Informatics and Applications
2019, Volume 13, Issue 1, pp 2-8
INTERPOLATONAL ANALYTICAL MODELING IN COMPLEX STOCHASTIC SYSTEMS
Abstract
Methods and algorithms for interpolational analytical modeling (IAM) of stochastic processes in complex continuous and discrete stochastic systems (StS) which are scalar (or vector StS reducible to scalar) are developed. Several types of continuous and discrete StS are considered. The IAM methods are based on evolutionary equations numerical interpolation solution for one-dimensional characteristic function (c.f.). Special attention is paid to c.f. sensitivity analysis. In basic IAM algorithms, the Kotel'nikov theorem was implemented. Some practical questions concerning interpolational formulae and number of intervals for interpolation are discussed. In the future, IAM for StS with known analytical structure for offline modeling will be based on spline-wavelet methods and for online modeling - on filtration approaches. Special attention should be paid to multidimensional distributions. Keywords: one-dimensional characteristic functions (c.f.); one-dimensional probability density (p.d.); stochastic processes (StP); stochastic system (StS)
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[+] About this article
Title
INTERPOLATONAL ANALYTICAL MODELING IN COMPLEX STOCHASTIC SYSTEMS
Journal
Informatics and Applications
2019, Volume 13, Issue 1, pp 2-8
Cover Date
2019-04-30
DOI
10.14357/19922264190101
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
one-dimensional characteristic functions (c.f.); one-dimensional probability density (p.d.); stochastic processes (StP); stochastic system (StS)
Authors
I. N. Sinitsyn 
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
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