An application of quasi Monte Carlo methods for the numerical assessment of maintenance strategies

Jeanne Demgne (1, 2) , William Lair (2) , Jérome Lonchampt (3) , Sophie Mercier (1)

1 LMAP - Laboratoire de Mathématiques et de leurs Applications [Pau]
2 EDF - EDF
3 EDF R&D MRI - Management des Risques Industriels

To improve the management of maintenance planning and spare parts ordering of a fleet of components, different investments plans need to be compared. A new investments plan is compared with a reference one through an economic variable called the Net Present Value (NPV). Classically, Monte Carlo simulations are used to assess economic indicators such as the expected NPV and the probability for the NPV to be negative which stands for the probability to regret the performed investments plan. In this document, we propose to use quasi Monte Carlo methods as an alternative to the Monte Carlo (MC) method, which replace the random uniform numbers of the MC method by deterministic sequences with better uniformity properties.

Domaines: Probabilités [math.PR]

Jeanne Demgne, William Lair, Jérome Lonchampt, Sophie Mercier. An application of quasi Monte Carlo methods for the numerical assessment of maintenance strategies. 25th European Safety and Reliability Conference, ESREL 2015, 2015, Zurich, Switzerland. pp.907-916, ⟨10.1201/b19094-122⟩. ⟨hal-01355100⟩