Optimality of randomized strategies in a Markovian replacement model (Q1812297)

This paper studies a replacement system with discrete-time Markovian deterioration and finite state space. The condition, that the long-term fraction of replacement in the state should not be larger than some fixed number, is described. It is shown that a generalized control-limit policy maximizes the expected time between two successive replacements. It is explained how this optimal policy can be derived. Some numerical examples follow.