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551500
653700 ,
190300
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2004

629.78.017.1.054.002
32.873
49
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49 - : . / . ., 2004. 96 .
ISBN 5-8088-0100-1
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ISBN 5-8088-0100-1

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, 2004

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()

, . . 1.
2.1.
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( )
. t .
10

,

. P(t)
0 t
P(t ) = P( > t ).

(1)

P (.) , . P (t) t.
v, (1)
(2)
P (t) = P [ v *(t1) < v (t1) < v **(t1); 0< t1 = <t ];
v* v**
, .
,
.
P (t) F (t) f (t) :
F (t) = 1 P (t); f (t) = d F (t) / d t = d P (t) / d t.
(3)
,
: ,
,
. 0 t

Q (t) = 1 P (t) = F (t).
(4)
P (t ) 0 t
F (t ) :
P (t ) = 1 n(t ) N ; F (t ) = n(t ) N ,

(5)

N , ;
n (t) , 0 t.
P (t) F(t)
N .
,
11

, . (t)
. P(t),
.
2.2.

f (t)
, .

f (t ) = n(t ) / N (0)t,

(6)

n (t) t t 2
t + t / 2 t; N(0)
.
.
f (t) , (6), . 1.
(t)
f (t)

(t) = = const

(t)

f (t)
I

II

III

t
. 1.
f (t)
l(t)

f (t) .
(I) f (t) ,
t - . .
,
. I .
12

II
f (t) .
t .
III
, . .

.

,
.
, , , , .
(t)

(t ) = n(t ) / N (t )t ,

(7)

N (t) ,
t.
N (t ) = N (t t / 2) + N (t + t / 2)] / 2.

, , . ,
.
,
, , ,
, .
(t) . 1. f (t),
13

: I, II, III.

(t ) = n(t ) / N (t )t = n(t ) / N (0) P(t )t = f (t ) / P(t ).

(8)


(. 2).
1
2
3

...

N(0)
. 2. i-
N (0)

, , N (0)
,
T
To =

1
N (0)

N (0)

i
i =1

, , , (4)

To = tf (t )dt = [1 F (t )]dt = P(t )dt,


0

F(t) ; f (t)
.
. , :
14

;

;
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,
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,

T,

= D = (t T )
2

f (t ) dt =2 tP (t ) dt P (t ) dt .
0

(10)


N0

= D =

(ti T )2 ni
i =1

N0

(11)

ni ti N0.
15

2.3.

,
. ,
.
t
.
,
:
N

P (t ) = p1 (t ) p2 (t )... p N (t ) = pi (t ),
i =1

(12)

P (t ) = exp 1 (t )dt exp 2 (t )dt exp N (t )dt =

N t

= exp i (t )dt .
i =1 0

(10) . .
II (. 1) .
N

e t , = i .
i =1

(13)

,
r

= i N i ,
i =1

(14)

Ni i- ; r . ,
, t
16

, P(t) . , et
,

P (t ) 1 t

N i i = 1 t.
i =1

(15)

(12), (13) , t 0,1.


, . P(t), ,

:

p1 (t ) p2 (t )... p N (t ) 1
N

qi (t ),
i =1

piN (t ) 1 Nqi (t ) ,

pi (t ) 1 qi (t ) / N ,

(16)

qi(t) i- .
, , , .
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60 70
90 98
90 98

20 40
20 25
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01
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22

P(t) P(t) P(t) :


P = P0 (t ) + z(1+ ) / 2 P(t ) , P (t ) = P0 (t ) z(1 ) / 2 P(t ) ,

(17)

P0(t) ,
; P(t)
; z [5]. = (1+)/2,
= (1 )/2, = 0,9 :
1

z(1+ ) / 2 = z(1 ) / 2

n P (t ) 2 2
1,65, P(t ) =
i ,

i =1 i

(18)

i = ivi vi 0 vi 1.
,
,
, .
=

iti / ti ,
i

(19)

ti i-, i
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23

3.
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3.1.
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N0
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n ,
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P0 ;
P K.
[14, 15] :
1) ,
20%
N 0 = 0,06035 S 0,001251 S ,

S, S
;
2) , N0 2%
;
3) , N0 =1 750
;
4) , V
N0 =

V
V
2 log
;
3000
1300

5) , N0
0,5% ;
6) , 20% V
N 0 = 5 V /1024;

N0
4,34 26

1,44 1
.

P(t ) = exp ( t / T ) ,
t ;
T=

1
exp( k . )
kN 0

; k
,

n = N 0 [1 exp( k . )],
n ; .
. ,
T0 = 1/ kN 0 ,
n0 = N 0 exp( k . ) . , N0
N 0 = n [1 exp( k . )] .
28195-89 ,
P(t ) = 1 n N , n
; N .
3.2.

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:
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40001500 /; ()
10 . 2501500 /;
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27

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0,251,0
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100

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64256

100

64256

100

Kp

0,2

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1
0,5

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28

2
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= K K K K .

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(, . .) 1,2108.

(10 20) max { , } .
1012 .

29

4.

, .
(). . , ,
(t) T.

,
, ..
(t ) = n(t ) / N (0)t ,

(20)

n (t) t t/2 t
+ t/2, N (0) , , ; t .

.
,
.

N

j =1

j =1

= n j / t j ,

nj j- ; tj j-
; N .

. ,
: , .
30


t . .
, t . .
,
t0 ,
. .
. t=0 N (0)
- .
t,t +t

n(t ) = (t ) N (0)t,

(21)

n(t) = n1(t) +n2(t), n1(t) ,


t=0, n2(t)
0 t.
n1(t) n1 (t ) = f (t ) N (0)t .
n2(t)
, + t,t +t, . . < t. ( ) N (0) . , t

[(t ) N (0)] f (t )t

(22)

. n2(t) (22)
, t:
t

n2 (t ) = N (0)t ( ) f (t )d.
0

n1(t) n2(t) n(t) N (0)t , (t)


t

(t ) = f (t ) + ( ) f (t )d.
0

31

f(t)
.
.
( s) = f ( s) + ( s) f ( s) , (s), f(s)
(t) f(t).
( s) = f ( s)

[1 f ( s)] , f ( s) = ( s) /[1 + ( s)].

(23)

(23) , f(s) (s)


(23). , .
,
t

Q (t ) =

f (t )dt , P(t ) = 1 f (t )dt.


0

P( s) = 1 f ( s) s , f (s) = 1s P (s),

(24)
( s) = 1 sP( s) sP( s).
:

(t) , f(t) ;
(t) t
, ,


;
,
.

, . , , (t).
.
32

(7). . (t) (t) :


(10)
i(t) ;
, ;
i(s) i(t);
i(s), (13), f(s) ;
f(s)
f(t);


t

(t ) = (t ) /(1 (t )dt ),
0

(t).

.
N(0)
T = (t2 t1 ) / [H (t2 ) H (t1 )],

H(t2) H(t1) t2 t1 ;
mi (t) t.
H (t ) = lim

N (0)

mi (t ) / N (0).
i =1

T = (t2 t1) / [m (t2) m (t1)],


m (t ) =

N (0)

m i (t ) / N (0).
i =1

33


N (0)

T = t i +t ( N (0) n ) / n ,
i =1

n ; ti
i- ; N(0) ; t
.
t , D.

.

D=

t t f (t )dt; D =

N (0)

t i t

/( N (0) 1).

i =1

,
.
= D.

4.1.

9

P(t)

Q(t)

f(t)

(t)

P(t)

1P(t)

dP ( t )
dt
dQ(t)/dt

dP ( t )
P ( t ) dt

Q(t)

1Q(t)

f(t)

f (t )dt

(t)

f (t ) / f (t )dt

(t )dt
0

(dQ(t)/dt)/(1Q(t))

f (t )dt

34

1 e

(t )dt
0

(t )e

(t )dt
0

.
4.2.

T .
. , ,
.. . II ,
. 1. (t) = = const, . 1 P(t) = et, Q(t) = 1 et.
, ,
, .

.
, .


f1 (t ) = e t .

(25)

T1 = tf1 (t )dt = 1/ .

(26)

D (t ) = (t T1 )2 f1 (t )dt = T12 = 1/ 2 .

(27)

, , .
, ,
35

, . , .

1
e
2 (2 )

f 2 (t ) =

( t T )2
2( )2
2

(28)


P (t ) =

1
2

2
( t T )
2
2( 2 )

e
2
t

t T
dt = 1 F
2

(29)


T 2

2
2
T2 = tf 2 (t )dt = T +
e 2( 2 ) ,
2 F (T / 2 )
0

(30)

T, D2 = (2)2 ; F(T/2) . , ,
.
. . , , , , , . , .

k

f 3 (t ) = 0kt k 1e 0t ,

(31)

0 , k .
36
)

k = 1
.
.

t

P(t ) = 1 f 3 (t )dt = e 0t .

(32)


3 (t ) = 0kt k 1

(33)

1
+ 1
t
.
T3 = e 0 dt = k
1
0
0
k
t

(34)

1
+ 1 - [6]. k

, ,
,
.
-. - , .
,
.
, ,
f 4 (t ) = 0

( 0t )l 1 0t
e
,
(l 1)!

(35)

0 -. l , :
37

P (t ) = 1 f 4 (t )dt = e

0t

4 (t ) = 0 ( 0t )l 1 (l 1)!

T = P(t )dt =
0

( 0 t )i
i! ;
i =0
l 1

l 1

i =0

( 0 t )i
;
i!

l
.
0

(36)

(37)

(38)

l -. . l = 1 , l > 1 , l < 1 .
- ,
. l<1
.

. ,

. , , ,
, .
f (t ) =

38

fi (t ) , n = 2, 3, ...
i =1

(39)


f (t ) = C11e 1t + C2 2 e 2t ,

(40)

1 < 2 , C1, C2 , C1 +C2 = 1


1 2.

t

P(t ) = 1 f (t )dt = C1e 1t + C2 e 2t ,

(41)

(t ) =

f (t ) C1e 1t + C2 e 2t
C C
=
, T = P(t )dt = 1 + 2 .
P(t ) C1e 1t + C2 e 2t
1 2
0

(42)

C11 +C22

1
t

. 3. (t)

. 3 (t) .
,
[3, 7, 8].

39

5. ,



.
, . , , . , . . ,
t
V (t ) = P[ t ] = F (t ).

(43)

,
, . 10.
10

Q(t) = F(t)

F(t ) = V(t )

P(t) = 1 Q(t)

P(t ) = 1 V(t)

P (t ) = e

(t )dt
0

(t) =
P(t) = e t
f(t) = dP(t)/dt = e t

P ( t ) = e

(t )dt
0

(t ) =
P(t ) = e t
f(t) = dP(t )/dt = e t
T = 1/

T , 40

, ,
. . 10 , (t) = .
, [15].
, . . .
, , ,
- , ,
.

n
n t

T ( n 1) T

(44)
.
f ( t ) =
t e
(n 1)!
(44)
n ,
,
T. , n = 2
2 t

4
f (t ) = 2 t e T .
T

(45)


V ( t ) =

2t

2t
f (t )dt = 1 1 + e T .
T

(46)
41

(t ) = 4t T (T + 2 t ).

(47)

,
, [15]:
V ( t ) =

t 3/ 4

T
e ,

T =

tk ,
k =1

(48)

tk , k- .
- .
. t t :
t,
;
t t .
t t
P (t t ) = P(t ) P(t ),

(49)

P(t) = N(t)/N; N(t) , t ; N . Q(t) = n(t)/N t, n(t)


, t . , P(t) + Q(t) = 1. 42

f(t), ,

f (t ) = [dn(t ) dm(t )]/ Ndt,

(50)

d n(t) , t; d m(t)
t.
(50) :
f =

1 dn(t ) N (t )
1 dm(t ) n(t )

.
N (t ) dt N
n(t ) dt N

(51)

, (. 10),

dP(t )
= P(t ) + Q(t ).
dt

(52)

P(t) t < tp,


dP(t )
+ ( + ) P(t ) = .
dt

(53)


P (t ) =

+ C e (+ ) t .
+

(54)


: , P(0) = 1, ,
P(0) = 0.
P(0) = 1 1 = /( + ) ,
P1 (t ) =

1+ e (+)t
+

(55)

P(0)=0 2 = /( + ) ,
P2 (t ) =


1 e (+ )t .

(56)
43

t P1(t), P2(t) /+. t,


P1(t) P2(t)
,
dP1 (t )
= e ( + ) t = ,
dt

t P = ln

( + ) .

(57)

= 1/T, = 1/T.
(55) (56) K. ,

t, t < tP , .
, T T () ( t ) ,
K = limt K (t )

K =

T
.
T + T

(58)

(58)

K = limt K (t )

K =

T
,
T + T

(59)

. , K + K = 1
.
44

(49)

t

P (t ) = K e

( t )dt
0

(60)

K , .

, , .
K . = t / (t + t + t ),

(61)

t ; t
- ; t
- .
, [1], :
;

;
,

;

;

,
.
45

[5,6]
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.


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. , , , .

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

S (tx ) = P( t1 > tx ) ,

(62)

tx ; t1
.
,
(5)

S (tx ) = 1 n (tx ) / N ,
46

(63)

n(tx) ,
; N , tx = 0.

f (tx ) = dnx (tx ) / Ndtx , (tx ) = dnx (tx ) / N (tx )dtx ,

(64)

nx(tx) d tx
.

Tx =

txi
i =1

N ,

(65)

txi i- .
, , ,
, , ,
.

47

6.
, . ,
. :
. . , . .
.
1. .
, , .
2. , ,
.
3. , , ,
.
4. ,
.
5. , ,
.
.
1.
.
48

2. , .
3. .
4. .
5. .
6. .
7. .
8. .
, . .
6.1.

() ,
. , .

: (, ), ,
, .


, , , .
.
.
- 49


.

, , .
.
,
, .

- , .
, .
.
, .
.

.
,
.
.
, . , .
50

m.
m
,
. .
, , .
. , , . .
.

. , .

, ,
. , , , .
,
, .

, . .
6.2.
P(t), k , (12),

k

P (t ) = p1 (t ) p2 (t ) pi (t ) pk (t ) = pi (t ) ,
i =1

(66)
51

1
2
j
m
. 4.

pi(t) i-
. qi(t).
,
m ,
. 4,
m+1 .
Q(t)
qi(t)
m +1

Q (t ) = q1 (t ) q2 (t ) q j (t ) qm +1 = q j (t ).
j =1

(67)

m+1
m +1

P (t ) = 1 1 p j (t ) .

(68)

j =1

: (. 5) (. 6) .
1

1
2
j

. 5.

52

1
2
j
m
. 6.

, k pi(t) =
= 1 qi(t), P(t), j- :
k

Pj (t ) = p1 (t ) p2 (t ) pi (t ) pk (t ) = pij (t ).
i =1

(69)

Q j (t ) = 1 Pj (t ) = 1 pij (t ).
i =1

(70)



m +1

m +1

j =1

j =1

i =1

Q (t ) = Q j (t ) = ( 1 pij (t )) ;
m +1
k

P (t ) = 1 Q (t ) = 1 1 pij (t ) .
j =1
i =1

(71)

(72)

, k qi(t) = 1 pi(t),
P,
i-
53

m +1

Qi (t ) = q ji (t ) .

(73)

j =1


m +1

Pi (t ) = 1 Qi (t ) = 1 (1 p j i (t )).

(74)

j =1


k
k
m +1

P (t ) = Pi (t ) = 1 ( 1 p ji (t )) ,
(75)

i =1
i =1
j =1


k
m +1

Q (t ) = 1 P (t ) = 1 1 1 p ji (t ) .
i =1
i =1

(76)

6.3.
, , . - ,

. , .
, t,
. , n

54

:
H0
H1

Hn

H

:
A1
A1

A2
A2

A3
A3

... ...
A1 A2

...
A3

... ...
A1 A2

...
A


... ...
H1,2,...,n A1 A2

...
...
...
...
...
A

An
An
...
An

...
...
A3 ... Ai ...

...
An

...
An

(77)

H0 ; Ai ( Ai )
() i- ; Hi i- ; H , ; H1,2,,n n .
, , .

P =

n m

P( Aik )

k =1

P( Ail ) ,
l =1

(78)

m .
t

r

P = P
j =1

(79)

r .
:
;
, ,
;
55


.
6.4.
i j
(. 5) (71), (72) :
pij p P = 1 (1 p k )m +1 ;
Q = (1 p k )m +1 .

(80)

(. 6)
pij p P = [1 (1 p ) m +1 ]k ;
Q = 1 [1 (1 p )m +1 ]k .

(81)

K
K = Q Q =

(1 p k )m +1
(1 (1 q)k ) m+1
.
=
1 [1 (1 p)m +1 ]k
1 [1 q m +1 ]k

(82)

kq << 1 km . k m .
.
m.
. :
P (t ) = 1 (1

pi (t ))m+1 = 1 (1 e t )m+1 1 (0t)m+1;


0

i =1
k

Qc (t ) = (1

56

pi (t ))m+1 = (1 e t )m+1 (0t)m+1;


0

i =1

(83)

0 =

m+1 .

i=1

T = P (t )dt = (1 (1 e 0t )m +1 dt.

1 e

0t

Tc =

= z, dt =

dz
,
0 (1 z )

1 1 z m+1
1
1
dz =
(1 + z + z 2 + z 3 + ... + z m )dz =
0
1 z
0
0

zidz. (84)
i =0 0


Tc =

1
0

i +1 1 = 10 (1 + 21 + 13 + ... + m1+ 1).


i =0

(85)

. , ,
m = 10 .
Tc
D(t),
T0
3

2
1

0
2
4
6
8
10
12
14 m
. 7.
m

57

D[t ] = (t Tc )2 f c (t )dt.

(86)

, (83),
D[t ] = T02

(1 +1i)2 ,
i =0

(87)

:
m = 1,..., 3
1
D[t ] = T02 (1 + ) ,
4
1
1
D[t ] = T02 (1 + + ),
4 9
1 1 1
D [t ] = T02 (1 + + + ) .
4 9 16

(88)

, , .
, , , .

. , .
(80)
, (. 8).
. 8 , , , .
0t .
58

Pc
1,0
0,8

0,6
2
0,4

0,2

m=0
0,4

0,8

1,2

1,6

2,0

2,4

2,8

0 t

. 8.

,
0t.
6.5.
, (, ).
,
.
,
() () [4].

Pc (t ) = P (t ) + PB / (t ),

(89)

PA
t; P/(t) t , .
(89)

59

Pc (t ) = P (t ) + PB (t, ) f ( )d.

(90)

(90)
m.
t

Pm +1 (t ) = Pm (t ) + P(t, ) f m ( )d = Pm (t ) + f m ( )d
0

Q (t, ) f m ( )d = 1 Q (t, ) f m ( )d,


0

(91)

Pm(t) ,
(m 1) , t; P(t,) (t ) ,
; fm() . (91)
m , .
6.5.1.

Q (t, ) = Q (t ) ,
Pm +1 (t ) = 1

Qi (t ).
i =0

(92)

, ,
Pm +1 = 1 (1 e 0t ) m +1 1 ( 0t )m +1;
Qm +1 (t ) = (1 e 0t )m +1 ( 0t )m +1;
Tm +1 =

1
0

i =0

i =1

i +1 1 ; 0 = i .

(93)

m > 2 .
60

6.5.2.

""
, P(t , ) = P(t ) ; Q (t , ) = Q (t ) .
(91)
t

Pm +1 (t ) = Pm (t ) + P(t ) f m ( )d ; Qm +1 (t ) = Q (t ) f m ( )d
0

(94)

Qm +1 (t ) =

f0 ()Q(t )d.

(95)

,

P (t ) = 1
t

f ( )
0

t 1

f ( 1 )

t 1 2

t 1 m 1

f ( 2 )...

f (t )dt...d2d1d.

(96)

f (t ) = 0e 0t

( t ) 2 ( t ) 3
( t ) m
P (t ) = e 0t 1 + 0t + 0 + 0 + + 0 =
2 !
3!
m !

m
( t )i
= e 0t 0 .
i !
i =0

(97)

m . 9.
(. 9) , .
, 0t, . .,
.

61

Pc
1,0
0,8
3
0,6
2

0,4

1
3
2
1
m=0

0,2

0
0,4
2,4
0,8
1,2
1,6
2,0
2,8 0t
. 9.
( )
() m
t

T = e
0

0t

( 0 t )i
m +1
dt =
.
0
i !
i =0
m

(98)

D[t ] = (t ) = (t T )2 f (t )dt =
0

m +1
= TT0 .
02

(99)

Tc (98)
(99) .
,
(t) m+1.

,
, , . 62

. . 0 .
6.5.3.

.
,
, , , ,
.
,
. , , ,
,
1 < 0 .


,
.
(94), P1(),
P0(t ) f() :
P1 ( ) = e 1 ; P0 (t ) = e 0 (t ) ; f1 ( ) = 0e 0 .

m = 1
P2 (t ) = e

0t

+ e 1 e 0 (t ) 0e 0d = e 0t [1 +
0

0
(1 e 1t )], (100)
1

m = 2

1 0 0
1t 2
P3 (t ) = e 0t 1 + 0 (1 e 1t ) +
(101)
1 + (1 e ) .
1
2 1
1

, , m
63

Pm +1 (t ) = Pm (t ) +

am 0t
e
(1 e 0t )m , am =
m !

m 1

j + 10 .

(102)

j =0

T = Pm+1 (t )dt =
0

Tm+1 = Tm +

m
a
1
+ i
0 i =1 i !

(1) jCij 0 +1 j1 .
j =0

1
1
=
0 + m1 0

i =0

1
1+ i

1
0

(103)

(102) (103) , : 1 =
; 1 = 0 ;
1 = 0 .
Pc, Tc .

64

7.

, ,
,
. ,
. . .
.

. , T , T
T. , , ,
=

1
1
1
; =
, . =
.
T
T
T.

.

. 10, 0
; 1
; 2 ; 3 ; 4 ,

.
0

(1g)

. 10.

65

.
,
.
.
4, , (
2 4 ).
. 3 .
(
) .
dPi /dt i
; ,
i . i, , i, . , ,
, . ,
i; , i.
,
dP0 (t )
= [ g + (1 g ) + ]P0 (t ) + . P1 (t ) + P3 (t );
dt
dP1 (t )
= . P1 (t ) + g P0 (t ) + g P2 (t ) ;
dt
dP2 (t )
= ( g + ) P2 (t ) + (1 g )P0 (t );
dt
dP3 (t )
= P3 (t ) + P0 (t ) + . P4 (t ) ;
dt

66

(104)

dP5 (t )
= . P4 (t ) + P2 (t ),
dt
P0(t), P1(t), , P5(t) 0, 1, ..., 5 .
(104) 5

Pi (t ) = 1 . (t )
i =0

. ( + ) + 2

P0 = K = 1 +
+
g

P1 =

P0 g
.

(105)

(106)

P0 (1 g )
;
g +

(107)

2
P0 +

;
g +

(108)

P2 =

P3 =

;
g +

P4 =

P0 (1 g )
. ( g + )

(109)

(105) .
, K , , . , g.
opt
opt
= 1 T P0 = K .


opt
= g + g + (1 + 1 . ) + .

(110)

, (. 5),

67

. 0,51 ,
, , 0,20,3 .

68

8.
-
8.1.
.

,
. - () . , . , , - , , . [20].
. 11 [20], : , ( ), ,
, , . y1, , yn. (, , , , , ) ( , , , , ).
, , . :
Y(t) = |y1, , yn| 69

( )



. 11.

, .

[21]:
Y(t) = (t)+(t),

(111)

(t) ( )
; (t)

. , - , .
, ,
. . , , .
,
, . 70

:
m

(t ) = aij j (t ) ,
j =0

(112)

aij ; [j(t)]mj=0 , i,j = 0,n. . , .


(112) m 2 . (112)
(t) = a0 + a1 t.
, .
y(t) (111)
(
)
. , , , ,
, . .
, , ,
:
Y (t ) = m y (t ) +

Vi fi (t ),
i =1

(113)
71

my(t) , Y(t); Vi ,
; fi(t) , . (113)
. ,

N (113).
,
.
. , , .
8.2.


. ,

, . ,
.
[21]. ,
, , .
.
:
1) Y(t) ;
72

2) Y(t) .
Y(t) (112) ,
ai,j [(t)]mj=0,
(t) .
Y(t) (t).

(
, . .).
, . . , , , . . , .
, [22].
. . () () . ,
(). :
;
;

;

;
, .. ,
.
73

8.3.

() ,
, ,
[20]. ,
,
(
- ,
. .), .
. 12. .
, (, , , , ).
. .
, , RS 232C,
.
( ,
..).
RS 232C , .
, ,
,
. , ,
,
74


RS 232C

RS 232C


( )

. 12.

. PROGNZ
.

, . , ,
.
. ,

75

, . .
( ). , ,
.

76

9.


,
, , ,
, ,
. . :
1.
.
2.
.
3. .
, , (...)
[24]. ... ,
, [24].


, 1 3.
, , ,
, , ,
.
X(t ) mX(t )
77

KX(t 1,t 2) [0,T][0,T], , 1,


2 T, T- [26]. , X(t ) g0(t ) T, A(t ) A(t )
. [t T,t]
k(t,,T), k = 1,
X ( t ) =

Ck (t )k (t, , T ) + m X (t ), T .

(114)

k =1

N , X(t ) N
[26]. [25], [26],

T . , X(t ),
. , .
X(t )
, :
X N (t ) =

Ck (t ) k (t, , T ) + m X (t ), T .

(115)

=1

Ck(t)
k(t,,T), k = 1, 2 [25]
T

Ck (t ) = [ x (t ) m X (t )]k (t, , T ) d,

(116)

k (t ) k ( , T ) = K X (t , t 1 ) k (t, 1, T ) d1,

78

(117)

*k(t,,T) k(t) k- ()
. (117) [27].
KX(t ,t 1) ,
[25].
X(t ) T
[25], [26]
T

k =1

I N (t ) = K X (t , t ) d k (t ) =

k = N +1

k (t ) ,

(118)

k(t) ,
1(t) 2(t) N (t). N
(118)
R2 X(t ) (115).
N

R (t, T ) min T
2

k (t )
k =1

K X (t , t )d

(119)

N R2(t,T)
KX(t 1,t 2). Ck*(t) (114)
,
M[Ck(t)Cl*(t)] = k(t)dkl, k , l = 1, N ,
dkl ; Cl(t) (114).
, ,
N Ck(t) =

Ck ( t )

k (t ) -

f[(t)] =

f k [Ck(t)],
k =1

79

fk[k(t)] = N[0,1] ; C(t)


, k(t).

D0 (t, T ) =

g0N (t ,T )

f C (t ) dC (t ),

(120)

g0N(t,T) N-
Ck(t), (t) X N (t )
T
[A.(t ) mX(t )] [.(t ) mX(t )]. X N (t ) , mX(t ) :

N (t ) =

X (t )
A (t )
, A. (t ) =
,
X (t )
X (t )

A. (t ) =

A (t )
m (t )
, m X (t ) = X
,
(t )
(t )

X(t ) X(t).
g0N(t) B.k(t), B.k(t) Ck(t), T
:
T

K x (t , t ) d
N
k (t , , T )
C k ( t ) d k ( t ) 0
2X (t )
k =1

k{t, T )[ A. (t ) m X (t )]}

N
K x (t , t ) d

0
k (t , , T )
C k ( t ) d k ( t )
2
t

(
)
X
k
1
=

k{t, T )[ A (t ) m (t )]}
X
.

0 T , 4 k (t ) 4,

80

(121)

k(t,T) ,
X(t) (115), , , k (t, T ) =

d k (t ) =

k (t )
T

dk ,
k =1

K X (t , t ) d

(122)

t T
X(t T)
t T T1,
(117) (122)
m[X(t )/x(t T)] m[X(t )/c(t T)],
X[t/x(t T)] X[t/c(t T)] X(t ) KX[(t 1,t 2)/x(t T)]
KX[(t 1,t 2)/c(t T)]. (120) f[c(t)/x(t T)] f[(c(t)/(t T)],
C(t T)
[t T T1,t T].
(4) , KX[(t 1,t 2)/x(t T)]
KX[(t 1,t 2)/c(t T)], 1 T k[t,,T,x(t T)] k[t,,T,c(t T)]
k[t,x(t T)] k[t,(t T)], k = 1, , N.
, T
X(t T 1)
1 [0,T1], T1 T, X N (t T + ) , [0,T] t T + [26]
X N (t T + ) =h(t T,T1)W(t T + ,T1)(t T),

h(t T,T1) 1N, hk(t T,T1) G[ ] :


81

hk (t T , T1 ) = lim G k (t T , T1 ) ,
0

[0, T1 ].

G{X(t T)}=X(t T + )
hk(t T,T1)= k(t T,T1). W(t T + ,T)
NN :
W (t T + , T1 ) = KC (t T + ),C (t T ) KC1(t T ),C (t T ) ,
KC (t T + ),C (t T ), KC (t T ),C (t T ) (t T + ) C(t T), C(t T) C(t T); C(t T)
X(t T 1) [0,T1] . C(t T) N1 (116),
T T1.
KC(tT),C(tT) . (t) t T + ,
[0,T] :

C (t T + ) = W(tT+,T1) C(tT).


X(tT+)
X (t T + ) =

(t T + )(t, , T ).
k =1


XN(t) [26]:
D (t ) = Tr{h (t T , T1 )
KC (t T +),C ( t T +) W (t T + , T1 ) KC (t T ),C (t T +) h (t T , T1 )},

Tr{ } . W(t T + , T1)


. , , (117),
82

T1
, , . .
m-
X(t)
(t T,t) ,
, N- ,
k(t,,T),
D o (t, T ) =

D oi (t, T ),
i =1

(123)

D 0i (t, T ) , i = 1, m (120)
i- X(t).
D0 (t ) KXc1(t 1,t 2),

, ,
(117), . , , -
2,
KXc() = 2ex{}
KXc1(t1,t2) = 2 min(t1,t2) . (121) C
(t) (t) A1(t), A1(t), , :
t

A1 (t ) = g (t, ) A ( ) d,

g(t,) , ,
K X c (t1 t2 ) =

t t

g (t1, 1) g (t2 , 2 )K X (1, 2 )d1d2 .


00

83

, X(t)
g() SX(), , W(j)
2

S X c () = W ( j) S X () , g ( ) =

S X () = 1
2

K X ( ) e

1
2

W ( j)

d,

d .

X(t ), [tT,t], K() = X2exp{X}, mX = 0. D0(T) X(t) g0 = (AA),


A = A = A, T.
t = 0 X(0)
:
D0 (0 ) =

f ( x0 )dx0 ,

f(x0) = N[0,X] x0. X(t)


T N .

(117) [25]:

k (t ) =

X
k

sin k t + k ,
1
2
2
1+
dk
2

(124)

k (117) dk, k = 1,,


:
84

k =

2( X T )2X T
,
( X T )2 + (k T )2

(125)

k
,
2X T

(126)

dk =

k, k = 1, , , ,
tgk T =

2 X T k T
.
( X T )2 (k T )2

(127)

kT XT k
, k XT kT , XT k
kT , kT = k,
k = 1,,, , k, kT. dk
Ck(t) =

Ck ( t )

k (t ) , k = 1, , 10 . 13. -

0,9967

d1,i
d2,i
d3,i
d4,i

2,251104
0

XTi

1,5

. 13. dk k (117) XTi

85

MN =

d k ,
k =1

X(t) .
k k = 1,, XT T = const
0< XT< ,

XT, . k XT (0 < XT ) X = const,
k, k = 1,, , ,
(k2X/[X2 + (k)2]). d1 XT,
dk, k = 2,, MN (N < ) XT , M = 1 XT. (XT = 0) d1 = 1, dk = 0, k = 2,, .
, X(t)
0 < XT 1 ( ) (117). XT N , R2, .
kT, (127), dk, k, MN,
k = 1,, 3, N = 3 XT X = 0,01 C1, X = 1
. 11.
k, k = 1,, N
(123)
:

N
2
T
k
sin[k + ] k (T ) A. ,
C k
1
2
2

k =1
1+
d

k
N
2
T
k

sin[k + ] k (T ) . ,
C k
1
2
2

1+
k =1
d
k

T , 4 k (t ) 4.
86

(128)

11
xT

kT

dk

MN

0,01

1
2
3
1
2
3
1
2
3
1
2
3
1
2
3
1
2
3
1
2
3

0,141304
3,147946
6,286367
0,443521
3,203994
6,314854
0,755734
3,321718
6,377382
0,960186
3,431140
6,438890
1,118427
3,532831
6,498194
1,248927
3,628159
6,556041
1,360116
3,717088
6,613139

0,996676
0,002018
0,000506
0,967536
0,019464
0,005014
0,907532
0,053938
0,014720
0,853274
0,083176
0,023975
0,804192
0,107934
0,032774
0,759552
0,128815
0,041104
0,718974
0,146406
0,048950

0,996676
0,002018

0,996676
0,998676
0,999200
0,967536
0,986999
0,992014
0,907532
0,961471
0,976190
0,853274
0,936450
0,960425
0,804192
0,912126
0,944900
0,759552
0,888367
0,929471
0,718974
0,865380
0,914330

0,1

0,3

0,5

0,7

0,9

1,1

9,675360
0,050140
27,22596

42,66370
4,158800
1,198750
56,29344
2,294180
68,35968
11,59335
3,699360
79,08714
16,10466
5,384500

X(t) (115)
(119) :
N

1R21

dk .
k =1

. 11, , R2 = 0,95
N = 2 0 XT 0,4, N = 3 0 XT 1,25.
k, k = 1,2
R2 0,9 XT = 0,01, A.= .= A,
A= 3 . 13. . 14 g02 () (),
1

87

47,267054
x2
r2
xx2

p2
b2

47,267054

xx1, x1, r1, p1, b1


3,002501
3,002501
. 14. g02
XT = 0,01, A. = .= 3

(121), ( x2) ( r2), , ( p2), ,


( b2), , ( xx2). 0,01 XT 1 ,
XT , , XT, A.= .= ,
. k
k = 1, , 3
X(t) ,
N
g0N N .
D 0 ( X T ) ,
(120), XT .= .= , 3,

( D 01 ( X T ) ) D 02 ( X T ) ,
g0(XT), . 15.

88

D03,i

0,97
D 01,i

0,98
0,99

P01,i

D02,i

0,96
0,95
0,94
0,2
0,4
0,6
0,8
0
1
. 15.

.= 3, .= 3 XTi

T D 03 ( X T ) XT,
.
(120)
0 XT 1, A = 1,2,3
,
D 03 ( X T ) , N = 3 ( = 1,
XT = 1) D 01 ( X T ) ,
0,05.
(115)(118) N XT. = 2;3 XT < 0,5
(120) , , 0,02, N = 2. D 01 ( X T ) ,
,
.
P01(T) X(t)
0 XT .. . 15,
X(t) . 01(T) [24]:
89

( y Xe X T ) + X 2 ]
2(1e 2 X T ) 2
dxdy.
2

P01 ( T ) =

2 1 e 2 X T

(129)

B (129)
T
A.
A. .

90


1. 27.002 89. . . . .: - , 1990. 35 .
1. : 8 . . 2. / . . . . , . . . ... .: , 1995. 400 .
2. . ., . ., . . : . / .
., 1977. 102 .
3. . . . .: , 1964. 446 .
4. . . . .: , 1987. 168 .
5. / . . .
. . . .: . , 1972. 408 .
6. . . , : . .: , 1985. 296 .
7. , / . . , . . , . . , . .
; . . . . .: - , 1984. 37 .
8. :
/ . . , . . , . . .; .
. .. .: , 1990. 423 .
9. . ., . . / . . . .
.: . , 1966. 166 .
10. / . . , . . , . . . .: , 1972.
416 .
11. // . . 2000. . 2533.
12. / . . , . . ,
. ., . . , . . // . 2000.
12. . 4549.
13. . .
. .: , 1987. 272 .
14. . ., . . / . ., 1992. 119 .
91

15. : : 10 ./ .
: . . . . 5. .: , 1988. 316 .
16. : . : 11 . / . . . . .5: / . . , . . . .: . ., 1989. 158 .
17. . ., . ., . .

, . // . 2000. 4. . 2429.
18. . ., . ., . .
. .: . , 1964. 551 .
19. . ., . . : . .: , 1990. 240 .
20. / . . , . . , . . , . . ;
. . . . .: , 1993. 281 .
21. . ., . ., . . / . . . ;
. . . , 1964. 331 .
22. : . / . . , . . , . . , . . , . . ; . . . . .: . .,
1979. 287 .
23. : / .
. . . ; .: , 1999. 780 .
24. . ., . . - . .: , 1973. 196 .
25. . ., . . . .:
, 1988. 432 .
26.
: . . /
. . , . . .; . . . . .: , 1984. 191.
27. . ., . . . .: , 1990. 126 .
92

28. . ., . ., . . / . . . . .: . , 1974. 224 .


29. 20237-74 . ( ) .: , 1974. 24 .
30. . ., . . . .: .
,1977. 200 .
31. . . .: . , 1974. 344 .
32. . . . .:
, , 1987. 432 .
33. . . . ,
. .: , 1969. 174 .

93


1. .......................................
1.1. .................................
1.2. ............
1.3. ........................................................................
2. ......................................................................
2.1. ............................................
2.2.
............................................
2.3.
.................
3. ................................
3.1. ...........
3.2.
......................................................
4. ................
4.1. ..................
4.2.
....................................................................
5. ,
...................................
6. .......................................................
6.1. ......................
6.2.
6.3. .........................
6.4. ........
6.5. ..................................................
6.5.1. ........
6.5.2. .....
6.5.3. ......
7. ........
8. -
..................................................................................
8.1.
. ...........................
94

3
3
6
7
10
10
12
16
24
26
27
30
34
35
40
40
48
49
51
54
56
59
60
61
63
65
69
69

8.2.
.................................................
8.3.
...................
9.
..............................................................................
...................................................................

72
74
77
91

95

. .
. .
11.09.03. 16.02.04. 6084 1/16. .
. . . . 5,64. . .-. 5,76. . -. . 5,5. 100 .
-

190000, -, . . , 67