Real Option Approach to Evaluation of Plant Maintenance Strategies Based on the Controlled Markov Process
Real Option Approach to Evaluation of Plant Maintenance Strategies Based on the Controlled Markov Process
复制标题
基于受控马尔可夫过程的工厂维护策略评估的实物期权方法
DOI：
10.12949/realopn.3.1
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Y. Miyahara
中科院分区：
文献类型：
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作者：
Masataka Miwa;Y. Miyahara
设施的维护是为了通过保持可靠性来获得回报。由于设备的特性和经济条件的限制，维修策略的选择和评价必须是动态的。因此，需要采用动态评价方法。本文将维修策略问题建立为一个马尔可夫型随机控制问题，并尝试将风险敏感值测度（=熵值测度）方法和真实的期权方法应用于这一问题。在求解过程中，将维修策略中包含的选项理解为控制，并建立了一个模型，使得设备的结构是马尔可夫型的，评估方法是风险敏感值度量方法，（cid：52）灵活性被视为可控性（=选项）。我们研究了我们的模型的性能，通过使用模拟的方法，我们可以显示我们的模型的e（cid：94）cency。
: A maintenance of a facility is performed in order to obtain returns form it by maintaining reliability. Because of properties of facilities and of economical conditions, the policy of the maintenance has to be chosen and evaluated dynamically. Therefore the dynamic evaluation method is required. In this article we establish the maintenance policy problem as a Markov type stochastic control problem, and we try to apply the risk sensitive value measure (= entropic value measure) method and the real option approach to this problem. In the process to solve the problem, the options which are contained in the maintenance policy are understood to be controls, and we have constructed a model such that the structure of the facility is Markov type, the evaluation method is the risk sensitive value measure method and the (cid:52) exibility is treated as the controllability (= options). We study the performance of our model by the use of the simulation method, and we could have shown the e (cid:94) ciency of our model.