, such
as

∞ ∞ ∞
x Rt (x)d x
k
x Rt (x)d x ≥ B(k + 1, l + 1)
l
x k+l+1 Rt (x)d x,
0 0 0

1
B(k, l) = 0 x k−1 (1 − x)l−1 d x, k, l ≥ 0. For example, if l = 0, then

∞ ∞
(k + 1) x Rt (x)d xµ(t) ≥
k
x k+1 Rt (x)d x,
0 0

or by using k − 1 instead of k, µ(t)E t X tk ≥ E t X tk+1 /(k + 1).

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Remaining useful life 343

The following identities are useful in deriving some results (see Bradley and Gupta
2003). Let function g(x) be such that g(x)µt (x) → 0, x → ∞. Then

∞
∞
(i) 0 g(x)Rt (x)d x = g(0)µ(t) + 0 g  (x)µt (x)Rt (x)d x,

∞
∞ g(x) 

(ii) 0 g(x)Rt (x)d x = g(0) h(t) + 0 h t (x) Rt (x)d x.

Identities (i) and (ii) are easily obtained by partial integration. For g(x) = x in (i)
we get

∞ ∞
x Rt (x)d x = µt (x)Rt (x)d x. (4)
0 0

∞
∞
From µt (x) = µ(t + x) ≤ µ(t), we have 0 µt (x)Rt (x)d x ≤ µ(t) 0 Rt (x)d x =
µ2 (t), or (3) in Corollary 1. If we put g(x) = µt (x) in (i), we get

∞ ∞
µt (x)Rt (x)d x = µt (0)µ(t) + µt (x)µt (x)Rt (x)d x
0 0
∞
= µ (t) + (h t (x)µt (x) − 1)µt (x)Rt (x)d x
2

0
∞ ∞
= µ (t) +
2
h t (x)µ2t (x)Rt (x)d x − µt (x)Rt (x)d x,
0 0

or
∞ ∞
2 µt (x)Rt (x)d x = µ (t) +
2
h t (x)µ2t (x)Rt (x)d x. (5)
0 0

In Corollary 1 we have proved that σ 2 (t)/µ2 (t) ≤ 1. We also have proved that both
σ 2 (t) and µ2 (t) are decreasing. We are interested now in behavior of σ 2 (t)/µ2 (t). We
will show that under broad conditions which include Weibull distribution with shape
parameter greater than 1, σ 2 (t)/µ2 (t) ↑ 1. We need a technical result.

∞
Lemma 2 (a) If h(t)µ(t) is increasing, then h(t)µ(t) ↑ 1, and 0 x Rt (x)d x ×
(2 − h(t)µ(t)) ≥ µ2 (t).
(b) If 1/ h(t) is a convex function (i.e., (1/ h(t)) ↑), then h(t)µ(t) is increasing.

Proof If h(t)µ(t) is increasing, then µ (t) = h(t)µ(t) − 1 is also increasing, i.e.,

µ(t) is convex. We will show that µ (t) ↑ 0, so that h(t)µ(t) ↑ 1. From µ(t) ↓,
µ (t) ≤ 0, that is h(t)µ(t) ≤ 1. From convexity of µ(t) it follows that for y > t,
µ(t) ≥ µ(y) + µ (y)(t − y) = µ(y) + |µ (y)|(y − t) ≥ |µ (y)|(y − t). Then µ(t) ≥
lim sup y→∞ |µ (y)|(y − t), so it mast lim sup y→∞ |µ (y)| = lim y→∞ |µ (y)| = 0.

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344 D. Banjevic

 
From the proof it also follows that µ (y) = o 1
y , y → ∞. From h t (x)µt (x) =

∞
h(t + x)µ(t + x) ≥ h(t)µ(t), and from (5), 2 0 µt (x)Rt (x)d x ≥ µ2 (t) +

∞
h(t)µ(t) 0 µt (x)Rt (x)d x, and (a) follows. For (b), we need (h(t)µ(t)) ≥ 0, or
h  µ + hµ = h  µ + h(hµ − 1) = (h  + h 2 )µ − h ≥ 0, and using that h  ≥ 0, we
need µ ≥ h 2 +h
h
 = h 1+h  / h 2 = h 1−(1/ h) . If we use g(x) ≡ 1 in identity (ii), we get
1 1 1 1

∞
∞  
µ(t) = 0 Rt (x)d x = h(t) 1
+ 0 h t 1(x) Rt (x)d x. If 1/ h ↓, then (1/ h) < 0. If
 

∞
(1/ h) ↑, then 0 > (1/ h t (x)) > (1/ h(t)) , and µ(t) ≥ h(t)
1
+ h(t)
1
0 Rt (x)d x =
 
h(t) + h(t) µ (t), or µ ≥ h 1−(1/ h) , as required. So, if s(t) = 1/ h(t) is convex,
1 1 1 1

then

1 1 1

≤ µ(t) ≤ . (6)
h(t) 1 − s (t) h(t)

We will also show that s  ↑ 0. s(t) is decreasing and 0 ≥ s  ↑. From convexity of

s(t) it follows s(t) ≥ s(y) + s  (y)(t − y) = s(y) + |s  (y)|(y − t) ≥ |s  (y)|(y − t).
Then, as above for µ (t), it follows that s  (t) → 0. From the proof it also follows
that s  (t) = o( 1t ), t → ∞. For a more general result, see Bradley and Gupta (2003,
Theorem 4).
By combining Lemma 2 (a) and (6) we get simple inequalities

1 h(t)µ(t) σ 2 (t)

≤ ≤ 2 ≤ 1, (7)
1 − 2s (t) 2 − h(t)µ(t) µ (t)

and

1 σ (t)
≤ ≤ 1. (8)
1 − s  (t) µ(t)

Theorem 1 If 1/ h(t) is a convex function, that is (1/ h) ↑, then σ 2 (t)/µ2 (t) ↑ 1.

∞
Proof From Lemma 3, h(t)µ(t) ↑ 1. Let G 1 (t) = 0 x Rt (x)d x. Then

σ 2 (t)/µ2 (t) = (2G 1 (t) − µ2 (t))/µ2 (t) = 2G 1 (t)/µ2 (t) − 1.

Then we have to prove that v(t)
= G 1 (t)/µ2 (t) is increasing, or v  (t) ≥ 0,

 ∞
or G 1 µ − G 1 2µ ≥ 0, or µ(t) 0 x ∂t∂ Rt (x)d x − 2G 1 (t)(h(t)µ(t) − 1) ≥ 0,

∞
or −µ(t) 0 x[h t (x) − h(t)]Rt (x)d x − 2G 1 (t)(h(t)µ(t) − 1) ≥ 0, or −µ(t)(µ(t)
− h(t)G 1 (t)) − 2G 1 (t)(h(t)µ(t) − 1) ≥ 0, or G 1 (t) × (2 − h(t)µ(t)) ≥ µ2 (x).
The monotoneity then follows from Lemma 2 (a). Also, 1 ≥ v(t) = G 1 (t)/µ2 (t) ≥
1/(2 − h(t)µ(t)) → 1, t → ∞. Then also σ 2 (t)/µ2 (t) = 2v(t) − 1 ↑ 1.
 1−β 
Example 1 For Weibull distribution, h(t) = β(t/θ )β−1 , s(t) = β1 θt , s (t) =
1−β  t −β β−1  −β−1
βθ θ , and s  (t) = θ 2 θ t
. Assume that β > 1, so that s(t) is convex and

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Remaining useful life 345

0 > s  (t) ↑ 0, so that σ 2 (t)/µ2 (t) ↑ 1. This result would be quite difficult to prove
directly, using some special properties of the Gamma function.

λ β
Example 2 For Gamma distribution with pdf f (t) = (β) t β−1 e−λt , s(t) =

∞ x β−1 −λx
0 (1 + t ) e d x ↓ for β > 1, so the hazard function is increasing. Also,
for β > 1, s  (t) ≥ 0, so s(t) is convex.

We want to note that equivalent results that are proved for increasing h(t) and
convex s(t) can be proved for decreasing h(t) and concave s(t). This also applies to
results obtained in Sect. 4. More on limiting behavior of MRLF in the general case,
without assuming increasing hazard, can be found in Bradley and Gupta (2003).

4 Limiting distribution of remaining useful life

It is of interest to investigate the limiting distribution of X t , properlynormalized. From


−t
the property that h(t)µ(t) ↑ 1, and σ (t)/µ(t) ↑ 1, it should be that P Tσ (t) > x|T > t ,
   
−t −t
P Tµ(t) > x|T > t , and P Ts(t) > x|T > t = P(h(t)(T − t) > x|T > t) have the
same limit when t → ∞, if the limit exists. In applications it would be the simplest
to use the last value.

Theorem 2 Under the assumptions for which σ 2 (t)/µ2 (t) ↑ 1, that is, s  (t) ↑ 0,
 
T −t
P >x|T >t → e−x , t → ∞.
s(t)
 
T −t
Proof P > x|T > t = P(T −t > xs(t)|T > t) = Rt (xs(t)) = exp{−[H (t+
s(t)

t+xs(t)
t+xs(t)
xs(t)) − H (t)]} = exp{− t h(u)du}. We have to prove that t h(u)du →

t+xs(t)
t+xs(t)
x, when t → ∞. From h(t) ↑, t h(u)du ≥ h(t) t du = h(t)s(t)x = x.
Due to convexity of s(t), for all t, t1 , s(t + t1 ) ≥ s(t1 ) + s  (t1 )t, and for t1 = xµ(t),

t+xs(t)
s(t + xµ(t)) ≥ s(t) + s  (t)xs(t) = s(t)(1 + xs  (t)). Then t h(u)du ≤
s(t) 
h(t + s(t)x)s(t)x = s(t+s(t)x) x ≤ 1+xs  (t) → x, because s (t) → 0 when t → ∞,
x

which follows from the assumption that (1/ h) ↑, as shown in Lemma 2. From the
proof of the theorem the bounds for the conditional distribution follow
 
−x 1−x|s1  (t)| T −t
e ≤P >x|T >t ≤ e−x . (9)
s(t)

Example 3 For the case of Weibull distribution, for h(t) = βt β−1 (with θ = 1),
inequality (9) can be slightly improved. Let, for simplicity, β ≥ 2, so that h(t) is
convex (similar derivation can be obtained when 1 <
t+x β < 2, that is, when h(t)

t+x
is concave). Consider directly X t = T − t. Then t h(u)du ≥ t (h(t) +

x 2
  (t)

h  (t)(u −t))du = 0 (h(t)+h  (t)u)du = h(t)x +h  (t) x2 = xh(t) 1 + 21 x hh(t) . In

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346 D. Banjevic

t+x  
a similar way, t h(u)du ≤ 21 x(h(t) + h(t + x)) = xh(t) 1 + 21 x h(t+x)−h(t)
h(t)x ≤
 
    
β−2
(t+x)
xh(t) 1 + 21 x h h(t) , i.e., exp −xβt β−1 (1 + 21 x β−1
t 1 + xt ≤ P(T − t >
  
x|T > t) ≤ exp −xβt β−1 1 + 21 x β−1 t . Let β = 3 and t = 1 (i.e., somewhere
around the average life), then

exp{−3x(1 + x(1 + x)} ≤ P(T − t > x|T > t) ≤ exp{−3x(1 + x)}.

For example, the probability that the unit will survive one more average life (x = 1) is
not greater than exp(−3×2) = 0.0025 = 0.25%, and that will survive at least a half of
the average life (x = 0.5) is not greater than exp(−3 × 0.5 × 1.5) = 0.105 = 10.5%,
but is at least 7.2% (from the lower bound). For larger t the bounds are more accu-
rate. From µ(t) ≤ 1/ h(t) = 1/(βt β−1 ) and t = 1, the MRL is not greater
t+x than 1/3;
from (6), it is not smaller than 1/5. Actual values can be obtained from t h(u)du =
(t +x)β −t β = t β ((1+ xt )β −1). Calculation of µ(t) would require numerical integra-
tion, or incomplete Gamma function. Our results improve and generalize asymptotic
results obtained by Siddiqui and Çağlar (1994) for Weibull and Gamma distributions.
 
−t
Meilijson (1972) also proves that P Tµ(t) > x|T > t → exp(−x) when t → ∞,
but under indirect, less practical technical conditions that there exists a positive, non-
decreasing function ϕ such that ϕ(t)/t ↓ 0 and µ(t)/ϕ(t) → 1 as t → ∞. These con-
ditions, for example, do not cover (in general) our case of increasing hazard. Balkema
and De Haan (1974) discuss the asymptotic behavior of the distribution of the residual
life time. For example, the Corollary to their Theorem 8 states that the limiting dis-
tribution is exponential if and only if σ 2 (t)/µ2 (t) → 1. Combining our Theorem 1
and their Corollary, our Theorem 2 follows. An interesting result is obtained by Li
and Cao (1993), simultaneously with Kalpakam (1993), who prove that the limiting
distribution of the residual lifetime of a Markovian repairable system with finite state
space is exponential.

5 Condition monitoring and remaining useful life

Incorporation of conditional information into “calculation” of RUL is of great impor-

tance in current industrial practice with lot of condition monitoring and periodical
inspections, but is a much more complicated theoretical and practical problem than
with age information only. In practical applications, longer term predictions are mostly
based on deterministic models, mainly empirical, depending on measures of deterio-
ration. On the other hand, theoretical stochastic models are often complicated, and not
supported with real data. A good review of practical applications of RUL is Reinertsen
(1996). For an example of practical MRL estimation see Elsayed (2003). Considering
similar problem (a model for fatigue crack growth prediction), Myötyri et al. (2006)
discuss principal problems related to prediction of RUL. They argue that components’
lifetimes are often modeled using only static probability distribution without taking
into account any condition monitoring data, or by deterministic deterioration models
“even when it is known that the phenomena are stochastic by nature.” Because the

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monitoring data most often does not tell exactly the component degradation state, but
includes uncertainties, they consider a general stochastic filtering approach for lifetime
prediction. The approach requires (a) a stochastic model relating the degradation pro-
cess to the lifetime, (b) a model relating the condition monitoring to the degradation
state, and (c) the prediction of the residual lifetime using conditioning. This approach
is sound theoretically, and should be used whenever possible, but in practice often
there is no realistic definition of end of life criteria in terms of the functionality of
the component and its deterioration. As the deterioration process is often observed
(or even defined) only through condition monitoring, the more realistic approach is to
directly relate the condition monitoring variables to the lifetime, i.e., the first part of
(b) to the last part of (a). Results of regular condition monitoring, such as from oil or
vibration analysis, are used in practice for short term predictions, mostly of risk of fail-
ure. Some models such as the proportional hazards model (PHM), or accelerated life
are often used in reliability/statistical approach. Most models are based on experience
and simple trending. Strictly speaking, these models are more empirical than based on
a sound theory, due to technical difficulties requiring a probabilistic model for behav-
ior of covariates. If Z (t) is a covariate information (measurement) available at time
t (which may also include all past information), the conditional reliability function
is defined as Rt (x|Z (t)) = P(T − t > x|T > t, Z (t)). This requires a description
of the joint distribution of T and Z (t), as suggested above in (a) and (b), which is a
much more difficult problem than just a model for T . There is often a lot of noise and
irrelevant information in Z (t), which makes the problem even more difficult. MRLF
can be defined as

µ(t, Z (t)) = E(T − t|T > t, Z (t)).

Not much was devoted to this function in the literature until recently, but the situa-
tion is changing now due to its growing importance in applications. Two approaches
are often considered: first, in which a model for the hazard depending on covariates,
h(t, Z (t)), is used, and then from it the conditional distribution and MRLF are calcu-
lated, and second, in which a direct model for MRLF is assumed, to bypass the condi-
tional distribution. When covariates are time independent (Z (t) ≡ Z ), in the second
approach, Maguluri and Zhang (1994) use the proportional MRL model, that is, they
assume (in our notation) that µ(t, Z ) = µ0 (t)/q(Z ), q(0) = 1. Then, for that model
h(t, Z ) = h 0 (t)+(q(Z )−1)/µ0 (t). See also Yuen et al. (2003) and Chen et al. (2005).
With time-dependent covariates, an ad hoc model is µ(t, Z (t)) = exp{β(t)Z (t)},
where β(t) is a time-dependent
coefficient. Müller and Zhang (2005) use a more gen-
t
eral model µ(t, Z (t)) = g(t, 0 β(s, t)X (s)ds) for given link function g(t, s) and
time-dependent coefficients β(s, t). A variation of the first approach is to use directly
a model for the hazard at s, s > t, h(s|t, Z (t)), conditional on current time t and Z (t),
e.g., h(s|t, Z (t)) = h 0 (s|t) exp{β(t)Z (t)}
(Van Houwelingen 2007), and then do the
t+x
calculation from R(x|t, Z (t)) = exp{− t h(s|t, Z (t))ds. Another more empiri-
cal ad hoc method is to select a class of distributions R0 (x, θ ), and then to calculate
the RUL distribution as Rt (x|Z (t)) = R0 (x, θ̂ (t, Z (t))). For example, if we choose
Weibull distribution, we may fix the shape parameter β = β0 , and reestimate the scale
parameter η̂ = exp{γ (t)Z (t)} at every new t.

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348 D. Banjevic

All these ad hoc models for the case of time-dependent covariates may work well
for fixed t, or be good approximations for a range of t values, but are incorrect, in
principle. As it is for the function µ(t), which cannot be selected arbitrarily (it should
be, at least, µ (t) ≥ −1), the function µ(t, Z (t)) is subject to even more restrictions,
depending on stochastic behavior of Z (t). As it is pointed out by Jewell and Nielsen
(1993), an ad hoc model for µ(t, Z (t)) cannot be formally used, because it may vio-
late the “consistency condition” for Rt (x|Z (t)). Starting from a model for h(t, Z (t))
(e.g., PHM), h(s|t, Z (t)) cannot be selected arbitrarily, but should be calculated
from the formula h(s|t, Z (t)) = E[h(s, Z (s))|T > s, Z (t)] for all s, t, s > t. Van
Houwelingen (2007) recognizes the problem and provides some discussion and a list
of references related mainly to lifetime data problems. For some other models see also
Sen (2004). A consistent approach using a discrete Markov process model for Z (t) is
considered in Banjevic and Jardine (2006), with application to transmission oil anal-
ysis data. In a dynamic industrial environment, the models with covariates would be
preferable, but they are less used, due to complexity and requirements for regular stor-
age and retrieval of the condition information. Decisions are often done ad hoc, using
experience for short-term “emergency alarm” to stop the operation. With degradation
variables that show slow development, the prediction of RUL is easier, and is then
used for planning of maintenance or decisions on extended life of the aged equipment.
There is also a situation in many practical applications when covariates are external
or nonstochastic, but “unpredictive”, that is, no stochastic model can be used for their
behavior (such as for demand, load, business decisions), but still there is a requirement
to somehow predict the remaining life. The previous covariate history of the unit is
known, and it “consumed” a part of the unit’s life. A possible approach to solve this
problem is to use the virtual age concept and accumulated hazard to find the “cur-
rent age” and then do the prediction of RUL. Let h 0 (t,
z) be a baseline hazard that
t
depends on covariate value z = z(t), and H0 (t, z) = 0 h 0 (s, z)ds its accumulated
hazard for fixed value z. Let tc be the current time, z c = z(tc ), and z(s), s ≤ tc the

t Virtual age at tc , vc = v(tc ) is defined as the solution to the equation
covariate history.
H0 (vc , z c ) = 0c h 0 (s, z(s))ds, i.e., the life vc that would be consumed if the covar-
iate was equal to z c all the time. Then, if conditions don’t change, (you tell to your
manager), the calculation related toRUL can be done by the formula Rtc (x|z c ) =

x 
v +x
exp − 0 h 0 (vc + s, z c )ds = exp − vcc h 0 (s, z c )ds . If the profile of z(s) can
be fixed after tc , it can be used in integration in the accumulated hazard. For more
details on virtual age and accumulated hazard concepts, see Lugtigheid et al. (2004).
Let us finish with the words of an engineer when we asked him about RUL:
RUL—it is the operating hours left on equipment before it has to be down for
major repair. Some RUL is based on Vendor recommendations, some are based
on experience (e.g., wear on pumps) and some are based on deterministic anal-
yses (e.g., crack growth). However, the majority is experience-based. Due to
changing demands of operation, it is useful to have both predictions (remaining
life and risk of failure). At our company, RUL is based on age and “normal”
operating conditions. PM’s are scheduled based on typical RUL’s but may be
moved to accommodate either unexpected deteriorating equipment conditions
or unplanned production demands. [There are] good examples of maintenance

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items that is based on RUL, [and other that] are good examples of maintenance
items that is not based on RUL but based on current condition. I guess a good
summary of my comments is that when failure modes are known or predictable,
RUL becomes critical in scheduling maintenance. When failure is unpredictable
due to randomly changing conditions, then RUL becomes meaningless and main-
tenance decisions are based on current condition.
This understanding of RUL may not be strictly as in the theory, but the comments
perfectly shows standing of RUL in real life situations.

Acknowledgments This research was supported by the Manufacturing and Material Ontario and Natural
Sciences and Engineering Research Council of Canada.

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