_________________________________________________________________

..

-


, 220201.65

2010

 681.51.015
32.965
64
..
64
: /
.. ;
. : -
, 2010. 156 .
ISBN 978-5-98298-631-3

, .
.

. ,
.
220400
.
681.51.015
32.965

,
..

..

ISBN 978-5-98298-631-3

, 2010
.., 2010
.
, 2010

.
.
,
.
: . [8]
, ; . [23]
, ; . [22] .
, ; . [13]
() .
().
, . ,
,
. ,
, ,
. 1981
[11]
,
,
.

. ..

,

( ) 1945
1949 . ..
. ..
(1960 .) [33].

.
1.
, .
,
, ,
. (,
3

)
.
. [25]:
( );
;
- (, ,
);
(
).

( ).
.


.

, ,
( ),
, .

,

. 20913-75.
:

.

, ,
, , ,
.
,
,

. ,
.

.
,
.
,
.
4

 ,
,
,
, .
,


.
2.

. [3, 11, 32].
1.
:
,
(
);
,
,
.
2. :
.

.
,
.
.

, . ,
,

.
3. ,
.

, , , ,
.
4. :
5

.
,
,
.
,
.
.
.
5. .
, ,
, .
, ,
,
,
. ,
, , ,
. , :
;
;
;
;
;
;
.

,
. ,
,
,
.
6. .

: ,
, , ,
.
,
.
7. .

.
, ,
6

 , ,
.
2
1) . 2) ,
? 3)
? 4)
. 5)
. 6) .
7) . 8)
.

3.

.
.

[25].
:

,

();
(u);

,

(f) (v).

, ,
,
,
, , , ,
. ,

,

v.

.
[1].
.
. :
7

 ; .

.

.
F T

. 1. () ()

,
,

F, ,
, : F ,

,
.

,
.
-
.
. , , ,
, ,
.
. 2, . ,
. ,
.
.

: () , (L) ,
Q, , .
8

 T, L

, Q . ,
Q,
.

FA

FB

QA

QB

FA

FB

T
Q

FC
F

FC

FB

FC

L QA QB P

L T F C FA

FB

. 2.

, ,
.
.
,
, .
. ,
,

. ,
.
9


, (,
).
. ,
,
, . 2, .
,

. . 2, , , .

.
,
.
, .
,
,
.
, ,
(FA).
,
, . .
, , (
L), ,
( F, ). ,
F.
. 2,
Q,
( )
F.

, ,
, . ,
F
.
3
1)

? 2) , ,
,

10

 . ,
.

4.


, . ,
, ,
, .
( ,
xj
):
= 10 x ;
= 10 x1 +15 2 ;
= 10 x1 + 15 1 2 +20 12 .

, .

, .
: ''' + 2 '' + 4 ' + 10 = 5 + 17 ' . :
10 = 5 , = 0,5 .

:
, ,
, , ,
.
[3, 11, 24].
1. n- :
(n) + n-1 (n) + + 0 = bm x(m) + + b1 x' + b0 x .

.
, .
, .
.
, . ,
(
,
),
:
(n) + n-1 (n) + + 0 = b1 x' (t )+ b0 x (t ).
n- ,
(n 1)-
11


x (t).
2. .
,
, . .
.
:
1, 2
.
.
. 3- :
y''' + 7 '' + 4 = 21 x.

. = 1,
, :
'1 = 2;
'2 = 3;
'3 = 4 1 7 3 +21 .
,
2 , . .
.

x (t),
.
,
. .
,
x (t),
.
,
2 , 3 , . .

.

,
,

.
. : '' + 7 ' + 4 = 2 x + 5 '.

12

 '. 2
:
'1 = 2 + q1 x;
'2 = 4 1 7 2 + q2 .
q1 q2 .
2
:
2 = '1 q1 ;
y''1 q1 x' = 4 y1 7 ( y'1 q1 x ) + q2 .
,
:
''1 + 7 '1 + 4 1 = q1 x' + ( q2 + 7 q1 ) x.
'

:
q1 = 5;
q2 + 7 q1 = 2;
q1 = 5, q2 = 33.
:
'1 = 2 + 5 x;
'2 = 4 1 7 2 33 .
3. .
. 60-
XX .
,
. n ,
(n 1)- . -
, ,
(,
), .
,

,
. ,
:
' = + U;
Y = HX,
; '
; , , n n;
13

 ; U ; Y
; H .
,
, . ,
-.
, H
, . . .
. :
y''' + 7 '' + 5 ' + 3 = 2u1 + 4u2.
. ,

, . .
: X = Y.
.
x'1 = x2 ;
x'2 = x3 ;
x'3 = 3x1 5x2 7x3 + 2u1 + 4u2.
-
.
:
.
x 1 0 1 0 x1 0 0
x = 0 0 1 x + 0 0 u1
2
2 u 2 .
x 3 3 5 7 x3 2 4
,
:
x'1 = 0 x1 + 1 x2 + 0 x3 + 0 u1 + 0 u2;
x'2 = 0 x1 + 0 x2 + 1 x3 + 0 u1 + 0 u2;
x'3 = 3x1 5x2 7x3 + 2u1 + 4u2.
4. .
. W(s)
Y(s)
X(s) :
Y(s)
W(s) =
.
X(s)

. :
14

y''' + 7 '' + 5 ' + 3 = 2x + 4x'.

,
:
s3Y(s) + 7s2Y(s) + 5sY(s) + 3 Y(s) = 2X(s) + 4sX(s)
(s3 + 7s2 + 5s + 3) Y(s) = (2 + 4s)X(s).

2 + 4s
2 + 4s
X ( s ) W ( s ) = 3
.
2
s + 7 s + 5s + 3
s + 7 s 2 + 5s + 3


.

. :
Y ( s) =

W (s) =

2
.
s + 5s + 1
2

Y(s)
2
= 2
(s2 + 5s + 1) Y(s) = 2X(s).
X(s) s + 5s + 1


:
dy (t )
d 2 y (t )
X ( s ) x(t ), Y (t ) y (t ), sY ( s )
, s 2Y ( s )
.
dt
dt 2

'' + 5 ' + = 2x .

. , :
' = + U;
Y = HX.
:
s(s) = (s) + U(s);
Y(s) = HX(s).
, ,
,
. (s)
:
s(s) (s) = U(s);
[sE A] X(s) = U(s);
X(s) = [sE A]-1 U(s);
Y(s) =H[sE A]-1 U(s).

15

 ,
.
, W(s) = H[sE A]-1 .
. .
.
1 x1 1
x 1 0
=
x 2 4 x + 2u ;
2
2
x
y = [1 0] 1 ;
x2
1 s 1
1 0 0
sE A = s

=
.
0 1 2 4 2 s + 4
.
.
1.
. , ,
,
, . ,
(1)i+j, i, j
, .
2. .
3.
.
:
s + 4 2
.
+1
s

:
s + 4 + 1
.
2
s

= s ( s + 4) + 2 = s2 + 4s + 2.

W ( s ) = [1

s + 4 1 1
1
s+2
0]
=
.
2
2
2 s 2 s + 4 s + 4 s + 4 s + 4

5. () g(t).
()
-.
x(t),

16

 (t)
:
t

y (t ) = g (t ) x()d .
0

W(s)
:

W ( s ) = g (t )e st dt .
0

,
W(s).
,
.
. g(t) = e-2t + e-t. e-at
1/( a + s).
W ( s) =

1
1
2s + 3
+
= 2
.
2 + s 1 + s s + 3s + 1

. ,
, ,
:

N ( s ) k N ( si ) si t
W (s) =

e ,
M ( s ) i =1 M ( si )
si M(s) ; k
.
s1 = 2, s2 = 1. :

g (t ) =

2( 2) + 3 2t 2( 1) + 3 t
e +
e = e 2 t + e t .
2( 2) + 3
2( 1) + 3

6. h(t).
.
h(t) g(t)
t
dh(t )
h
(
t
)
=
g (t ) =

g (v)dv .
dt
0
1/s,

17

1 N ( s) 1
H ( s) = W ( s) =
.
s M (s) s
,
, , ,

N ( s ) 1 N (0) k N ( si ) si t
H ( s) =

+
e = h (t ) .
M ( s ) s M (0) i =1 si M ( si )
7. .
,
.
,
(),

().

- ().
, ,
.

() ().

s j.
, . ,
:
W ( j) = P () + jQ();
W ( j) = A()e j() ;
A 2 () = P 2 () + Q 2 () ;
Q()
.
P()
W(j) ; () ; () ; Q() ; ()
.
() = arctg

18

8. .
. ,
.. , . -,

. -,
. ,

, .

.
.
.
: Ty'(t) + y(t) = k x(t).
.

.

y[n + 1] y[n]
y (t ) =
,
T
.
:
y[ n + 1] y[n]
T
+ y[n] = k x[ n] ;
T
T
T
y[n + 1] = (1
) y[n] +
k x[n] = y[n] + k x[ n] .
T
T
+ = 1,
, :
<< T .

:
y[n] y[ n 1]
y (t ) =
.
T

:
y[ n] y[n 1]
T
+ y[n] = k x[n] ;
T
T
T
y[n] =
y[n 1] +
k x[n] = 1 y[ n 1] + 1 k x[n] .
T + T
T + T

19


,
, . .
= 5, k =1.
= 1
:
y[n + 1] = 0,8 y[n] + 0,2k x[ n] ;
y[n] = 0,833 y[n 1] + 0,167k x[n] .
, .
= 0,01.
:
y[n + 1] = 0,998 y[n] + 0,002k x[ n] ;
y[n] = 0,998004 y[n 1] + 0,001996k x[ n] .
.

.

y[ n + 2] y[n + 1] y[ n + 1] y[n]

y[n + 2] 2 y[n + 1] + y[n] .

T
T
y =
=
T
T 2

y[n + 2] = y[n + 1] + y[n] + k x[n] .

, , . ,
,
.
,
.
.
:
y1 = y 2 ;
y 2 = y3 ;
y3 = a0 y1 a1 y 2 a2 y3 + bx .
:
y1[n + 1] y1[n]
= y 2 [n] ;
T
y 2 [ n + 1] y 2 [ n]
= y 3 [ n] ;
T
20

y3 [n + 1] y3 [n]
= a0 y1[ n] a1 y 2 [n] + (1 a2 ) y3 [n] + bx[n] .
T
- :
T
0 y1[ n] 0
y1[ n + 1] 1
y [n + 1] = 0
1
T y 2 [n] + 0 x[n] .
2

y3 [n + 1] Ta0 Ta1 1 Ta2 y3 [n] Tb

4
1) ,
? 2) ,
? 3)
2 + 4s
W ( s ) = 3
.
s + 7 s 2 + 5s + 3
? 4)
? 5) ,
,
?

5.

.
,
.
,
.
.



. -
[3].
. . 3.

u(t)

x(t)
21

y(t)

. 3.

,
. , x(t) :
x(t)=b0+ b1 u(t)+ b2 u2(t)+ b3 u3(t)+ .

y (t ) = g (t ) x()d .
0

,
,

y (t ) = g (t )[b0 + b1u () + b2u 2 () + ...]d .

0

g(t).

u(t)

x(t)

y(t)

. 4.

. 4 .
,
F[x(t)]:
t

y (t ) = F { g (t )u ()d} .
0

( ):

22

t t

00

y (t ) = g (t )u ()d + g (t 1 , t 2 )u (1 )u ( 2 )d1d 2 +
t t t

+ g (t 1 , t 2 , t 3 )u ( 1 )u ( 2 )u (3 )d1d 2 d3 + ... .
000

, ,
.
.
.
,

g(t1, t2)=g(t1)g(t2), ,
. , , . 4,
,

.
5
1) ?
2) ,
, ? 3)
?

6.
,
.
, , ,
. ,
,
.

,
, . . , .
,
.

g(,)
.
( ).

23

.
,

,
.
,
.
.
,

. ,
70- -1 . ..
.. [26].
f(t) [0, T].
:

f (t ) = Fi i (t ) ,
i =0

Fi ;
i(t) .
,
i(t)
, ,
.
, .

, , ,
[0, T]. ,

T

i (t ) j (t )dt = 0 ,

i j .

Fi
:
T

Fi = i ( t ) f ( t )dt .
0

, ,
f(t). ,

, .
()
24

 .
,
, 710 .
, ,
,
,
.
F, f(t),

() .
F0 ( T )
F ( T )
1
.
F(T) =
...

Fn ( T )

g(,).
[0, T] . ,
.
,
[0, T]. ,
,
,
.
() W(T,T).
,

X(T) Y(T):
Y(T) = W(T,T)X(T).


. ,

,
.

,
.

,
() = .
25



. ,
,
.
. :
a () y'() + y() = bx().
,
a (). :
A(T,T)P(T,T)Y(T) + Y(T) = BX(T),
A(T,T) ;
P(T,T) ;
, b
( );
Y(T), X(T)
[0, T].
Y(T),
( ):
Y(T) =[A(T,T)P(T,T) + E]-1 BX(T).

: W(T,T) = [A(T,T)P(T,T) + E]-1 B.
,
, .
6
1) [1, +1 ] f1(t) = 1 f2 = t ?
2) [ 0, +1 ] ? 3)
? 4)

? 5)
?

7.

,
,
.
[12,
16, 31].

26

 :
0. Fi
, :
n

Fi
i =1

=0.

. , 2
F1, F2
F3. F2

F2 = F3 F1 .
,
,
.
,
. F
(3/)
d 2 2P
F =
,
4

P , /2;
d , ;
, /3;
,
= 1;
, .

, .

,
, :
F = 10 P .

:
= .

.
1.
.

27

() ,
, ,
, , ,
. :
,
. . 5
.
:
T

dL
= F F .
dt

/. ,
2.
.

1
W ( s) = .
Ts

1
W (s) = .
Ts
F
F
3

LI
C

LI
C

. 5.

.
, , . 5,

.
28

 .
,
.
-.
, , :
T

dL
= F b L ,
dt

b , .

.
. 6.

, , ,
,
L .

,

F
L:
tg = F / L .
F

L
. 6.

,
,
:

29

dh
= f tg h ,
dt
f = F F.
T

F.; h = L L
L.

:
T dh
1
dh
+h=
f T1
+ h = kf ,
tg dt
tg
dt
T

T1 = tg ,

k=

1
.
tg

,

1 k.
2. ,
:
F1 1 F2
2 . F
Cc , , ,
. , . .
.
.

:
dCc
V
= F1C1 + F2C2 Fc Cc ,
dt
F1 , F2 , F , 3/ ;
1 , 2 , , /3 ;
V , 3 .

, :
dy (t )
+ y (t ) = k1C1 (t ) + k 2C2 (t ) ,
dt
y(t) ,
, = V/ Fc,
k1 , k2 ,
T

30

F1
F2
, k2 =
.
Fc
Fc
,
,
.


.
.
:
1
V
W ( s) =
, T= .
Ts + 1
F
V , F ,
, .


W ( s ) = e TS ,
= L/w ,
,
L , ,
w , /.

. ,
,
.
:
e TS
W (s) =
.
(Ts + 1) 2
( ).
, ()
. - ,
V1 .

1 :
0,5
0,5
0,5(T1 + T ) s + 1
W (s) =
+
=
.
(Ts + 1) (T1s + 1) (Ts + 1)(T1s + 1)
k1 =

. :
31

 0.
, :

Qi

Qi = 0.
i =1

. , ,
.
, () F
() F, ,
. ,
, .
:
Q = [F( t t0 ) F ( t t0 )]C,
F , F , 3/;
t, t , ;
t0 , 5 0 ,
, /3;
, / .

.
:
Q = FC( t t )Q .

:
= .

,
-,
: (. 7).
,
.
,

.
:
MC

d
= Q Q ,
dt

M , ;
, / ;
, ;
32

Q, Q .
Q, F,

Q, F,

Q, F,

. 7.

,

, ,
. ,
,
, .
. -, ,
. -,

. ,

.
, . .
. :
MC

d
= Q Q Q ,
dt

Q = F ; Q = F ; Q = F;
F, F, F , , 3/;
Q, Q, Q , /;
, , , .
, M= V, :
F
F
V d
+ = .
F dt
F
F

33

 ,
,
. ,
.
7
1) . 2)
,
. ,
, ? 3)
? 4)
. 5)
? 6)
, ,
? 7)
?

8.


,
.
,
.

.
8.1.

1(t).
,
-

1(t)

.
.
,
. , ,

34

, ,
.

,
.
,
.
,

.

.
1. .
:
dy( t )
T
+ y( t ) = kx( t ) .
dt
: k
T. ,

y (t ) = k (1 e t / T ) x0 ,
0 .
0 =1, y (t ) = h(t ) = k (1 e t / T ) .

y 0 : k = y/0 .
.
. y(t)
t=T.
y (t ) = k (1 e 1 ) x 0 = k (1 0,37) x0 = 0,63kx0 = 0,63 y .
. 8.
(t) 63 %
.
, .
.
t= 0 (. 8).
dy (t )
dt

t =0

y(t)
k
=y e t / T x0
T

t =0

kx0 y
=
T
T

0,63 y

35

. 8.

(. 8).
. 9
. ,

, ,
.
y(t)
y

0,63y

. 9.

:
dy (t )
T
+ y (t ) = kx(t ) ,
dt
ke S
W ( s ) =
.
Ts + 1

1- [32]. . 10
36

 ,
t1 t2.
y(t)
D
A

C
dy/dt

y'(t1)

y'(t2)

t1

t2

. 10.

t1
t2 , dy/dt .

dy (t ) kx0 y (t )
=
.
dt
T
dy/dt y.
D dy/dt = 0,
y
k= D.
x0
kx0
y(t)=0, Ty' =kx0, T =
. yD
yC
y(t) D, y' .
2. .
(, ,
) .

,
(. 11). t, y
.
y(t)

37

y 0 0


y

. 11.

[21]
ke S
ke S
WA ( s) =
W A ( s ) =
.
(T1s + 1)(T2 s + 1) n
(T1s + 1) n
T1, T2, n,
T0, 0, t, y,
.
y
k k = x , 0
0

.
,

. T1, . n = 1.
hA(t)
h(t) :
hA(0)= h(0);
h = h;
hA(t)= h(t);
h'A(t) = h'(t).
. 11. ,
: yA(0) = y(0), yA = y .
t :
y
y A (t ) = 1 e t / T1 = . :
y

38

T1 y
1 t / T1 y
t / T
e
=
e 1 =
.
T1
T0
T0
:
Ty
y
1 1 = , 1:
T0
y
T
y
T1 = 0 (1 ) . .
y
y
t ,
,
, t.
t :
Ty
T0
e t / T1 = 1 e +t / T1 =
.
T0
T1 y
T
T
t
= ln( 0 ) t = T1 ln( 0 ) . = t t .

T1
T1 y
T1 y

.
,
,
: ,
.
3. .

.
:
a2 y(t ) + a1 y(t ) + a0 y (t ) = b0 x(t ) .

,
:
a2 = 1 , a1 = 2 0 , a0 = 02 , b0 = 02 k ,
, 0 < < 1;
0 ;
k .
= 1
, = 0
.
(. 12)
:
+

39

e 0t
2
y (t ) = k 1
sin(
t

+
arccos

)
x0 .
0
2
1

. 12.

. , , ,
[8].
S1 S2
:
S

ln 1 =
.
S2
1 2
0

= .
T
0 = 0 1 2 ,

0 =
.
1 2
y
k = .
x0
1
4. . W ( s ) = .
Ts
,
. . 13

.
40

x(t)

x(t)

x0

x0

y(t)

y(t)

a)

. 13. : ;
( )

W(s)
.
1 Y( s )
=
; TsY ( s ) = X ( s ) , Ty ( t ) = x( t ) .
Ts X ( s )
y
: y (t ) =
.
t
y
= tg , .
,
t
x0
T =
.
tg

( ),
(. 13, ).
:
e S
W (s) =
.
Ts
, . 13, .
,
.
,

41

 :
. ,
, ,
()
[21].
,
, ,
.

, ,
.
, (.
14).

L(t). :
1) A(t) ;
2) L1 A(t)
L(t);

F(t)
x0
t
A(t)

L(t)

L(t)

L1

t
L1

0,63L1
L1

. 14.

42

3) L1 ;
4)
F(t),
L(t) .
L(t)=A(t) F(t). ,
: W(s)=W(s)
WA(s),
W(s) L(t);
W(s) A(t);
WA(s) F(t).
,
1 + (T2 kT1 ) s
1
k
W ( s) =

=
,
T1s T2 s + 1
T1s (T2 s + 1)
L1
x0
T1 =
, k = , T2
x0
tg

.
8.2.
.

.
,

. , .
, . .
.
.
[32].
,
,
.
. , x(t) = Msin(1t),
y(t) = Nsin(1t+).
1 : (1)= N/M. ,

(1) Q(1) 1:
Q(1 ) = A(1 ) sin , P (1 ) = A(1 ) cos .

43

 Q(1)
(1).
:
1 + b1s + + bm s m
W ( s) =
.
a0 + a1s + + an s n
s j 1:
1 + b1 ( j) + + bm ( j) m
W ( j1 ) =
= P (1 ) + jQ(1 ) .
a0 + a1 ( j) + + an ( j) n
,
,
:
(1)=(1);
Q(1)=Q(1).
,
.
k = m+n+1. k
, k/2
. ,
1/0 ,
.

,
.

1
W ( s ) =
.
a0 + a1s
0 1 .
1,
, P1 Q1.
:
1
= P1 + jQ1 .
a0 + j1a1
:
P1a0 Q1 1a1= 1 ;
Q1a0 P1 1a1= 0 .
, :
P
Q1
a0 = 2 1 2 ; a1 =
.
P1 + Q1
1 ( P12 + Q12 )
44

 .
, ,
M() N().
, .

A = N/M ,
. ,
k
k .
.
0 1
: x(1) = Msin1t x(2) = Msin2t .
N1(1) N2(2),
: A1 = N1(1)/M , A2 = N2(2)/M .
:
(a ja1 )
a
a
1
= 0
= 2 0 2 2 j 2 12 2 ;
a0 + ja1 (a0 ja1 ) ao + a1
a0 + a1
1
.
a02 + 2 a12

:
1 2
= A1 ,
(a0 + 12 a12 )
A() = P 2 () + Q 2 () =

(a02 + 22 a12 )

= A2 ,

A12(a02+12a12) = 1, A22(a02+22a12) = 1 .

. :
1
a0 =
A1 A2

A22 22 A12 12
,
22 12

A12 A22
1
a1 =
.
A1 A2 22 12
,
, ,
.
45

 , ,
.
8
1) 1-
. 2)
? 3)
1- ? 4)

? 5)

? 6)
k1 + k 2 s
W ( s ) =

(T1 s 2 + T2 s + 1)
?

9.

,
.
,
,
. ,
[7,
20, 29].
. ,
N x1, 2, , N .
, ,
1 N
m x = xi .
N i =1
pj,
j,
:
1 K
mx = p j x j ,
N j =1
K ,
.
46

 , ,

. [5]:
1
( x N +1 mx [ N ] ) .
m x [ N + 1] = m x [ N ] +
N +1
m x [ N ] m x [ N + 1] ,
N N+1 , .
.
.
1 N
1 N
2
Dx =
(
x

m
)
D
=
( xi mx ) 2 .

i
x
x
N 1 i=1
N i=1
,
. ,
?
[7].
(N+1)-

1
Dx [ N + 1] = Dx [ N ] +
( x N +1 mx [ N + 1] ) 2 Dx [ N ] .
N +1
().
, , ,
.
= Dx Dx = 2 .
( ) rxy.
.
:
1 N
rxy =
( xi mx )( yi m y ) .
N 1 i =1
rxy = cov( x, y ) .

, . .
, .
.

, . .
.

47

 xy

1 N
( x mx )( yi m y ) 1 +1
cov( x, y ) N 1 i =1 i
,
.
xy
=
=
x y
Dx D y

( ),
.
, , ,
. ,
, .
, ,
, .

.
,
.
,
,
, . .
.
:
? ,
:
0 . : 0 .
t .
:
t =

N 2
1 2

(
,
). = 0,05 (5 %).
N 2 = 0,05
t . t < t ,
.
, :
? ,
N .
?

t- :
48

 t ( / 2)

1 2
N

< < + t ( / 2)

1 2
N

t(/2) t- /2.
,
=
1 . . N = 100, = 0,5, = 0,05,
t- 2. :
1 0,25
1 0,25
0,5 2
< < 0,5 + 2
, 0,35 < < 0,65 .
10

10

, 95 % ,
0,35 0,65.
.
() Rxx() ,
.
,
x(t),
,
.
,
T , = kT , k = 0, 1, 2, 3,
, . . k. k = 1
,
, k = 2 2 . .
:
N k
1
Rxx (k ) =
( xi mx )( xi+k mx ) , k <<N.
N 1 k i =1
k = 0 : R(0) = Dx .
. k
. , Rxx(k) = Rxx( k).
.

. Gxx(k):
N k
1
G xx (k ) =
xi xi+k .
N 1 k i =1
R(k) Gxx(k). ,
,
{ }:
Rxx ( k ) = M { ( xi xi+ k m x xi +k mx xi + m x2 ) } =
= M { xi xi + k } m x M { xi +k } mx M { xi } + mx2 = Gxx (k ) mx2 mx2 + mx2 .
49

 : Rxx (k ) = Gxx (k ) mx2 . ,

, ,
.
.
() Rxy()
, .
= kT .
:
N k
1
Rxy ( k ) =
( xi mx )( yi+k m y ) , k<<N ,
N 1 k i=1

N k
1
R yx (k ) =
( yi m y )( xi+k mx ) .
N 1 k i =1

k = 0. ,

- .
, . . Rxy ( ) R yx ( ) .
.
:
N k
1
G xy ( k ) =
xi yi+k .
N 1 k i =1
,

:
Rxy ( k ) = G xy ( k ) m x m y .
. Sxx()
:
S xx () =

Rxx (t )e

j t

dt .

,

:

S xx () = 2 Rxx (t ) cos(t ) dt .
0

50


. ,
1, 2 , ,
.


.
. . . 15
,
.

x(t) y(t)
,
:
S xy () =

Rxy (t )e

j t

dt .

x(t)

RXX()

SXX()

t
x(t)

RXX()

+
SXX()

51

. 15. ,

9
1) ? 2)
, 0? 3) ? 4)
? 5)
, ? 6)
, ? 7)

, ? 8)
,

? 9)
? 10)
?

10.

, .
,
,
. .
10.1.
,
,
. , ,
.


. , Delta-V Emerson
200 ,
1 .
-130 0,2 2 .
,
, .

.

52

 . 1933 ..
(
): f(t)
,
F ,
, 1/2F c.
,
, F ,
=2F,
. , ,
,



.

F
.

.

,
. ,

, .
. ,
, 20 /.
200 . ,

1 %, 2 . ,
, =1/10
.

. .
. , ,

.
RXX :
2 = 2( R XX [0] R XX [ jt ]) ,
t ,
.
2

53

. 16.

, ,
,

(. 16). , < t,
t,
.
10.2.

,
,

.
.
. :
z(t), x(t)
n(t). x (t ) x(t ) (.
17).
n(t)
x(t)

z(t)

x (t ) x(t )

. 17.

. ,
,
.

.
54

 .
x[ j ] =

1 k 1
z[ j i] .
k i =0

k . ,
.
.
(. 1). .

4. ,
:
4+2+6+7
4+4+2+6
= 4 ; x[5] =
= 4,75 ;
4
4
2+6+7+2
x[6] =
= 4,25 .
4
x[ 4] =

1
2
3
4
5

z[j]
4
4
2
6
7

6
2

.

:

W ( s) =
,
+s
.


=1/ .
, .
,
:
dx (t )
+ x (t ) = z (t ) .
dt
,
:
x[n + 1] x[n]
+ x[n] = z[n + 1]
T
x[n + 1] = (1 T ) x[n] + Tz[n + 1] .

55

 = 1 :
x[n + 1] = (1 ) x[n] + z[n + 1] .
:
.
,
. ,
.
,
, . 1. = 0,5.
x[0] , -
. ,
x[1] = z[1] :
x[2] = 0,5 4 + 0,5 4 = 4;
x[3] = 0,5 4 + 0,5 2 = 3;
x[4] = 0,5 3 + 0,5 6 = 4,5;
x[5] = 0,5 4,5 + 0,5 7 = 5,75;
x [ 6] = 0,5 5, 75 + 0,5 2 = 3,875 .

.

:
;
.
. 18 , ,

.
,
,
.
z(t)

z(t)

. 18.

56

 - 1- .
, .
:
x[n] = x[n 1] + {x[n]} ,
x[n] = z[n] x[n 1] ,
= x[n] , x ,
= sign(x[n]) , x > .
,
, .
,
.
.
, k
:
x[n] = med{z[n], z[n 1], , z[n k + 1]} .
k k=3, 5, 7 ,
.
:
z[i] ;
,
;

.
:
med{8, 2, 4}=4; med{7, 7, 12, 2, 2}=7; med{5, 1, 1}=1; med{2, 4, 6, 2}=3.
, ,
, . 2.
2

- 1
2
3
4
5
6
7
8
9
10 11 12

z[i]
1
0
2 100 3
4
6
7 100 100 4
3
x[3] = med{2, 0, 1} = 1 ;

x[ 4] = med{100, 2, 0} = 2 ;

x[5] = med{3, 100, 2} = 3 ;

x[6] = med{4, 3, 100} = 4

. .
, , 100
, .
57

 ,
.
.
: N ,
.

.
. . 2.
, .
:
x[9] = med{med[100, 7, 6], med[4, 3, 100], med[ 2, 0, 1]} = med{7, 4, 1} = 4 ;
x[11] = med{med[4, 100, 100], med[7, 6, 4], med[3, 100, 2]} = med{100, 6, 3} = 6 ;
x[12] = med{med[3, 4, 100], med[100, 7, 6], med[ 4, 3, 100]} = med{4, 7, 4} = 4 .

.
. .
:
;


.

,
. .
:
1
1 0 1 1 0 1 1 1
2
0 1 1 1 1 0 1 0
3
1 0 1 0 1 1 0 1
1 0 1 1 1 1 1 1
,
: 183, 122,
173, 191. ,
.
10

? 2)
. 3)
? 4) . 5)
, 2

58

? 6) ? 7) ? 8)
?

.
, .
. ,
.
:
,

;
,
.

.
11.1.
,
:
;
;
.
,
.

,

.
M {} = .
, M {} .
,
D{} .
,
, . .
n P{ > } 0 ,
.

59

11.2.
()
.
(. . 19):
y = b1 x1 + b2 x2 + + bk xk .
x1

xk

. 19.

N i

,
N > k,
k
.
,
,
. = .
,
.
- ,
, :

;

;
.

-
.
, b1, b2,, bk

i =1

i =1

J = i2 = ( yi y i ) 2 min .

60

 ,
b1, b2,, bk .
J
J
J
= 0;
= 0; . . . ;
=0 .
b1
b2
bk
k k ,
.
. y = b0 + b1x ,
b0, b1 N .
N

J = ( yi b0 b1 xi ) 2 ;
i =1

N
J
J
= ( 2 yi + 2b0 + 2b1 xi ) = 0 ,
= (2 xi yi + 2b0 xi + 2b1 xi2 ) = 0 ,
b0 i =1
b1 i =1

N
N

b
+
b
x
=
yi ;

0
1
i

i =1
i =1
N
N
N
b0 xi + b1 xi2 = xi yi .
i =1
i =1
i =1
.
- :
N

xi b0 yi
N
i =1
N
= Ni =1 .
N
xi xi2 b1 xi yi
i =1

i =1

i =1
, b0, b1.
.
. ,
,
.
:
x1[1] x2 [1] xk [1]
y[1]
x [2] x [2] x [2]
y[ 2]
1
2
k
.

Y=
; X =

y[ N ]
x1[ N ] x2 [ N ] xk [ N ]
,
Y .
,
YM , :
N

61

 b1
b
B = 2 ;


bk

1

E = 2 , YM = X B .


N

y M [1]
y [2]
YM = M ;

y M [ N ]

:
J = (Y YM )T (Y YM ) .
J = E T E min ,
, J .
, :
J
J
= 0
=0 .
B
B T
.
J = ( Y YM )T ( Y YM ) = (Y XB )T (Y XB ) =
= (Y T B T X T )(Y XB) = Y T Y Y T XB B T X T Y + B T X T XB ;
J
= 0 Y T X 0 + BT X T X = 0 ,
B T X T X = Y T X , ,
B
,
:
X T XB = X T Y .
-

, .

:
B = ( X T X ) 1 ( X T Y ) .
, ,
kk, Y k .
,
.
f 2 [1] f k [1]
f1[1]
f [2] f [2] f [2]
2
k
.
F = 1

f1[ N ] f 2 [ N ] f k [ N ]

. .
:

62

B = [( X + F )T ( X + F )]1 ( X + F )T Y =

= [ X T X + F T X + X T F + F T F ]1[ X T Y + F T Y ] .

T
F X, XTF, FTF, FTY . ,
.
T
F Y = cov( f j , y ), j = 1, 2, , k .
, :
(- ),
, .
-, ,
, -,
: .
, FTY .
FTX, XTF
cov (xj , fi).
,
.

.
.
FTF.

,
.
, ,
.
,

.
. :
.
,
.
.
y = b0 + b1 x1 + b2 x2 .
b0
B = b1 .


b2
:

1
2

63

1
1
2
1
2
2
1
2
3
3
1
3
4
0
2
2
, Y. b0
, :
1 1 2
1 1 1 1
1
1 2 1
1 2 3 0
2
T

X=
, X =
, Y = .
1 3 1
2 1 1 2
3

1 0 2

2
4 6 6
2
T

T
X X = 6 14 7 ,
X Y = 12 .

6 7 10
1

4 6 6 b0 2
6 14 7 b = 12

1 .
6 7 10 b2 1
:

b0 = 1 ,
b1 = 2 ,
b2 = 3 .

4 6 6
2 6 6
4 2 6
= 6 14 7 = 4 , 1 = 12 14 7 = 8 , 2 = 6 12 7 = 4 ,
6 7 10
1 7 10
6 1 10
4 6 2
3 = 6 14 12 = 8 .
6 7 1
b1 = 1,
b2 = 2 .
: b0 = 2 ,
11.3.

. ,
, :
N

J = i2 qi .
i =1

64

 :
J = E T QE = ( Y XB )T Q( Y XB ) ,
Q q1, q2 ,, qN .
.
J = ( Y XB )T Q( Y XB ) = Y T QY Y T QXB B T X T QY + B T X T QXB .
J
= X T QY + X T QXB = 0 .
T
X

B = ( X T QX ) 1 ( X T QY ) .

.
, ,
:
( X T QX )B = X T QY .
,
qj? [32].
:
. , ,
, ,
.
. ,
.
2j , 1/ 2j
k/ 2j .
, . . .
,
.

, , .
11.4.

:
.
.
: y= kx. N
k :
65

kN =

xi y i
i =1
N

i =1

xi2

,

x N +1 , y N +1 .

k N +1 = k N + f ( x N +1 , y N +1 ) . . .

,
.
(N+1)- :
N

xi yi + x N +1 y N +1
i =1

k N +1 =

i =1

xi2

x N2 +1

:
:
N

k N +1 =

xi yi
i =1
N

i =1
N

= kN +

xi yi + x N +1 y N +1 xi yi

+ i =1

xi2

i =1

xi2

i =1

i =1

i =1

xi2

xi2

i =1

i =1
N

i =1

i =1

xi2

x N2 +1 )

i =1

( xi yi + x N +1 y N +1 xi yi k N x N2 +1 )
i =1

i =1

xi2

xi2 ( xi yi + x N +1 y N +1 ) xi2 xi yi xi yi x N2 +1

kN +

x N2 +1

i =1
N

i =1

= kN +

xi2

(
i =1

i =1

xi2

x N2 +1 )

x N +1 ( y N +1 k N x N +1 )
N

xi2 + x N2 +1

i =1

,
(N+1)-
, .
, k N +1 = k N .
66

 ,

N :
BN = ( X T X )1 ( X T Y ) .
(N+1)-
xj[N+1] [N+1].
BN +1 = B N
.

x1[ N + 1]
x [ N + 1]
T
.
x = 2

xk [ N + 1]
X
X T xT

,
x
Y

(N+1)
.
y N +1
:
Y
X
BN +1 = { X T x T }1 X T xT
.
x
y N +1
:
BN +1 = [ X T X + xT x]1[ X T Y + xT y N +1 ] .
.
, ,
[23]:
A1bT bA 1
( A + kbT b) 1 = A 1 1 T
.
bA b + k 1
,
( A + kbT b ) , = . :
bA1bT + k 1 , .
. b -, b -.
, :

( X T X ) 1 xT x( X T X ) 1
BN +1 = [( X X )
] [ X T Y + x T y N +1 ] =
T
1 T
x( X X ) x + 1
T

67

= ( X T X ) 1 X T Y

( X T X ) 1 x T x( X T X ) 1 T
X Y + ( X T X ) 1 x T y N +1
T
1 T
x( X X ) x + 1

( X T X ) 1 x T x ( X T X ) 1 T

x y N +1 =
x( X T X ) 1 xT + 1
= BN + ( X T X ) 1 xT [ y N +1

1.
2.
3.

xBN
x( X T X ) 1 xT

y N +1 ] =
x( X T X ) 1 xT + 1 x( X T X ) 1 xT + 1

( X T X ) 1 x T
= BN +
[ x( X T X ) 1 x T y N +1 + y N +1 xBN x( X T X ) 1 x T y N +1 ] =
T
1 T
x( X X ) x + 1
( X T X ) 1 xT
= BN +
[ y N +1 xBN ] .
x( X T X ) 1 xT + 1

.
,
:
: y N +1 , x1[ N 1], , xk [ N 1] .
N+1 .
N+1 N .
4.
(N+1)- .
5.
.
,
,
.
11.5.

. ,

, .

68

n 1

J = 2 [ j i ] min , j=n, n+1, n+2, .

i =0

n .

.

. n
, ,
.
11.6.
, ,
, .

J=

N m

i i+m min .
i =1

, m=0
.
m.
.
:
J = (Y XB)T (Ym X m B ) min ,

J = Y T Ym B T X T Ym Y T X m B + B T X T X m B min .
, , Y ,
,
y1+ m
x1[1 + m] xk [1 + m]
y
x [2 + m] x [ 2 + m]
2+ m
k

.
Ym =
Xm = 1
,

xk [ N ]
yN
x1[ N ]
, Y Ym
, m .
, :
J
= 0 X T Ym 0 + X T X m B = 0 .
T
B

:
69

X T X m B = X T Ym .
:
B = ( X T X m ) 1 X T Ym .

[15].
.
,

. ,

FTF,
.
FTmF.
,
, m.
,

.
,

m,
.
, ,
, .
, .
. 20
.
Rxx
Rnn

Rxx
Rnn

. 20.

70

y = 2 x1 + 3 x2 .
.
, .
:

1
2

1
1
1
5
2
2
1
7
3
1
3
11
4
0
1
3
,
:

1
2

1
1,2 0,8 5
2
1,8 1,2 7
3
1,2 2,8 11
4 0,2 1,2 3

. m = 1.
1,8 1,2
1,2 0,8
7

Y = 11 .
X m = 1,2 2,8
X = 1,8 1,2

,
3
0,2 1,2
1,2 2,8
4,08 7,92
X T Xm =
,
2,32 7,68

31,8
X T Ym =
.
27,2

4,08 7,92 b1 31,8

2,32 7,68 b = 27,2 .

, :
b1 = 2,222 ;
b2 = 2,87 .
, ,
. ,
, ,
b1 = 1,897 ;
b2 = 3,11 .
11.7.

71


.
-
, , .

,

N, .

. , . .
R,
N R N .
,
.
.
,
. (1, 2 , , N ), ,
,
(
) f(x). N-
,

L( x1 , x2 , , x N ) = f ( x1 ) f ( x2 ) f ( x N ) .
, ,
, f(x) (x), .
,
. ,
: .

-
( ) :
N

LN () = f N ( x1 , x2 , , x N / ) = f i ( xi / ) .
i =1

LN() ,
.
,
.
,
. ,
,
72

 .
f().
, b1, b2, . . . , bk .
,
:
N

LN (b1 , , bk ) = f N (1 , 2 , , k / b1 , , bk ) = f ( i / b1 , , bk ) .
i =1

: b1, b2,
. . . , bk , LN(b1, . . . ,bk)
.
. :
LN (b1 , , bk )
= 0;

b1

L
(
b
,

N 1 , bk ) = 0.

bk

l N (b1 , , bk ) = ln( LN (b1 , , bk )) .

l N (b1 , , bk )
= 0;

b1

l N (b1 , , bk ) = 0.

bk

.
.
= k. : 1, 2, 3, 1,
2, 3. k
.

= . ,
m,
2
.
f()

73

2
2
1
e [( m ) / 2 ] .
2

f ( ) =

i = yi kxi , m=0,
,

L(k ) = f (1 ) f ( 2 ) f ( 3 ) =

=(

1 3 [( y1 kx1 ) 2 / 2 2 ] [( y 2 kx2 ) 2 / 2 2 ] [( y3 kx3 ) 2 / 2 2 ]

) e
e
e
.
2

2
2
( y kx ) 2
1
( y kx )
( y kx )
l (k ) = ln( L(k )) = 3 ln(
) 1 21 2 2 2 3 2 3 .
2
2
2
2
k

l (k )
=0:
k

l (k )
1
= 2 (2 y1 x1 2kx12 + 2 y2 x2 2kx22 + 2 y3 x3 2kx32 ) = 0 .
k
2
3

k =

yi xi
i =1
3

i =1

xi2

1 , 2 , 3 ,
k :
3

k=

yi xi 2 i
i =1
3

i =1

xi2 i2

.

b1
B = .

bk
i
,
2i . N
. .

74

 ,
:
12 0 0
0

0 22 0
0

P=
.

0 0 2N
0
:
1

{[Y XB ]T P 1[Y XB ]}
1
L( B) =
e 2
.
N /2
(2) 1 2 N
L(B) :
J ( B ) = [Y XB]T P 1[Y XB] .
J ( B )
J ( B )
= 0
=0


B
B T
:
B = ( X T P 1 X ) 1 ( X T P 1Y ) .

. -1

, .

. ,

,
, :
B = ( X T X ) 1 ( X T Y ) .
,
, i .

.
, ,
. , ,
, ,
.

11

75

1) , ,
? 2)

? 3)
? 4) = 1 + 22
. : 1; 2; 0; 2; 1.
: 3; 10; 2; 8; 5. 5)
. 6)
? 7)
. 8) = 0 + 1
. : 1; 2; 0; 1. : 6; 6;
2; 4. : D1 =1; D2 = 0,5; D3= 0,25; D4 =1.

12.

.
,
,
, , ,
,
,

[9].
12.1.

. .
21 , . .
, ,
. ,
, !
y = b0 + b1 x , b0 ,b1
.

76

. 21.

.

,
. ,
:
y = b1 x1 + b2 x2 + b3 x3 .
,
, . .

ixj,
.
.

. ,
:
y = b1 x1 + b2 x2 + b12 x1 x2 + b20 x22 .
x4 = x22 .
: x3 = x1 x2 ,
:
y = b1 x1 + b2 x2 + b3 x3 + b4 x4 ,
b3 = b12 , b4 = b20 .
.

y[n] = b1 y[n 1] + b2 y[n 2] + b3 y[ n 3] .
:
.

. :
77

i = yi b1 x1[i ] b2 x2 [i ] bk xk [i ]


() 2.

, cov( i , j ) = 0 i j .
j
2.

.
,
, () .
:
B = ( X T X ) 1 ( X T Y ) .
. ,
, .
2.
, . .
.

S2 :
= S
2

1 N
=
( yi b1 x1[i ] bk xk [i ]) 2 .

N k i =1

:
1
2
S
=
(Y XB )T (Y XB) .
N k

.
.

. ,
, . , 0,1,
0,01, ,
, 10, ,
5.
{B}.

:

78

cov{b1 , b2 } cov{b1 , bk }
D{b1}
cov{b , b }
D{b2 }
cov{b2 , bk }
2 1

.
C{B} =

D{bk }
cov{bk , b1} cov{bk , b2 }
:
2
C {B} = S
( X T X ) 1 .

:
2 jj
,
D{b j } = S

,
jj , j-
j- .

.

,

.

,
bj .
.
0: bj = 0.
1: bj
.

t- . t-
:
bj
tj =
.
D{b j }

N k
t, 1, . .
. ,
,
0.
,

79


.

F- . F-
.
, ,

.
t- ,

:
b j = b j t D{b j } .
t = 1 /2
N m, m
.

. j j
,
. ,
. ,
:
, .
, ,
.

, .
: ,
, . .
,
,
. :
;
;
;
j.
.
,
.
, ,
j .
,
80

 .
, ,
.
.
,
(. 22).

. 22.

, ,
. .
,
. . , ,
, , ,
. :
. ,
, . ,
,
.

.
[i]=b1x1[i]+
+bkxk[i].

.
,
. ,
.

1, , k .
.
, ,

,

.
81

 .

. ,
.

:
( yi m y ) 2 = ( yi y [i]) 2 + ( y [i] m y ) 2 .
:
( ) (
) ( ,
).
, S2y .
- S2.
, . S2
, .
:
S2y = S2 + S2 .

R.
2
R ,

:
S p2
2
R = 2 .
Sy
R2
:
2
2
S
S
2
R = 1 2 R = 1 2 ,
Sy
Sy
1 N
=
( yi m y ) 2 .

N 1 i =1
:
1. 0 R 1 .
2.

R=0


.
.
3.

R = 1
S y2

82

 , . . i = 0.

.
,
,
.

,
,
F-.
2
,
,

,
2
.

. ,

.
,
. ,
, .
( ) .
.

,
.

( ), ,
.
.
,
, .
.
1. . ,
,
. , ,
.
2. ,
.

83


, .
3. ,
.
4.

.

, .
5.
,
.
, .
: -
, ,
.
12.2.

.

,
.

x
y = b0b1 y = b0 x b1 .
: , .

b0
,
b1.

,
.
ln y = ln b0 + x ln b1 ;
ln y = ln b0 + b1 ln x.

ln y = z ,
ln b0 = a0 , ln b1 = a1 , ln x = t .

z, t:

z = a0 + a1 x , z = a0 + b1t .
a0 , a1, b1
. a0 , a1
b0 , b1. ,
.
84

x1, x2, , xk
.
. ,
1 , 2 . .

y = af1 ( x1 ) f 2 ( x2 ) f k ( xk ) ,
f j ( x j ) ,
.
.
:
y = af1 ( x1 ) f 2 ( x2 ) .

1 (. 23).
:
y = a1 + b1 x1 .

.

a1, b1

x1
c. 23. y 1

,
1:
85

y
= a f 2 ( x2 ) .
a1 + b1 x1
1 2 . ,
, . 24.
y1 =

y1

x2
. 24. y1 2

,

y = a2 + b2 x2 + c2 x22 .
a2, b2, c2

.
y1
y2 =
,

a2 + b2 x2 + c2 x22
:
1 N
a = y2 [i ] ,
N i =1
N .

y = a(a1 + b1 x1 )(a2 + b2 x2 + c2 x22 ) .
, ,
,
.
12
1)
. 2) = 1
+ 22? 3)

86

? 4)
() ? 5)
? 6)
? 7)
?

13.

.

.
, , , ,
[6, 5].

,
, .

,
.
. ,
, ,
.

.
, ,
,



.

.

,
:
.
.
.
. ,
- .
, , ,
, . ,
.
87

 ,

.
.
.
. , ,
. ,
.
:
.

: , , . :
.
.
.
, .
3

3
4

Y0

Y1

Y1

Y2

Y2

Y3

Y3

Y4

. = 1 0 .
. :
D{ A} = D{ y1 y0 } = 2 2 .

:
y + y 4 y 2 y3
A= 1
.
2
:
88

y1 + y4 y2 y3
1
4 2
} = D{ y1 + y4 y 2 y3 } =
= 2 .
2
4
4
,
.

. :
y = b0 + b1 x1 + + bk xk .
1, , k
.
(
).
, . .
.
, ,
.

. .

.
.

.
,
.
.
. j
. ,
j0 = 50 . aj = 10 ,
40 ,
60 .

.
1, +1.

j

j

x j x j 0
xj =
.
aj
D{ A} = D{

89

60 50
40 50
= +1 , x j =
= 1 .
10
10
,
,
().
2, .
2 : N = 2K .
, , ,
, . . .

.
2- . N=22=4.
. 4.
4
2

1
2

1
1
1
2
+1
1
3
1
+1
xj =

+1

+1

.
( ):
(1, 1), (1, +1), (+1, 1), (+1, +1).

.
.
2
:
N

1.

xij = 0
i =1

j = 1, . . . , k;

k .
N

2.

xij2 = N .
i =1

3.

90

xij xil = 0
i =1

j l .

 :
,
.
4 .
. ,
4 .
b0 ,
1 2 .
y = b0 + b1 x1 + b2 x2 + b12 x1 x2 .
:
4.

12

1
2
3

+1
+1
+1

1
+1
1

1
1
+1

+1
1
1

+1

+1

+1

+1

.
b0 +1,

.
,
0.

.
:
B = ( X T X ) 1 X T Y .
:
1
0 0
N 0 0
N

0 N 0
1
0

, ( X T X ) 1 =
N
XTX =

.
0

1
0
0

0
0

91

x
y

i
0
i

i =1

T
- X Y = .
N
xi1 xi 2 yi
i =1

,

:
1 N
1 N
1 N
b0 = yi , b j = xij yi ,
b jl = xij xil yi , j l .
N i =1
N i =1
N i =1
,
x2j .
, +1. ,
0
b0.
,

, .
, , ,
, , (
).


.
.

. , !

:
, ,
,
.
,

:
) ;
)
.

.
92

 .

, . .
.
.
, N m . ,
, ( N m ) .
.
23, .
5
3
2

yi

-
S2i
X0 X1
X2
X3 yi1 yi2 yim
1

+1

y11 y12 y1m

y1

S21

+1

+1

y21 y22 y2m

y2

S22

. . .

+1

+1

+1

y81 y82 y8m

y3

S28

+1

,
.
.
:
S2
G = Ni max
.
Si2
i =1

G
G,
(m 1, N 1),
.
,
.
t- , ,
-,
. ,

93

 0 : bj=0.
1: b j 0 .


:
S e2
,
D{b j } =
N
S e2 ,

N m
1
2
Se =
( y ki yi ) 2 .

N (m 1) i=1 k =1
t-

t=

bj
D{b j }

t ,

.
N(m 1).


. :
2
S
F= 2 .
Se
2

S

yi , i-
:
1 N
2
S =
( yi y [i ]) 2 ,

N d i=1
d .

, .
F-
N(m 1).
,
,
,

. , ,
.
(). ,
,

94

 .
.
.
22. ,
, . . 12
. 12
3. , 4

y = b0 + b1 x1 + b2 x2 + b3 x3 .
,
23 = 8 , . . .
.
.
, .
b1 23, b2
13, b3 12 .
13
1) ? 2)
, . 3)
? 4) =
1 + +22 + 1212. 5) . 6)
2 ,
4? 7) = 0 + 1
+ 22 + +312 ? ( ). 8)
. 9)
? 10) ? 11)

, ? 12)
23? 13)
? 14)
()
?

14.
[3, 8, 10, 19, 20, 32]
.

,
, ,
, ,

95


.

. (t) y(t)
:

y (t ) = g () x(t )d ,
0

x(t ) = 0 t < 0 ,
g ( t ) .


.

y (t ) = g () x(t ) d ,
0

g ( t )
.

, (t) y(t)
,
.
. ,
[0, T] (t) , .

.
.
,
, .

, {}
:
R yx () = M {[ y (t ) m y ][ x(t ) mx ]} .
y(t) ,
:

R yx () = M {[ g () x(t )d m y ][ x(t ) mx ]} .
0

96

, m y = g ()mx d ,
0

R yx () = g ( ) M {[ x(t ) mx ][ x(t ) mx ]}d .

0

{} ,
,
, , :
Rxx ( ) = M {[ x(t ) mx ][ x(t ) mx ]} .

R yx () = g () Rxx ( )d .
0

:
T

R yx () = g () Rxx ( )d .
0

,

.
.
, = 2 .
,
, ,
20 . ,
,
( !).

,
. ,
,
.

:
Rxx ( ) = D( ) ,
D ;
( ) -.
- :

97

R yx () = g () Rxx ( )d = g ( ) D( )d = Dg () .
1
R yx () .

D



.
(t) (t)
. ,
: y (t ) = y (t ) + f (t ) .

g ( ) =

y (t ) = f (t ) + g ( ) x(t )d .
0

x(t v)
, :

R yx (v) = R fx (v) + g ( ) R xx (v )d .
0

,

.
,
.
, :
x (t ) = x(t ) + n(t ) .

y (t ) = g ()[ x(t ) + n(t )]d =

0

= g ( ) x(t )d + g () n(t )d .
[ x(t v) + n(t v)]
, :

R yx (v) + R yn (v) = g ()[ Rxx (v ) + Rxn (v ) + Rnx (v ) + Rxx (v )]d .

0

. , ,
.
98

Rxn = Rnx = 0 , Ryn= 0, :

R yx (v) = g ( )[ Rxx (v ) + Rnn (v )]d .

0

,
- ,

.
. -
( ),
.

14
1)
. 2) ? 3)
,
? 4)
? 5) ,
, ? 6)
.

15.
, ,
.
: , . .
.

I
[32].
b

R(t , s )G ( s )ds = f (t ) ,
a

, 1;
R(t, s) ;
,

();
99

G(s) ( );
f(t) ().
,
,
I .
.

,

.

- .
, , ,

. :
n

R yx (v) = Rxx (v i ) g (i )T ,
i =0

T , , ,
T = 1.
, .
vi , i=0, , n.
:
Rxx ( T )

Rxx (nT ) g ( 0 )
R yx (v0 ) Rxx (0)
R (v )
Rxx (0)
Rxx [(n 1) T ] g (1 )
yx 1 = Rxx ( T )

Rxx (0)
g ( n )
R yx (vn ) Rxx ( nT ) Rxx [(n 1)T ]

Rxx , Ryx
G. R yx = Rxx G ,


1
G = Rxx R yx .
R xx - , ,
. ,
,
2, 3 . . ,
Rxx ( T ) = Rxx (T ) .
100

 .
:
Rxx(0) = 10, Rxx(1) = 8, Rxx(2) = 2, Rxx(3) = 1.

4 4. :
10 8 2 1
8 10 8 2
.
Rxx =
2 8 10 8

1 2 8 10

,
- .
,
.

.


.
.

Fj(t):
k

g (t ) = ci Fi (t ) .
i =0

ci,
. F,

:
F0 (t 0 ) Fk (t 0 )
F =

F0 (t n ) Fk (t n )
ci , ,
F .
c0

= .
ck
: G = FC .
101

 R yx = Rxx G
i
:
Rxx FC R yx = E ,
0

1
E = .


n
. :
, .

E T E = ( Rxx FC R yx )T ( Rxx FC R yx ) min .
:
C = [( Rxx F )T ( Rxx F )]1 ( Rxx F )T R yx .

.
T

y (t ) = g () x(t ) d

:
n

y (t ) = x(t i ) g (i ) .
i =0

t
, ,
.

y (t 0 ) x(t 0 ) x(t 0 t ) x(t 0 n g (0) 1
y (t ) x(t ) x(t t ) x(t nt ) g (t )
1
1
1 = 1

+ 2 ,

y (t N ) x(t N ) x(t N t ) x(t N nt ) g (nt ) N
N>>n, i .

.
Y, .
.
102


G:
G = ( X T X ) 1 ( X T Y ) .

. Rxx,
N , XTY ,
.
15
1)
? 2) 0,1,2,3,4: Rxx(0) = 10;
Rxx(1) = 7; Rxx(2) = 4; Rxx(3) = 2; Rxx(4) = 1. 3
5 5 .

16.


g(t) ,


(. 25).
,
g(t),
.

g(t)

103

. 25.

,


[27].
,
.

. . ,
:
1.
= , . . ,
= .
2. , . .
.
3. , . .
,


.

-
:
.
Rxx(v
). ,
.
. I
.
()

,
.
, ,
, ,
, ,
.
,
. 60-
104

 ,
.

.
.. .
, .
.. [27]
. :
:
z1 + 7 z 2 = 5;

2 z1 + 98 z 2 = 50.
: z1 = 0,1 , z2 = 0,7,
.
100
z1 = 0,00 . 300
z1 = 1,6 . 500
z1 = 5, .
. ,
- J . ..

S = J + F , F
,
.
.
J
F:
J = ( R yx Rxx G )T ( R yx Rxx G ) .
F = GT G .

S = ( R yx Rxx G )T ( R yx Rxx G ) + G T G min .

S
S
= 0
= 0.
G
G T

:
2
G = ( Rxx + E ) 1 Rxx R yx ,
;
.
S

105

 ,

1
: G = Rxx R yx .
.
.
.
.
.
,

.

(. 26).

.
.. .

G = ( Rxx + E ) 1 R yx .

10-2 10-1

10-9 10-8

. 26.

.
106


.

. ,
,
.
16
1)
? 2)
? 3)
? 4)

a?
?

17.




.

.
, ,
Sxx
Syx.

:
t
Rxx (t ) = De , < t < + .
:
+

S xx () = D e

jt

=D e

( j ) t

( j ) t

dt = D e

+ t jt

dt + D e t e jt dt =
0

dt + D e ( j)t dt =
0

0
e
e ( + j ) t +
D
D
2 D
D
+D
=
+
= 2
.
j
( + j) 0
j + j + 2
107

 ,
:
2D
S xx ( = 0) =
.

,
,
, . . .

.
:

R yx () = g () Rxx ( )d .
0

:
+

jv
j v
e R yx (v)dv = g ()[ e Rxx (v )dv]d .

. e j e + j = 1 .

S yx ( j) = g ()[ e jv e + j e j Rxx (v )dv]d =

= g ( )e
0

[ e j( v ) Rxx (v )dv]d .

S xx () . ,

g ()e

d = W ( j)

:
S yx ( j) = W ( j) S xx () .
:

108

W ( j) =

S yx ( j)
S xx ()

,
.
, ,
, . ,
,
.

, , , .
.

. , ,



,
.

[14].
,
v + :

R yx () = A(v) + g () Rxx ( )d ,
0

A(v)
v < 0;
Ryx(v) + .
,
, .
, A(v)
v .
:
A(v) = Ai e iv ,
v<0.
,
Ai
L{ A(v)} =
.
p i
() ,
,

109

, .
L{ A(v)} = A ( p ) .

, .
,
,
. W+(p).
.
:
S yx ( p ) = A ( p ) + W + ( p )S xx ( p )

S yx ( p ) W + ( p )S xx ( p ) = A ( p ) .
Sxx(p) ,
, .
,


+

Sxx (p)
Sxx (p) .
:
+

S xx ( p ) = S xx ( p ) S xx ( p ) .

S yx ( p ) W + ( p )S xx ( p )S xx ( p ) = A ( p )

S xx
( p )[

S yx ( p )

S xx
( p)

+
W + ( p ) S xx
( p )] = A ( p ) .

S yx ( p )

S xx
( p)
.
.

S xx
( p )[(

S yx ( p)

S xx
( p)

) + (

S yx ( p)

S xx
( p)

+
) + W ( p ) S xx
( p)] = A ( p) .

.
.
.
+ .

110

S yx ( p )

S xx
( p)

+
) + W ( p ) S xx
( p) = 0 .

:
S yx ( p ) + +
W + ( p) = (
) / S xx ( p) .
S xx ( p )

.
. 27. z(t),
x(t) n(t).
n(t)
x(t)

z(t)

y(t)

x(t)

. 27.

y(t)
x(t).
.
Rxx(t) Rnn(t).
.
t
D = 0,5 .
Rxx (t ) = 0,5e , . . = 1 ,
5 t
Rnn (t ) = 2e , = 5 , D = 2 .
(.
):
2 D
S xx () = 2
.
+ 2
p, p=j, 2= p.
2 D
2 0,5
1
S xx ( p) = 2
= 2
= 2
.
2
2
p
p
p2
225
20
S nn ( p ) =
=
.
2
25 p
25 p 2

111

1
20
45 21 p 2
+
=
.
1 p 2 25 p 2 (1 p 2 )(25 p 2 )
,

.
Ryx(),
x(t),
, :
R yx () = M {[ x(t ) + n(t )][ x(t + )]} = Rxx () + Rxn () = Rxx ( ) .
, W(p) Syx(p)
Sxx(p),
Sxx(p)
Szz(p). :
S ( p) +
( xx
)
S zz ( p) .
+
W ( p) =
S zz+ ( p)
:
45 21 p
45 + 21 p

+
S zz ( p) = S zz ( p ) S zz ( p) =

.
(1 p )(5 p) (1 + p )(5 + p)
S xx ( p)
1
(1 p)(5 p)
5 p
=

2
45 21 p (1 + p )( 45 21 p )
S zz ( p) 1 p
.
.
a b:
5 p
a
b
a 45 a 21 p + b + bp
=
+
=
.
(1 + p )( 45 21 p ) 1 + p
45 21 p
(1 + p)( 45 21 p)

.
p,
:
5 = a 45 + b;

1 = a 21 + b.
, a 0,53 , b
. ,
S ( p) + 0,53
( xx
) =
.
1+ p
S zz ( p)
S zz ( p) = S xx ( p) + S nn ( p) =

112

0,53
0,53(5 + p )
1+ p
+
=
: W ( p ) =
.
45 21 p
45 + 21 p
(1 + p)(5 + p)
.

:
1
1
S xx ( p ) =
S
(
p
)
=
,
.
nn
1 p2
1 p2

? ,
, . -
, .
1
1
2
S zz ( p ) =
+
=
.
1 p2 1 p2 1 p2
:
2
2
S zz ( p) = S zz ( p) S zz+ ( p ) =

.
1 p 1+ p
S xx ( p)
1
1 p
1
=

2
S zz ( p) 1 p
2
2 (1 + p)
,
S xx ( p)
S ( p) +
= ( xx
) . :
,

S zz ( p)
S zz ( p)
1
(1 + p) 1
W + ( p) =

= .
2
2 (1 + p )
2
, , .
, .
? .
, ,

.
[2]:
1. ,

.
.

113



.
3.
W(p).
4.
.
5.
, .
2.

17
1)
. 2) ? 3)

? 4) ? 5)
2 t


R xx (t ) = 10e ,
. 6) , ? 7)
. 8)
10
W ( s ) = 2
? 9)
s +s2
10
, S xx ( s ) =
,
1 s2
, S nn ( s) = 2 .
.

18.

[13, 14, 30].
,
,
.
, .
.
.
. ,

.
114

 , ,

.
:
x[k + 1] = ax[k ] ,
y[k ] = hx[k ] + v[k ] .
(1)
y[k] ;
[k] ;
h , ;
, ;
v[k] .
,
. , - ,


. , [k] .

, , .
, -,
, ,
. , .
y[k] ,
. ,
h ,
. ,

.
y[k], k=1, 2, , k

x[k ] , k-
.

:
,
,
. .

x[k ] .

115

 : y[1], y[2], y[3].

:
y[1] = hx[1] + v[1];

(2)
y[ 2] = hx[ 2] + v[ 2];
y[3] = hx[3] + v[3].

,
x[3],
:
y[1] = ha 2 x[3] + v[1];

1
(3)
y[2] = ha x[3] + v[2];
y[3] = hx[3] + v[3].

x[3],

2
J = v [i ] min . ,
i =1

, , ,
.
ha 2 = c1 , ha 1 = c2 , h = c3 .
:
3

J = ( y[i ] ci x[3]) 2 min .

i =1

J:

J
= 0.
x[3]

3
3
J
= 2 ci y[i ] + 2 x[3] ci2 = 0 .
x[3]
i =1
i =1

3

x[3] =

c y[i]
i

i =1

c
i =1

2
i

hy[3] + h a 1 y[2] + ha 2 y[3]

=
.
h 2 + (ha 1 ) 2 + (ha 2 ) 2

(4)

. , y[4]
x[3] .
x[4] .

116


:
y[1] = ha 3 x[4] + v[1];
y[2] = ha 2 x[4] + v[2];
y[3] = ha 1 x[4] + v[3];
y[4] = hx[4] + v[4].
x[4]

(4), ,
4- :
3

ha y[3] + ha y[2] + ha y[1] + hy[4]

x[4] =
=
(ha 1 ) 2 + (ha 2 ) 2 + (ha 3 ) 2 + h 2

c y[i]a

+ hy[4]

+h

i =1

c
i =1

2
i

(5)

x[4] .

:
3

x[4] =

c y[i]a
i =1
3

c a
i =1

2
i

+h

hy[4]
3

c a
i =1

2
i

+h

a ci y[i ]

i =1

c
i =1

+a h

2
i

a 2 hy[4]
3

c
i =1

2
i

+a h
2

.
2

:
3

a ci y[i ]
i =1
3

i =1

ci2

:
3

a ci y[i ]

i =1

i =1

a ci y[i ] a ci y[i ]
a 2 hy[4]
i =1
x[4] = 3
+ 3
+ i =13
i =13
=
2
2 2
2
2 2
2
2
ci + a h ci + a h
ci
ci
i =1

i =1

117

i =1

i =1

i =1

i =1

i =1

i =1

i =1

a ci y[i ] ci2 + a 2 hy[4] ci2 + a ci y[i ] ci2 + a 3 h 2 ci y[i ] a ci y[i ] ci2

i =1

i =1

ci2 (

i =1

ci2

2 2

+a h )

a 3 h 2 ci y[i ]
3

i =1

ci2 (

i =1

i =1

ci2

2 2

+a h )

:
3

x[4] =

i =1
3

i =1

a ci y[i ]( c + a h )
3

2
i

c ( c + a h )
i =1

2
i

i =1

2
i

c (a hy[4] a h
i =1

2
i

c y[i]
i

2 i =1

c
i =1

i =1

i =1

2
i

ci2 ( ci2 + a 2 h 2 )

,
x[3] :
a 2h
x[ 4] = a x[3] + 3
( y[4] ha x[3])
.
(6)
2
2 2
ci + a h
i =1

4-
. .
,
.
y[4] h a x[3]
. ,
, ,
, x[4] x[ 4] = ax[3] .
, ,
.
,
.
,
:
y[3] = hx[3] + v[3]

118

y[3]
v[3]
x[3] =
.
(7)
h
h

[3]:
y[3]
x[3] = x[3] x[3] = e[3] .
h

1- 2- , . .
x[3] y[1] y[2] :
y[1]
1

x
[
3
]
=
v[1] ;
ha 2
ha 2
y[2]
1

x
[
3
]
=
v[2] ;
(8)
ha 1
ha 1
y[3]
1
x[3] = v[3] .
h
h
,


1
ei [3] = v[i ] ci ei [3] = v[i ] , i = 1,2,3 .
ci
,
3

i =1

i =1

ci ei [3] = v[i] .

(9)

e[3] P[3],
v2 .
, v[i]
. ei
.
,
3

ci2 P[3] = v2 ,
i =1

P[3] =

v2
3

ci2

i =1

(10)
,

x[3] . P[3]
119

 . P[3]
h,

.

x[4] .

x[4] P[4].

3
v2
2
ci = P[3] .
i =1
(11)
4
3
v2
3 2
2 2
1 2
2
2 2
2
(ha ) + (ha ) + (ha ) + h = ci a + h =
,
p[4]
i =1
v2
3
P[4] = 3
2

. ci P[3], :
2 2
ci a + h
i =1
P[4] =

i =1
2 2
v a P[3]
,
2
v + h 2 a 2 P[3]

(12)

.
x[4]

ci2
i =1

(11)
. ,
.
a 2 hP[k ]
x[ k + 1] = ax[k ] + 2 2
( y[ k + 1] hax[k ]) ;
a h P[k ] + v2

v2 a 2 P[k ]
P[k + 1] = 2
.
v + h 2 a 2 P[k ]
,

,
x[0] P[0] .
.
. x[0] , P[0]
. ,
x[0]
120

 .
P[k + 1] .
, a = h = 1 , v2 = 1 , P[0] = 100 . P[1] = 0,99 ,
P[2] = 0,497 , P[3] = 0,332 .
.

,
x[3] P[3]
.

.
1.
,
.
, .

2
g . :
x[ k + 1] = ax[k ] + g[ k ] ;
y[k ] = hx[k ] + v[k ] .
:
h(a 2 P[k ] + g2 )
x[k + 1] = ax[ k ] + 2 2
( y[k + 1] hax[ k ]) ;
a h P[k ] + v2 + h 2 g2
P[k + 1] =

v2 (a 2 P[k ] + 2g )

.
v2 + h 2 a 2 P[k ] + h 2 2g
2.

X [k ] , y[k ] .
:
X [k + 1] = AX [k ] ;
y[k ] = hT X [k ] + v[k ] ,
n x n;
hT -, ;
n .
- :
X [k + 1] = AX [k ] + AP[k ] AT h(h T AP[ k ] AT h + v2 ) 1 ( y[k + 1] h T AX [k ]) ;
P[k + 1] = AP[k ] AT AP[k ] AT h(hT AP[k ] AT h + v2 ) 1 hT AP[k ] AT .

. P[k ]
121

 . , X [k ]
:
cov(e1 , e2 )
De1
x [k ]
X [k ] = 1 , P[k ] =
.
De 2
x2 [k ]
cov(e2 , e1 )

1 2,

.
P[0] .
3.

X [k ] , ,
y[k ] . :
X [k + 1] = AX [k ] + bu[ k ] ,
y[k ] = hT X [k ] + v[k ] ,
u[k] ;
b .
1.


. ,

2
g (bu[ k ]) 2 = bT u 2 [ k ]b .
4.

.
X [k ] ,
U [k ] ,
Y [k ] . :
X [k + 1] = AX [k ] + BU [k ],
Y [k ] = HX [k ] + V [k ].
;
;
V[k] .

2
v
Dv . , [30].
5. .
, ,
, .

, ,

122

 .

.

18
1)
? 2)
? 3) ? 4)
? 5)
? 6)
?

19.



.
,
.
.
19.1.

. ,

:
Ty ( t ) + y( t ) = kx( t ) .

k.
,
. :
e( t ) = y( t ) y M ( t ) .

, ,
.
. , y M ( t )
,
:
y M (t ) = y0 e

t
T

+ e

t
T kx ( ) d

123

 0 .
.
,
y( t ), y ( t ), x( t )

Ty(ti ) + y (ti ) kx(ti ) ,
i = 1, 2, , n.
,
, y ( t ) .
:
e( t i ) = y( ti ) + Ty ( ti ) kx( t i ) .
n

J = e(ti ) 2 min .
i =1

J
= 0,
T

J
=0.
k

J = ( y (ti ) + Ty (ti ) kx(ti )) 2 ;

i =1

n
J
= 2 ( y (ti ) + Ty (ti ) kx(ti )) y (ti ) = 0 ;
T
i =1
n
J
= 2 ( y (ti ) + Ty (ti ) kx(ti )) x(ti ) = 0 .
k
i =1
,
:
n
n
n
2

T
y
(
t
)

k
x
(
t
)
y
(
t
)
=

i
y (ti ) y (ti );
i
i

i =1
i =1
i =1
n
n
n
T y (ti ) x(t i ) k x 2 (ti ) = y (t i ) x(ti ).
i =1
i =1
i =1
.

,
. , ,

.

.
t

y (t )dt
0

124

x(t )dt . [ 32] ,

,
,
, .

.
,
.

, y(t)
x(t).
19.2.

.
:
y[n + 2] = ay[ n + 1] + by[n] + du[n] ,
, u , a, b, d
, . ,
10 :
y[1], y[2], , y[10];

u[1], u[2], , u[10].

:
y[3] ay[ 2] by[1] du[1] = e[1];
y[4] ay[3] by[ 2] du[ 2] = e[2].

y[10] ay[9] by[8] du[8] = e[8].

, 8 10
. :
y[3]
a
e[1]
y[2] y[1] u[1]
Y = , B = b , E = , X =

y[10]
d
e[8]
y[9] y[8] u[8]

125

J = E T E = ( Y XB )T ( Y XB ) .
,
: B = ( X T X ) 1 X T Y ,
- (. ).

T
T
( X X )B = X Y .
.

Y .
:
y[n + 1] = ay[n] + bu[n 2] .
2
, :
y[n + 3] = ay[n + 2] + bu[n] .
10 ,
. . n=1, 2,,10.
y[ 4]
y[3] u[1]
a

Y = , X = , B = .

b
y[10]
y[9] u[7]
19.3.

W ( p ) . ,
. Fi ( t ) , i = 0, 1, , ,

[0,T]. :
T
0, i j;
Fi (t ) F j (t )dt = p , i = j.
i
0
pi = 1 ,

.

,

126

i =0

i =0

x(t ) = Ci Fi (t ) Ci Fi (t ) .

, .
, ,
,
. .
i
:
T

Ci = x(t )Fi (t )dt , i=0, 1, , n.

0

,

. .

:
n

x(t ) = Ci Fi (t ) ;

y (t ) = Di Fi (t ) .

i =0

i =0

.
, ,
.
n

X ( p) = Ci Fi ( p) ;

Y ( p) = Di Fi ( p) .

i =0

i =0

Fi ( p ) Fi(t).
m

Y ( p)
W ( p) =
=
X ( p)

Di Fi ( p)
i =0
n

Ci Fi ( p)

i =0

1. x(t ) = C1t + C0
y (t ) = D1t + D2t 2 .
C
C +C p
C
X ( p) = 12 + 0 = 1 2 0 ;
p
p
p
D 2D
D p + 2D
Y ( p) = 21 + 32 = 1 3 2 ;
p
p
p
D p + 2 D2
Y ( p)
W ( p) =
= 1
.
X ( p) p(C0 p + C1 )

127

 2. , .
1(t),
y (t ) = 0,5 t .
,

. :
1
1
Y ( p) =
X ( p) = ;
.
p
2 p2
1 p 1
W ( p) =
=
.
2 p2 1 2 p

= 2.

,
.
19
1)
? 2)
: ay + by + y = kx + dx .
. 3) ,
. 4) ? 5)
? 6) ,
:
y[n+3] = a2y[n+2] + a1y[n+1] + a0y[n] + b1x[n+1] + b0x[n]; 100
: x[1], .... , x[100] ; y[1], .... , y[100]. 7)
y[n+1] = b1y[n] + b2x[n] 4 ,
; : 1, 3, 3, 7; : 1, 0, 2, 0.

20.
,

.
, ,
. ,
, ,
,
.

128

 ,
[3].

.
:
;
;
.

,

, ,
.

.

,
.
.

,
.

,
,
.
. 28 .

J(B) .
, , -, .

e( t ) = y ( t ) y ( t ) .
J1 = e 2 (t )
X(t)

J 2 =

Y(t)

(t )dt .
t
T

J 3 =

e(t ) dt .

t T

J2

Y (t)
J3
M
,

129

. 28.

, ,

.
, . .
:
J J
J
gradJ ( B) = J ( B) =
,
, ,
.

b
1
2
k
,
.


.

.
:
;

, J ( B )
;
130


,
.

[5,18].

.

,
:
B[n+1]=B[n]+F( ( n+1)
).
(n+1)

, ,
. ,
, .
, , ,
,
,
.

,
.

.
, ,
.

.

, ,
, .
, ,
. B (n+1)

:
B[n + 1] = B[ n] n Fn ,
n ,
;
Fn -,
J(B).
131

n :
lim n = 0 ;
n

lim k = ;

n k =1
n

lim 2k < .

n k =1

1/n k/n,
k . ,
:
1 1 1 1
1, , , ,
,.
2 4 8 16

. : y = b1 x1 + b2 x2 .

b1 ,b2 . :
1
J n ( B ) = ( y[n] y [ n]) 2 . (n+1) :
2
1
J = ( y[n + 1] b1[n]x1[ n + 1] b2 [n]x2 [n + 1]) 2 .
2
J
b [ n]
J
= 1 ,
Fn =
B[n] J
b2 [n]
J
2
= ( y[n + 1] b1[n] x1[n + 1] b2 [n]x2 [n + 1]) x1[ n + 1] ,
b1[n]
2
J
2
= ( y[n + 1] b1[n]x1[n + 1] b2 [ n]x2 [n + 1]) x2 [n + 1] .
b2 [ n]
2

:
b1[n + 1] = b1[n] + n ( y[n + 1] b1[n] x1[n + 1] b2 [n]x2 [n + 1]) x1[n + 1] ;
b2 [n + 1] = b2 [n] + n ( y[n + 1] b1[n]x1[n + 1] b2 [n]x2 [n + 1]) x2 [n + 1] .

- ,
B[n+1]:
B[n + 1] = B[ n] + n ( y[n + 1] BT [n] X [ n + 1]) X [n + 1] ,
132

 X [n + 1] (n+1)
.

. , y[n + 1] = ay[n] + du[n]
y[ n + 1]
BT [n] = [ a[n] d [n]] , X [ n + 1] =
.
u[n + 1]

. .
y = a + bx .
a = b = 1. ,
. a = b = 0,5 . ,
1 1
,
,
= 1,
2 3
= 1,355; b = 0,86.
= 1 . 4- a =
4, b = 9. 5- a = 15, b = 29, . .
.


,
.
n

.
, ,
.
[3]
1
n . n = ,
n
.
, ,
n,
k
. n =
n
(. 29).
n=k/n

n=1/n
bk

bk

133
n

. 29.

,
.
.

.
.
,
.
:
y[n] m y [n]
x[n] mx [n]
y
[
n
]
=
x [n] =
,
.

x [ n]
y [ n]

.
,
.

[3]

k
n =

,
n
.
, ,
.

. , ,
.

.
:
134

B[n + 1] = B[ n] +
B[n + 1] = B[ n] +

y[n + 1] BT [n] X [ n + 1]
X [ n + 1]

y[n + 1] BT [n] X [ n + 1]
2

X [ n + 1] ;
X [ n + 1] .

X [ n + 1] + k

.
.

k
n = ,
,
n


.
. 30 ,
.
.

. 30.

. , . .

,
B[n + 1] = B[n + 1] B[ n]
,
.

135

 B[n + 1]
qn, .
q .
q 0 < q < 2 .
:
y[n + 1] BT [n] X [ n + 1]
B[n + 1] = B[ n] + qn
X [n + 1] ;
2
X [ n + 1]
y[ n + 1] BT [n] X [ n + 1]
B[n + 1] = B[n] + qn
signX [ n + 1] .
X T [n + 1]signX [ n + 1]

. . 31
q=0,2.

,
(. 32).

. 31.
q = 0,2

136

. 32.
q = 1,6

,
, ,
.

.
,
:
B[n + 1] = B[ n] + F { y[n + 1] B T [n] X [n + 1]} .

y[n + 1] BT [n] X [n + 1] = e , F { }
:
e p, e > p,

F {e} = 0, e p,
e + p, e < p,

,
.

137


.
, ,
.

:
2

B[ n + 1] = B[n] + q n ( y[n + 1] B [n] X [ n + 1]

X [ n + 1] X [n] X [n]( X T {n + 1] X [n])

X [n + 1]

X [n] ( X T [ n + 1] X [n]) 2

, ,
.
20
1)
= 0 + 1. 2)
= 11 + 2 2. 3)
? 4)
gn ,
? 5) , ?
6) ? 7) 2
?
8) ?

21.

, [17]. , ,
,
. , ,
.
.
: ,
, - .
21.1.
,
,

.
, .
138


. ,
, . .
.
.
, ,
.
,
. ,
,
.

, ,
.

.
, , -,
.
:
;
.

.

.
-

.

. .


.
. :
;
;
.
.


.
139

 ,
, .

() ,
.

.

.
, ,

.
.

. ,

:
,
,
,
,
,
,
. , ,
: ,
, , . .
, ,
:
;
.
,


- ,
.

,
: , , ,
. .

,
,
,
. .

140

.
- ,
.
, -
, , ,

[4]. , , - ,
,
, ,
. . 33

.

,
-
,
.
,
, .
.

;
;
.

33.

141


.
, - ,
.


.
.
.
,
. ,

,
. :
.

()
.

,
.
.
, :

, , ,
;
;
.
:

, , ;

.

. ,
,
, .
21.3.

142



[4].
,
rj,

R = [r1 , r2 , , rn ] .
r1, . . . , rn ,
. ,

aj .
aj -
.
:
r j = f j (a1 , , am ) .

=[a1, , am]. :
R = F{A},
F ,
aj .

:
A = F 1{R} .
,
,
,
.
.
, .
- ,
,

,
, - .
, ,
:
1.

,
.
2.

.

143

 ,
.
4.

() ,
.
R

. ,

-
,
,
, ,
, , .
,
, , .

R

, , ,
.

. . 34 ,
, :
, ,
.
3.

. 34.

. , R
.
-

144

21.4.

,
.
. ()
[29]
.

,
.

. ,

. ,
? ,
,
, .
,
0
1, 2, .
.
, 0 ,
=16. 1: < 16; 2 :
> 16. : 0 :
, 1:
.
.
, ,

,
. ,
, 1.
0 , 1 .
,
, , = 0,05
(5 %) = 0,01
(1 %).
,
.

145

 .
( ).
. , ,
( ).
. ,
, .
, ( ).
,
,
.
,

.

:
1. ().
2. (1 ).
3. (1 ).
4. ().
[29]
.
: , (
). ,
.
- ,


.
.
.
, , :
x B = 21,3 10 4 ;
x A = 22,7 10 4 .
= 5020.
, x B x A
. :
?
0
: n (n = 5),
.

-:
146

T =

x A xB n

.
x 2n


, 0 ( ),
x A x B , . . .
T

1,4 10 4 5
=
= 4,409 .
5020 10

T ( / 2 = 0,025) = 2,306 .
> , 0 ,
1: ,
.
21.5.

.

.
,


.
, .
.

:
[17].


, . . ,

.
Xi
Zj. z1, z2, , zk
1, 2 , , .

147

.

,
.


.

,
.
,
.

.
,
, -
().
(105 /2).

.
.

.


.
.


. ,
.
(
, ),
.
,
, (. 6).
5
2 (
), .
, -
,
- - .
148

 2, 3 4 ,


.
PH PL,
. 6 7

:
- - ;
( )
.
,
,
a, b, c, d ; z.
z = abc d + a bc d + a b c d + a b cd + a b cd .
:
z = bc d + a b c + a b c d .

PLL
a

PHH

b
c
d
z

4
5

0
0

0
0

1
1

0
1

1
1

7
816

0
0

: z = true, ,
.
21.6.

149

 :
();
().

.
, , -;
- , , .
. - .

,
.

.
( ) h.
h .
,
(,
).
-
. ,

.

. ,
, -.
-
.
. [28]
, 10 %
15 20 %.

. . 35
.
() ().

,
.
() ,

, ,
150

,
().
. 36 ,
,
. -.
,
.
,
.

,
, , ,
,
.

()

. 35.

. ,

,
,
.
. . [28].

151

. 36. -

, ,
. ,
.
21
1) . 2)
. 3)
? 4)
. 5) ,
. 6)
? 7)
?

,
, . ,

.
. , . .
2
600 .

,
.. .
,
()
152

 : , ,
, ,
.
.
/
, ,
.

1. .., .., ..

. .: , 1973. 272 .
2. : . . / . ... ..
. .: , 1988. 392 .
3. .., .., .., ..
: . .: - , 1999. 435 .
4. .., ..
: / . ..
. .: - , 1997. 188 .
5.
/ . .. .
: , 1976. 180 .
6. .. . .:
, 1969. 159 .
7. .., .., .. :
: / . ..
. .: , 1985. 487 .
8. . : . . .: , 1979.
304 .
9. ., . : . .
.: , 1973. 392 .
10. .. . .:
, 1997. 240 .
153

11. .. . : .
, 1981. 90 .
12. ..
. .: , 1973.
13. . : . ./ . ..
. .: , 1991. 432 .
14.
: 5 .: .2:
/ . ..
, .. . 2- . .: - . ..
, 2004. 640 .
15. .., .., ..

//
.
I
. .: , 1970. . 3947.
16.

..

. .: , 1965. 360 .
17. . . I. ,
/ . .. . .: , 1976.
464 .
18. .. .
.: , 1982. 272 .
19. .. ? .: , 1970. 119 .
20. .., ..
. .: , 1975. 376 .
21.

..

: . .:
, 1985. 296 .
22. ., . : .
. .: , 1974. 248 .
23. ., ., . .
: . . .: , 1973. 248 .
24. / . ..
. .: , 1987. 712 .
25. / . .. .
.: , 1983. 527 .
26. .., ..
. .: , 1974. 335 .
27. .., .. .
.: , 1974. 224 .
154

28.

/ . ..
. : , 2003. 240 .
29. .
: . . .: ,
1983. 352 .
30. . : . .
.: , 1975. 684 .
31. . : . .
.: , 1967. 480 .
32. ..
. .: - , 1974. 202 .
33. .. . .: -
, 2005. 354 .

155


......................................................................................................................................................3
1. .....................................................................................................................................3
2. ..................................................................5
3. .............7
4. .........................................11
5. ............................................................21
6. .................................................23
7. ...................................................26
8. ..................................................................34
.................................................................................34
9. .......................................................................46
10. ........................52
....................................................................59
12. ...........................................................................................................76
13. ............................................................................................87
14. ......................................................................................................95
15. ................................................................................99
16. .....................................103
........................................................................................103
17. . .107
18. ........................................................................................................114
..............................................................................................................................116
19.
.............................................................................123

156

20. ...............................................................128
21. .............................................................................................................138
..........................................................................................................................................152
........................................................................................................................153

157

,
..
..

..

..
..

03.06.2010. 6084/16. .
PISO. ... 9,01. .-.. 8,16.

. 100 .

NATIONAL QUALITY ASSURANCE ISO

9001:2008
. 634050, . , . , 30
./: 8(3822)56-35-35, www.tpu.ru