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Sistemy i Sredstva Informatiki [Systems and Means of Informatics], 2020, Volume 30, Issue 1, Pages 4–19
DOI: https://doi.org/10.14357/08696527200101
(Mi ssi680)
 

Filtering and extrapolation in migrational-populational stochastic systems

I. N. Sinitsyn, V. I. Sinitsyn

Institute of Informatics Problems, Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119133, Russian Federation
References:
Abstract: Approximate quasi-linear filtering and extrapolation methods for migrational-populational stochastic systems (MPStS) are developed. Volterra StS are the special case of MPStS. The MPStS are described by nonlinear differential Ito stochastic equations with additive and parametric noises. Corresponding algorithms are based on the conditionally-optimal linear Pugachev filtering and extrapolation theory. For wide-band noises, simplified approaches for filters synthesis are based on interchange of parametric noises by the additional ones. For narrow-band noise, the methods of Pugachev canonical expansions and generalized canonical expansions corresponding algorithms are proposed. As the test example, three-dimensional differential MPStS with nonlinear stochastic migrational flow with polarized additive and parametric noises is considered. Some special cases are treated. Basic generalizations: (i) nonpolarized and autocorrelated noises in discrete and mixed continuous-discrete MPStS; and (ii) nonlinear filtering and extrapolation in MPStS.
Keywords: analytical modeling, filtering and extrapolation, migrational-populational StS (MPStS), normal approximation method (NAM), Pugachev conditionally-optimal filtering and extrapolation, statistical linearization method, stochastic system (StS), Volterra StS.
Funding agency Grant number
Russian Academy of Sciences - Federal Agency for Scientific Organizations АААА-А19-119082790038-2
The research was supported by the Russian Academy of Sciences (project АААА-А19-119082790038-2).
Received: 17.09.2019
Document Type: Article
Language: Russian
Citation: I. N. Sinitsyn, V. I. Sinitsyn, “Filtering and extrapolation in migrational-populational stochastic systems”, Sistemy i Sredstva Inform., 30:1 (2020), 4–19
Citation in format AMSBIB
\Bibitem{SinSin20}
\by I.~N.~Sinitsyn, V.~I.~Sinitsyn
\paper Filtering and extrapolation in~migrational-populational stochastic systems
\jour Sistemy i Sredstva Inform.
\yr 2020
\vol 30
\issue 1
\pages 4--19
\mathnet{http://mi.mathnet.ru/ssi680}
\crossref{https://doi.org/10.14357/08696527200101}
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    Системы и средства информатики
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