Два метода анализа стохастических систем с пуассоновской составляющей
Автор(ы):
Татьяна Александровна Аверина
кандидат физико-математических наук,
старший научный сотрудник лаборатории
«Численный анализа стохастических дифференциальных уравнений»
Института вычислительной математики и математической геофизики СО РАН;
доцент кафедры «Вычислительной математики» Новосибирского государственного университета
ata@osmf.sscc.ru
Константин Александрович Рыбаков
125993, г. Москва, А-80, ГСП-3, Волоколамское шоссе, д. 4
Московский авиационный институт (национальный исследовательский университет),
кафедра "Математическая кибернетика", доцент
ученое звание и степень – доцент, к.ф.-м.н.
rkoffice@mail.ru
Аннотация:
Рассматриваются два метода решения задачи анализа стохастических
систем с разрывами траекторий, образующими пуассоновский поток событий:
метод статистического моделирования и спектральный метод.
В работе изложены алгоритмы решения задачи анализа, основанные
на методе статистического моделирования и спектральной форме
математического описания систем управления. Сравнение и эффективность методов
демонстрируются на решении модельных и прикладных задач.
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