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..

95-01-00034.

32.81
97
62-51

. 3. . .: .
, 1995. 336 . ISBN 5-02-015071-1.
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. 12. . 108. . 471 .

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. . , . .
. .
41679
JV* 020297 27.11.91
- 25.09.95.
60x90/16. -. .
. . . 21. .-. . 23,1. 1000 .

. 3308

-046.


-
117071 -71, , 15
2
121099 -99, ., 6

ISBN 5-02-015071-1

. 6

10

1.
1.1.
1.2.
1.3.
1.4.
1.5.
1.6.
1.7.
1.8.

13
13
17
25
35
40
44
50
56

2.
2.1. . . .
2.2.
2.3.
2.4.
2.5.
2.6.

58
58
60
64
68
72
78

3. . .
3.1.
3 3.2.
3 3.3.
3.4.

80
80
83
88
95

4
3.5.

3.6.
4. .
4.1.
4.2.
4.3.
4.4.
4.5. -

4.6. -
4.7. - -
4.8.
.
4.9.
4.10.
5.
5.1. . . . .
5.2.
5.3.
5.4.
5.5.
5.6.
6. -

6.1. -
6.2.
6.3.

J
6.4.
6.5.
6.6.
6.7.

108
119
121
121
126
130
132
139
146
152
158
162
163
164
164
165
171
173
180
185
186
186
188
192
197
199
201
203

7.
7.1.
7.2. . .
7.3.
7.4.
7.5. . . . .
7.6.
7.7.
7.8.
7.9.

205
205
206
208
210
214
219
224
230
231

8.
8.1.
8.2.
8.3.

233
233
234
236

5
8,4.
8.5.
8.6*
8.7.
g.8.
8.9.
8.10.

241
244
248
251
255
258
261

9.
9.1.
9.2.
9.3.
9.4.
9.5. . . . .
9.6.
9.7.
9.8.
10.
10.1.
10.2.
10.3.
10.4.
10.5.
10.6.

262
262
265
267
271
273
274
276
278
279
279
280
283
287
289
290

291

295

310

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

7
. , :
, , , , , ?
, .
.

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


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

8
. ,
. . . , . .
.

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

9
,
, .
,
. :
(.: , 1968) (.: , 1970).
,
(.: , 1984).

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

.
. , .

, .
: , , ,
; , , , .
.
. . . . . , . . , . . . . ,
.
, 1995

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

11

, .
, ,
, .

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

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

12
,
, , , .

, ,
.
, , , , .
.

, -
, [) ^ .
, . . , , , .
, ,
, , , .
,
, .
, ,
, , . ,
. : , , ,
, .
, , ,
.

, , ?
? .
... .
, , .
... -, .
- ,
. .

1.1.


. , .
, . 1.1.
= 1,2,... (). (). ()
, *.
() , ,
z(n). .

{{),) = {)-{),

(1.1.1)

14

, . 1.1 . , , . . (), (), ,


z(n) .
.

, . . ,
J(c) = M{F[e(z(n),c)]}.

(1.1.2)

F[-] , .
(1.1.2)
. , .
. .
.

15
,
. .
, :
,
,
.
,
. . , ,
, .
, (. 1.1), :
1) ;
2) , . .
, ;
3) ,

;
4) , ,
,
, .
( ) , . , (), , , , , (
). , , . .
.

. ,
, ,
, .
.

16
J(c) (1.1.2).
.
. ,
,

.
, , .

. , ( ).

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

17
.
, ,
, , , . .

1.2,
, , .


,
.
. .
,
, .
() () (. 1.2)

N

m=l

m=0

m=0

n = 0,1,2,... .
q,
qmy(n) = y(n-m),

m = 1,..., TV;

(1.2.2)



Q(q)y(n) = Pu(q)u(n) + ({),

(1.2.3)

() = Ku(q)u(n) + K((q)t{n),

(1.2.4)

18


.
(1.2.3) (1.2.5)
Q(q) = l + *ti+

.- + a*NqN

(1.2.6)

,
Pu(q) = b*0 + blq+...

+ b*NqN,

Pc(q) = ds + diq + ... +

tr

d;fq

. (
, ).
-
, (1.2.4) , , (1.2.3), (1.2.1), . 1.3.
,
/(), , (), , ,
..
. ,
, , ,
qu, v l,...,iV, Q(q) (1.2.6)
:
>1,

v=l,...,N.

(1.2.8)

, (1.2.8), .
, , . -

19
, . .
-, {) ({) , . . . ,
Pu{q) () P^{q)
,
- () . (1.2.1), (1.2.4),
(1.2.5), . : , , , . .

,
(). , ( 1.4).
..

K((q) = Ku(q),

P((q) = Pu(q).

(1-2.9)


< = *.

= 0,1,...,,

(1.2.10)

(1.2.1), (1.2.4)
N

(") + "(-")= "-"*)+*(n-m)]


=1

(1.2.11)

=0

() =

~[{)+)]'

(1 22)

'

(. 1.5),
Kt{q)=-l,

..

P((q) = Q{q).

(1.2.13)

20

dS = l

d*m = a*m,

m=l,...,N,

(1.2.14)

(1.2.1), (1.2.4)
N

() - *() + *[( - ) - - )] = *( - ) (1.2.15)


m=l

m=0

(1.2.16)

y(n) = ^u(n)+t(n)-

, ,
Ki{q) =

~WY

''

P(iq) = 1

(1217)


d*0 = l

^=0,

m=l,...,N,

(1.2.18)

(1.2.1), (1.2.4)
N

() + J2 ( ~ ) = J2 *( ~ ) +
=1

(1.29)

=0

w = Ww+o5i"'-

- 2 2 0

(), <J(n),
6J^, m = 1,..., TV. - . 1.6.
(1.2.19)
.
, /^,
, , , aj, 6, 6Q> * = 1,...,JV.
a, 6, 6Q,
fc = 1 , . . . , N, , ?^, m =
= 0 , 1 , . . . , N, , .

21
. .

Pi(9) = Q(9) = 1.

(1-2.21)

. . d*0 = I d*m = * = 0, = 1,.. .,N.

,
Ku{q) = Pu{q)

() = 1.

(1.2.22)

(1.2.4) (1.2.1)
y(n) = Pu(q)u(n)+Z{n)

(1.2.23)

l/(")=X>m(-m)+4(").

(1-2.24)

m=0


. - . 1.7.
, (1.2.24), )
(), . .
N

y(n)=Y,b*murn(n)

+ ^n),

(1.2.25)

m=0

N -f 1 (. 1.8).

, (1.2.24), (1.2.25), , , V-.


, - (1.2.24),
(1.2.25).

22
,

() = ,
. . rfg = 1, 60 = ^

Pt(i)ih

(L2-26)

^ = 0, = 1,..., N. ,

K(q)mO, ;(9) = -,

(1.2.27)

(1.2.4), (1.2.1)

()=

*()

(L2 28)

y(n)+Ja*my(n-m)=t(n).

(1-2.29)

m=l

(1.2.28), (1.2.29) . ,
, , , , - .
. - - . 1.9.

Pu(q)=0,

Q(q) = l,

(1.2.30)

. . 6J = 0, * = ^ = 0, = 1,..., N.
Ku(q) = 0,

(() = (),

(1.2.31)

(1.2.4), (1.2.1)
y(n)=P({q)t(n)

(1.2.32)

y(n)=J2cTmt(n-m).

(1.2.33)

m=0

- .
,
- -,
.

23
, (1.2.1), (1.2.4)i - , , , . -, - - .

(1.2.16) (),

() = *("*)("-">)+*(")>

(1.2.34)

=0

k*(m) , ,

W")

(1.2.35)

**(0) = 0.
(i/ = 1,..., JV) Q(q)
(1.2.6), . k*(m)
( )
(1.2.35) .

**()->0

-.

(1.2.36)

,
0
*{) 0,

m > 0,

(1.2.37)

, , (1.2.34) :

() = ^2 *( - ) + *().

(1.2.38)

=0

(1.2.38) (1.2.24), ,
* = *(),

= 0,1,...,

{N = n0)

(1.2.39)

, (1.2.38) ^, *().
,
(1.2.15) (1.2.34), , , : aj^, 6J^, bjj k*(m) (m =

24
= 1,..., N; N = no),
- -.
-, - -
, (1.2.1)
(), . . dj = 1 dj, = 0 (m = l,...,iV). -
(1.2.19), - (1.2.24), - (1.2.29). , (1.2.1) , (),
(n m), m > 0,
.
, ,
()
,

()> - * () :

(L2-40)

= (-0.

, , () |,

= ,

,
()} = 0.

(1.2.42)

w(n), , .
\. ()
(1),..., ().
, ,
.
<() ^ ( 0 0 (, )
())

- ) ) } = ())} (

- ))}.

<() , . . <() = ^(0)


MMt(n))} = 0.

(1.2.43)

(1.2.44)

(1.2.1) , ( ) > 0 ().


M{t(n)v(n-m)} = M{t(n)}M{y(n-m)},

m > 0,

(1.2.45)

25

(1.2.42),
M{Hl/(n - m ) } = 0,

m>0.

(1.2.46)

(1.2.43),
{()) ^(( - ))} = {(*())} ( -

))},

(1.2.47)

?() ,
{<{{()) (( - ))} = 0,

>0.

(1.2.48)

, ,
, , 8.
^, ^, 6Q, m as 1,...,, fc*(m), m =
= 1,..., , : () () - -
() -..

1.3.
, , ()
. , . , , . .
() ().
.
, .
, , .
: , , . .
.
,
(1.2.4), . .
y(n) = Ku{q)u{n)+Kt{q)t{n).

(1.3.1)

() = ()() + [1 - K2(q)}y(n),

(1.3.2)

26
K\(q) K2{q) , - q. , (), , (), .
(1.3.2) , ()
,
. . (). , (1.3.2),
2{0) = 1.

(1.3.3)

, (1.3.2)
(1.3.3), .
() = e{z{n))c)
() ():
()=()-().

(1.3.4)


{2()} = {[()-()}>}.

(1.3.5)

()} = ()-()} = 0,

.

, {2()} .
Ki(q), K2(q)
(. (1.3.2)), {2()} ,
, (/^1, 2). ,
2

()} = {2)

-> inin ,
\,

(1.3.6)

. (1.3.2) (1.3.4)
() = -K^uin)

+ K2(q)y(n).

(1.3.7)

27
(1.3.7) () (1.3.1),
()

= Wu(q)u(n) + ^ ^ ( ) .

(1-3.8)

Wo(g) = l M ( 9 ) - i ( ? ) ,

( 1 3 9 )

W({q) = tf()K2(9).
^{^)
Wu(q) ^(<?) (1.3.9) Su{q) *%(<?).
, ()
() {\,2)
(2) = 2()} =

= ^ / ^ ( ^ ) + 5 . ( ) + ^()^(1)5(( ? )]^. (1.3.10)


L

L, , (. 1.10),
j .
(1.2.41),
()

St(q) = l

(1.3.11)


Su (q), ()
.
, .
, (1.3.10)
Su(q)> . .
Wu(q) = Ku(q)K2(q) - K^q) = 0.

(1.3.12)


Ki(q) / ^ - (1.3.12)
(1.3.10)

(,2) = 0(2) = ^LJW^W^)


L

^,

(1.3.13)

28
, W((q) (1.3.9),

<) = jfK3(q)K3(\)Ke(q)Ke(i) %.

(1.3.14)

(2) K\{q).
(1.3.6), ,

(2)->.

(1.3.15)

K\{q) K2(q) (1.3.12)


(1.3.16)

K1{q) = Ku(q)K3{q).

(^) (1.3.14) K2(q) ^(l/q), . .

60(3) = ,j>k,{q)Kd<l)K^\)SK,{\)^ +
L
+

2^7/{1)$) 3 ( )% = . (1.3.17)
L

q \/q .
(1.3.17)

fK2(q)Kt(q)Kt(l)6K2()^-

= 0.

(1.3.18)

(1.3.18)
,
+, . . (. 1.10).

K2(q)Kt(q)=p,

(1.3.19)

/3 .
, (1.2.5),
K2(q) = K02(q) = /3K^(q) = /}.

(1.3.20)

29
/? 2(0) = 1 (1-3.3):

/?=*() = | ^ = <*.

(1-3.21)

, (1.3.20)

(L322)

k 2{q)=d

W)'

${) (1.3.16),
?() = Ku(q)K2(q) = d*0 ^

(1.3.23)

( ),
(q) $ (q)
(\, 2).
(1.3.23) (1.3.22) Pu(q), Pz(<l)i Q(<l) (1-2.6), (1.2.7)
Pu(q) = bo + hq + ... + bNqN,

(1.3.24)

P({q)=do + diq + ... + dNqN,

(1.3.25)

Q(q) = l + aiq+...+

aNqN,

(1.3.26)

P u (g), P((q), Q(q),


/?l(<7)= d

(L3 2?)

f^'

'

(1.3.28)

K2(q) = d0$&.

, (1.3.2)

() = d0 * () + fl - do ]

{)

(1.3.29)

+ [P((q)-d0Q(q)]y(n).

(1.3.30)

Pdq)y(n)=d0Pu(q)u(n)

30
, (1.2.2)
,
N

( ) = - ^ ( "

) + Yl

=1

( -) +

bmU n

=0

+ - ^ - " ) - $ ( " - * ) ] . (L3-31)


, -
(1.3.29)
(1.3.31).
() ().
^
^
(, ) (1.3.10),
(
, )
, . .
= *,

=*,

= 0,1,...,.

dm = d*my

(1.3.32)

(1.3.23), (1.3.22)
l(g)

1'

)'

iff (q) ^))


i^u(^) K^(q) (1.2.5) (1.3.9),
^ ( ) = 0,

Ws(q) = d*.

(1.3.34)

Wu{q)*u W^(q) (1.3.34) S^(q) (1.3.11) ,

= ) 2 .

(,1) = M{2(n)} = ^f-jdj

(1.3.35J

(1.3.8) (1.3.12)
[()} = 0,
(\)2) -j
. ,
| ?02. , .

31
.
,
(. 1.6). (. (1.2.17), (1.2.18)),

>

*{9) = 1>
(13-36)
. d0 = 1, dm = 0, m = 1,..., JV, (1.3.29) (1.3.31)
() = Pu(q)u(n)

+ [i ~ Q(g)]y(n),

(1.3.37)

JV

() = - ^
\

JV

{ - ) + ^

6 ( - ) .

(1.3.38)

=0

. . 1.11.
2N () 2N + 1 ,
, , , = 1,..., N. () ()
.

,
(. 1.4). (. (1.2.13), (1.2.14)),
A(*) = QM,

(1-3-39)

32
. . d 0 = 1, dm = am, m = 1,.. .,N, (1.3.29), (1.3.31)
() = ^-(),

(1.3.40)

N
=

( ) ~ Y1 {-) + ^2bmu(n-m).
m=l

(1.3.41)

m=0

.
. 1.12. N 2N + 1 ,
a m , 6 m , bo, m =
= 1,.. .,iV\ ()
.

(. 1.11) .
(. 1.12) , . , , .
(1.3.6). . ,
.
,

33
, , = * . ,
2

J{c) = minminM{e(z(n), )} = (d*0<r<:) .


.

(1.3.42)

, d$ = 1, (1.3.29) (1.3.31) ( do = 1)

^'--

(1)

( ).= "" ] ( ~ ) + ] ^ ( "" ) +


=1

=0

+ X ) d w [ ^ n " m ) " " ^ n ~ m M - (1-3.44)


m=l


() = (-( - 1 ) , . . . , - y ( n ~ JV), (),...,

( - ),

( - 1) - ( - 1 ) , . . . , /( - ) - ( - # ) )

(1-3.45)


= ( a i , . . . , aNi b0,..., bjv-, <ii, , ^isr)

(1.3.46)

Nc = 3JVH-1. . -,

= [ . . . , UN, &, , 6/V, ^ > djv].


, (1.3.44) :
y(n) = f(x(n),c) = cTx(n).

(1.3.47)


z(n) = (y(n),x(n)).

(1.3.48)

() /().

() = e{z{n), ) = () - ()
2

. 3.

(1.3.49)

34

e(z(n), ) = () - f(x(n), ) = () - ().

(1.3.50)


(1.3.51)

c*=(al...,a'N,b*0,---,b'N,dl...,d*N).

, *, Ne, 3JV + 1. * "


. /(), * * (),
* (1.3.45), (1.3.46), (1.3.51), Nc < ZN + 1.
= *
(1.3.52)

e(z(n),c*)=Z(n)
,,
M{ e 2 (z(n),c*)} = M{2(n)} =

( ^ , ) (1.3.35) dj
, ,

() = M{e2(z(n),c*)} = of,

(1.3.53)

, ,
J(c*)=mmmmbA{e2(z(n),c*)}

= <\.

(1.3.54)

, ?*, = 1
.
() (1.3.45). ( 1),..., ( N). () () (. 1.2),

(1.3.55)

{{){)} = 0

{{)( - ) } = 0,

> 0.

(1.3.56)

, () ( ) ,
> 0, .

( ) .

35
= *
.
,
- ,
.
.
-
. . -
6.

1.4.

, 1.1,

J(c) = M{F[e(z(n),c)}},

(1.4.1)

F[e]
:
F[e] = F[-c].

(1.4.2)

, F[e] =
= 2. F[e] \e\.
,
.

J(c) = M{e*(z(n),c)}

(1.4.3)

(). ( ), *, (1.4.3),
.
. *, , . , *.
, F[e] . , -

36
*, = * :
VJ(c) = M{VcF[e(z(n), )]} = 0,

(1.4.4)

V 2 J(c*) = M{Vc2f [e(z(n),')]} > .

(1.4.5)

-, Nc ;
VV T J(c) = V 2 J(c)

(1.4.6)

V V ( c ) | c = c . = V 2 J(c*).
, (1.4.4),
W ( c )

( 1

- 4 1 '' d c N e )

v^ W M..H=(' f X ) - c "

aF[

^ ) ' ) 1 ).

(i J

. , (1.4.5),

W
M=

VM'(Hn),<)]=fJctM]]

(1.4.9)

(..4.10,


.
(1.4.8), (1.4.10) .
(1.4.5) ;
, .

37
, , ,
(1.4.4), (1.4.5)
*, . ,
V c F[e(*(n), )] = * " [ ( ) , )] V c (*(n), ),

(1.4.11)

F[e] , (1.4.4) :
Vc J(c) = M{F'[e(z(n), )) V c e(z(n), )} = 0.

(1.4.12)

(1.3.50)
(1.4.13)

e(z(n),c) = y(n)-f(x(n),c),
,
V c e(z(n),c) = -V e /(*(n),c),

(1.4.14)

(1-4.4)
VJ(c) = -M{F'[s(z(n), )] V c /(x(n), )} = 0.

(1.4.15)

, (. (1.3.47))
y(n) = f(x(n),c)=cTx(n),

(1.4.16)


V e /(*(n),c) = {) + [Vcxr{n)]c.

(1.4.17)

(1.4.15) Vc/(aj(n), ) (1.4.17),


VJ(c) = -M{F'[e{z{n),c)](x(n)

+ [VcxT(n)]c)}

= 0.

(1.4.18)

*, . .
*. = *, (. (1.3.52)), :
( ) , * ) = ().

(1.4.19)

(1.4.18) = *
VJ(c') = -M{F'K(n)](*(n) + [V c x T (n)K)> = 0.
() (), , () VcxT(n)
, (1.4.20)

(1.4.20)

VJ(c*) = -M{F'K(n)]} {) + [V c T (n)]c*} = 0.

(1.4.21)

38
: F[e] =
= F[e], F'[e] = F'[e] (. (1.2.44))

')]} = .
, * (1.4.18) . ,
*
.
.
Vcf(x(n),c)
(1.4.17), (1.4.15), . v(n),
v(n) = V c /(x(n),c) = Vcy(n),

(1.4.22)

, (1.4.17),
v(n) = () + [V c s T (n)]c.

(1.4.23)

V c x T (n) .
(1.3.44),

N
=

( )

~ ^ dmy(n-m)+
rn=l

^2(dm -am)y{n-m)+

]j|P bmu(n - m),

m=l

m=0

(1.4.24)
() (1.3.45), ,

, v(n ), = 1,..., iV, . .
V c () = [ 0,..., 0, -v{n -rl.)

-v(n - N)].

(1.4.25)

2JV+1

(1.4.25) (1.4.23),
d

v n

v(n) = {) - J2 ( - )*

(1.4.26)

m=l

.
(1.4.24)

39
(1.4.26), ,
:
(nm), m = 0,..., N\
v(n m), m = 0,..., AT,

5 ^ (dm -am)y{n-m)
=1

+ ^2 b m ti(n-rn)
=0

(). ,
dm (m = 1,..., N) () (. 1.13).

. dm = 0 ( = 1,..., N) (1.4.26)
*() = *(),

(1.4.27)

. v(n) (). (dm = 0), -, -,


- ,

VJ(c) = -M{F'[e{z(n),c)]x{n)} = 0.

, (1.4.28)

-, -, -

VJ(c) = -M{F'[e(z(n),c)]v(n)} = 0,

(1.4.29)

v[n) (1.4.26). , z(n)y x(n)} ,

40
I

v(n), , . .
*,
, , , , .

1.5.
* (1.4.4),
VJ(c) = M{VcF[e(x(n), )]} = 0.

(1.5.1)

, , . , (1.5.1),
*
. (1.5.1). .
, , , () - *.
.
, (1.5.1) , . . VJ(c) .

() = ( - 1) - () VJ(c(n - 1)),

(1.5.2)

() , (0) = CQ ; , , ,
,
- .
, = 1,2,...
() . ,
7

() = =

... 0 "

I"'
. 0

... 7 -

=7,

7>0,

(1.5.3)

41
, .

" 7i

() = =

.0

...

...

<yNcm

7*>0,

i/ = l,...,i\r c ,

(1.5.4)

. ,

r(n) = [vV(c(n-l))]-\

(1.5.5)

,
r(n)=[V2J(c0)]-\

(1.5.6)

() .
()^ (1.5.2),
* > ,
. ,
.
- (1.5.2) .
1.14. , VJfc),
()
.
, .
. 1.14 ,
.
,
^J(c) , (),
(1.5.5) (1.5.6),
( 1) . (1.5.2), . -

42
* , , ,
, . . (1) = *. () (1.5.3) (1.5.4) ()
* > .
(. 1.14),
(1.5.2), , .
, - . (1.5.2)
*, VJ(c) , , .
,
VJ(c),
, . , . ,
VcF[e(z(n),c)],
z(n).
() = ( - 1) - () VcF[e(*(n), c(n - 1))].

(1.5.7)


.

" 7()

()=

...

"

...

7( )

. 0

=1(),

()>0,

(1-5.8)

7()

.

.7i()

()=

...

0
.

7()
:

..

...

jNe(n)

"

7*()>0,

*=,!,.,, : ,. )
(1.5.9)

43

. ,
()=7(),

(1.5.10)

, 7(") = 1/
() = -,
(1.5.11)

> 0 , .
~f(n) (1.5.8), (1.5.10),
^{),
v = 1,..., NCi (1.5.9)

B)fv{n)>0,

) 53 7 v (n) = oo, )^ 7 3()<,


~1

(1.5.12)

=1

(1.5.7)
(. .
() *) F[e] ()- (1.5.12)
.
(), ,
( ); , ()
( 5), ,
(), *, ( ). , ,
- (1.5.7), .
1-15, - (. 1.14)

44
. . 1.15,
*(), . ,
, .
.
.
(1.5.2)
,
VJ(c(n 1)) VJn(c(n 1)).
(1.5.7) , ((),( 1)), ,
VcF[e(z(n),c(n - 1))].
,
,
(). () , ,
. , ,
.

1.6.

(), ,
():
Vn = M{(c(n) - *)(() - *) } = {*()* ()},

(1.6.1)

6() = () - *

(1.6.2)

(1.6.3)

(1.6.4)

45
.
, , , .

V(n) = nVn

(1.6.5)

()

V = Km Vln) = lim nVn.
n-foo

(1.6,6)

. ,
.
V(n).
.
(1.6.2), (1.5.7), (1.5.11)
() = ( - 1) - - VcF[e(z(n), c(n - 1))]

(1.6.7)

6{) = S{n - 1) - - B V c F [ ^ ( n ) , ( 5 ( n - 1) + *)].


(1.6.8)

() (1.5.11), , .
V c F[e(z(n), S(n 1) + *)] *
5( 1),

*() = 6( - 1) - B{VcF[e(z(n),c*)] + V?F[e(z(n),c*)}S(n- 1)}.


(1.6.9)

= * (1.4.19)
V e F[c(*(n), *)] = VcF[(n)] = u{n),

(1.6.10)

; F (1.4.2) (1.2.40)
M{i/(n)} = 0,

n=l,2,...

(1.6.11)

(1.6.10) (1.6.9),
6() = \~ -BV*F[e{z(n),c)]]6(n- I) - -Bvin).
in

(1.6.12)

46
/
(1.6.13)

1() = /(),

,() = [E~B^F[e(x(n),c)]]^^ri{n-l)~Bu(n).

(1.6.14)

~ , 1
(1.6.14)
(1/),

()= [E-BV?F[e(z(n),c)] + ;E]T,(n-l)--^Bv(n).

(1.6.15)

(1.6.5)
V{n) = nVn = M{V{n)VT{n)}:

(1.6.16)

(1.6.16) r)(n) (1.6.15),


{) (1.6.10) )( 1), (1/),

V(n) = F(n - 1) " { [J5 V2J(c*) - i ^ l V(n +1) +


2

+ 7(n - 1) [5V J(c*) -

- }. (1.6.17)

, ,
M{||Vc2F[e(n)]||2} < .
R
i?=M{i/(n)i/ T (n)},

(1.6.18)

V2J(c*) = M{Vc2F[(z(n), *)]}.

(1.6.19)

, (1.4.5),
(1.6.17) ,
2

[^ - 5V J(c*)]l/ + v[^E - BV J(c*)] = - 5 .

(1.6.20)

47
,

G=^E-BV2J{c*)

(1.6.21)

, . .
. ,
.

R (1.6.18) V2J(c*) (1.6.19). , (1.4.14)
VeF[e(*(n),c)] = -F'[s(z(n),c)}

V c /(x(n),c),

(1.6.22)

(1.6.10) = * (1.4.19)
1,(71) = -F'K(tt)] V e / ) , *).

(1.6.23)

() (1.6.23)
R (1.6.18),
R= M{F'2[t(n)] V c /(x(n),c*)V c T /(x(n),c*)}

(1.6.24)

, () (),
R = M{Fl2[S(n)}} M{Vc/(x(n), *) V c T /(x(n), *)}.

(1.6.25)

( > 2 ( 0 ) ) = M{V c /(x(n),c*)V c T /(x(n),c*)}

(1.6.26)

. , , <^ =
= 0*2() *. ,
R = M{F' 2 [(n)]}A(c> 2 (p 0 )).

(1-6.27)

, (1.6.22) ,
Vc2F[(z(n), )] = F"[e(z(n), )] V c /(x(n), ) V c T /(x(n),) - F'[e(z(n),c)} V 2 /(x(n),c).

(1.6.28)

V%F[e{z{n), )] = * (1.6.19),
V 2 J( C ')

M{F"[e(*(fi)>C*)] V c /(x(n),c*)V c T /(x(n),c*)} - M{F'[e(z(n), *)} V 2 /(x() I *)}.

(1.6.29)

48
(1.4.19), () (),
W ( c * ) = M{f"K(n)]}M{V e /((n),c') V c T /(x(n),c*)}.

(1.6.30)


(1.6.26),
V2J(c*) = M{F"{Z(n)}}A(c*,<T2(p0)).

(1.6.31)

R (1.6.27) V2J(c*) (1.6.31)


(1.6.20), :
GV + VGr = -BbA{F'2{Z(n)]}A(c*,<T2(p0))BT,
G= \E - BM{F"[Z{n)]}A{c*,<j\Pa)).

( L 6

'32)


(*, (2()) (1.6.26).
. .
, ; ,
3 3-:
(>2(0)) =

(1.6.33)
* = (*, &*, d*) , 2, <\
u(n), 2() , a,Tkm , () ().
- *, 6* d* , . . ,
. Tkm
.
. -
* ~ d* = 0, (1.6.33)
{^2(0))

= = 22(0)2 + 2 3 (0) 2 .

(1.6.34)

49

<2() * = *.

- * = 0, (1.6.33)

*? - [^^.
L

j T 3 3 ( d )< {) \

,.,5)

(1

( > 2 ( 0 ) ) = 2 () + (T2(po) A 3 (d*),

(1.6.36)

, = >>^|

,, )

(1 7

(1*)=

"!

(16-38)

LO|T33(rf*)J

* = (6*, d*). -
d* <2().
- * = 0, = , (^ = 0. (1.6.33)
( > 2 ( 0 ) ) = <2(0) 4 (*),

(1.6.39)

*) = \^^}].

(1.6.40)

* = ( e * , d ' )

[ ^ ( ,d ) : r33(d ) J

- 2
< ()
* - (a*,d*).
, -
(> 2 ()) = (*) + *2(0)6(*),

(1.6.41)

50

(1.6.42)

(1.6.43)
-, -
,
2().
= 0 . 1.1.
(1.6.32) V = V(B) (1.6.7)
, . . () = .

.
, .

. .

1.7.
(1.6.7) VcF[s] (1.4.11) (1.4.14)

() = ( - 1) + BF'[e(z(n), c(n - 1))] V c /(*(n), c(n - 1)). (1.7.1)

, V == V(B).
. (1.7.1) = JBo,

51
1.1
(*, <2{))

V(BQ) , . .
V{B)>V{B0)

VB>0.

(1.7.2)

, V(B)
V(BQ) > , . . V(B) V(BQ) .
, V(B) .
(1.7.1) = BQ
.
- ,
, (1.7.1) = BQ
.
(1.6.32), = 5 0 , -

52
V(B).
= + ,

(1.7.3)

, SB , .

(\) = (0+\6),
G{\) = G-\6BV2J(c*),
G = ^ - B0V2J(c*). (1.6.32)

() + () - \[8 V2J(c*)() + () [SB V2J(c*)]T] =
= -(So +\6B)M{Fl2[t(n)]}A(c*,(r2(p0))(B0

+XSB)T.

(1.7.5)


'()|= = '(0)

VJ5.

(1.7.6)

(1.7.5)
= 0,
8 [{"[()]}(> 2 ( 0 ))(0) - M{F' 2 [(n)]}A(c> 2 (p 0 ))S 0 T ] + [(0){^"[^()]}(*,<2()) - BoM{F'2[t(n)]}A(c;<T2(po))]6Br

= 0. (1.7.7)

SB.
, (1.7.7)
SB .

(0) - V(B0) -

M { F

K ( n ) ] } fio

(1-7.8)

(0) = V(BQ)
(1.7.8) (1.6.32) , , (1.7.5)
= 0; ,

5==
, ,

4^ ~ 1 ( > 2 ) '

53
(1.7.9) (1.7.1),

() = c(n-l)+TA(n)F'[e(z(n),c(n-l)))Vc/(x(n),c(n-l)),

(1.7.11)

^ ^ W ) .

(1,7.12)


(1.7.10).
{) (1.7.12) *, 0 (),
M{F"[(n)]}, (2(). , () 2(0) , (1.7.11), (1.7.12) .
(*, (2{)) *
( 1)

^=')]} ~

1))

(1

7)


c(n) = c(n-l)+TAl(n)F'[e(z(n),c(n-l))]Vcf(x(n),c(n-l)).

(1.7.14)

-,
, . 1.16.

z(n) = ((),()) ( 1)
~~- .

54
^ ) - (( 1), <2(0))-
(*, ^ ()) ,

(,*) = 1v c /(s(m),c')V c 7(x(m),c*).

(1.7.15)

() (1.7.12)
?

^={()]}^1(!'

= [M{Fl{(n)]} JT Ve/(*(m),c*) Vj/^H.c*)]' 1 . (1.7.16)


m=l

*
, .

()=[*() () + ]~\

(1.7.17)

, t(m) , U
, (),
) - - 1) ()-[
1)

() = -\

T(n-l)4n)tT(n)T{n-l)
'
x . 1 + tT(n)T(n_1)(n)

(1.7.18)

t(m) = V c / ) , *),
^ = 0^,

= M{F"K(n)]},

() = 1 (),

(1.7.19)

(1.7.16), * ( 1),
1 () = 1 ( - 1 ) fAx(n ~ 1) Vc/(*(n), c(n - 1)) VcT/((n), c(n - 1)) f(n - 1)
')]}-1
TAl{0)=ooE.

+ V c T /(*("), c(n - 1)) r A l ( n - 1) V c /(x(n), c(n - 1))'


(1.7.20)

55
1(0)
VAl(0) = lE,

1.

(1-7.21)

() = c ( n ~ l ) + f A > ) F ' [ ^ ( n ) , c ( r a - l ) ) ] V c / ( x ( n ) , c ( n - l ) ) , (1.7.22)


^) (1.7.20).
(1.7.22), (1.7.20) . , Vcf{x(n),c(n 1))
.
,
.
(1.4.22) v(n) = V c /(a;(n),c(n 1)),
(1.4.26)
dm dm(n 1):
N

v{n) = x(n) - ] dm{n - l)v{n - m).

(1.7.23)

m=l

(1.7.22) (1.7.20) Vc/(a5(n),c(n ~ 1)) t?(n),



:
() = ( - 1) + TAl(n)F:[e(z(n)yc(n - 1))] v{n),

(0) = 0 ,
iST

V(n) = () - Y2 d(U - l)V(n

)>

m=l

( 7 ^

(l.(.2b)

v(m) = 0, m = 0, - 1 , . . . , 1 - iV,
f 1 () = fAl(n

- 1)

TAl(n-l)v(n)yr{n)fAl(n-l)
1
M{F"[^(n)]}- + ( - l)t(n)
(L7

26)

0 ) = 7^, 7 1 -

. 1.17. . 1.16 1 ()

56

() , , dm(n 1). . -
. , fAl{n)
M{F"[(n)]},
(1.7.26). .
,

.
(1.5.7),
(1.5.8) , , (0
() (1.7.16), fAl(n) (1.7.20)

M{F''K(n)]}= /

poiW'lW

( F[] ), ^) (1-7.13) <2() = {2()}.


, .

1.8.
, , , ,
.

57
, , , . . .
.
,
- . , .

,
. :
? 2 3.
,
: , . ,
.
, , . 4 6.

.
.

2.1. *


, :
Jn(e) = l^F\e(z(m),c)].

(2.1.1)

m=l

Jn(c)
(1.4.1)

J(c) = M{F[e(z(n),c)]}

(2.1.2)

{^()|}

&(*)=,i*(*-*M),
m=l

(2L3)

Slz) : S(z) = 0 z , S(z) = z =

(),
(2.1.1) .
() = argmin J n (c)

(2,1.4)

,

VJ n (c(n)) = 0,

=1,2,...,

(2.1.5)

, (1.4.14),

* = ^vcFH*(m),c)] = ^ ' [ ( ) , ) ] Ve/(*(m),c).


m=l

m=l

2 1


(), .
, * , .
,
, , J n ( c )
J(c) ()
*. ,
, .
,
. .
{ Jim [Jn(c) - J(c)} = 0} = 1

Vc,

(2.1.7)

, ,
Jn(c)^J{c)

Vc.

(2.1.8)

V J(c*)>0,

(2.1.9)

() (2.1.4) *, . .
{ lim {{) - ') = 0} = 1,

(2.1.10)

60
, ,
6()^4.

(2.1.11

, (2.1.5), (). VJn(c(n))l


* , (2.1.5)
VJn(c(n))

VJ n (c*) + V 2 7 n (c*)(c(n) - *) 0.

(2.1.12)

,
VJn(c*)4-V7(c*) = 0

(2.1.1

V%(c*)^V2J(c*)>0,

(2.1.1

(2.1.12)
/

..

() > .
, () * .

2.2.

().
V=

lim V(n)=
n-foo

lim nVn,

(2.2.1)

n-oo

Vn = M{(c(n) - c*)(c(n) - c*) } = M{S(n) S (n)}

(2.2.2)

S(n) = c(n) - c*.

(2.2.3)

, (1.6.13),
{) = v^rf(n) = V^(c(n) ~ ) .

(2.2.4)

V(n) = nVn (1.6.5)


T

V(n) = M{1J(n)V (n)}>

(2.2.5)

61

(2.1.12)
f}(n) -[*)]"^

VJ n (c*).

(2.2.6)

(2.1.14)
V2Jn(c*)V2J(c*),
rj(n)
*() -v^lVVCc*)]- 1 VJ n (c*).

(2.2.7)

V J n (c) (2.1.6) = * , e(z(m), *) = ( )


(1.3.52), = *

VJn(c<) = - I F'[C(m)]Vc/(x(m),c').

(2.2.8)

m=l

(1.6.23)
i/(n) = - F ' ^ H l V c / ^ H , ^ ) ,

(2.2.9)

VJn(c*)

m=l
2

V J(c*)y ,
1.6 (. (1.6.31)),
2

V J{c*) = M{F"[^(n)]}A(c*,(T (po)),

(2.2.11)

A(c*,tr (po)) = { /( (),*) /( (),*)}

(2.2.12)

. 1.6 (. . 1.1).
2
VJn(c*) (2.2.10) V J{c*) (2.2.11) (2.2.7),

">~-4 "'

|>)

^1> "' -

(2 213)

'

62
(2.2.1).
(2.2.5), (2.2.13)
V = lim V(n) = [M{F"K(n)]}]- 2 A- 1 (c* 1 <7 2 (p 0 ))
f

Jim M{-L 2 () -= J ) ^ - ^ ' . ' ^ ) ) . (2.2.14)


(2.2.13) ,
(2.2.14) . , .
(2.2.14). (1.6.10),
(1.6.11) ,

{" " 4jI> T (*)} = ^ X>Mm)i,T(*)}. (2.2.15)


V

m =

= 1

m=lfc = l

(2.2.9), (2.2.12) ,
' / , /,1
f M{F' 2 [(m)]}A(c> 2 (p 0 ))
M{i/(m)i/T(*)} = <{
^ 0

* = ,
.
(2.2.16)


')]} = M{F"[t]},
M{F"[^(m)]} = M{F"[^]},

m = 0,l,...

(2.2.14)
V = V(F,Po) = ^^'^^)).

(2.2.18)

V(F,po) ,
F [ ] ,

(0 V(F,po) (2.2.18) (2.1.4) V(BQ) (1.7.10) (1.7.11), (1.7.12), , . , , (1.7.11), (1.7.12),


() (2.1.4), (2.1.5),
. (1.7.1) , , () (1.5.7) ^(^)

63
(1.7.12), . , , () (2.1.4).
(), ()
. ,
, .
.
wn = M{J(c(n))}-J(c*),

(2.2.19)

, , J(c*) .
J(c(n)) 8() = () *,
:
J{c{n)) J{c*) + VTJ(c*) 8(n) + l- Sr(n) V2J{c') S(n).

(2.2.20)

, (1.4.4) VJ(c*) = 0, (2.2.11), J(c(n))

J(c(n)) J(c*) +

-M{F"[]}ST(n)A(c*y<T\Po))S(n).

wn = M{J(c(n))> - J(c*) = mF"[S]W6\n)A{cWW)

*{*))(2.2.21)

, ,
6() {\ 2()) 6()} = tr [{\ 2(0)) 8() ()}], (2.2.22)
tr .
Vn (2.2.2),
M{ST(n)A(c\a-(pQ))S(n)} = tr[A(c> 2 (po))^n],

(2.2.23)

, , wn (2.2.21)
, = i {^"[^]} tr [A(c*, <2()) Vn].

(2.2.24)

64
(2.2.1)
w = lim nwn
n-

(2.2.25)
'

().
J(c(n)) J(c*).
(2.2.24) > , ,
(1.6.6) (2.2.1):
ui= iM{F"K]} tr[A{c\o*{po))V(F,po)].

(2.2.26)

V(F>po)
(2.2.18). V(Fyp0) (2.2.18) (2.2.26),

" " ? ^->'(>1. (J


, trA-A""1 = JVC,
Nc ,

,
.

2.3.

() *,
, . \
:
Vn > [mVc\np(yW\c*)Vjlnp(yW\c*)}]-\

(2.3.1)

^n = M{(c(n)~c*)(c(n)~c*) T }
(1.6.1),
(()\*) = ((),{ - 1)/. ,(1)

(2.3.2)

,
*.

65
, ()> (), ()
# .
:
, .
, ,
. , 4
0 () (1.2.40)

Mtf(nK(n-m)} (1.2.41).

(2.3.1),
, , ,
M{Vc\np(yW\c*)Vjlnp(yW\c*}.

(2.3.3)

.
(^\*)
({)\") = (()\^-1\ *),

(2.3.4)

=1

() = (0, ...,0).
(), () , .
= *
e(z(n), *) = () - f(x(n), *) = (),

(2.3.5)

()
y(n)=/(*(n),c*)+(n),
(2.3.6)
() (1.3.45).
(~) , , (). (2.3.6) p(y(m)|y( m ~ 1 ),c*)

(()\^-1\ *) = (()\(), *) = (() - f(x(m), *)),


(2.3.7)

66

(0 (), o i l
. ()
/(0*= / + = 1

V*.

(2.3.8)

(2.3.8) t t = ,
/&(0** = 0-

(2.3.9)

,
} = 0, m = l ) 2 ) . . .
(2.3.10)
Uo))J
IPO(OJ
() f(fc) , (2.3.10)

^ | |

M / M E S M U O , ^.
(M.I1)
iPoK(m)) poK(*))J
(2.3.4) ,
lnp(l/ (n) |c*) =

\(()\^-1\

*),

(2.3.12)

=1

, (2.3.7),
1((">|*) =

1(() " / ( * , *)).

(2.3.13)

=1

1(( )|) = J2 lnpo(y(m) - /((), ))

(2.3.14)

=1

.
= * (2.3.14)

')

= ll^lV c /Hm),c-).

67
,
,
M{Vebp(y<">|c*) Vjlnp(y< n V)} =

v /WB))

- {SeP M

:/( (4

(2 315)

"'" " '4 -

(L2.43), (1.2.44) (2.3.11), (2.3.15)


= n M { ( ^ | y j } M{^e/(a>(n))|C*)Vj/(*(n),O>. (2.3.16)

{/((),*) V c T /(z(n),c')} = ( > 2 ( ) )

(2.3.17)

(1.6.26), ,
, (1.6.33).

>'

(28)

"

, , , 1() (*, 2())3


. .
M{V e lnp(y< n V) V c T lnp(y( n V)} - / ( ) ( > 2 ) .

(2.3.19)

, - (2.3.1)
:
Vn > - 7 F T A ~ V , * 2 ( P o ) ) ,
ni(po)
, V(n) = nVn (1.6.5),

V(n)>j^-A~HcW(po)).

(2.3.20)

68
(2.2.1) V(n) -> . ,

V = V(F>Po) > J-^A-^cWipo)).

(2.3.21)

, (),
( , ) ( *).
, . . V(F,po), (0> F [ ] , ,
().
1() &2() 1.
. 2.1.
() F[e] , F(F,po) , . .
V(F,po) (2.3.21). :
? ,
?
.

| 2.4.
1.4, *
J(c) = M{F[e(z(n), )]} , F[e] = F[e]. * ,
, ,
.
,
*. , , .
() . ( > ) () *. ()
. F[e] = Fo[e], ()
.
Fo[e] ,
1 . .
^(*, ) < V(FiPo)

VF G .

(2.4.1)

69
2.1
/() 2()

, ,
Fo[e] = argmmy(F,po),

(2.4.2)

, (2.2.18),

) =

^ [5 "

1 ( > 2 ( ) )

'

{2)

M{F' 2 []}= / Po(OF'2[t)dt


(2.4.4)

70

{ [ = J Po(OF"[S]d.

(2.4.5)

/ (0^" # = - / *] ,

(2.4.6)

V(F,po) (2.4.3) :
2

/ (^'

V(F<P) = f l
^2 ~^))L

(2.4.7)

-oo

Fo[e] (2.4.2).
F(F,po)
F[] == Fo[^] + A<JF[^].
() = K(Fo + A(^F,po).

(28)

'()!==/():=0-

(2-4-9)

7 )([^]+^'])3
() = f ^
-2 - ^ . ^ ) .
L

(2-4.10)

~oo

, () = 0,

'() =
L

"

A'HcWipo))
J

-oo

{ 7 poiomwmz 7

- / (0^ 8 1^ / Pi(0 **"[*] <*} = 0. (2.4.11))

71

[ JoWm

1 ,^ ] di= = . (2.4.12)

__

SF'[]}
,
(0*1

(2 4

13)

(24.13) i<o[],

(*))

)]

/(^ ]

(2 4 1 4 )

'([


, , . .
($ = *1(0*].
(2-4-15)
fci .
]

(216)

= 1

'

, ,
^ = *1^-

(2-4.17)

. .
.
(2.4.16), , = ,
F0[e] = ^ 1 ( 0 | ^ + ^ .

(2.4.18)

,
&1, , , ,
: \ < 0. &2? ^ Fo[e]y . . FQ[0]. ^2 > ki\npo()
F0[e] > 0.

72

, ,
fci < 0 &2.
, V(F,po) (2.4.7) Ff[e].
, . . ,
, ki
&2 . \ = 1, &2 = 0. , (2.4.2)
= e{z% ), :
F0[e(z,c)] = -lnpo(O| e = ( l i C ) -

(2-4.19)

2.3, ,

, . . ,
(2.4.17)

1,)1=2

(2.4.201

(0 =(*,)
, .
FQ[S] = 1()1|=
( )
ol j

"

i=e

(
. 2.2.
.
. .

2.5.
FQ[S] (2.4.19)
V(F,PQ) (2.4.7). .
Fo[e] = (2.4.19) V(Fipo), ,

/ ( * = - J ]
00

00

=/ ^
00

de

(2.5.1)

73

74

75

76
, (2.3.18),

-00

1{) , (2.4.7)
V(FQ,po) = -^--').

(2.5.3)

, F
V(FiPo)>V(FOipo)i

(2.5.4)

. . F[e] Fo[e] =
= lnpo()k=* . , ,
(2.5.3) (2.3.21),
,
c(n) = argmmJ n (c),

(2.5.5)

# ( ) = **(),)],

(2.5.6)

m=l

(), (1.7.11), (1.7.12) F[e] = F0[e].


3.
(2.5.1), (2.5.2) (2.4.6),
(2.4.4) (2.4.5),
. .
2

{^ ]} = 1'[ = / .

(2.5.7)

.
, F[e] = Fo[e] (2.4.19)
= *. J(c)
(1.4.1) ,
J(c*) = mFnk(z(n),c*)]\ = -.

(2.5.8)

77

-{1 0 (0) = -

(0 (0 <* % ^h(Po)

(2.5.9)

, 1/ . , .
, , ,

(2.5.10)

F[e(z,c)] = -\np{S)\t=e(xcy
() ( (

J{c*) = M{F[e(z, ))} = - ^ ^ ) } .

== *)
(2.5.11)


-M{lnp(fl} = - / (0 lnp(Od = /Sh(Po,p)

(2.5.12)

?0# . , ^

J ( O = -{1(0) > -{1(> J{c*),


. . ^
:
hh(po,p)>hh(po).

(2.5.13)

(2.5.14)

, :

(2.5.15)
() = (0 , -)^>
:/ (,)|(0=( = 0,
1

("(

78
(2.5.15)

J V ) - J(c') < {^. - l} .

(2.5.16)

(2.5.16)

JV)

- J(c*) < ,

, (2.5.13), (2.5.14) .
, .
.
.
1.3 ,
J(c*) =x minminmin M{F[e{z(n), )]},

(2.5.17)

Af , ,
,
.

, /sh(po)-
( . 2.3.
w (2,2.28)
2
. , (2,5.7), {.0 []} = M{JPO'[^]}
, , (2.2.28)
ti> = JVe>

(2.5.18)

. . Fo[e]
.

2.6.
*, ,
. ,
, ()
, .

79
2.3
/sh(po)
*

() Vn.
, . , .
() V(n) = nVn. V(n)
-> ()
V%
() *.
FQ[S] = lnpo(OU=*> (0 ~
.
F[e] = lnp(^)|^- e .
, (), J n ( c ) ,
. J(c*)
.
, () , , . ()
. .

,
.
. .

3.1.

, , , V = V(B0) = F(F,p 0 ) (1.7.10), (2.2.18). .
, , 2.2, () (2.1.12)
2

() - * -[V J n (c*)]- VJ n (c*).

(3.1.1)

(. (2.1.14)),
V 2 J n (c') ^

VV(c').

(3.1.2)

(3.1.1) V2Jn(c*) V2J(c*)

81
() (),
() - * = -[^(*))-^(*),

(3.1.3)

( - 1) - * = -[vVCc*)]" 1 VJ n _i(c*),

(3.1.4)

, (. (2.1.6)),

VU(c) = - i . ) ] Vc/(*(m),c).

(3.1.5)

(3.1.4) (3.1.3),

() _

_ 1) = -[V2J(c*)]-\V

Jn(c*) - V,_(*)).

(3.1.6)

. (3.1.5),
VJ n (c*) - VJ B _i(c*) = -iF'[e(z(n),c*)] V c /(x(n),c*) +

+ - ^ ^ , *)] Vc/(x(m), '). (3.1.7)


^

' m=l

(3.1.7)
(1/). ,
VJ n (c*) - VJn-x(c*) - 1 ^ ' [ ( ) , *)] /( (), *).

(3.1.8)

* ( 1),
*;
VJn(c*) - VJn-i(c*) - 1 ^ ' [ ( ) , ( - 1))] V c /((n), c(n - 1)).
(3.1.9)
, (. (1.6.31)),
V2J(c*) = M{F"[t]} A{c\ <r\po)).

(3.1.10)

(3.1.6) V2J(c*) (3.1.10)


(3.1.9),
c(n) = c(n-l)+r o (n)F'[(*(n),.c(n-l))]Ve/(e(n),c(n-l)) > (3.1.11)

82

() =

{^]}"

1 ( > 2 )

(3

-12)

(3.1.3), () c(n), AMKO , 1.7,

V = V(F,p0) = ^2~*,)).

(3-1.13)

(3.1.11), (3.1.12)
(1.7.11),
(1.7.12) F[e]. () ( F[e] ) ,
AMKO V = V(F1po) (3.1.13). AMKO V(F,po) (3.1.13) Fo[e] . ,
, .
F[e] = FQ[S]
= lnpo(OU= T 0 ,

F[e] = Fo[e] =

-lnPo(^=e.

(3.1.11), (3.1.12)
F'[e]

1%[] = -
() ^ =

(3.1.14)

M{F"K]} 1'} = /(),


1() (2.5.7). ,
:
() = (--1)-()^[(),(--1))] /( (),(-1)), (3.1.15)

() = --)A-\c\a\p0)).

(3.1.16)

83
, (. (2.5.7))

= ' = ),

(.17)

(3.1.13)
V(Fo,po) = ^ ^ ^ ) ) .

(3.1.18)

(2.3.21), .

,
, .
,
,
,
, , .

3.2.

(3.1.15), (3.1.16) , (*,2()) . ,
(, 1.7). (3.1.14), , . ,
(1.7.14), (1.7.13) Ff[e]
^ (3.1.14)
() = ( - 1 ) + 1 ( ) ^ [ ( ) , ( - 1 ) ) ] / ( ( ) , ( - 1 ) ) , (3.2.1)

l(n)

^7 "1((~1)?(2())-

(3

- 2 - 2)

(3.1.15), (3.1.16) , () (3.1.16)

84

* ( 1),
.
- (3.2,1), (3.2,2) - (1.7.14), (1.7.13),
. 1.16, , F'[e]
TAiin) F[e] (). -
.
(1,7,24) ~
(1,7.26). F'[e] FRe] M{F"[e]} M{Fff[e]} = /( 0 ),

() = ( - 1) + 0 ( ( * ( ) , ( - 1))] v(n),

(0) = 0 ,
N

v(n) = () - J2 dm{n - l)v{n - m),


m=l

v(m) = 0,

f o ( n ) = f .( - 1) fo(O) = 7^,

71-

m = 0, - 1 , . . . , 1 - JV,

T0(n-l)v(nW(n)f0(n-l)

J-i(po) + r ( n - l ) (*)'
( 3 2

'46)

-
. 3.1. -

(1.7.24) (1.7.26) (. 1.17) F'[e] FQ[S]


, , M{F"[]} {1^[]} = 1(0).

85
(3.2.3), (3.2.4) , ,
() = { - 1) + {) F^[e{z(n),c(n - 1))],

(3.2.5)

Ko(n) = fo(n)t>(n)

(3.2.6)

. (3.2.46) v(n)i () ( 1):


0() =

(-1)/-)

/-1() + () (-1)()

( 3 2 J )

( 1) v(n) - (3.2.4).
- (3.2.5), (3.2.6), (3,2.4) . 3.2.

(dm = 0 = 1,..., N) (1.4.26) v(n) = x(n) . (3.2.1) (3.2.2)


() = ( - 1) + 0 1()*(), ( - 1))]()

(3.2.8)

( ) = ^ -

- 1), <2()).

(3.2.9)

86

(*,2())
*, Foi(n) (3.2.9)
(3.2.8). ,
(3.2.3), (3.2.4).

() = ( - 1) + f ()*(), { - 1))] *(),


(0) = ,

J
'

f o() = f ( - 1) - ^ - 1 ) ( ) > ) ? ( - 1 )

/-) + * > ) ( - 1 ) * ( ) '

(3
0(0) = 7 # , 7 1 .
*21)
-
. 3.3. , - -

() *,
(3.2.9) ( 1).
(3.2.8), (3.2.9) , () ,
*. , (3.2.5), (3.2.6)

() = ( - 1) + 0() F'Q[e{z{n),c{n - 1))],

(3.2.12)

87

() =

0(-1)()7-0)

/-1() + * ( ) ( - 1 ) ( )

()
(3.2.11).
- (3.2.12), (3.2.13),
(3.2.11) . 3.4. - -

0() (3.2.11) (3.2.13),

- (. 3.4), . 3.5.

88
() ?(), ()
, - (. 3.1,3.2).
, (0) = , () =
= *) , .
. 7.
( ()> <2()) ,
. (3.2.1), (3.2.2) . ,
(3.2.14)
J(jpo) (. . 2.1)
, , (3.2.2) () = 0. -
, : () = C(0,s),
: &2() = ; , (*, <2()) = <2()\(*) , (3.2.2), () = 0.
,
, , - .
. .

3.3.

, ,
,
c?J .
, ,
( , , ,
(. 1.5) dj = 6Q)> T O - .
,
{) s*,
().

89
,
:
(3.3.1)

sl=d*os*t

(0 . s$

, sj ,

(0*

= (ai,...,ajsr,6o,.. .,bjv,di,.. .,<*JST),

(3.3.3)

*='&, *=1,...,,
(3.3.4)
dQ
((), ), s:

Fo[e(*,c);.] = - b l p o ( | - ) L

, ,-

(3-3-5)

F o [e(*,c);.]=h-lnpo(-f-Y

(3-3.6)

F0[%i]=-lnp0(|)|

(3.3.7)

Fo[e(*,c);e] = ln + F o p ^ ] .

(3.3.8)

, , &,
J(c,S) = M{F0[e(z(n),c);s]},

(3.3.9)

, FQ (3.3.8),

J 0 (c,s) = ln5 + M{F 0 [ H;)' C )]}.

(3.3.10)

90

Vc<7(e, s) jjj(c,s)

VcJ(c,5) = - { ^ [ ( ' ) ]

")> )}

(3.3.11)

JO{C>

s) =

CsS

^_Mfp,
S

. .12)

\ \.
v

(3 3
J

*, SQ .
,
() ()

) = 7-L 'fa),

' 2 = ) 2 <2(),

(3.3.13)

() = ( - 1) + 0() [ ( ^ - 1 ) ) ] Va/(,();c(n-l))>
(3.3.14)

(3.2.2)
() = 8-^^- A-i(c(n-

1),2( - 1)<2()).

(3.3.15)

, , (3.2.1), (3.2.2), , sj$ s(n1).


,
, 3.1. 37</(c, s) (3.3.12),
s[n) = s(n 1)

- 70(n){S(n - 1) - F'o [ ^ - I ) ) ] e { z { n U { n _ i))}, (3.3.16)


8(0) = S,

91
, SQ , (3.3.16) , s(n) > 0. , ,
.
7(^)- ^j</0(c, s)
(3.3.12) s, = * s = SQ

+ 2M

{^[M^)]!(^!i}. (,,8)

* sj (3.3.12)

-j?J0{c*y sj) (3.3.18) :

=IiF+I?M{^[iilf^)S=(W,c-)}. (3X20)

\')

(3.3.7),

^f^W.C)! _ #()-*g()*()
0

ss

J~

PO ^ J

C=c(z(n),c)

(3.3.21)
2 ,

(3.3.22)

{^ 2 (||||) 2 } = /

(3.3.23)

.
ID {) ,
, , . ID () 1()
. 3.1.

92
3.1

1,5

0,5

(3.3.22), ,
,

I /
,

(3.3.20)

, () (3.3.17)

93

- (3.3.14) (3.3.17) . 3.6. . 3.1


.

, () (3.3.15) () ,
(3.2.46). V c /(x(n), (-1)) v(n)
(1,4.22),

:

c(n) = ( - 1) + () [

"\ ^ '

(3.3.25)

(0) = 0 ,

v(n) = x(n) - y^dm(n - l)v(n - m),


^i
t>(m)=0 m = 0 , - ! , . . . , ! - N,

(3.3.26a)

94

fo(n-l)v(n)vr(n)fo(n-l)

(n-l)/-i(po) + T(n)ro(n-l)t>(i)
(3

fo(0) =7 , 7i;

26)

-'


s(n) = s(n 1)

- 70 (n) {s(n - 1) - U [e{z{%C{"x)l))]

e(z(n),c(n - 1))}, (3.3.27)

e(0) = o,
(3.3.24)
7o(n)= n(r

-.

(3.3.28)

(3.3.25) (3.3.28) ,
.
- . 3.7.

, , ,
v(n) = x(n), (3.3.26) .

95

3.4.

,
{)=* + (),

(3.4.1)

() ()
0() = ,

(3.4.2)

. ,
.

J(c) = M{F0[e(z(n),c)]},

(3.4.3)

( ) , ) = () - () = () -

(3.4.4)

, Fo[e] = lnpo()L- e ,
() . ,
f(x,c) = c,

Vcf(x,c)=>f>(x,c) = l,

A ( c V 2 ( P o ) ) = 1.

(0.4.5)

(3.2.1), (3.2.2) (3.1.15), (3.1.16) :


) = ( - 1) + - J - y Fj[y(n) - e(n - 1)].

(3.4.6)

-
. 3.8. FQ[S].

() = N(0, ^)

= ,

/() = 4 -

(7)

(3.4.6) ,
() = ( - 1) + i {() - ( - 1)).

(3.4.8)

, , . 3.9.
.
),
(3.4.8),
,

c{n) = \J2y{m).

(3.4.9)

m=l

(3.4.8).
cr^ a

() (0) = CQ. , (3.4.8) = 1
(1) = (0) + ((1) - (0)) = 2/(1).

(3.4.10)

, (1), , ()
, (1),
2/(2),...
() = L(0>s)

F[e]=^;

/(po) = i .

(3.4.11)

(3.4.6) , :
{) = { - 1) + %. sign (y(n) - { - 1)).

(3.4.12)

- . .
. , , .

97

() = C(0,s|)

(3.4.6) :

- . 3.11.
(3.4.8), (3.4.12)
(3.4.14)
, s$, (0).

V(Fo,po) = ^()

(), <r|(Fo,po) = ^() (3.4.5), (2.5.3)
) = <d(Po) = ).
4. 3.

(3.4.15)

98
(3.4.15) , , . 2.1
:
- = \ = <2()

(3.4.16)

(3.4.8),

<rj (po ) = s f = ^

(3.4.17)

(3.4.12)
o-j(p0) = 2sf

(3.4.18)

(3.4.14).
, (3.4.8) . (3.4.12)
,
. (3.4.14),
. ,
^ .
.

J(c) = M{F[y(n) - ]},

(3.4.19)

(3.1.11), (3.1.12) (3.4.5)

() = ( - 1) + { ] , ] } ') - ( - 1)].

(3.4.20)

(2.2.18):
V(F,po) = 4(F,Po)=^{{^]2.

(3.4.21)

<d{Fo,Po) < <d{F,Po)

VFM^FoH,

. .
.

99

F[e] = e2y

F"[e] = 2

F'[e] = 2ey

(3.4.22)

,,
M{F'2[]} = 4[2] = 4<*(0), {"> = 2.

(3.4.23)

(3.4.20)

() = ( - 1) + I [() - ( - 1)],

(3.4.24)

(3.4.21)
2

< ^

, = ^ ^ = *2.

(3.4.25)

, (3.4.22)

(3.4.8). .
,
(j2
(Po) < . , , .
.
, , ,
. , , , ,
<TJ(e2,p0) = oo.

(3.4.26)

, , . . . , ,
*, . ,
.

F[e] = \e\,

F'[e] = signs,

F[s] = 28(e),

S(e) -. ,
2

M{f' K]} = M{(signO } = 1,


M{F"K]} = M{2*(0> = 2po(0).

(3.4.27)

100
, (3.4.20),

() = ( - 1) + ^ rign[() " ~ 1)]-

(3-4.29)

(3.4.21)

*.*> -

(")

, (3.4.27) .
(3.4.12),
s% = 1. (0), , ,
.
{0) = l/(2f) =
= (0)
2

"i(N-po) = 4 = y .

(3-4.31)

. . , .
P(0) =

^ - - = P N ( 0 ) ,
V27r<T

(3.4.32)
2

<d(W,PN) = ! < r ! = ! < r ( p N ) ;


/2 1,57 . ,

) =

),

^(,) = - ^ <

(3.4.33)

-\{2\) 0(||,) ,
.
(3.4.25) = (3.4.31) ,

4(2,) = 2<1(\,

(3.4.34)

. . . ,

101

.
SQ , .
,
(3.4.5), (3.3.14), (3.3.16), (3.3.24) :

--^^-'1].

<-36>

[< -l)-Pi {V{%")

] (() " ( " ] (3-436)

l>

- . 3.12.

. ,
() = N(0,cr|). , . 2.2 3.1,

*[]=,

/(po) = l,

) = 3,

(3.4.37)

102
(3.4.35) (3.4.36) :

) = ( - 1) + I [() - ( - 1)],

(3.4.38

-'--^-')-^.'-.)'"']-

-
(3.4.38), (3.4.39) . 3.13. .

(),
s(n), . . s(n) = <(). -, () s(n 1).

s.
() = L(0, s$),
. 2.2 3.1.

[|] = sign | ,

1(0) = 1,

ID(p0) = 2,

(3.4.40)

103

(3.4.35), (3.4.36)
:

{) = { - 1) + 8 ( " ^ sign [() - ( - 1)],


s{n) ? e ( n - l ) ; i - [s{n - 1) - \() - c(n - 1)|].

(3.4.41)

(3.4.42)

s > 0, (3.4.41) signs/s


signe. -
. 3.14.
.

, ()
= (0,Sf) (. . 2.2 3.1)

^[f] = p r ^ '

= 1'

s(po) = ,

(3.4.43)

(3.4.35), (3.4.36)
:

104

) =( _ 1) + l f > z i l

^""?

,, <3-4-44)

n
s 2 ( n - 1) + (y(n) - ( ~ I)) 2

2[y(n)-c(n--l)]2s(n-l)
I
2
2
s (n-l) + (y(n)-c(n-l)) J
(3.4.45)
- . 3.15. () s(n).
2 ,
n[v


, ,
.
. {(() *)2},
(3.4.8), . 3.16
N(0,1) ( ), L(0,1)
( ) (0, /5/2) ( ). , .
( ). ( ), , ,

105
. . 3.2 {(() *) 2 }, (),
= 10, 20, 30, 50, 150. , (3.4.21).


,

.
{(()
*) 2 },
(3.4.12), . 3.17:
L(0,1) ,
N(0,1) ,
(0, /2/2)
.
( ),
( ). ,
, ( ). . 3.3
{(() *) 2 }, (),
3.2
.
{(() *) 2 }

()-N(0,1)

(n)~L(0,l)

(n)~C(0,V2/2)

10
20
30
50
150

0,72

1,9

*1)

1,04

2,1

1,21

1,06
0,81

2
1,85
2,04

319
949
15361
9197
8087

106
3.3
.
{(() *)2}

*()~ N(0,1)

(n)~L(0,l)

10
20
30
50
150

1,66
1,74
2,07
2,04
1,66

2,22

/2 1,57

~(,^/2)

2,07
1,72
1,35

1,88
2,16
2,22
2,43
2,82

2/8 1,23

29

= 10, 20, 30, 50, 150. , (3.4.21). .



() = 0,5/(-1) + ().
(3.4.46)

() = ( - 1 ) .

(3.4.47)

, , ()
= N(0, |), :
() = ( - 1) + - ^
[() - ( - 1) ( - 1)] { - 1). (3.4.48)
2
()
=1

, , () =
= L(0, s^), :
{) = {-

1) + -^^
sign [y(n) - ( - 1){2
()
m=l

1)](- 1).
(3.4.49)

107

108
, (3.4.48), (3.4.49) (3.2.10) ()
, (3.2.11)
7 = .
- . 3.18 . 3.19
. {(() *)2}, (3.4.48), . 3.20:
N(0,1) , L(0,1) .
{(() *)2}, (3.4.49), . 3.21: L(0,1)
, N(0,1) .
, .

3.5,

- ,

*( - ) + *(),

() = - -( -m)+JT
1

(3.5.1)

() = ( ) + ) ,

(3.5.2)

c*=(^...,a^,6S,...,^)

(3.5.3)

-,
() = (-( - 1),. ..,-(

- N),u(n),

...,u(n-

N))

(3.5.4)

.
(1.3.47)

() = (),

(3.5.5)

= (ai,...,a7vr,6o,.-.,frjv)

(3.5.6)

109

(- ) .
e(z(n), ) = {) - () = {) - (),

(3.5.7)


J(c) = M{F0[y(n) - cTx(n)]},

(3.5.8)

F0[e] = -lnpo(OI= , ()
. ,
/(, ) = crx,

Vcf(x, ) = ,

VeF0[e(z(n),c)] = kis(z(n),c)]*(n).
(3.2.10), (3.2.11)
:
() = ( - 1) + fo{n)x(n)Fi[y(n)

- ( - 1)()],

(0) = 0 ,

(-1)()
()
?
(-1)
() - 0( - 1) - 7 _ 1 ( ) + ! ( ) ( _ 1 ) ! ( ) '
(0)=7^,

(3.5.11)

71,

. -
(3.5.10), (3.5.11) . 3.22.


.
^ () N(0, <|),
(3.4.7), (3.5.10), (3.5.11)

() = ( - l ) - f () () [() - ( - 1) ()],

(0) = 0 ,

'

l + xT(n)H(n-l)x(n)

(3.5.13)

H(0)=fE, 71, (3.2.12), (3,2.13) :


{) = { - 1) + l?i(n) [{) - ( - 1) {)]

(3.514)

1{) = ":*")

.,

(3.5.15)

1 + ()(-1)()

( 1) (3.5.13).
(3.5.12), (3.5.13)
(3.5.14), (3.5.15)
(). ,
<ri. ,
, .
- , -
, . 3.23 ( (3.5.12), (3.5.13)) . 3.24
( (3.54), (3.5.15)).
() L (0, s^),
(3.4.11), (3,5.11)
{) = ( - 1) + {) () sign [() - ( - 1) ()],
(0) = 0 )

Ill

H(n) = H(n - 1)

_ _ _ _ - _ _ _ - ,

7 )

()=7, 7 > 1 ( -
. 3.25) (), .
() = (0, s^), (3.4.13), (3.5.10), (3.5.11)

() = ( - 1) + 4() ()

'

(0) = 0 )

'

v /

v / S2

^]
+

[()

~ \~ ^ ^
- (-

1)()]2

, , .^
(3.5.18)

112

() = ( - 1) 1

(0) = ,

(-1)()(){-1)
sl + xT(n)H{n-l)x{n)
'

(3.5.19

1.

- . 3.26.


- ,
. , (
(2.3.23)),

V(Fo,Po) = V(po) = ^ ( ^ ) ,

(3.5.20

113

(*, <2(0)) = () ()}

(3.5.21)

, 1.6.
- - (*, 2()) *, 2(0).
-
( > 2 ( 0 ) ) = Ai =

{()()}

*, 2(0). - (3.5.10), (3.5.11),


() = ((),..., ( - N)) = (> .., )>
V(Fo,po) = V(p0) = j-j Al1.

(3.5.22)

, , (. 3.4),
- .
.
, .
-
T

J(c) = M{F\y(n) - c x(n)]},

(3.5.23)

(1.7.22), (1.7.20)
() = ( - l) + f(n)F'[e(z(n),c(n - 1))](),

(0) = ,

) = - 1) -

f(n-l)x(n)x (n)f 0 (n-l)


[m{F"[Z\}YX+xT{n)f{n-\)x{n)'

f(O)s= fE>y

(3.5.25)

1-

V(JBO) = V{F,p0) (1.7.10)


,) = ^ ^ ~ ( > 2 ) .

(3-5.26)

114
F[] = 1.
(3.5.24), (3.5.25) , (3.5.12), (3.5.13) , , (3.5.14), (3.5.15).
(3.5.26)
V(e2,Po)

= <2()-\*, <2()).

(3.5.27)

, - -
<2(). ,
()>
2() ,
.
, (
), .
-, ,
(*,<2()) = *2(0)4(*)

(3.5.28)

(. (1.6.39)),
V(e2,p0) = A^(c*).

(3.5.29)

, - .
-, .
F[e] = \e\.
(3.5.24), (3.5.23) , (3.5.16), (3.5.17) , (3.5.17) s^ s(n 1),

V(\e\,poj = i -i^A- 1 (cV(po)).

(3-5.30)

, , , <2(0)
,
.
. . (3.3.25) (3.3.28),

s(z(n), ( - 1)) = () - ( - 1)()

115

v(n) = (),
(3.3.25), (3.3.26)
/ \

1\ , / \ r=i/ \( ) ; ~ (

() = ( - 1) + () JS

1; ) ( ) 1 /

,(n-l)

^1

^'

(3.5.31)

(0) = ,
, (3,5.11),
() = ( -D
'
{0) = ,

(-1)()()(-1)
{-1)1-1(0) + {){-1){

(3.5.32)

1-

(3.3.27)
s{n) =

s(n-l)-n{lD^)_l){s(n-l)-

- > - D ()>}

- [{)-$-~1)1){)]^

(3-5-33)

,(0) = ..

- - . 3.27.
, (), , s(n).
,
. () =
= N(0, <|), (3.5.31) (3.5.33)?
(3.4.7),

() = ( - 1) + {) {) [() - { - 1) {)],
()

= 1) -

(0) = 7^,

+ ( )

1 ) ( )

715

s(n) = <()

(3.5.34)

(.5.35.)

116

() (3.5.34), (3.5.35) (3.5.12), (3.5.13). . ,


. , .
.
(3.5.36),
<().

() = L(0, Sf),
(3.4.11), (3.5.31) (3.5.33)

{) = { - 1) + {){) sign [() - { -l)aj(n)],

(0) = ,

()

= (-1)-

( " - ! ) ( ) > ) ( " - D

s(n-l) + xr(n)H{n-l)x{n)
{0)=, 7 1 ,

(3.5.38)

117


8() = ;( - 1) - I (3( - 1) - |( ) -.+( - 1) ()|),

*(0) = 0.

, , (),
s(n1),
(3.5.39).
- - (. 3.22) .
. - . . 8, .

.
{||()-*|| 2 }, (3.5.12), (3.5.13)
-
() = () + 2{ - 1) + - 2) - { - 3) - 2( - 4) + (),
. 3.28 ( N(0,1) , L(0,1) ). ,

(3.5.16), (3.5.17), . 3.29: L(0,1) , N(0,1)

118

. .

,
(. . 3.28). M{(s(n)-s*) 2 )}, . 3.30: N(0,1)
, L(0,1) .

2
2
{||() - *|| } M{(s(n) - s*) } . 3.31
3.32 : L(0,1) ,

119

N(0,1) .
, .
, . 3.33 -
(() ~ N(0,1) a, (n) ~ L(0,1) ),

() = 0,( - 1) + {) + 2{ - 1) + 0,lti(n - 2) +
+ (n) + 0 , U ( n - l ) + 0,4(n-2).

.

3.6.
*, , , , () ,
.
F[e] ()
() ,
,
(^,)> . . JFo[e] lnpo()lc=e> () ( ),
-. .
,
.
. , () , ,
.
().
. 2() ,
, -

120
<|.
.
.

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

.

,
.

4.1.

,
() .
, , .
,

.
.
, ()
, - ()>
.

> ().
, -

122
. , ,
. . ,
,
.
, , ,
.

)=(0,

(4-1.1)

, . ,

(>0,

/ p o f c K = l-

(4.2)

(4.1.1) (4.1.2)
, .
V\ :
P I = {PO(O:

Po(0)>5i7>0}.

(4)

.
,
.
: () Vi, , .
>2 :

2 = {(-

= <2<*?

(4.1.4)

, . , ,
.
Vz :

%.= 0 ; po(O'=(i-a)PN(O+;^(O}-

(4.1.5)

, ,
, PN() =

123
= N(0, ^) <^ #(). , 0 < < 1,
; = 0 , = 1
.
V* :

VA = : (0 = (1 ~ )( + <?(0}-

(4-1.6)

, () = L(0,SL)
SL (). , 0 < < 1, ()
(7^5 :

5 = : (0 = ( 1 - ) + ^ ( 0 } -

4 1

- ^)


PR() = R ( 0 , / R ) /R #(). , 0 < < 1, ()

( :

= {(): / P o ( 0 ^ = l}-

(4-1.8)


(. . || < /). -
.
V7 :

/?, 0 < /3 < 1, ()


. ,
, , 1 J3
1| < I* , Ve
.

124

,
)=

I * (0#.

* =-/* *(*-

(4-1.10)

7*11) ^12
:
Vn = {(: (0) > ^ 7 > 0, <2() > <2}

(4.1.11)

Vi2 = {(: (0) > 2^7 > 0, <2() < <?}.

(4.1.12)

V\ ,
<\.
V21 :

?>21 = : * V ) > * l } -

(4-1.13)

, V^i
, \\ Vu,
(0).
*1, 2*32 :

Vzi = : Mi) = ( l - a ) p N ( 0 + ^ ) , * 2 > ^i}

(4-14)

2 = { = (1 -

)PN(O

+ 5(0. <r2(9) < *!} (4-1.15)

^41, ^42
:
1 = = = (1 - ) P L ( O + ag(t),

cr2(g) > <2}

(4.1.16)

42 = {Mi)-

Mi) = (1 - <*)Pb(i) + 5(0, *2(9) < *!}

(4-1.17)

^51? ^52
:

= { Mi) = (i - )PR(0+5(0, * 2 > *i}

(4.1.18)

125

Vbi = : = (1 ~ *)PR(O + *(> ^ < ^1 } (4.1.19)


, /R,
.
, (4.1.14)(4.1.19)
(4.1.14),
(4.1.16), (4.1.18) (4.1.15), (4.1.17), (4.1.19).
*1, Ve2 :
?61 = {(0:
u

/ ( * = 1. * ()><?\

(4.1.20)

-i

Ve2 = {po(0: / (0 = 1, ^2() < 2}.

(4.1.21)

, <?\ , , . . / 2 /3. / .
7^71, ^72 :
VTI = {(): / (0 = 1 - , <2() > ^ j

(4.1.22)

?72 = {(0 : / (0 de = 1 - , () < 4 } '

(4.L23)

, , 0 < < 1.
, ,
, , , V, VAI, V321 ^42? -
, , (. . 2.1).
. .
()> , , V4.-V4, V\\ Vi\,
^42 VTI = 0.
,

126
: ( V\)
( V Vi = 0).
, , .

4,2.

. , . , V,
()- : ?

V.
(2.4.7)

/ Po)F' a K]de
V(F,Po) = " f l
A-Hc*,<r3(po)).
J p'o(t)F'[t]dt\
L

(4.2.1)

-oo

F[]
FM = -lnp(0|c=e,

(4.2.2)

() , (4.1.1),
(4.1.2).

=-1,-

(423)

F'[] (4.2.3) (4.2.1) V(F)po)


V(pipo))

/ (

<P>P) = =^5

77^-7 A-\cW{po)).

7*<0

(4.2.4)

127

00

ii(p,po) /2(,) 1-
2- .
V(P,po) = I?^A-\c\<?i(po)).

(4.2.6)

() = ()>
F\] = Fo[], 1- 2-

h{po,Po) = ,) = ) ,

(4.2.7)

(4.2.6)
V(p,Po) = V(po) = -^A-1(c*,<r*(Po)).

(4.2.8)

V
Fo[] = ~lnpo(OU=e .
,
V.

(4-2-9)

F.[] = - l n p , ( O U

V,
(0 V V(p*,Po)
V(p.,po) < V{P*,P*) = V(p>)

Vp 0 (O eV.

(4.2.10)

, (2.5.4), .

V(po,Po) = V(Po) < V(p,Po).

(4.2.11)

, () = ()
V(po)<V(p.,p0).

(4.2.12)

(4.2.10)
V(po) < V(pt,Po)

(4.2.13)

< V(Pt).

,
(4.2.14)

V(pt) = mbxV(p0),
PoV

. .
p.(O = argmaxV(p 0 ).

(4.2.15)

/*

, *()
V, V(po) .

.
(4.2.9) .
(4.2.9),
(4.2.10), V(F+,po), V(F^,p^)i
. . V(p*). ,
, (4.2.10)
V-1(P*,Po)>V-1(p,>P*) = V-1(p,)

VpoGP,

(4.2.16)

, ,
p,(t) = arg min -).

(4.2.17)

PoEV

, (4.2.10), (4.2.15) (4.2.16),


(4.2.17) (4.2.9)
, (4.2.16) , ,
(4.2.10) *() (4.2.17)
(), V. , (4.2.17) ,
(4.2.16), , (4.2.10).
, (. (1.6.41))
{*,<\0)) =(*) +(2()(*)1

(4.2.18)

(4.2.8) (4.2.6)
V-l(p0) = I(p0)[A1(c')

+ cr2(po)An(c*)]

(4.2.19)

129

V-Hp,Po) = ^^[Ai(c*)

+ cr4po)All(c%

(4.2.20)

() V;

(0 = (1 - ).( + \g{t) = .( + \

- )

(4-2.21)

V 0 < < 1. ,
. ()
() (4.2.19),
Xi(A) = -) = I(px)[Aj(c*) + <2()(*)],

(4.2.22)

/()

- J

+ -*(1))

(4 2 23)

-'

<2{) = <2{*) + (< 2 ( 5 ) - < 2 (.)).

(4.2.24)

V-1(p,)=mmV-1{p0),

%^

(4.2.25)

=Xi(0)>0.

(4.2.26)

Xi(A) (4.2.22) = 0,

2

xi(0) = [2h(p*yg) - 1(>) - 212(^)](*,< (+)) +


+ 1(*)(*)(<2()-<2(>))>0

Vg(Z)eV.

(4.2.27)

V(p,po) (4.2.6) () == *(^).


0 ( 0 ( (4.2.21),

() = V-Hp^px) = h^llPA

[Al{c<) + ^(p A )An(c*)],

(4.2.28)

130

/ [p:(O + A(</'(O-K(O)]^|y^,

./IWA)=

(4-2.29)

(;) = I [.( + - )] ( j | y ) <%> (4-2.30)



2

< () - (4.2.24). () (4.2.28) = 0,


2

xi(0) = [2/!^^) - / - /2(*,<7)] (> (,)) +


+ *){*){<*() - 2(*)).

(4.2.31)

4 2 2

xi() ) ( - - ?)> (4.2.31), , xi(0) =


= X2(0)j V~1(po) ~(+, )
^ ^ . V~1(po) V~1(p*,po)
, ,
*(). ,
V((T) = V { : 0"() == }- ~()
^~"1(*)) V(cr)
<, <, ,
.
(4.2.16).
, .

4.3.

p,(0 = argmaxV(po),

(4-3.1)

PQV

, ,
.

p.(O = argmmK- 1 (p 0 ).

(4.3.2)

(4.2.10),
(4.2.16)
V(p.,po) < V{p,,p.) Vpo(O V.

(4.3.3)

131
, (4.2.11), (. (2.5.4)),
(4.3.4)

V(pOiPo)<V(p)Po);
(0 = *{0

(4.3.4)
(4.3.5)

V(p*,p*)<V(p,p<).
(4.3.3) (4.3.5),
V(p.,po) < V(p,,Pt) < V(po,Pt)
r

Vp0(O V.

(4.3.6)

V ~ (p*,po)
1

V- fa,po) > V-Hp^p*) > 7- (po,P*)

Vpo(0 e V.

(4.3.7)

,
*() . , *()
. . (4.3.7)
,
( ),
, , .
tr V " 1 ^ , ^ )

(4.3.7),

t r F - ^ P o ) > txV-\p^p.)

> trF-^pcbP*)

Vpo(0 e V.

(4.3.8)


-()-> min,

(4.3.9)

PoV

. .
*(0 = arg min tr V^ipo)

(4.3.10)

PoV


V^ip)-* min,
&

(4.3.11)

132
(4.3.2). , (4.3.7) , . .
(4.3.2) , ,
. . (4.3.9), .
*() (4.3.10), ,
F+[e] = lnp*()|f=e- F*[]
V"1(F^,po), V"1(F^ip*) = V~~1(p+),
trF~ 1 (F^,po),
tTV~1(F+1p*) t r V " 1 ^ ) .
4.2
Ai(c*)} (*) .
: *(), F+[e] = lnp*(^)|^ = e )
(4.3.8).
, -
,

.

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

(4.3.12)


X* = ?(*).
(4.3.8)
, . . + = *.

4.4.

* (),
(4.3.9), (4.2.18)
(> 2 ()) = 1(*)+2()(*)

(4.4.1)

133

2

)( + )

7* mm .

(4.4.2)


) = trAi(c*) > ,

/i = trAn(c*) > 0.

(4.4.3)

, 1() <2(),
(4.4.2),

I(po) = J ~ ^ di,

< () = J <*

(4-4.4)

, 1.6:
- \(*) = \ (*) = 0 (.
(1.6.34)) , ,
n-itAu

- Ai(c*) = 0, (*) = A4(a*,d*)


,
77 = 0,

(4.4.5)

fi = 0]

(. (1.6.39)) ,

^ t r ^ K d * ) ;

- \(*)
(*) = A3{d*) (. (1.6.36)) , ,
? = tr 2(<),

/i = t r ^ 3 ( d * ) ;

(4.4.6)
2(?*),
(4.4.7)

- Ai(c*) = 5 (*), (*) = (*) (. (1.6.41))


,,
ij = trA 5 (c*),

ti = tiA6{c*).

(4.4.8)

, -
. (4.4.2) . , - , (4.4.5), (4.4.2)
I(po) - min .

(4.4.9)

*()

V. - (4.4.6)
(4.4.2) :

/)->.

(4.4.10)

134
V. -
-, (4.4.7)
(4.4.8), (4.4.2) .
, V. :

/ / * ! *, f - l r - . -

( > p(fl.

(4-4.11)

(4.4.12)

. , f^ Po{)d 1
(4.4.11), () > 0
(4.4.12). (4.4.11) /i() ==
= 2. (0) > l/(2si) (4.4.11)
/i() = ()> ^() -, (4.4.12) <() = l/(2si) = 0 <(0) = 0, # 0.
() = (1 #)() + &{)
{) > (1 )(0) - - (4.4.12).
, , ,
, :
1{)[ + (2{)] -4 min,

V = {po(t): /(/^1 i/=l,...,fc; Po(O>^(O}^

(4.4.13)
, - .
, , (4.4.13) () > ^()> , .

I ( p o , A i , . . . , Xk) = J(po) [rj + 1*<2{)] +

+ E A - ( (/ - i (4-4-14)
Ai,..., Xk .
, -

135

()

+ 1+ KM()

()1

'+**> " t =-

"-'
(4.4.15)
.

+ 1 , Ai,..., *. (4.4.15) (4.4.16)


{, ), = (,..., *), ( (0) = l/(2i) () = 0 '0{0) = 0 '0{) = 0)
,
V,

J(Ml,A))

* () = (^, )
(4.4.15) , . ,
(4.4.16), , .
. , , () > (4.4.13).
() .
, ()
, , ,
:

(Pm

Pm)2

[+2 2 *] ->

/-()|

i/=l,... f fc;

(4.4.17)

m=l

Pm = Po(mh) > (p(mh), m = 1,..., 1.


.

136
(4.4.9) ,
*(), ,

(7*)2<

/>(<* /(^(0^-(4-4-18)
00

(4.4.18)
() <(), . .
10=-(0,

(4-4.19)

.

(4.4.20)

= &&.

(4.4.4),
(4.4.18)

(/ '

) > - ^

(4.4.21)

(4.4.21) /()>

( ; ))#)*
I* = min -=2
.

~
/ (3(

(4.4.22)

,
min/(po)>/*.

(4.4.23)

PoGV

() G V
, (4.4.19), . .

(4 4 24)

--

137

() = () (4.4.21) , . .

) = - ^

(4-4.25)

(0 (4.4.24) ,
() = ?(, ). = * 1() (4.4.25) /* (,*) V,
(4.4.23) *() = (, )
V.

*() , (4.4.21) .
lim Po()^() = 0,
-*
/((0<*

= - / ^ ^ , (4.4.21)

(1(0<'(0%

) > - ^

(4.4.26)

/ (0< (

*(),
(4.4.21).
(4.4.24) .
,
= ) exp (-A / <p(t) de)

(4.4.27)

(0) () = 0. (0)
(4.1.2),
(4.1.1)

2/(0# = 1-

(4.4.28)

(4.4.27) (4.4.28),

) = [2 / {(-/ 4>(Qdt)dt}y\

(4.4.29)

138

, , (4.4.27)

>(0 = [2 / {(-/ ^ K ) ^ } p e X p ( - A / ^ ) - (4.4.30)


,
(4.4.21) (4.4.26), V
*(), (4.4.30), *()
(4.4.9) , ,
V.
, :
1) <>()> I* (4.4.21) (4.4.26) ()
V\
2) (4.4.30) () = {> ^)>
, = *, (4.4.21) ( (4.4.26))
() = (> ),
V\
3) l(po(, )) = /*. , (,+)
V.
, .
^>() V.
, Fl[^\ -F*[] = lnp* (^) |^=

[] = ~

(4.4.31)

(4.4.24)

[] = *0\(=-

(4-4.32)

,
<()
*. ,

F+ [] .

139


, , ,
.

4.5*
-
-
(4.4.9)

) = / ^ U - > m i n ,

45 - 1 )

. .
p,(O = argmin-J(po).

(4.5.2)

PoV

*()> ,
. 7\, =
= 1,...,7. "
V\ (4.1.3)
(0) > - > 0.

(4.5.3)

V?(0 = sign6

(4.5.4)

(4.4.30)

= ~-

(4 5 5)

--

<() (4.4.26), ( Vi
' ) > 4tf>(0) > X.

(4.5.6)

= l/^i (4.5.5)
7*1, 1() \/s\. , -

140
V\ ,
1

,( = - .

(4.5.7)

V\

F.[e] = -lnp.(OL

= M + in2* 1:

(4.5.8)

V\ .
V*i
(4.1.4)

< = - / * < * 1 -

(4-5.9)

<{) = t
(4.4.30)

(4-5.10)
2

MO = \J^e- .

(4.5.11)

<() (4.4.26), () ev2

^ * ^ -k

(4512)

= \j<r\ (4.5.11)
>2 , I/of.
,
>2 ,

1
( = ^ ^ -

--**?._

(4.5.13)

Vi
F,[e] = - l n p . ( O | f = t = ^+\nV2^cr1.

(4.5.14)

141
V<i .
V$. ,
V (4.1.5),
PO(O>(1-)PN(O

V,

(4.5.15)

PN() = N(O,<Tfj) , .


|| < ,
<p{Z) = \

' \ Asign | > .

(4.5.16)

(4.4.30)
(0)

| < ,
(4.5.1-7)

Po(0)e

?(0)=

AA

I (\/T*(

|f|

( -f)

AVX

| | > ,

"^")'

(4518)

(^) (4.5.16) (4.4.26), ( Vz


2(/(0)

2(l-a)2(/pN(O^)2

) > - ^
;
>
^
,
. _ |( 2 _ ^ ) (
. _ (1 -) /(2 -

, ,

(4.5.19)

2(1-)22()

/>

^ _ ( 1 ^

^-^

- ^

^ ^

_2)(1_)()

(4-5-20)

142

(4) = () = < > 0, (4.5.17), (4.5.18) , , || <

(0 = (1-)0-

(4-5.21)

A, = -i-

-^L=ft(0).

(4.5.22)

(4.5.18)

( ) = _ 1 _ - _ ^ N
V<rN/

2(1 - )

/2^

23

)
;

,

(

--=

*N

-^-e-^

| | < ,

( l f |

-^

||>,

(4.5.23).
(4.5.24)

24+"1^^
= <

1^(-)+

<,
,_

(4.5.25)

^ > .

-.
V. , (4.1.6),
> ( ! - ) P L ( O
=

V,

(4.5.26)

PL( L(0, SL) , . , () ^4

143

(0) > ^

(4.5.27)

. . 7*4 V\ s\ = $ L / ( 1 ) (4.5.7)
V\
1-*
p.(t) = e2SL

(-1
> .

(4.5.28)

V. , (4.5.28).
(4.5.28) V*

= -1,(0|=

+ 1 .

(4.5.29)

V - .
V$. ,
V$ (4.1.7),

(0>(1-)

V,

(4.5.30)

PR(^) = R ( 0 , / R ) :

(\ i /
[ 0

1^**'

| ( | > / .

|^| < ,

[ sign^

|^| > .

, , ,
V$ -

( ^
*(0 =

Ja

- *>
(4-5-32)

144

V$

= -1.(0|= =

In ^ 5 -

| | < / ,

(4.5.33)
1-/., , \
. 2
, , ,
V$ -.
VQ
(4.1.8)
{
/ ( 0 ^ = 1(4-5-34)

|41 <*

=^,

(4-5.35)


(0=((*-0)) = 0.

(4.5.36)

(4.4.26)

(jV(OpolK)2
,

) > -^

(4.5.37)

-i

, ,
2

(J) (I+/^ (OPO(0^)


7

^) ^

* () ^^-^


v = 1.

'
(4.5.38)
(4.5.39)

(4.5.37) ()>
(4.4.24)

145
|| < / (4.5.36), . .
= ( / cos" ^

)""^-,

(4.5.40)

v = 2//. (4.5.38), (4.5.39) ,


/( 0 ) = (//)2 (4.5.40),

/ 2 ( ( * = 1.

(4-5.41)

-I

, , v = 2.
,

f I cos2
2/
.(0=< '
I 0

|| < 1,
(4-5.42)
||>/.

VQ
= "1*(0|= = -21ncos^ + ,

|| < I.

(4.5.43)

VQ .
.
V'j. ,
>7 (4.1.9),
/ ( = 1-&

0 </?<!.

(4.5.44)


Vj ,
.

( tgftr

<() = {
\ tg/Msign

|<1,
| > i.

(4.5.45)

, ,
/?2cos2/?i
. ( = <

I /?-^1

| | < / ,
(4.5.46)

> ,

146
fa ( = 1,..., 4)

'-0)=.(* + 0),

fp*(t)dt = l-0,
"'

(4-5-47)

fp.(()dt=l,

Pi(l-O)=pi(l + O).

Vi

{ -1.

-(21ncos/?i + ln/?2)

| | < / ,

(4.5.48)
. . -.
,
- , Vk ( = 1,..., 7).
,
. *()
-F*[],
Fl[e] - . 4.1.
F+[e]. , -,
FJl[e], ,
.

4.6.
-
-
(4.4.10)

)< () = I ^ l

de / * ( 0 # -> min,

(4.6.1)

. .
* ( 0 = arg min ) <2(0).
PoV

(4.6.2)

147

148

149

150
, , 2(+) < . (4.5.12),
,
,

/<2>1.

(4.6.3)

() = PN()

/< 2 = 1.

(4:.4)

V ^,
p,(0-=PN) = - 2 f

2 a g

(4-6.5)

F.[e] = - 1 0 | { = , = 2^5" + bVS?rN.

(4.6.6)

- ,
7*2 >
- ,
. .
V\ V3, V7, (0,1) , V$.
,
- .
-. , - , ,
. - .
, -, , - .

: 2() > \. - Vizi, . \ Vv\ Vv
.
\ .

151
,
, (4.6.1) Vy\ <\.
( ), *(), -F*[e], Fl[e].

(4.4.17) rj = 0, \i = 1, (. 4.4).
,
. (4.4.15) \ = = . . . = \ = 0, /i() = 1
(, Ai,
/ (0 d = 1) () =
2'-* + \0? + 1 = 0.

?
(4.6.7)

(,+) [/,/].
/ , *() ||. (4.6.7) , || -

_jgUai

= const .

(4.6.8)

, ||, . . || > /, ()
2-^(-1,

\\>1.

(4.6.9)

ot\, ^ & , \ , V () Ai , , , / / ()
(/) = a i / . ().
(4.6.1)
2 / ( * = "4,

(4.6.10)

4 = 1 - OL-i I e
I

d,

(4.6.11)

152

*() *(0 Ai,


*() () = ~ 1>/ > ,
*[] = -1*(()1= F{[e] = -Jj^j\ _ *()
F+[e] F*[e]
V . 4.2 (
Vv\ \) . 4.3 ( Vu).
, , (*() Fl[e] ).
. 4.2 4.3
j5*() Fl[e] , Fl[e],
. .
.
. 4.2 , , , \
F+[e] (
Fl[e] ).
. 4.3 4.2, ,
- V - . ,
2(0) - Fl[e]
, - Fl[e\
.
: - - .

4.7.
- -

- -

153
4.2
Vu\
*(0 6 ArgminPoGpl/1/(po)<T2(po) ( *())
F*[e] = 1($)|^-=
(, , F*[e] = lnp(^)|^ =e ) -

154
4.3
Vv\
() = a.Tgmm.pQvvI(PQ)<r2(po) ( *())
F*[s] = lnp()k- c
(, , F*[s] = lnp()|-e) -

(4.4.2)
00
2

)[? + ^ ( ) ] =

J - ^ ^ [ + /*./

?Mt)*t]^%n,

(4.7.1)
. .
() = arg mmI(Po)[ri

+ V<r2(po)].

(4.7.2)

Por

] \i (4.4.3), - (4.4.8)
- (4.4.7).

155
Vi (4.1.14),
. , 1{) /()^ 2 ()

1 -
(0=.(0 = ^ ^ -

4-7-3)

, +()
/ \.
Vv\ *() .
(4.7.1) V Vu (. 4.4), (), (2() > <\.
, () = *() , . . ,
- - . , Vu { : (2() = of}.
, , , ,
. ,
4.4, 4.5
- . .
(4.7.1)

JiPo) = J (0 ()

<% J ( ( + ?)

. (4.7.4)

(4.4.18)

(0 = ^ | | .

10 = V^ + ^ sign,

(4.7.5)

J(Po) > ( / pJ(O V ^ M F sign^) 2 .

(4.7.6)

, , ()
(0) = /?. ,
(4.7.6),

+ 4,2<( '(0\2

<(Vt + 2l3^j)2.
7

(4.7.7)

156
(4.7.6)

(4.7.8)

? = -X^TJ^signi,
PoU)

Mt)=Mt) =

= 7<{-|^[1^ 7?+^1.>/ '+//)]}, (4-7.9)



.

(0) /?.

= -10| = =
= 1 ^[> -+ ./+ J 4 N + \/2 +1,//*)}- 1. (4.7.10)
(/?) , ()
(4711)

^--^'

f(/?) =

~ >

^ - > 0

/?->,

. . 0 *(^)
*() , (4.7.4).
(4.7.10) (4.7.1)
V, (0) = /3.
(4.7.10)
(4.7.1)
V. (4.7.6) .
, // = 0 rj = 0 (4.7.11) 5((3) = 0, . .
(4.7.8) (4.7.1)
- -.

157
4.4
Vv
# () = argminPoepJ,/(po)(7 + /icr2(po)) ( *())
Fm[e] = lnp*(^)|^= e
(, , F*[e] = lnp*(^)|^= e ) -
-

, , ,
*(), Fl[e] .
4.4. *(), F!\e\ ,
.

158

4,8.
, ()
* (. 2.4) ,
Fo[e] Fn[e] = 1(=
{)<
() .


(0 = ( 1 - * + * ( 0 ,

4-8-1)

() , <2() 2(). (0,1) .


( 1)
( ,
2{) . (2() , <^ 1
<2()>2().

(4.8.2)

Fn[e] = lnpn()k=*,
,
. (4.2.6) (0 = ()>

V(Pn,Po) = ^-^)-

(4.8.3)

<2() ,
2

< = / ?Mt) = (1 - <*)) + **->{).

(4.8.4)

(4.8.2), ,
<2{)*(2{)2{).

(4.8.5)

, = 0
(4.8.1), () = (- ^ , ,

V(Pn,Pn) = V(Pn) = jLLA-H^iPn)).

(4.8.6)

159
() (0- ,
, . . {) =
= N(0, <2())' Fn[e] (.
. 2.2) . (4.2.5) . 2.1, 1- 2-

() = h(pn,Po) = ! - - ,

h(Pn,po) = ^ -

(4.8.3) (4.8.6),

V(pn,Po)

= <)-1(*,<2()),

(4.8.7)

() = <T2{Pn)A-\cW{Pn)).

(4.8.8)

V(pnipo) V(pn) 2()


<2(), , (4.8.5), <2() ^> 2().
.
- (*, 2(0)) = (1.6.34) ,
*, <2(). (4.8.7) (4.8.8)
2

= (T {po)A^

(4.8.9)

) = < 2 (\

(4-8.10)

V(PniPo)

V(Pn,Po) = ^p\v(pn).

(4.8.11)

" \)
2
2
(0)/ () ^> 1. V(pn,po) V(pn), . .
V(pn,Po)yt>V(Pn).
, () />()
V(pnipo)1 . .
() * *.
, -

160
() . () *.
, (4.8.1) #() = (0, s) (. . 4.1), . .
(2() = , , <2() = . (4.8.9)
V(pn,po) = ]"1, ()
* = *, . . () ,
. ,
3, . ,

(), . . (),
.
, () ()
, . , . . , , . ,
-
.
, , - . ,
, .
. - , ,
(1.6.39),
2

^ ( > ) = < (4(*)

(4.8.12)

( > ) = ()4(*),

(4.8.13)

* = (a*,d*).
<2() <2() , (4.8.7), (4.8.8)
V(Pn,po) = A^(c*)

(4.8.14)

V(Pn) = A;\c*).

(4.8.15)

161

, - V(pn,po) V(pn) {)

V(pn,Po) = V(pn).

(4.8.16)

( . () * = (a*, d*) .
- - (. (1.6.36), (1.6.41))
(*,<2()) = (') + <\)(*),

(4.8.17)

- * = (&*, d*) \(*) =


= A2(d*)} (*) = A$(d*)
2 2- (1.6.37) (1.6.38), - * = (*, *5 d*)
Ai(c*) = ^.5(*), (*) = (*)
3 3- (1.6.42), (1.6.43). (4.8.17) () = (
(^) = ( 0 (4.8.7), (4.8.8), - -

( )=

'

[~^)Mct)+An{ct)T

(488)

V(Pn) = [ ^ ^ ( c ' J + iuK)]"1.

(4.8.19)

- , , -
- . , - -. ,
V(pnipo) , V(pn)
V(pn,Po)>V{pn),
^> 1
(4.8.20)
, ,
(4.8.21)

162
. (4.8.18), (4.8.19)
Ai(c<*), {*) (1.6.42), (1.6.43) (1.6.37), (1.6.38), ,
9

2()>>1

(4.8.21) . ,
*
* d*.
F[e]
()
*. 3.4, 3.5.

4.9.
, , ,
, . , , . .
{) = ()> .
() ()
. ,
V.

V{p*,po) < V(p*)

txV{p^po) < tr VXp,,),

(4.9.1)

*() , F* [] = 1* () \^.
(4.9.1) , V(p+ypo) , , ()
.
,
Fn[e], F*[e]
,
(). , , , , , . , , ,

, .

163

, - .
robust, , , ,
.
.

- -, . . *, . -
* d* - , , d* ~
.
.
, ,
, , .

4.10.

, .
, ,
. trF(F,p*)

tTV(F.,pm) = tiVfa).
,
V(F1pt) F(F,p*), . .
V(F,p*\<V{F.,p*).
. -
. -
, -, - , . .
. ,
, , , .


. ,
, , ^
, ,
.
.

5.1,


F[e] FQ[e] = Inpo()U= >

F[e] F*[e] lnp*()| = .
(3.1.11), (3.1.12)
() = c(n-l) + ro(n)F'[e(z(n),c(n-l))]Vcf(x(n),c(n-l)),

(5.1.1)

" ) = nMiUt]}^40*'*2^

(5 2)

, (. (^.4.5), (2.4.6))

M{F"K]}=

/ ) * " ' = / **"1<*.


-

(5.1.3)

165

F'[] Fl[] = /

= / (<% = h(p.,Po),

(5.1.4)

ii(p*,po) 1- (4.2.5). ,
() = c(n-l) + r.(n)F;[e(z(n),c(n-l))]Vcf(x(n),c{n-l)),

(5.1.5)

( )=

-" ^ " 1 ( > 2 ( ) ) -

(5 6)

(5.1.6),
(4.2.6) () = *()>

Vfapo) = !^-\*{)),

(5.1.7)


tiV-1(p.,p0)>tiV-1(pt)>tIV-l(p,pt)

Vp(0,Po(Oe*>. (5-1.8)

, ,
, .

5.2,

(5.1.5), (5.1.6) , *() (5.1.6) , , *,
(-
, , 3.2.
*() (5.1.6) 1-
/i(p*,po) /(*).
l

f.(n) = --jA- (c*,<T (Po)),

(5.2.1)

166
(5.1.5), (5.1.6)

^ - ^ + .^^^^-,^--!)), (5.2.2)
, (5.2.1),
,() = -,

(5.2.3)

1 = 1-)-1(*,*2()).

(5.2.4)

.
(1.6.32)
GV + VGT = -5 1 M{F' 2 K]}A(c* ) <r 2 (po))BL

(5-2-5)

G=l-E-B^2J{c*).
F[e] = -* [] >
(1.6.31) (4.2.2), (4.2.5), (5.1.4),
V 2 J(c*) = Ji(p.,poM(c> 2 (po))>
M{F'2

= h(P*,Po).

(5.2.4),

V = V(p*,Po) , (5.2.5)

[! J ^

V(p.,po) = "^-

(5-2-8)

-*)-

(5.2.2) (5.2.4)

Vfa'Po) = ( ^rIf*)P(?

(5^2.9)

^~:^{*

2/(p*)/i(p*,Po)-/ 2 (p*)

v-4p.,Po)

>*)-1.)

( > 2

())

(5

.20)

167
l

, V~ {p*,po)
V-'iP^Po) > V-^p^po) > ,).
(5.2.11)
,
V-1(P*~Po)>V~1(P*,Po),

(5.2.12)

,
(5.5), (5.1.6) (5.2.2) (5.2,4) , . . .
(5.2.11)
V-1(p*,Po)>V-1(p.)

(5.2.13)

, (5.2.2) (5.2.4)
(4.3.7), . .
(5.2.2) (5.2.4)
.
(5.2.12) ,

[h(p*,Po)-~I(p*)]2>Q,

(5.2.14)

12.,) > 2h(p.,Po)I(pt)

- 1\.).

(5.2.15)

, (5.2.10) (5.2.12)
-^) < ^ * ' | ( > 2 ) - V-^po).

(5.2.16)

(5.2.13) , . , F"~1(p*,po) ( 0 = *()>


(5.2).

() -

V-HP^PX)

= flP*iPXlA(c*,<r\Px)):

(5.2.17)

^2(*,)

( (4.2.21), () = () () , 4.2,

2

) = [2Ji(p.,po) - . ) ~ h(p.tPo)]A(c;a (po))


2

+ I(pt)An(c*)(<T (po) - <r\p*)).

(5.2.18)

168
(0) (0) > 0 (4.2.27), ,
(0) = Xi(0) > 0.

(5.2.19)
1

V~~ (p*)po) (), . .


(5.2.13) .
_
* ()
(5.2.3), (5.2.4), (5.2.4) () *.
3.2. . *() (5.2.3), (5.2.4) (*2()) (1.6.26)
(,*) (1.7.15).

= [/(p.) J2 Vc/Hm),c*) Vj/(x(m)>C*)]~\

(5.2.20)

m=l

,
N

Vc/(*(n), = v(n) = x(n) - d*mv(n - m),


m = l

>^

*()
T

r*(n)=[/(p.)^V(m)t, (m)]" m=l

(1.7.17), (1.7.18)
t m = v(m), x /(*), () ()
1^()
\\ = 1
V*(
( 1)
U
I\(0) = 7 S ,

-1)()
~ ()4-1) ,
/-1(*) + ^ ( ) , ( - l)v(n)

(5.2.21a)

71,
N

v{n) = x{n) - Yi m{n - l)v(n - m),


m=l

(5 2 2
V

i>(m) = G, m = 0 , - l , . . . , l - i V .


() = c(n-l)+ft(n)F;[e(z(n),c(n-l)))v{n),
(0) = 0 ,

169
*() (5.2.21), (5.2.216).
-
. 5.1. -
(. 3.1)
(5.2.22)
(5.2.21).

, FQ[S] F{[e], 1() /(*).


dm = 0, m = 1,.. . ,iV, v(n) =.
(). , (5.2.21), (5.2.22)
() = ( - 1) + f.(n)F![e(z(n),c{n " 1))"),

( 5 2

2 3 )

(0) = 0 ,
<\

,(0)=7^,

.(-1)() ().(~1)
1-*) + {)*{-1)()

(5.2.24)

71,

- . 5.2.
-

170

, (3.2.12), (3.2.13):
() = ( - 1) + K.(n)F![e(z(n), - 1))],

(0) = 0,

= .()() =

4-1) ()^

^ ^

(5 2 2 6 )

*(), , ( 1) -
(5.2.24). -
. 5.3.

171

5.3.


.

Fo[e/s] F+[e/s] 1() /()
ID(PO) ID(P*)-
, (3.3.25) (3.3.28)

:

() = ( -' if + (\'\)>(~
() - ( 1) + 1*()*< [
8(-1)

? ' '
\ l(n-Tj'

(5.3.1)

()=.,

v(n) = {) - dm(n - l)v(n - m),


t?(m) = 0}

r.(n) = f - 1) -

2
S

*(0)= 7 ,

m=i
m = 0, - 1 , . . . , 1 - JV,

.(-1)() ().(-1)
(n-l)/-i(^)+^T(n)r,(n-l)t;(n)'

7l,

(5.3.2a)

(5.3,26)

(n) = e (n-l)- 7 i(n)[(n-l)-F;[5i5lj^

(5.3.3)
v
/

/ m

s(0) = so

*<"> .(/)-!)

"-4)

, (5.3.1) (5.3.4) (5.2.21), (5.2.22),


s(n 1) s = i.
(5.3.3), (5.3.4),
. -
. 5.4.

172

. 5.4

(5.3.5)
(5.3.1)

{) = (-1) + .{)1

(5.3.6)

*() (5.3.5)
I\,(n-l)v(n)s(ra-l)
s 2{n( 2

(5.3.7)

*() (5.3.7)
(5.3.2) (5.3.3), (5.3.4). -, (5.3.6), (5.3.7), (3.3.2) (3.3.4) . 5.5. -

.
, -

173

.
.

5.4.

3.4.
.
. ,
() = {[().-]},

(5.4.1)

() = ( - 1)+*{") - - !)]>

( ' ' )


5 4 2

F+[e) ] ,

, . . (. . 4.1), 7*( ) ~~
,

174
(5.4.2), (5.4.3)
() = (-1) + ~ :[() ~ ( - 1)],

(5.4.4)

, ]
.
(5.4.4)
V, . . 4.1.
V\.
F;[e] = signe>

= su

(5.4.5)

, , V\ (5.4.4)
:
{) = ( - 1) + ^

sign(y(n) - ( - 1)).

(5.4.6)

, 3.4. . () ( 1), ,
, 1 ,
. ,
(5.4.6),

*2-

= 6,

6=1,

(5.4.8)

, , Vi (5.4.4) :
() = { - 1) + i (() - ( ~ 1))

(5.4.9)

(5.4.9) . , ,

* ^ 7 < =?-

(510)

175
>
i Asigne 5

> ,

(4.5.23),
, , -:

(c(n-l) + i((n)-c(n-l)),
|y(n)-c(n-l)|<A,
() = I
I ( - 1) + sign(y(n) - ( - 1)), \() - ( - 1)| > .
(5.4.12)
6 = (), ,
. 5.1.
5.1

0,005

0,01

0,02

0,05

0,2

6()

1,03

1,06

1,12

1,27

1,49

2,04

-
, ()
( 1) ,
. . . -

- )
= --*
}
*
(/)

(5 4)

F;[]*=signe,

=-^-,

(5.4.14)

5 , V :
() = { - 1) + ^ ^

sign(y(n) ( - 1)).

(5.45)

176
(5.4.6) (5.4.15) 1 .

= { '

I1!;!*1

-is-,

(5.4.17)

{ signe, \e\ > / R ,


1-Qf
, , V$
:
() = ( - 1)

\() -(-

1)| < / R ,

( ) = _ + _ _ sign(t/(n) - ( - 1))

5 48

( '

| ( ) - ( - 1)1 > / R .

() , , ,
.

VQ.

+,

v>\\

-,

i/<-f,

(5.4.20)

, , Ve :

->- --- ^(,^":>-"')]^ <"21>

ymin(n) = min{y(l),..., y(n)},


() = {(1),..., ()}

177

, (5.3.1) (5.3.4), :
1

() = ( - 1) + T . H i ^ H ^ - ) ] ,

(5.4.23)

*("> = W -

(5 4 24)

''

s(n) = s(n 1)

- 7 l (n) (s(n - 1) - ^ ' [ ^ ( n - " ) " ^

(()

"

"

X))

)'

(54

'

25)

<"=.(/)--

(5A26)


Vk
1. TV.
() = ( - 1) + - ^ - ^ sign(y(n) - ( - 1)),

(5.4.27)

s{n) = e(n - 1) - i((n - 1) - |() ~ ( - 1)|).

(5.4.28)

2. 7V
() = ( - 1) + i (() - ( - 1)),

(5.4.29)

5 (

<-) = -')4(-')-%.1",7'"')- < "


3. "3:
c(n) = c(n-l) + -(i/(n)-c(n-l)) )

^^-')- )(^-.)- ( ' ( 1 -'"')

|() - ( ~ 1)1 < As(n - 1),

(5431)

178
6

() ( - 1) +
s(n) = s(n 1) i

7l

1}

sign(2/(n) - ( - 1)),

( n ) (s(n - 1) - A\y(n) - c(n - 1)|)


\y(n) - c(n - 1)1 > As(n ~ 1),

7i(n), (5.4.26), (5.4.11) (4.5.23) . . 5.1.


. V\.
, (0) > l/(2$i) > 0.
, (5.4.6).
, (0) > 1/2. . 5.6 , (5.4.6) \ () = 1/2 ( ),
(0) == 10/\/2 3,99 > 1/2
( ) (0) = 100/ 31,83 3> 1/2 ( ).
100 .
.

Vy ,
. (5.4.9).
Vi ( , ) , 0,25, . 5.7.

179
{(() *) 2 }, 100
, . ,
.


(0 = (1 - ) N(0, (?,) + N(0, <\), < <rN.
:
= 0,1; <TN = 1; < = 10 < = 1000.
(5.4.11) (5.4.12) - :
/
( - ^ +^ " ) - ^ " - 1 ) ) '
() = <
[ ( - 1) + sign(j/(n) - ( - 1)),

|()-(-1)|<1,
|() -

- 1)1 > 1,1.

. 5.8 {(() *) 2 },
<\ = 10 ( ) <ri = 1000
( 6). ( ).



(5.4.31), . 5.9 {(()
2
*) }, (\ = 10 ( ) <TI =
= 1000 ( ). ,
( ).

180

,
, ,
, , .
.

{(() *)2}, VQ (I = 0,5)


(5.4.21), . 5.10. Ve , ,
Ve -. .

5.5.


, (5.2.21), (5.2.22),
. , -
- VUy Vvi, VU2 -
Vv\. . .

181
- , >\ (4.1.3),
. ^ (3.5.16), (3.5.17), #()
(3.5.17) s = s\y si , \
(4.1.3). ,
.
V*i
(4.1.4), . . , . (3.5.12), (3.5.13) \, Vi- ,

.
-,
() = ti(n) + 2ti(n-l) + 3 t i ( n - 2 ) - t i ( n - 3 ) - 2 t i ( n - 4 ) + ((n), (5.5.1)
()) ()
.
{||() *|| 2 }, Vi (<2() < 1) , . . ,
. 5.11: (2() = 0,5) , (2() = 1) .
, V\ (
(0) > 1) , . . , . 5.12:
((0) = 20) , ((0) = 1) .
7*3) , :
() = 0,9N(0,1) + 0,1 N(0,100),
:
() = ( - 1) + () ( ( ) , ( - 1))) (),
e{z{n), ) = () - (), () = ( 0 (),..., 64()),
() = (|(),(~1),...,(-4)),

(5.5.2)

<() = \\ < <() a sign e \\ > . 2


{||() *|| }, , .
5.13 ( ). , ,
( ). ,
.

182

-, () = 0,3( 1) -f 0,4/( 2) 4- (^)-

183

V\\ - {{) : (0) > l/(2si), 2(0) > <\}>


4.7, (5.5.2), () = (ai(n), a2(n)),
() = ((-1),(-2)),()
, . 5.14 (. .
4.3, 2). (),

= -^

(5-5-3)
2

. 5.15 {||() *|| }, ( ). (),


. , (5.5.2) , .

184

185
4.7, (5.5.2)
((), . 5.14, V\\ -.
. 5.16, {||() *|| 2 }
- (5.5.1) ,
(5.5.3) ( ). ( ).

5.6.

FQ[S] Fl[e] 1() /(*).
Vi
. ,
.

,
.
.-.

6.1. -
,
1.2,
() = Ku(q)u(n) + Kt{q)t{n),

(6.1.1)

, ,


. , . , Q(q) .
(<?)> ~^~
, . - . ,

187
P^(q) , , - . , , - .
- . 1.3,

() = /() + [1 - K2{q)]y(n),

(6.1.3)

{9) = d

K2{q) = d

| #

(6.1.4)

2(0) = 1. -
Pt(q)=d*0+d*iq+...

+ d'NqN

(6.1.5)

.
( + ), (
L , . 6.1).
P({q) = do + diq + ... + dNqN

(6.1.6)

dm dm P^(q) (6.1.5),
.
, -

,
.
.
-
, , , , d^ ( = 0 , 1 , . . . , N).
? . , 6^, -

188
,
d^.
-
. .

6.2,

, - ,
{2()} = (,2)

-> min ,

(6.2.1)

1.3 -
. , K\(q)
(1.3.16)
{2{)} = !{2) - min

(6.2.2)

2{0) = 1.

(6.2.3)

- (1.3.18)

fK2(q)K((q)Kt() 62(1) & = 0.

(6.2.4)

, K^(q) (6.1.2). -
, 1.3, P^(q) ,
K^q) = /?K^"1(g) (1.3.20) . , P((q) L" , , N
Z/+. -
.
(6.2.5)

P((q) = P+(q)p-(q),

P+(q) = d*0+d+q + ... + d+_r q ~

(6.2.6)

189
( + ) ,
Pf(q) = l + d;q + ... + d;qr

(6.2.7)

( L"),
, , d~ > 1. , P{(l/q)

? (I) qN~r = do* 4N~T + d+q-'-1 + . + 4-r

(6-2-9)

Pf (I) qr=qr + ^ g ^ 1 + + d~

(6.2.10)

.
(6.2.5) (6.2.10),
K^(q)K^(l/q) :

MSb^^gfc ...
(6.2.4) (6.2.11)

Q(*)

QU)qN

KqJ

(6.2.12)
(6.2.12) , L+ (. . 6.1). , ,
(. (1.3.20)),

2(9)=$)=,

(6.2.13)

P(q) = P+(q)P ( i ) q' - <fo + d$q + ... + d^,

(6.2.14)

190

(6.2.15)

d0 = d;d-.
/?, 1.3,
2(0) = 1;

(6.2.16)


P=^=do

= d*od;,

(6.2.17)

(6.2.13)

= d0 .

(6.2.18)

.K^fa) (6.2.18) K{q) (1.3.25) -


, , - P^(q)
P(q) (6.2.14), ?3 ? = d^d" . , ,
1.3 - ,

() = tfifo)u(n) + [1 - f<2(q)]y(n).

(6.2.19)

) = do ^-, =

( 62 - 2 )

,
N

P(q) = do + dxq + .. . + dNq

(6.2.21)

.


P(q)y(n) = d0Pu(q)u(n)

+ [P(q) - d0Q(q)}y(n),

(6.2.22)

, ,
N

( ) = -^2 (-)+ ^2
m=l

m=0

(-) +

+ E i ! r ((-")-$(-")) (6-223)
m=l

191

(6.2.23) -
(1.3.31) -
. (6.2.19) (6.2.22), (1.3.29) (1.3.30), ,
(6.2.21), (1.3.25), P(q) P^(q) . , P(q) ^</)> , dm d^,
- P(q) P({q)- , dm
d^ (, P^(q) ), d^ ,
(, 2) ,
(,02) = ($) = {2()} = (d 0 0 ^) 2 .

(6.2.24)

? = C?Q ?~, d~ > 1 .

{$) = {<0)*.

(6.2.25)

,
J(c") = minminM{2(*(n),c)} = (d*od; <r(f.

(6.2.26)

= 0, d~ = 1 (1.3.42)
J{c*) = minminM{62(z(n),c)} = K ^ ) 2 .

(6.2.27)

d~ > 1, (6.2.26) (6.2.27) ,


, - .

P(q) = doQ+diq + ...+ dUN,
(6-2.28)
^ d^ , d^.
, , . , d^ aJ,
&
, .

192

6.3.

<*() = () () , . . = aj^,
= 6^ , djj = 1. (6.2.19)
() = ?{)() + [1 - ()](),

(6.3.1)

,,
(,(n)

= K2(q)y(n) - ?()().

(6.3.2)

(6.3.2) () (6.1.1),

ed(n) = [^3() Jfe(g) - ^ ( 9 ) ] t i ( h ) + j(e)tf(ffK(n)..

(6.3.3)

<*() ()
(1.3.12). (6.3.3)
(6.3.4)

ed(n) = K2(q)Kt(q)t(n).

(6.3.4) K$(q) (6.2.18) (6.1.2),


Q(q) , dj = 1,

ea(n) = 4 . an) = d; ^ (().

(6.3.5)

- P(q) = d-^; (6.3.5)


ed(n) = ^(n),

(6.3.6)

. . <*() .
- , (6.3.5) P^{q)
(6.2.5) P(q) (6.2.14), P^{q)
ed{n) = d-

*\ti

^().

P^(q) (6.2.7) P^(l/q)qr


q +d1q

+ ... + dr

(6.3.7)
(6.2.10),

193
-
(6.3.6) (6.3.7), ,
6d{n) (),
(6.3.6), () .
, (6.3.7), (6.3.8),

Ka(q) = d;
P

|g)

(6.3.9)

f(?k

. (6.3.9)
q = e~ JW ,

(6 0)

* * - > = <: ^ J : ) . . ^ -

, ,
->) = dl _ i f j _ !

;-- +d

r e

(6.3.11)

,
| - ( ~ ^ ) | 2 = \Pf(ejuJ)e~jU}r\2.

(6.3.12)

\)? = (d;)2,

(6.3.13)

. . .
, . , Kd(q)
(6.3.9) ( ) ()
<*() = () . C(n)> B
(), , .

<\ = )} = .f\Kd(e-j")\2ldu,

= (d;<rtf.

(6.3.14)

,
(d^) 2 > 1. , , 7. 3.

194
( ()), , , ()) {d~)2 > 1 , - . -
(*,<2(0())> , (*, *, d, ) 2 2 ( 0 ( 0 ) ' , ()
{0 () () () , Kd{q) (6.3.9). (6.3.7). Kd(q) (6.3.9) q = ~~
, qm(n) = ( ), <*() = (^)

ed(n) = () = *() + J2 ^ - ) '

(6-5)

=1

/? , m -> . ()

, . . ()-
, (^), ()

( * ) = / **(#.

(6-6)

. 6.1.

d + ^ /?. , (6.3.15)

(*)=(*) * ,

(6-3.17)

m=l

, ,
() = ^ - / e-MX{t)dt.

(6.3.18)

195
6.1
() o(t)

Xo(t)

1
OO

Vbrtr
s

1 _Jii
27 '

oo

= / pi{n)p2(Z- n)dn

<T2t

-s\t\

1
l + s2t2

xo(0 = xiWx 2 (0

oo

xo(0 = x(W

. 6.1 (6.3.17), (6.3.18), ( 0


(*)> , () (0- () (6.3.18)
. , ,
, (0 , L(0, s), Se(0, s), Lo(0, 5), () , .
(6.3.16), (6.3.17).
, ,
, ()
(6.3.14).
()>

196

() , .
. ,
N(0, <2) (0, s).
, (
(. . 6.1), .
, , , ()
, , () .

(^) = - _ " 2 ^ ,

(6.3.19)

= - '^ .

(6.3.20)

V 2 dr a

(6.3.14).

= - .

=0
2

> = 1-

(6.3.22)

(1|) +
4

=0

'


, ()>
: () G V> ()?
.
(0 Vi,
, , () ,
()|_ > l/(2si) > 0 ()1= > 1/(2^) > 0,
sd = 8id;.
(0 7*2) (6.3.14) () -

197
, , <2() < <\
* < ( d r - ^ ) 2 .
() Ve,
() ,
/_/ () df = 1 / _ ^ - {) dC = 1
, () , ()
, , />() = (1 )*() + {)
() = (l-<i)PN(C)+a<*^(C) /) = N(0, (d;:<rN)2)
, q(Q , a a ^ G (0,1) .
. .

6.4.


, () , . () . , , ()> ,
. , , . ,
.
- , , ()
(0- ,
,
Fo[e(z(n),c)} = - l n p o ( C ) | c = , ( , ( B ) i C ) .

(6-4)

()
(
).
(6.3.16), .
. , , , -

198

, .

F.[e(z,c)] = - ) | = ( ) , ) ,

(6-4.2)

*()
, .
(6.3.9), V
*()> ,
F+[e] (6.4.2).
, -
1(). , () ()
, s d~ s, , .
:
6 4 3

= {(0 : (0)|= > 277rff > }-

<--)

= {(): <$ = / 2 <* < <)2}.


v

(6.4.4)

:
V'3={po(0-

Po(C) = (l-a d )pN(C)+ad?(C)},

(6-4.5)

PN(C) ^ N(0, (d~<TN) ), q{C) , ^ G (0,1) .


:

P't = {po(C)-- f

Po(C)dC=l}.

(6.4.6)

-ldr

,
- - (. 3.5), s <\ d~ s d~ <\
<*.

199
, Vf3 <*:
, (. 5.4), .
- Vf2, - Vf2i, , , , ,
.

.

6.5.

,
- .

, . :
() = ( - 1) + T(n)F;[e(z(n),c(n - l))]v(n),

&

(0) = ,
N

v(n) = x(n)-

Y^dm{n-

l)i>(n-m),

m=l

v(m) = 0,
f
1 (n) 1 (n 1)

f(0) = 7 ,

(..2&)

m = 0, - 1 , . . . , -N + 1,
Y(n-l)v(n)vT(n)f(n-l)

,
I-,) + t ; r ( n - l)v{n)

(6.5.26)

71,

c(n) = c(n - 1) + K(n)Fl[e(z(n),c{n - 1))],


c(0) = c 0 ,

(6.5.3)

= fWv,/(.W,c(-1 = ,,f ( ";'" ( "i f "^ ( .


l

I- (p*)+v (n)T(n-

l)v(n)
(6.5.4)

200

f (n) , , ( - 1) (6.5.26), a v(n) (6.5.2).


- .

, -],
/(*)

-;
,
dm(n)
d* d d*.
, , P^(q) = 1 + d* g, |d{| > 1,
, di(n) 1/dJ (. . 6.2).
( I V '

* W

-
2
^() = 1+ d\q + d\ q , d{ dj
(di,d 2 ) ABC (. 6.3), di(n)
d2(n) ,
ABC. di(n) d2(n)

201

d * ?2 , . 6.3. g m a x

- *' J(d*A2 d*
9l

--T~]j\j) -d>-

-
, , . . , (6.5.1),
(6.5.2) (6.5.3), (6.5.4) Fl[e] 1(+) Fl [] /(*); .

6.6.

-
,
() = 0,9t/(n - 1) + () + 2( - 1) + 0,lti(n - 2) +
+ t(n) + ?(n " 1) + 12(n - 2), (6.6.1)
, .

:
() = ( - 1) + T(n)v(n)e(z(n),c(n - 1)),

(0) = ,

() = ( - 1) - ^ - 1 " " ) ( - 1 )
l + vT(n)T(n-l)v{n)

(0} = 7^,

(6.6.3)

71,

v(n) = -di(n-l)v(n-l)-d2(n-l)y(n-2)+x(n),
v(0) = 0,

(-1) = 0,

(6.6.4)

(*(), ( - 1)) = () - () - ( - 1) (),

202

*(n) = (y(n-l),ti(n),ti(n-l),ti(n-2),(n-l),e(n-2)),
() = (ai(n),60(n).,bi(f>),b2(n),di(n),d2(n)).

(6.6.1) (6.6.2), (6.6.3) N(0,1) . 6.4.


. 6.4 100 M{||a(n) a*|| 2 + ||b(n) *||2},
M{||d(n) d*|| 2 }
.
. 6.4 , {||() *|| 2 + \\() *\\2}
, . . ai(n), 6(), ) )
aj = 0,9, 6j$ = 1, b* = 2, = 0,1.
di(n) ?2()
dj = 7 rfj = 12, M{||d(n) cf*||2}
. d\{n) 7/12,
?2(^) 1/12, lim M{||d(n) d*||2} = (7 ~ ) -f
+ (12 - i )

= 183,2.


(6.6.1) L(0,1)
:
() = ((0) = ,

l) + f(n)v(n) signe(z(n),c(n- 1)),

(6.6.6)

203

'

f(0)=7^,

'

l + vT{n)T(n-l)v{n)

(6.6.7)

71.

(6.6.6), (6.6.7) (6.6.4), (6.6.5).


. 6.5 (6.6.1)
(6.6.6), (6.6.7).
100 ,
d. ,
. 6.4 6.5 . , (6.6.1) (6.6.2) () <^ = 1, (6.6.6),
(6.6.7) , <^ = 1 (2() = 100
.
*, *, d, d*.

6.7.
- .
. -
^, 6J^,
d^, aj^,
*. ^,
?^, ^ , ,
, . , ,
d^, .
, . ,

. , - , .
,
, -

204

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

-
, . . ,
.
,
.


, , , ,
, ,
, , .
.

7.

, . , , , V,
()- , V

()>
, .

.
(0) (0).
, . ,

206
, ,
(),
, .
.
, . . ,
.
*, , . .

.

7.2.


*. ,
, *.
.
*
v = c*+wy

(7.2.1)

w , . () w. ,
, ()>
,

*. (), , . . ,
( ). ,
, , ,
,
. .,
(7.2.1) , *.

207

, v (7.2.1)
= (1> - ) = (to).

(7.2.2)

* = (cj, c j , . . . ,cjy-c) JVC.


v tt>. , . ,
() =p<t{wi9W2,...,wNe)

= ^^^'

(7.2.3)

,,
1() == 1(;1, w2,.. , ) = ^

(^))

(7-2.4)

/=1

(^) .
, ,
,
* , - UNc 2/^, v = 1,..., NCi
.
,
* , (. 7.1):

= J

2*

= C..fNc>

(7.2.5)

*l = l%>

* = l, :..,#*

(7.2.6)


V2 2() < o%v.

208
, * ^,

(7.2.7)
(. 7.2) ,
(7.2.8)

(. . 2.1)
/( = * ' = 9 2 .

v=l,...,Nc,

(7.2.9)

-)=(^-2)^,

u = l,...,Ne.

(7.2.10)

(7.2.5),
(7.2.7) . ,
, , , , , , -
.
, 7^2? . . (7.2.5), Ve, . .
- (7.2.7).

7.3.

(2.1.1)

Jn(e) = iF[eWm),c)].
m=l

(7.3.1)

209

(7.3.2)

F[s] = F0[e] = -\np0(Z)\i=e


m=l

,
() ,
*, (). (7.3.2), ,
F*[v - ] = -\np*(w)\w=v_c

(7.3.4)

e(z(n)yc)
Fo[e] *(), = 1,2,...,
v
, *. , ,

V = .

.

:

$>( ) = 1
=1

F0[e(z(m),c)] + ^ [ - ].

(7.3.5)

7(JJ)(c) .(7.3.5) Jn{c) (7.3.3) , = 1


a
> 0 [(*(1),)], (7.3.3), a F0[e{z(l),c)] + F<p[c - ], . .
^(1),
*. (7.3.3),
(7.3.5)
^) = /

+ 1[-].

(7.3.6)


VJ(,(c) = V J + i V ^ [ c a - ].

(7.3.7)

(), J(n)(c),
V ^ ^ c V ) ) = VJ n o (c o (n))'+-V2^[c e -c o (fi)] = 0>

=1,2,... ,
(7.3.8)
-* /^() Jn(c), a
VJ^c) V Jn(c) , J(c) VJ(c) . , -
() -> * .

7.

, (7.3.8), ,
, .


.

() = ( - 1) - [ ^ ] - 1 VJA(c(n - 1)),

{71)

(0) = 0 = .
V2 J(}(c)
. = ( 1)
(7.4.1)
() = ( - 1) - [V 2 JU(c(n - I))]" 1 VJ{%(c(n - 1)),

(0) = .
= = (7.4.1)
) = - 1) - [V'J&fc-)]- 1 V % ( c ( n - 1)),

(0) = .
, = * (7.4.1)

) = - 1) - [V2 J&Cc')]-1 V^)(c(" " 1)).


(0) = .

(7 4 4)

211
2

. (7.4.4) V J ( ) (c*)
V2J(n)(c*) = M{V*Fo[e(z(m),c')}} + M{V%[ - *]}.

(7.4.5)



() = ( - 1) - [ V V ^ c * ) ] - 1 VJ(%(c(n - 1)),

(0) = \
.

, (7.4.6):
VJ* (( - 1)) = ~

FoHz(m),c(n

- l))]v(m) +

+ -VcF+[ce-c(n-l)],

(7.4.7a)

v(n) = V e /(e(n),c(n - 1)) = x(n) - J d f f l ( n - l)v(n - m),


m = 1

v(m) = 0,

(7.4.76)

m = 0, 1,..., 1 N.


VJ*(c(n - 1)) =

= V^-Dfcfn-lW-I^^W-cfn-l))]^). (7.4.8)
, ( 1) (7.3.8), . .
V $ ~ i ) ( c ( n - 1)) 0.

(7.4.9)

(7.4.8)
VJ*(c(n - 1)) -1^[(),(-.1)]().

(7.4.10)

VJ ( ^(c(n 1)),
(7.4.6). ,
z(n) - .

212
2

V J ( ^(c*),
2
(7.4.6). V J ( ^(c*)
(7.4.5), ,
V 2 J n) (c*) = / ( ) ( > 2 ) + ^{ 2 [>.

(7.4.11)

(7.3.4), (7.2.1)
M{V c 2 i^M> = -{ 2 1 (1>-)| = .} =

- \^

;-7()>

(7-412)

/() .
,
VV;(c) = 7 ( ( > 2 ) + ^().

(7.4.13)

, (7.2.3) , (7.4.12)
/(1)

/ ()=
.

...

/( 2 )

...
..

(7-4.14)

. . . /() .

/(

* - ) = { ( ^ ) ! } ' "=1 "-:

(745)

, .
(7.4.13) (*, 2(0))
(()) | 2

v(m)vT(m),

(7.4.16)

v(n) (7.4.76),
:
V2J(n)(c*) /().(*(")) + ^ ( ) -

(7.4.17)

213
(7.4.10) (7.4.17)
(7.4.6),
() = (-

1) + ()F&[e(z(n), ( - 1))] (n),

(0) = ",

() = [l(p0) v(m)vr(m) + /()]~\

(7.4.19)

-1

() (7.4.19)
(1.7.17), (1.7.18) , , d(n 1) (. 1.7),

fo(n) = f( - 1) - roCn-lHn^fyn-l)
/-1() + ()(-1)()
(0),
(3.2.3), (3.2.4)
, 7 ^ 1 , .
(7.4.19), 0(0)
(0) = 7 ( ).

(7.4.21)

, (7.4.18) (7.4.21), (7.4.76).


(7.4.18), (7.4.19)
:

() = ( - 1) + KQ{n)Ffe{z{n),c{n - 1))],

(0) = ,
0() =

fo(n-lHn)/-i(Po)
/-1()+(-1)()

( 7

4 2 3 )

v(n) (7.4.76).

(7.4.76), (7.4.18), (7.4.20), (7.4.21) (7.4.22), (7.4.23), (7.4.20), (7.4.76),
(7.4.21)
(3.2.3), (3.2.4) (3.2.5), (3.2.7), (3.2.4), , .

214
(0) (0) ,
: (0) = > , (0) = /^().
, ,
. - . 1.16 (. 3.2)
. 3.1 .
. (3.3.25) (3.3.27)
,

, :
(0) = ,

() = / 1 ( ),

(0) = sa.

(7.4.24)

- - . 3.12 (7.4.24).

7.5.



(0)
(0) , .
(5.2.21), (5.2.22),
:
() = ( - 1) + T,(n)F:[e(z(n),c(n - !))](),
(0) = \

(0) = / 1 ( ) >

( ? g

1}

215
:

{) = ( - 1) + .()F;[e(z(n),c(n

- 1))],

(0)=,

(7.5.3)

(n) =

t(n-l)v(n)I-HP*)
I-4p,) + v-r(n)r,(n-l)v(n)'

(7.5.4)

*() , , *( 1) (7.5.2), v(n) (7.4.76).



.(0) = / 1 ( )-

(7.5.5)

,
,
(7.2.3), (7.2.5). /(^) (7.2.9),

(7.5.6)

, , (7.5.5)

(7.5.7)

,
, Nc . (7.2.3), (7.2.7). 1{<$) (7.2.10),

216

() = {( - 1) + f,(n)F,'[e(z(n),c(n - l))}v(n)},
(0) = \

(7.5.8)

() -
(7.5.2), , ,
() = {( - 1) + K,(n)F:[e(z(n),c(n - 1))]},
(0) = ',

(7.5.9)

+() - (7.5.4), (7.5.2).


{} . ,
7{} = (TT^Ci}, 72{2}, . . . , KNc{cNc})>

(7.5.10)

cj}+fc, ck>4 + lHy

Ck,
\ck-cah\<lk,
(7.5.11)
a
a
c k~h,
ck<c k + lk)
a c, lk ; : (0) = (0) = 11()-
(7.2.9)
(7.2.10) , ,
(7.5.12)

(7.5.13)

217
- (7.5.8), (7.5.2)
(7.5.9), (7.5.4), (7.5.2) . 7.3 . 7.4 .

(> = 4 * . - 1) + * * > [ ' ' . ) - ' " ] }


(0) = <\

.()=

Un-Dv(n).(n-l)I-4p.)
52(-1)/-1(.)+()*(-1)()

(7.5.14,

218
() , , *( - 1) (7.5.2), & v(n)
(7.4.76);

[.( - 1) - F [^:\%

1))

] ), ( - 1))]},

*() =

<>

5 ( ~ 1)

* = ^ )

(7

-57)

{} (7.5.10), (7.5.11),
7Ti{}

sa + ,
s,

s>sa+x,
|5-ee|<x,

sa - ,

s <sa + .

(7.5.18)

219
, , .
- . 7.5.

7.6.
, , ,
.
,
. , (. . , ^)) ? ,
.

= -1,(|?= = + ^<

(7.6.1)

F;[S) = ^ .

(7.6.2)

, (. 1.3)

(),( - 1)) = () - ( - 1)()

(7.6.3)

Vcf(x(n),c(n-l)) = -x(n),
(7.5.1), (7.5.2)
:

() = ( - 1) + .() () (() - ( - 1) ()),


(7.6.4)

(0) = ',

.() = - 1) - .(-1^,(-1)
1 + *.(-1)()

220
, (7.4.14) (7.2.9) #*() = 0
. ( 0 ) = < 1 - 2 ^ 1 ()

(- 6 )

(7.6.7)

.
(7.6.4) (7.6.6) .
,
, . .
,


^()( )>

V(n) = (() - ') (() - *) }.

(7.6.8)

, ,
,() = ()-*,

(7.6.9)


V(n) = M{V(nW(n)}

(7.6.10)

(7.6.4), (7.6.5).
(7.6.4), (7.6.9),
,{) = V(n - 1) - *{){) ( ) + ()7( - 1)),

(7.6.11)

ri(n) = V &(n)*(n)* T (n)]t|(n- 1) + *()(().

(7.6.12)

221

:
(")=

[E-H,{v)x{v)xT{v)}H.{m)x{m)Z{m) +

m = l um-\-l

+ Y[[E-H*{m)x{m)xT(rn)]fl{0).

(7.6.13)

m=l

+() (7.6.5).

.() = [J2 x(m)x T H + - 1 (0)]" 1 ,

(7.6.14)

#*(0), (7.6.6),
(). (7.6.14) ,

()() + ^(0)

(7.6.15)

" 1 ^ ) - - -1) = ()().

(7.6.16)

;\) =
m=l

,,

, #*(),
+{);1{-\)=-+{){){).

(7.6.17)

= v (j/ = m + l , m + 2 , . . . , n )
,

,(1), (1) =

[E-H.{v)x(v)x (v)].

(7.6.18)

)() (7.6.13)

() = .() J2 x(m)t(m) + *()-1(0)(0).

(7.6.19)

m=l

- .
() = (w(n),ii(n 1),.. .,( N))

222

(). (7.6.10).
(7.6.10) ]() (7.6.19),

V(n) = { [JT ^ ( ) ( ) ^ ) ] , ( ) } +
m=li/=l

+ ^-^)^)^^-1^)!!^)}.

(7.6.20)

(7.6.15) () (), V(n)


V(n) = \ {*() [~1() - -\0)]}

+ {,()7 (0)^(0) - 1 (0),()},

(7.6.21)

, ,
()=(|{4)} + { , ( ) 0 ) 0 ) 7 0 ) - ^ ^ | ] , ( ) } .
(7.6.22)
V(n) .
1^(0) = {((0) *) ((0) *) }, , *(0), .
* (0) ,
(7.6.22) . :

" 1 (0) = 0 ,

. . (0) = -,

(7.6.23)

. . (0) = <-2(0).

(7.6.24)


^)^^2,

V(0)
(7.4.14), (7.4.15), . .
0) = /1()-

(7-6.25)

, (7.6.24)
.(0) = - 2 /- 1 ( ).

(7.6.26)

.
*() (7.6.23) (7.6.14) (7.6.22)

V^n) = <|{,()} = <rf MJ^HrnlxV)]-- 1 }m=l

(7.6.27)

223

, #(()) (7.6.26), (7.6.22)


(7.6.14)

^ = ^{,()} = |{[^ ()+^/()]" }=1

(7.6.28)

(7.6.28) (7.6.27), ,
Vi(n) > Vn(n).

(7.6.29)

,
.
- -
. () ()
< 1.
. , (7.6.19) ,

H^{n)ri(n) = ) + ] * ( >

(7-6-30)

=1


M{H-l(n)r,(n)VT(n)H-1(n)}

= ( 7 | { 1 } + 1 (0)[^(0)- 1 (0) -&\\.

(7.6.31)

(7.6.23) (7.6.24)
,
1

: (),(), ():\)} =
1

= 4 { - } = { ()( < | ()) ()}. (7.6.32)


T

(7.6.32) , rj(n)r) (n) <%+{) (


-) = 1,2,..., ,
- -
, . . .
, , (0) = (0) =
1
== / (), ,

224
. .
, , #*() ^ 2 / 1 ( ) ,
.

lim nViin) = lim nVn{n) = V,

(7.6.33)

n-

V = F(p*,po) ( . 4.2.4)). , . ,
,
.

7.7,
.

& = 0.
(*, <2{)), ,

,(*()) = ^>* ().

(")

m=l

, ,
(~), . .
1

; )-*

min

Vn.

(7.7.2)

u(n-l)

(())
,

(7.7.1) #*(n) (7.6.15), (7.6.26) -

(()) = 1 [ - 4 ( ) ] -

7 7 3

--)

, (7.7.2) :
(+())->

min
u(n-l)

Vn.

(7.7.4)

225
, #*()
V(n), . . ,
. ( 1),
(7.7.4).
T(#*(n)) = dettf*(n),

(7.7.5)

D.
, . . . ,
det )-> min

Vn.

(7.7.6)

ti(n-l)

, ( 1)
, ,
|(-1)|<1.

(7.7.7)

+() +( 1). (7.6.5), :

*{"1*!{)

.()=\-.{-1)

. J f t ( n - l ) . (7-7.8)

, . .

detHJn) = det(E-HJn-l)

\ dettf.(n-l).
(7.7.9)

h, x
T

det{E-hx ) = l-x h

(7.7.10)


h = H,(n-l)

^
,
1 + -1)()

(7.7.11)

226
(7.7.9)

det .() = U -

*>Wn-l)x(n) )

det(n

- 1), (7.7.12)

, ,
det HJn) =

det ,( - 1).

(7.7.13)

, det H+(n)
(7.7.6) -
()+( 1)(), . .
()*(-1)()-> max

Vn.

(7.7.14)

ti(n-l)

, -

() = (-( - 1),..., -( - N), ( - 1),..., ( -^N)) }

(7.7,15)

( 1),
(7.7.14)

{)*{ - 1){) = ^ - 1) ( - 1) +
+ 2 2 ( - l)x ( _ ) (n)u(n - 1) + xJ^Hain

- l)* ( _,(n),

(7.7.16)


*.(->() = (-(" -!)-, -( - iV), ( - 2),..., u(n - N)), (7.7.17)
# 1 ( n - l ) = /ijV+i,JV+i(n-l),
2{ - 1) = (/I,JV+I(" - 1), , hNtN+1(n

(7.7.18)

- 1), /JV+2,JV+I(" - 1),

...,W+i("-l)).

(7-7.19)

hU)^{n 1) (i/,/i)-u +( 1), a (2N 1) x (2N 1) ( 1) (iV -f 1)-


(N - 1)- i/*(n 1):

227
3 ( - 1) =

(7.7.20)
(7.7.16) (7.7.7) , . ( 1) = 1 ,
( 1) = sign{l?2(n 1)(_)()}. ,
(7.7.16)
{ -l) = u(n - 1) = sign{H 2 (n - 1)8(.)()}.

(7.7.21)

(7.6.4) (7.6.6)
(7.7.21). ,

() = ( - 1) + .()() (() - ( - 1) ()),

(0) = ",
1 + ().(-1)()

(7.7.23)

,(0) = *\ /^),

*() = (-( - 1),..., -t/(7i - N), ( - 1),..., ( - N))

(7.7.24)

2JV,
( -l)=

sign{H2(n

- 1) ( _)()},

(7.7.25)

* w H = (~( -!)>-, ~( ~ , V - 2), .... (n - N)) (7.7.26)


2N 1. -
-

228

. 7.6. .


.
() = ( - 1) + f.(n)FMz{n),c{n

- l))]v(n),

(7 7

(0)= ,

N
d

v{n) = x(n) - ^2 ( - M

- )'

(7.7.28)

.= 1

v(m)=0,

m=

0,-\,...,l-N,
T

f.(n-lHn)t> (n)f.(n-l)

*[)

'
1

*(0) = / ( )-

I-Hp*) + vT(n)Un-l)v(nY

(7.7.286)

229

() = (-( - 1),..., -( - N), ( - 1),..., (n - N),


y(n-l)-y(n-l),...,

( -N)-

( - N)),

(7.7.29)

3JV,
( - 1) = sign{f J(n - l)(-)(n)}.

(7.7.30)

(_)() (7.7.29) ( 1), 2( 1) (i\T + 1)- - .


* ( 1), (N + 1)- . - . 7.7.

,
, .
, . , , .

230

7.8.


3.4 5.4.
. (. (3.4.1), (3.4.4))

(7.8.1)

(}= * + t{n),
e(z(n), ) = () - () = () - .

(7.8.2)

(7.4.18) (7.4.19) /(, ) =


, , Vc/(x, ) = 1,
() = ( - 1) + () F^[y(n) - ( - 1)],

(7.8.3)

()
() = [ / + 1( 1 )]- 1 .

(7.8.4)

() (7.8.4) (7.8.3),
:
() = (

(0) = ,

~ 1]

[{)

)1+1

- { -

1)]

'

(7.8.5)

(3.4.6)

/().
, (7.5.1) (7,5.2) Vc/(x,c) = 1

<"> = '<" - "

i w + 'tp)

'

1)L

(0) = .
(7.8.5) (7.8.6), (7.2.9), 1{$\) = ^.
(7.2.3),
(7.2.7), (7.5.8), (7.5.2)

() = ,{, - 1) + ,

M n

I M

IMi) - ( - .))},

(0) = ',
2

, (7.2.10), 1{) - ( - 2)<1 .

(7 8

231
.

, . (7.8.6) Fl[s] = ^2
/() == ^*2,
() - ( - 1) +

^/

- ( - 1)),

( ? 8

8 )

(0) = .
^ = , ,
V2 (5.4.9). , (7.8.8) ()
(0)
-^/^.

V\:

()

( - 1) +

f/o3

sign (() - ( - 1)),

( ? 8

9 )

(0) = .
(7.8.8), (7.8.9)
, 3.4, . 7.8 7.9
( ). 3.4
( ). , ,
, , .
, , ,
(0) (0).
, 3.5 - (3.5.12), (3.5.13) (0) (0) () ,
. . 7.10 7.11 {||() *|| 2 }
- - . ,
.

7.9.
, . . ,
. -

232

. .
, , . .

.

.
...
.

8.1.

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

. -

234
, .

8.2,

{) = ( - 1) + ()^[(), ( - l))]v{n),

(8.2.1)

JV

v(n) = () - ] dm(n - l)v(n - m).

(8.2.16)

m=l

(3.1.12)

{)=1-

() = -.
(8.2.2)


() = ( - 1) + ^[((),(

- ))-

(8-2.3)

(1.6.20),
Vc(po),

GVc(p0) + Vc(po)GT = -21()(*,(2())

(8.2.4)

, (1.6.21),

G= I s _ 6 V V ( c ' ) = i-6/(poM(c> 2 (po)).

(8.2.5)

6
2

||-1(> )||

(-

1{)

||4~1(>|1, <2())|| ~1(*, 2(0)),

235
( ^ *) 6 (8.2.6) (8.2.4),

GVc(p0) +Vc(Po)GT =

(> 2 ( )),

(8.2.7)

G = XmniA-^Aic*,*2^)) - \E.

(8.2.8)

(8.2.7), (8.2.8),
, ,
Vc(Po)=

Am

a
4

/(^)"1)(2^

"1)-

( 8 -' 2 - 9 )

, . . :
\\Vc(Po)\\ = Xmax(Vc)

= A m 4 a ; ( ( ^ ) " 1 ) A m a x (2 + G - 1 ) ,

\WO(PO)\\

=Am;;^1) (2+-)4i(po)

(8-21)

A m in(G)y

A m a x (A~ )A m i n (^4) = 1, (8.2.8)


Amin(Cr) Amax(v4 ) A m i n (A) = .
, (8.2.10)
\\Vc(po)\\ = A m a x (K c ) =

^)"

1 )

(8-2.11)

||;()||
(8.2.3) (8.2.2),
(8.2.6). (8.2.1) 0() =
|
"1 (*, <2(0)).
, ,
(8-2.12)

V(Po) = VM(p0) = -^A-^cWipo))


\\VM(Po)\\ = A max (V M ) =

^ "

1 )

(8.2.13)

236
(8.2.13) (8.2.11), ,
() = = \\Vu(po)\\ = ( ).

(8.2.14)

, , (8.2.1) , , (8.2.3), (8.2.6)


, . ,
. ,

() = ( - 1) + ^f^P

F>[e(z(n),c(n - l))]v{n)

(8.2.15)


, , .
, , (8.2.6)
1

^min\-A

I(Po)

'

(8.2.11) (8.2.14)

(V) -

"J ( ^ ~ ) -
(Po)

(V \

. . .
2
1
(*,< (0)) (()) (7.7.1) ^^ ),
.

() = ( - 1) + A m w a *[pjp F;[e(z(n),c(n - l))]v(n).

(8.2.16)

. 8.1.

8.3.


() = ( - 1) + 7()F(>[e{z{n)} ( - 1))](),

(8.3.1)

237

7(ft) > 0 , v(n) (8.2.16).


(8.2.3), , (8.3.1)

() =

(8.3.2)

, (8.2.6) ||()||,
.
, (8.3.1), () (8.3.1) ,

c(n) = ^ E c W -

(8-3-3)

, , :
{) = { - 1) + i ({) - { - 1)).

(8.3.4)

7( ) , (8.3.2), (8.2.6), (8.3.3)


(8.3.4) ,
.

238
(8.3.1), (8.3.4)

( ) = --,

0<<1,

>0.

(8.3.5)


(8.3.1), (1.6.6)
' V= lim nVn=
n

lim n M ( ( c ( n ) - c * ) ( c ( n ) - c f }

(8.3.6)

n>oo

, , , Vn
7( )- (), (8.3.4), , . .
V = lim nVn = lim nM{(c(n) - *) (() - ) }
fOO

(8.3.7)

flOO

(2.3.23):
(8.3.8)

=-~--\\\)).
)

.
(8.3.1), (8.3.5)
V(n) = nVn = n- M{(S(n)

rfT(n)},

(8.3.9)

5{n) = c{n)-c\

(8.3.10)

() (8.3.1) (8.3.10) ,
1.6, ,
(1.6.12):
6() = (- 7 () Vc2F0[^(n)]) S(n - 1) - 7 (n)i/(n),

(8.3.11)

() (1.6.10), . .
() = VcFoK(n)].

(8.3.12)

/2
rf{n) = na^S{n).

(8.3.13)

(8.3.5) ,

()
Vn 1/

1 + (-),
Vn/

239
(8.3.11), (8.3.12)

(n) = (-

Av c F 0 [^n)])r,(n- 1) - -*().

(8.3.14)

,
(8.3.5) 1/ = (7()). (8.3.9), (8.3.13) ,
V(n) = M{(ri(n)r,T(n)},

(8.3.15)

, 1.6, (8.3.14), (8.3.15) (1.6.17) :


V(n) = V(n - 1) - bn-a [V 2 J(c*) V(n - 1)"+ V{n - 1) V2J(c*) - bR],
(8.3.16)
, , R (1.6.18)
:
R = 1()(\<2()) = V 2 J(c*).

(8.3.17)

(1.6.31).
(8.3.16) ,
V2J{c*) V + V V2J{c*) = bR,
(8.3.17)

[V2J(c*)]" V + V [ V2J V ) ] ~l = b [ W V ) ] ~X

(8-3.18)

V J(c*) > 0, , . .
V(n)-+V

->,

(8.3.19)

V , (8.3.18).
(8.3.4)
S(n) = c{n)-c\

(8.3.20)


6{) = (1 - -) 6( - 1) + - 6{).
\
/


V(n) = nM{{S{n) ST{n)}

(8.3.21)

(8.3.22)

240
(8.3.20), (8.3.21) (8.3.9)
V(n) = (l--)
V{n - 1) + - (1 - -) [W{n) + WT{n)\ + n-< a+1 V(n),
\
n/
n\
n/
(8.3.23)

W{n) = n M{{S{n) ST{n)}.

(8.3.24)

(8.3.19), ,
(8.3.23) . , VF(n) (8.3.24)
W = Km W(n),

(8.3.25)

>

(8.3.23) >

V{n) - 5^[P^(n) + W {n)) -^ W + W .

(8.3.26)

t-i

, V(n)
W{n).
W(n), (8.3.11) ST(n 1)
. (8.3.21), (8.3.24), (8.3.5)
(), (1.6.11),
W(n)=

[E - 7 (n)V J(c*) + o{y(n))]W(n - 1) + n~ V(n).

(8.3.27)

, (8.3.27), (8.3.19) (8.3.5)


(8.3.25):

W =-[b.ViJ(c*)]~lv:
, (8.3.18) (8.3.26),
V=

lim V{n) =

[V J{c*))-\

(2.2.11), (2.5.7) (8.3.8),


V2J(c*) =

^A-i(c*,a2(p0)).

,
() =t - 1) + i (() - ( - 1)),

(8.3.28)

241

{) = ( - 1) + ^Fi[e(x(n)tc{n

- l))]v(n),

(8.3.29)

6 > 0 , 0 < * < 1 , .

. - (8.3.28), (8.3.29)
. 8.2.

8.4.

(1.4.15)
VJ(c) == -M{Ffe{z{n),c)]v(n)} = 0.

(8.4.1)

(1.3.44)
N

v(n) = () - J2 dXn - )*

(8A2)

m=l

, 3, ()
?(), . v(n) .

242
, . .
(8.4.1)
v(n) (8.4.2):

VJ(c) = -M{Fi[e(z(n),c)](x(n) -

d*mv(n -m))} = 0. (8.4.3)

m=l

= *:
VJ(c') = -{^[(),*)] (7)} +

+ M{Ffe(z(n), *)]

d*mv(n - )} = 0. (8.4.4)

=1

= * -
(. (1.4.19))
e(z(n),c*) = () - f(x(n),) = ().

(8.4.5)

(8.4.4)

VJ(c*) = -M{F>[an)]x(n)} +
N

+ {)](-")}=<>. (8.4.6)
=1

() (), , ^() v(n), (8.4.6)



M{F^(n)]x(n)}=0

(8.4.7)

{^()] ( - ")} = 0,

(8.4.8)

=1

(. (1.4.18) (1.4.21)) * . (8.4.7)


. (8.4.3)
:
M{Ffe(z(n),c)]x(n)} = 0.

(8.4.9)

( - *) M{F^[s(z{n),c)]x(n)} < 0

(8.4.10)

243
- , (1.2.1),
,
. .
RePs(ejw)

>0,

|| < .

(8.4.11)

(8.4.9)
() = (-

1) + 0 ( ) ^ [ ( ) , - 1))}(),

(0) = .
() , ,
1.7 7.4,
() = ( - 1) -

?("-1)^)>)(-1)
/-) + ( - 1 ) ( )

(8.4.13)

(0) = / ( ),

(8.4.12), (8.4.13).
(8.4.12), (8.4.13) FQ[S] Fl[e] 1(0)
/(*),

() = ( - 1) + f .(n) F;[e(z(n),c(n - 1))](),

(0) = ,

l ^ t n j ^ l + f n 1)

/-!(?,) + () ( - 1)*()

(8.4.15)

?.(0) = / () , , , , . .
- .
, 6.2 6.4, (8.4.6)

( )> , (), , ()
. -

244


(6.2.14), (6.2.19),

ReP(e^) >0,

<*-

(8.4.16)

. 8.3 , (8.4.16) -, -

, P^(q)
2

P({q) = l + diq + d2q .

(8.4.17)

d\) d? , (8.4.12), (8.4.13) ()


() * *.

8.5.

, , , . .
i(n) , () (. 8.4),

= *{)

(8 5)

245

P1(q) = l + d*nq + ... +

dlNq ,

P2(q) = l + d*21q + ... + d*2NqN


, (^)
, Pi(q) ,
i
1
- - ^ ^
^t(^)
$i(n)n
, ^?(<7i
.
, P\(q)
. 8.4
.
, - . 8.5,

, (8.5.1) (. 8.56),


(1.2.4), (1.2.5) , Q(g), {) ${)

246
Q(g)P2(g), Pu{q)P2{q) P{(q)Pi(q) .

Pi(q)P1(q)Jm

Pdq)Pl{q)

'

'

Si(n) :
l(n) =

Qb)W

yi(n)

_| i M ^

^()()

(<?)^(9)

u()

(.5.7)

1{)=

{)'

(8 5 8)

--

(8.5.9)

() = ()-()
.
(8.5.8)
ci(n) = (1 - Pi( 9 ))i(n) + P2(g)e(n).

(8.5.10)

().
i(n)
^i(n), xi(n)
ei{n) = ei{zi(n), ),

() = e(z(n), ),


, ,
)

= ( - 1) + fo(fi)F(J[eI(*i(n),c(n - l))]i(n),

(0) = ,

247
l (*i(n),c(n

- 1)) = (1 - Pi{q))ei(xi{n), c(n - 1)) +


+ P2(q)y(n)-cT{n-l)P2{q)x(n),
vi{n) = (l-Pi(q))vi(n)+Pa{q)v{n),

(8.5.13)
(8.5.14)

v{n) = x(n)- Y,dm(n-l)v(n-m),

(8.5.15a)

m=l
?

fo(n-l)i(nK(n)fo(n-l)

loW-loln

i,

/-i(po) + t,T(n)fo(n_i)1)l(n)'

(8.5.156)

0(0) = 1()- . 8.6. -

, i(n).
, *
() = ((),*) = (),
, , (8.5.1), (8.5.8)

248
, i(n) = i(zi(n), *) ().
(8.5.12) (8.5.15) F[ei] Fi[ei) 1(0) 7(*),
:
{) = ( - 1) + ?*{n)Fi[ei{zi{n),c{n - l))]t>i(n),
(0) = *,

,
1

*'

'

ei(zi(n), ( - 1)) = (1 - P x ^ M s i H , c(n - 1)) +


- 2 ();()()- (^1) 2 () (),
(n) = (l- Pi(g))i(n) + P 2 (g)*(n),

Vl

v(n) = () - ^ dm(n - l)v(n - m),

(8.5.18)
(8.5.19)
(8.5.20a)

m=l

() = ( . - -

f.(n-l)pi(nK(n)f.(n-l)
/-i(pO+tJ"(n)f.(n-l)i(n)'

(8.5.206)

-
- . 8.6:
FQ[S] F+[e] 1() /().
(8.5.12) (8.5.15)
(8.5.16) (8.5.18), - , . , ,
.

8.6.


,
,
.
-,
() = { - 1),..., ( - AT), ti(n),..., ( - N), *) + (), (8.6.1)
* , = (-)
, () , () (-

249
). , *,
.
, ,
() = { - 1),..., ( - N)y ti(n),..., ( - AT), ),

(8.6.2)

, ,
(8.6.3)

{) = {),),
() .

e{z{n),c) = () - {) = () - ((),):

(8.6.4)


, 3, 5, 7, /((),)
((), ). , , . .
*,
() = ( - 1) + f*{n)F![e{z(n),(

- 1))] V e (*(n),c(n - 1)),

(8-6-5)

(0) = <
() = ( - 1 ) ~

(-1) ((),(-1)) ((),(-1)) > (-1)


/-1(P*) + V c T *(a;(n) ) c(n-l))r.(n-l)V c *(x(7i),c(n-l))'
(8.6.6)
(0) = /1().


n

V( ) = j2 E

=1 mi=0

bm1...mrw(n-mi)...ti(n^mr) + ((n), (8.6.7)

m r =0

, ,
fcl-l

( ) ~ Yl
mi=0

fcl-l
b

u n

i (

k2-l

~~ i ) + ^ Y2 ^ i ^ 2 ( ~ m i ) t i ( n - m 2 ) + ...
mi=O 2=0

. . . + ^(n).
(n) .

(8.6.8)

250

() = {) = (),

(8.6.9)

() = (ti(n),..., { - + 1), 2()(){

- 1),...

. . . , ( - + 1) { - 2 + 1),...)

(8.6.10)

( 0 , .,&/ 1 ~&0(&01,--- ) 6(/ 1 -1)(*2--1)'- )

(8.6.11)

.
-, .


. ,
:
() = ( - 1) + *(),(), ( - 1))]*(),

(0)

Un) =Un-l)- Un-)*l(n)Un-l)t


1-+) + -()*(-1)()

(8.6.13)

*() = / 1 .

e{z{n))c) = {) - ().

(8.6.14)

() (8.6.10) (8.6.11), .
, () i(n) (8.5.1), ( m), m = 1,2,...,
( ) , . .
(8.6.1), ,
() = (( - 1),..., ( - N),
...( - N),t(n

{),...

- 1),..., t(n - N);*) + f(n),

(8.6.15)

251
,
() = (( - 1),..., { - N), ti(n),..., { - N),
( - 1) - ( - 1),..., {- N) - ( - N); ') + ((),

(8.6.16)

. ^

.
, , .

8.7.

.
.
.
. 8.7 8.8 {||() - *|| 2 }
- - , 3, 3.5.
(8.2.1), () = - (8.2.2),
(8.2.6) ( ).

-
. 8.9 ( ). . 8.7 8.9 -

252

, , 3 (.
3.28, 3.33, ).
,
(. 8.7, 8.8),
,

. ,
,
, , .
,


(. 8.9).
(8.3.1),
(8.3.4), (8.3.5) () = 3 / 4 - ,
() = 0,( - 1) + {) + 2ti(n - 1) + 0,1 ti(n - 2) + {(n),
: () ~ N(0,1), () ~ N(0,1). . 8.10
. ,
. , .

() = -\{ - 1) + \{ - 1) + ii(n) \ = -0,9, \ = 2
i(n), ()

!().=
P2(q)

1 - 0,5g
l + 0,6q'

. 8.11. M{(ai(n) al)2 +


+ (6i(n) *)2} = M{||c(n) c*||2} ( ).

253

cti(n) bi(n) , (8.5.12) (8.5.15)


Ffe] = \e2 v\{n) = xi(n):
() = { - 1) + f 0 (n)e(*i(n),{ - l))xi(n),

(0) = ,
e(zi(n), { - 1)) = 0,5e(*i(n - 1), { - 1)) + {) +
+ 0,6( - 1) - { - 1) ({) + 0,6;( - 1)),
xi(n) = 0,5xi(n - 1) + x(n) + 0,6a;(n - 1),
,\
(n U
I o(n) ~ i ( I)

ro(n-l)xi(n)xl()fo(n-l)
,

* + *j(n)fo(n_-lj*i(i0
(0) = 0(

() = (-( - 1),( - 1)), () = ( 1 (), ()).


. 8.11 (
) , () ,
i(n) .
.

254
. 8.12 {||() *||2}
,

* = (0,5; 1;2) . d* = 0,3 , t/(n), (n)



,
<>() :
1, 2/>1,

100

150

200

250

<() =

-1,

. 8.12

c(n) = c(n-l) + fo(n)FJ


(),
() = ( - 1 ) - 1 ^
(0) = /^),
e(zi(n),c(n 1))
z\(n) = (i/(n),a;i(n)),
), ( - 1)) = - 0 , 1 ( - 1), { - 2)) + () - { - 1)(),

. 8.12
.

255

8.8.

, 7, (0) (0).
,
.
, (0) *,
, , , , .
, , (0), *. , ,
,
,
.
.
,
,
(3.1.15), (3.2.4), (3.1.16)
() = ( - 1) + 0()Fb[e(z(n),c(n - l))]v{n),

(8.8.1)

v{n) = - ] dm{n - l)v{n - m) + x(n),

(8.8.2)

m=l
() =

-^7~1(>2)>

(8>8 3)

- -

A(c> 2 (p 0 )) = M{v(n)vT(n)}.

(8.8.4)

' () (8.8.3)
* ( 1),
(*, <2())

An-l^2v(t)vJ(t),

(8.8.5)

, ,
r

f^(n) = I(Po)J2<t)v (t).


t= l

(8.8.6)

256
, ,

() = ( - 1) - ("-1")>)("-1),
/-1() + ( ) ( - 1 ) * ( )

. .

(8 8 7)

. ,
(8.8.3), (8.8.4) (2.5.7),
0() = [nM{Fl'[t(n)]v(n)vT(n)}]-\

(8.8.8)

, (8.8.8) ,

f(n)=\J2Hf[e(t)]v(t)vT(t)]

(8.8.9)

(8.8.9) (1.7.18)
e(t) e{z{t))c(t 1)), () (8.8.9)

() = ( - 1)

f(n-lMn)Vr(n)f(nzl)
(F-[e(z(n),c(n-l))])-4VT(n)r(n-l)t;(n)
(8.8.10)
(8.8.10) (8.8.7), , () 0 ()
1() = {^'[]}
FQ[e(z(n), ( 1))]. , (3.2.3), (3.2.4)
() = ( - 1) + f{n)Fl[e{z(n), c{n - 1))](),
v n

( ) = - Y, *( - ) ( - )

( )'

(8.8.11)

(8.8.12)

m=l

f () = f (n - 1)

r(n-l)v(n)VT(n)r{n-J}

(Fl'[e(z(n),c(n- 1))]) +" ()(- l)v(n)

(8.8.13)
(8.8.11) (8.8.13) F0[e] F,[e],

() = ( - l) + T(n)F&(z(n),c(n - l))]v(n),

(8.8.14)

257
N

v(n) = - dm(n - l)v(n - m) + x(n),

(8.8.15)

m=l

f () = f (n - 1)

g(n-l)t,(n).T (y| )r(n-l)


(^[eWnl^fn-lDD-V^rfn-l)^)

(8.8.16)
.
e(z(n),c(n 1)) = () ( 1)(), . ,
: V2
(. . 4.1).
Vi F"[e] = <\ = const, (8.8.14) (8.8.16) .
( CTZ2 < ,
F

"M=\

"

( -

8?

[ 0
|:| > .
, ,
\e(z(n)) ( 1))| > , (8.8.16)
, , ,
, (8.8.1)
(8.8.3). () \e(z(n), c(n 1))| >
.
,
, , . , (8.8.7)
I(po) = M{FQ'[]} FQf[e(z(n)y c(n 1))]
,
, (8.8.7) .

. , 5.4,

() = { - 1) + 7 () Fi{y{n) - ( - 1)],
(8.8.18)

7() = - ^ -

(8.8.19)

7 " 1 ( n ) = 7 - 1 ( - l ) + /(pj),

(8.8.20)

9. 3.

258
(8.8.19), , () :

(8.8.21) 1(*)
F:'[y(n)-c(n-I)],
..
() = ( - 1) + %) F:[y(n) - ( - 1)]

7() = 7( " 1) "

'

(8.8.22)

(8-8-23)

, F"[y{n) ( 1)] = 0
~f(n) , . . 7( n ) = 7 ( n ~ !)

,
.
.

8,9.
, , .. , .
. , .
.
.

(2.2.19)
u,n = M{ J(c(n))} - J(c*),

(8.9.1)

J(c) = M{F[e(z(n), ))} , /(*)


.
() w = lim nwn (2.2.25) 2.2
(. (2.2.28))

259
Nc . ,
V(F,p0) (2.2.18)
V

(F,Po) = ^ ^ A - \ c W ( P o ) ) .

(8.9.3)

(8.9.2) (8.9.3), ,
V(F,po) F 2
>() , , 0" (), w(F)
. , () ,
, . , , (2.4.19)

FoM = -lnp o )U=>

(8.9.4)

V{Fo,Po) = -jlA-^cWfro)) < V(F,po),


)
w(FQ) = -T}-TNC < w(F).

(8.9.5)
(8.9.6)

APo)
, , (8.9.4) Ff[e] ().
, , ,
, : () Vy

.
F,[e] = - l n | . ( O | e e , ,

(8.9.7)

( 4.2)
. ( 0 = arg min I(po)A(c', <r2(p0)),

(8.9.8)


p*(0 = argmin/(po).

(8.9,9)

(8.9.8) , ( 4.7 . 4.4),

260

(8.9.9)
( 4.5, . 4.1).
, - -, -
- .
,
(*, 2()) , . . (*, (2()) > 0
rank (*, <2()) = N < Nc. , ,
,
,
=

__*.

(8.9.10)

N, w.

(8.8.14) -- (8.8.16),
() = ( - 1) + f(n)F;[e(z(n)y ( - l))]v(n),
(0) = 0 ,
N
v n

( ) - ~ YL dm{n- l)v(n-m)

+ (),

m=l

v(m) = 0 ,

f () = f ( - 1)
f(0) =7 ,

m = 0 , - 1 , . . . , -N + 1,

f(n-lMn)yf(n-l)

>1.

()

F,"K(ra)Wm)T{m)
m=l

() (). , .

261

8.10.
. , .
, . .

.
.
.

,

.
. .

9.1.


.


:
N

{) + ] *()( - ) = *()( - ) + C W ( ( - m),


=0

~1

=0


Q{q, n)y{n) = Ptt(g, n)ti(n) + Pe(g, n)^(n),

(9.1.1)
(9.1.2)

Q(g,n), P u (g,n), P^(g,n)


:
Q(q,n) = l + al(n)q + ... + a*N(n)qN,

(9.1.3)

263
Pu(q,n) = b*0(n) + b*1(n)q + ... + b*N(n)qN,
P((q,n) = d*o(n) + d*o(n)q + ... + d*N(n)qN.

, 1.2,
.
(9.1.1).
, , ,
. , (9.1.1)
*() Nc = SN -f 2:

(9.1.4)

c*(n) = (al(n),...,a*N(n),bUn),...,b*N(n),d'o(n),...,d*N(n)).

.
1.
:
= /(,

(9-1-5)

/(,#*) -, * .
2.
:
=(>-1)).

(9.1.6)

: RNc - > R N c -, *(0) . , ,



= >-1).

(9.1.7)

3.
:
=0(>-1),

(9.1.8)
Nc

6*R , : R + } RNc
-. . , *() Nc -f M
- (*( 1)) :
M

= (,),
{\ - 1)) = ({*( - 1)), \ - 1)).

(9.1.9)
(9.1.10)

264

0*() = *(-1).

(9.1.11)

(9.1.8)
*()=(*(-1)),

(9.1.12)

.
, (9.1.5)
(9.1.6) . :
/(, *) (9.1.5) (9.1.6) *(0).
:
*() = f(n, *) = 6*0 + \ + ... + *,

(9.1.13)

e*keRN*,i = 0,1,.. .,*, 0 * = ( ; , ; , . . . ) )<* + 1 >* . , *() (9.1.13)


= a l C * ( n _ 1) + . . . + +1*{ - - 1),

(9.1.14)

c*i,..., a^+i
(1 - )+ = 1 - axq - . . . - a* + 1 g f c + 1 .

(9.1.15)

== [*{),*{ - 1 ) , . . . , > - )]

(9.1.16)

*( ), % = 0,..., , (9.1.14)

*() = *(-1),

(9.1.17)

(9.1.18)


.

. ,
.

265
9.2.

, (9.1.2),
(9.1.4), (9.1.6),

() = (, ( - 1)) = (( - 1))().

(9.2.1)

() = (-y(n-l),.. .,-y(n-N),u(n), .,u{n-N),e(n-l),. ..,s(n-N))


(9.2.2)
,
e(n) = y(n)-y(n,c(n-l))

(9.2.3)

. (9.2.1)
() = () - gl(c(n - 1)) () = e(z(n), ( - 1)),

(9.2.4)

z(n) = (t/(n), ()) (1.3.48).


,
,
Jn(c(n - 1)) = M{F[e(z(n), c(n - 1))]}.

(9.2.5)

,
.
,
VcJn(c(n

- 1)) = M{VcF[(z(n), c(n - 1))]} = 0.

(9.2.6)

VcJn{c{n 1)) ,
( 1), . ,
M{VcF[e(z(n), ( - 1))]} = -Vcy(n, c(n - l))F'[e(z(n), c(n - 1))],
(9.2.7)
:
V c J n ( c ( n - l ) ) = -M{V c y(n,c(n-l))F'[(z(n),c(n-l))]} = 0. (9.2.8)
( 1) = *( 1) (9.2.4) :
e(z(n), *( - 1)) = () - (, *( - 1)) = (),

(9.2.9)

(9.2.8) (1.2.44) . ,
F>[e(z(n),c(n-l))) = F'[t(n)]

(9.2.10)

266
()
VeJn(c(n

- 1)) = -M{V c y(n, c(n - 1))} M{F'K(n)]} = 0,

(9.2.11)

M{F'[(n)]} = 0.
Vcy(n,c(n 1)). (9.2.1),
Vcy(n, ( - 1)) = 1({ - l))x(n) + Vc(n-i)XT(n)gn(c{n

- 1)).
(9.2.12)

(9.2.2)
V c { n _i)X T (n) = [0,..., 0,0,..., 0, V c ( n _i)e(n - 1),..., V c ( n _!)e(n - N)].
V c ( n _i) e(n ik), = 1,..., N,
:
() = (( - 1)) =ff n (fl A _ 1 (c(n - 2))) =
= 9(9----(9-+1{-)))...)).
(9.2.3)

V c(n _i)e(n-*) = - [ nVc(n-i-i)9l-i{c{n-i-l)))


^ =i

Vcy{n -,{--

x
^

1)), = 1,..., .


(9.2.13)

v(n) = Vey(n,c(n-l)).

/
\"~
*=(^(-*-1)^-<(--I)))

(9- 2 4 )

, (1.7.23):
v(n) = VcgTn{c{n ~ l))x(n) - Gni divn.x

- . . . - GnN dN vn.N)

(9.2.15)

d(y i = 1,..., JV, - (( 1)),


d\,..., d/v.
, (9.2.8)
VJ n (c(n- 1)) = -M{F'{s(z(n),c(n-l))v(n)]}

= 0,

(9.2.16)

267

(1.4.28) , ( 1)
. (9.2.16) (9.1.12),
() = {

- 1)) + T(n)v(n)F'[e(z(n),c(n

v{n) = 1{{-1)){)-1^-1-

- 1))],

.-GnNdNvn-N,

(9.2.17)

v(0) = ,
() , Ff[e]
.
() Ff[e],
(9.2.17).

9.3.
(9.2.17)
= {(() - ) ( ( ) - ) } ,

(9.3.1)

Vn = Vn{T,F) = M{6(n)ST(n)},

(9.3.2)

, ,

S{n) = c(n)-c*(n).

(9.3.3)

(1.6.1) (1.6.2) *() .


(9.3.2)
(9.2.17). ,
, Vn. (9.2.17)
8()
. (9.1.6) (9.2.17):
6() = (( - 1)) - (*( - 1)) + T(n)v(n)F'[s(z(n),c(n

- 1))].
(9.3.4)

- 5():
T

(( - 1)) - ('( - 1)) S Veg (c(n - 1)) 6( - 1).

(9.3.5)

:
() = () - {, ( - 1)) = (() - (, *{ - 1)) +
+ ((, > - 1)) - (, ( - 1)).

(9.3.6)

268

(9.2.9) (). ,
() = ) - Vcy(n, c(n - 1)) 6( - 1),

(9.3.7)

(9.2.12) (9.2.13)
() () - vT(n) Vc</T(c(n - l))S(n - 1).

(9.3.8)

(9.3.8), F :
F'[e(n)} = F'[(n) - vT(n)g'c(c(n - l))S(n - 1)] S
F'K(n)] - ^"()] ()^(( - l))S(n - 1),

(9.3.9)

9c Vcflr . (9.3.5) (9.3.9) (9.3.4), 8():


S(n)=g'c(c(n-l))S(n-l) +
+ T(n)v(n)(F'[an)} - F!4S(n)]vT(n)g'c(c(n - l))*(n - !)) (9.3.10)
, ^() ( 1) ,
M{6(n)6T(n)\z(l),...,z(n-l)} =
= ^ ( ( - 1)) *( - 1) rfT(n - 1)g'J(c(n - 1)) + ()(). () () +
+ 7())() ()^((-1))($(-1)
rfT(n- l)g'J(c{nT

l))v{n)vT(n)rT(n)

- 0g'c(c(n - l))S(n - l)S (n - l)g'c (c(n - l))v(n)v (n)T (n)


-l3T(n)v(n)vT(n)g'c(c(n-l))S(n-l)ST(n-l)g'cT(c(n-l)),

(9.3.11)

a = M{F'2[t]},

7 = M{F"2[^]}.

P=M{F"[t}},

(9.3.12)


Wn = V e f l (c(n)) Vn VcgT(c(n)).

(9.3.13)

(9.3.11)
Vn = Wn- + aT(n)v{n)vT{n)TT(n) + jYi^v^v^Wn-!
T

x v(n)v (n)T (n) - f3Wn-iv(n)v {n)T (n) - f3T{n)v(n)v (n)Wn^1.


(9.3.14)

269.
()
() F[e]. . (9.1.6)
F'[e] = e .

() = 0 (), (, F) , F) >

F. (9.3.14) , ():
Vn = Wn-i+

( + 7 ( ) ^ - 1 ^ ( ) ) ( ) | ; ( ) / ( ) ( ) -

- /3(^n^iv(n)vT(n)TT(n)^T(n)v(n)vT(n)Wn^)

. ( . + , . w ^ .( [ a + ^;,'; n ( :;, ( n ) +.,,,,]

/?)()^_!

; ^ . ^ # ^ .

(9.3.15)

a-h7v (n)Wn_it?(n)

. = . - , - < " - ' - ' + ( . . )

(.(

^ 2 () = + 7 * ^ . ^ ( ) ,

(9.3.17)

() = -^r- W n .it;(n) ~ /1()()().


(9.3.18)
/()
, () (9.3.16) () aJfo), V(n)
(^),
T

a(n)a {n) = Q.

Vn{T{n),F) > Vn{T0{n)}F)
Fun.

(9.3.19)

() (9.3.18) ,

To(n)v(n) = J ^ Wn-Mn).

(9.3.20)

270
(9.3.16)
Vn = Wn-i - -\ Wn^v(n)vT(n) Wn-i.

(9.3.21)

(1.7.18), (9.3.21)
:

' = 7-'.+ (>()()>).

9 3 22

<-- )

Vni Wn-i> , ,

() =

(9.3.24)

1 = W-}% + ^v{n)vT{n).

(9.3.25)

, F'[e] = fee, /?2 = j = Ar2,


/>() = /32/, (9.3.25) .
. (), (9.3.13),
() = X(n)Vn,
\()

(9.3.26)

. (9.3.21)

() = A()[l - ^VT{n)^lV{n)]

W*-i*l),

(^-3.27)


() = f

J1=

a + b-P)S(n)Wn-lV(n)

(9 3

' -28)

(9.3.20) .
() =. /32/, () = /?/. ,
() = ^ .

(9.3.29)

Wn = Vcg(c(n)) jT0(n)VcgT(c(n)),

(9.3.30)

271
(9.3.25) :
() = \ - 1) + pv(n)vT(n),

(9.3.31)

, ,
0() = 0( - 1) -

>

(9-3-32)

- 1))0( - 1) Vcgl(c(n - 1)).

(9.3.33)

-1+vT{n)KQ{n_1)v{n)

# 0 ( - 1) = Vc9n(c(n

9.4.
F (9.2.17) () = ()
. ,
F, . . ,
(,^)-(,^)>0.

(9.4.1)

.
Fo[e]
,

, 4,
(9.4.3)

Fo[e] = -lnpo(O\^e,
,,
.

1() _
'0()

~ >()'

'

= = { ( ^ | | ) 2 } = {? = ),

(9.4.5)

1() . , (9.3.25) /32/ == 1()>

272

,
:
() = (( - 1)) + 0 ( ) ^ [ ( ) , ( - l))]t>(n),
e(z(n),c(n - 1)) = y(n) - (( - 1))(),
v{n) = Vcfl(c(n - 1)) () - Gni div n _i - ... - Gnjv
() = Ao(n - 1) -

dNvn-N,
(9.4.6)

-i(po)+vT(n)Xo(n_1)v(n))

X 0 (n - 1) = V c ^ n (c(n - 1))0( - 1) Vcfl(c(n - 1)),

^ = _^1,

7( 0 ) = / ^ () de.


(0) = , (0) = > 0 .
(0) = 7^\ 70 ^> 1, .
, {( 1)) = ( 1), 0( 1) =
= ( 1), (9.4.6)
.

*()=()*(-1)

(9.4.7)

F[e] = /2, ,
(9.3.14) . (9.4.6) :
(0) = ,
v{n) = Vcgl{c{n - 1)){) - Gnldit?n^i

- ... - GnN

v(0) = 0,
., i)v{n)vT(n)Ko(n1 + vT(n) K0(n - 1) v(n)
K0{n -l) = A{n)TQ(n - l)AT{n).

,
.

273

9.5.

,
(9.1.6)

= (, *( - 1),..., > - ))

(9.5.1)

*(0) = CQ, . . . , *(1 ) = *_.


, (9.1.13).
= (>),1):..,;11(}))

(9.5.2)

*() = *( s), -
G(n, ) = ((, *( - 1)), cj(),..., *_:()),

(9.5.3)

(9.5.1) :
c*(n) = G(n,c*(n-l)),

5*(0) = (cS ) ...,c;_ 1 ).

(9.5.4)

*() r(3iV-f 1).


i(n) = (*(n),0,...,0),

dima!i(n) = (r-l)(3JV + l),

(9.5.5)

, :
{) = G(n, ( - 1)) + () F^[(z(n), ( - 1))] v(n),
v(n) = VcgT(n,c(n-

1))() -G n irfiD n _i - . . . - GnN

(0) = 0,
. ,
,
() = if o (n - 1) -

dNvn-N,
(9.5.6)
K
'

{-\){){)(-\)
/ - i ( p o ) + e T ( n ) J f o ( B _ 1 ) l , ( B ) .

K0(n - 1) = VcG(n,c(n - l))r o (n - 1) VcGT(n,c(n - 1)).


, , .

274

9.6.
:
y(n)=c'T(n)x(n)+t(n),

= (, *( - 1),..., *( - )).

(9.6.1)
(9.6.2)

(9.5.6) :
() =g(n,c(n-l),c1(n-

l ) , . . . , c r _ i ( n - 1)) +
+

Tn(n)F'[s(z(n),c(n-l))}x(n),

ci(n) = { - 1) + Tn(n)F'[e(z{n), c(n - l))]x(n),

(9.6.3)

.() = c r _ 2 (n - 1) + Trl(n)F'[e(z{n),c{n - l))](n).



ci(n),..., Cr_i(n). .
,
() =flf(n,c(n - 1), ci(n - 1),..., c r _i(n - 1)) +
+ ()^[(),(-1))] (),
ci(n) = c{n - 1) + 21 ()^[(^(),( - 1))](),

(9.6.4)

(V-i(n) = ( v > - l ) + ^ r r - U ( n - 0 F [ e ( n - j , c ( n - t - l ) ) ] a 5 ( n - i ) .
(9.6.4), :
(, ( - 1),..., _!( - 1)) = (, ( - 1),..., ( - )) +
+

YL YJ '(-)(> ( - 1), . . . ,

- )) r r _ i + i,i(n - j) X

- - , (9.6.5)
e{z(n),c(n - 1)) {) - flrT(n,c(n - 1),...,{ - )){).

() = (, ( - 1),..., ( - )) +
+ Tn{n)F'[e{z{n),c{n - 1),...,( - ))]() +

(9.6.6)

275

*-1

+ X ) X ) 9(-)(,(

- 1),.. .,( - r))r r _ i + i,i(n - j) x

fe=2 j = l

x F'[e(z(n), c(n-j-\),...,c(n-j-

r))] x(n).

(9.6.7)

. . ,
. 9.1 (9.6.7) (9.5.6) . ,

. , (9.1.5)
(9.5.1) , ,
.
. , , , , ,
.
.
() = asin(wn + y>)+(n).

(9.6.8)

,
() = a sin(a;n + <)

(9.6.9)

276

(9.4.8) (9.5.6),
2COSU,

I I

- 1 1

oj-

,
:
() = ( " - 1 ) - ( " - 3 )
\ L)

_ 1) _ c ( n _ j).

(9.6.10)

. 9.2 . ,
, . , ,

. , .

9.7.
,
, (9.4.6):
() = ( { - 1)) + 0() Fi[e{z(n), { - 1))] v{n),
_
^
^
(9.7.1)
v(n) = Vcy (n,c(n-1))() - G n i d i v n _ i ...-GnNdNvn-N,

277
T

s _ K ( n
Ko(n-l)v(n)v (n)Ko(n-l)
n
() - Ko(n - 1) - 7 - i ( p o ) + t , T ( n ) i : o ( n _ 1 ) t ; ( n ) .
v (

(9 7

i 6 )

K0{n - 1) = Vcflf(n, c(n - 1)) 0 ( - 1) Vcflr (n, c(n - 1)),


, (9.3.25) (9.4.5),
\) = K^(n) + I(po)v(n)vT(n).

(9.7.2)

,
0 - = ) (V<=3>- < - 1)){-'\()
vT(t) (Vcg(n, c(n - 1))(-'\

(9.7.3)

, (9.4.5),
=

M{F(n)]}(VcgT(n,c(n - l)))-^v(t)

x vr(t) (Vcff (n, c(n - 1 ) ) ) - ( " ( ) .

(9.7.4)

) =

M{^'[eW]}(VcfirT(n,c(n- 1)))-("-,(0 X
T

t> (<) (V c 5 (n, c(n - 1)) ~ .

(9.7.5)

, (9.7.5) e(t)
e(z(t), c(t 1)),
() = (,( - 1)) + fo(n)F^[s(z(n),c(n - l))]v(n),
(0) = ,
v(n) = Vcgr(n,c(n-

l))x(n) -Gnidivn-.i-

... - GnN

dNvn-N,

(,
fo(n) = Ko(n - 1)

(9 7 6)

--

(-1).>)(-1)
('[(),(-1))])-1.()^(-1)()

() = > ,
0( - 1) = V c 3 (n, c(n - l))f 0 (n - 1) VcSrT(n, c(n - 1)).

278
, . . () , V,
F+[e]
Fl[e], F"[e\. (9.4.6) F+[e] F"[e] FQ[S] FQ[S], ,
.

, V\ {() :
() > l/(2i) > 0}
, .
. 9.3
(0) = 1/2 (0) = 10/(2/)
.
.

9.8.

. , , , .
,
.


, ?
.

10

10.1.
, , , ,
. , ,
, .
.
: , , .
,
.
.

280

10,2.
N ,(), = 1,..., N} t/(rc),

() = ^(>,-()),

(.2.1)

,- t- , #,-(), = 1,..., N, ,
(-) . (-)

* = -

( 10 - 2 - 2 )


() =

(10.2.3)

(10.2.1)
() = (()),

(10.2.4)

= (ci,..., CJV), () = (xi(n),..., a?jv(^))


, .

281

(10.2.1) (10.2.4), (10.2.2)


(10.2.3) .
10.4.

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

282


. . 10.5
L- , . 10.6 (
) Z-ro .
, . 10.6 .

,
.
.
1- Ni,
, , Y/_i(n) Yi{n)
/- JV/_i iVj.
() No. /- (. 10.6)
Yj_i(n) Yi(n)
) = *(C;r?j-i(n)),

(.2.5)

283

G =K i , C | ) 2 r . , c / ) J V | ] ,

/ = 1,...,L

(10.2.6)

(.^^- 1- ,
/^ ( 7V/_i) - 1- , (-) ,
CjYi-\(n)
(10.2.2) (10.2.3).
(10.2.5)

YL(n) = 11_,...1())...)).

(10.2.7)

1-
Ci (10.2.6), /
Ni-i-Nr.
ci = (c/,i, c / ) 2 , . . . , cl)Nl),

/ = 1,..., L.

(10.2.8)

, (10.2.7) .
.
,
8.5.

10.3.

, ()
Y(n)
() = >(()) + (),

(.3.1)

No,
Yfo), - <(()) ()
NL .
() , po()j V.
,
c*=(cl,c;,...,cl)

(10.3.2)

, <(()) (10.3.1)
(10.2.7), . .

<{()) = . .?())...)).

(10.3.3)

284

() ,
J 0 (c) = M{F4e(X(n)5c)]},

(10.3.4)

F+[e] = ~1 (^)|^ = ,
((), ) = Y(n) - 11.,...*(CjX(n))...))

(10.3.5)

NL- , *()
V.
, = *,

VJ{c) = M{VcF*[e(X(n),c)]} =
= M{VcVT(Cl*(Cl_x.

VcF,[e(X(n), )]} = 0.
(10.3.6)
, ,
(10.3.6) :
..*{CjX{n))...))

VJ(c) = M{Ve(Cj(Cj-i ..*(CjX(n))...)) F:9[e{Mn),c)]} = 0.


(10.3.7)
(iO.3.6) ,
* VcF*[e(X(n),c)],
T
VC* (-)
((),).
VcF[c(A'(n),c)]
, . ,


/, / = 1,..., L (10.2.6) .
,
.
- . 10.7,

VcF+[e(X(n), )]. - .

285
( ) '(-) ,
i- V/(n), / = 1,2,3, Y/,i(n) Ziti(n),
,

) = )),

) = '(1{{)),

(.3.8)


( 6, ),
( = (,) = (6,), = (,-,-)).



VCWT(), V c i^[e(X(n), )]. VF+[e(X(n), )] . V C ^ T ()
, . V C ^ T () k
/ (10.2.8) . ,
/- {^Ni^i'Ni) XNL)-

Vc^n) = (VcYl^n), 2(),..., | ^) =

286

f(diag*'(W) ft adiag*'(K(n)))Y^i(n), / < L,

== <

i=/+i

I diag (Vi(n))yL.i(n),

(10.3.9)

/= i.

diag\'(Vf(n)) (Ni x ^ - ,
^'(^,( )) ^ ' ( ^ ( ) ) , ,-
(Ni-i xNi)- - , 0
.
(10.3.9) , VCIYL(TI)
(/ -f- 1)-
I = L.

. 10.8
. ( ^(-)
(10.3.9)); ;
. . 10.8,
VcY^(n)
.

287

. 10.9
. 10.9 , .
10.8, .

10.4.


.
. (10.3.7).
. 8 .
(8.6.5), (8.6.6)
() = ( - 1) + ft{n)F:[e(X(n),c(n - 1))]VcYL(X(n),c(n
*()=,(-1)f,(n - 1)VcYL(X(n),c(n

" / ~ + VjYL(X(n),c(n

- l))VjYL(X(n)yc(n

- 1)),.
(10.4.1)

- l))f (* - 1)

- l))f*{n-l)VeYL(X(n),c{*

~ 1))'
(10.4.2)

288

(8.8.14) (8.8.16),
() = c(n-l)+ft(n)F:[e(X(n),c(n-l))]VcYL(X(n),c(n-l)),
(10.4.3)
T.(n-l)VcYL(X(n),c(n-l))4jYL(X(n),c(n-l))ft(n-l)
I-1 + Vj?L(X(n),c(n - l))f.(n - l)VcYL{X{n),c{n - 1))
(10.4.4)
rneTn=Fl'[e(X(n),c(n-l))].
(10.4.1) (10.4.4)
, .
,
,
. ,
8.9, (10.4.3),
(10.4.4).
.
*(). ,
8.2 .
, (8.2.16):

( ) = ( - 1) + ^1^\]

nI

(()> ( - 1))] VcYL{X{n)Mn - 1)),

lP*)
(10.4.5)
1
Amax(^4~ ) .
1
(^4~ ) .
, 8.3,
() = ( - 1) + - (() - ( - 1)),

(10.4.6)

c(n) = c ( n - l ) + ^ F ; [ e ( X ( n ) , c ( n - l ) ) ] V c y L ( X ( n ) , c ( n - l ) ) , (10.4.7)
6 > 0 0 < < 1 .
, ,
.

289

- (10.4.6), (10.4.7) . 10.10.


, (10.2.5).

10.5.

(. 10.5), , , ,
,
. ((), ( 1)), (10.3.5)
,
T

V c e (X(n),c(n- 1)) = -Vc?Z(X(n),c(n-

1)).

(10.5.1)

() = - l)+f,(n)V c Y L (X(n),c(n- l))V.F.[e(X(n),c(nf () = .( - 1) - ,( - 1) V e y/(X(n),

x[(^Ft[e(X(n),c(n-l))])-1

1))],
(10.5.2)

- 1))

+VcYL(X(n),c(n - l))f,(n - 1) VcY?(X(n),c(n - 1))) \


xV c y t (I(n),c(n-l))f,(-l). (10.5.3)

290

(10.5.3)
{) = ( - 1) + - (() - ( - 1)),

(10.5.4)

() = ( - 1) + A . V c l i V H , ( - 1)) .[((), ( - 1))],


(10.5.5)
6 > 0, 0 < < 1.
- (10.5.4), (10.5.5) . 10.11.

10.6.

. .

.

.
,
.
,
. , , ,

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

,
.
, ,
. ,

292
, .
, . , ,
.
, . , , ()
.
, , ,
. . ( ), , . , , .
,
,
, , . , ; .

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

293
, , .

, .

.

,
, .

, .
. -,
- ,
, -.
,
, ,
,
, ,
. , , .
. , .
, ; ( ) ( ). , , , ; . , ,

294
.
,
.
.
, , , , . .
,
.
, .

,
. , , .


. ,

1
1.1. .
,

.
[1.1], [1.1], [1.1],
[1.1], [1.1], [1.1], [1.1], [1.1],
[1.1], [1.1], [1.4]. [1.1], . [1.1], [1.1], [1.1], [1.1], [1.2],
,
.
[1.1], [1.1], [1.2], [1.1] .
.
, , , [1.1] [1-3],
[1.1], [1.1], [1.2], [1.1], [1.2], [1.1]
. , ,
[1.1], [1.1], , [1.1],
[1.1], [1.1], [1.2].
, . : , , Automatica, IEEE Transactions
on Automatic Control, International Journal of Control, International Journal of Systems Science, .
.

296
: (1967), (1970),
(1973), (1976), (1979), (1982),
(1985), (1988), (1991).
Identification and System Parameter Estimation. .
( [1.1], [1.2]). ,
, ,
, . -

.
1,2.
: ., , [1.1], [1.1], [1.1],
[1.1], [1.1], [1.1], [1.1],
[1.1].
.
: ., , [1.1], [1.1], [1.1], [1.2],
[1.1]. [1.1].
, [1.1], [1.1], [1.1], [1.2], [1.3], [1.1] .
,
(), (1),..., (nN)>
(); ., , [1.1]. [1.1].
. . , -: [1.1], [1.1].
.
: = 1 ( [1.1]), Z~l ( [1.1]),
q~~l ( [1.1]). ,
qx(n) = ( 1), qkx(n) = ( ).
1.3. , ,
. , . , .
. , ( [1.1],
[1.2]), ( [1.1], [1.2])
; .
[1.2]. , ,
.

297
, .
[1.3]. 1.3
. -

.

>/\
9)

~'

?/

% )

-&

() = ()() + [1 - ()]() + ).
l/(n) = 5(n) + *(n),

y(n)=X?(gWn) + [l-K2(g)Mn)
= * .

() = () (),
.
, - . , .
,
, . , , ,
(., ,
[1.1]). .
1.4. , . , , *
(., , [1.1], [1.1]).
. , , (., ,
[1.1] ).
1.5. .
[1.1] [1.2],
[1.1], [1.1], ,[1.1],
[1.1], [1.1], [1.1]. , 1.2.
[1.1], [1.1],
[1.1], [1.1], ,
[1.1]. .
,
, . .

298
[1.1] [1*3], .
1.6. [1.1], [1.1],
[1.1], [1.2], , [1.1]. , /(() *), ()
, -
, .
, [1.1], [1.1],
[1.1], [1.1], [1.1], , [1.1].

[1.1], .
[1.2] [1.3].
[1.1] [1.1]. . : [1.1], [1.1], [1.1], [1-2], [1.1],
[1.1], , [1.1].
. , .

[1.1], [1.1], [1.1].
. . [1.1], [1.1], [1.1],
[1.1], [1.1], , [1.1],
[1.1], , [1.1], [1.1], [1.1]. ,
.
, , , ,
{() = 1. P{{q) , () = ( 1)()
( 1), ( 2),..., ,
VcF[e(z(n),c(n 1))]
( 1), ( 2),... , ,
- , Pt(q) 1.
. .
, , .
.
1.7. .
[1.1], [1.1], [1.1]. . 6 [1.1]; .
[1.1] [1.1].
,
, [1.1].

[1.1], [1.1], [1.2], [1.1], [1.1],

299
[1.1] . . , ,
[1.1], [1.2]. ,

, [1.1] (., ,
[1.1], [1.1], [1.2]),
[1.1].

(*, <72())
(., ,
[1.1]), *, *, d* (., ,
[1.1]).
(*, <2()) . . .
, * ( 1),
, ., ,
[1.1], [1.1].
2
2.1. , , . . - , .
( ).
[2.1]. [2.1].
- .
[2.1]. , [2.1] , .
2.2. -
: [1.1], [2.1], [1.1], [2.1]; . [2.1]. (-
, - -) [1.2]
(- ),
[2.1], [1.1], [1.1] (-
), [2.1], [1.1], [2.1],
, [2.1] ( - ).
, , :
[2.1] (- ), [2.2] (- ), [2.1] (- ); . [1.2], [1.1].
- , (2.2.22).
= (*}<2()) . S , = STAS .
$() = STS(n) ,
6()6()} = 8()8()} = [8()8()}],
trl3 . Vn
(2.2.2),
()()} = STM{8T(n)8(n)}S=
STVnS.

300
,

6 ()6()}
,

= tr[AS VnS]

= tr[S ASS VnS]

= tr[S AVnS]

= tr[AVn].

M{8T(n)AS(n)} = tr[AbA{S(n)ST(n)}].
2.3. (- ) .
, [2.1], [2.1], [2.2].
[2.1] . (
- , - -)
[2.1] [2.1],
[1.1], [2.1],. [2.1]. ,
, ,
: [2.1] [2.1],
[2.1], [2.1],
[2.1], [2.2].
2.4.
F[e]. , , ,
. , , ,
* . ,
. .
... ...
, , ,
( [2.1]).
. ( [2.1]).
.
, ,
, ( [2.1]).
,
,
. , ,
, , - , , , , .
, ,
. .
, , ,
(., , [2.1]).
.

,
[2.1]. , , , ,
, ,
[2.1].
2.5. ( [2.1])
( [2.1]). , ,

301
(., , [2], [2], [2]). [2.1]
[2]
[2.1], [2.1] .

[2.1], [2.1] [2.1].
Fo[e] = lnpo()U=e
, . . .

1
^2 ( > ) ( ) = Qn(c)
71

-\

[1.2]. ,
, . . det Qn(c).
[2.1]. , ,
[1.3]. .

[2.1], [2.1], [2.1], [2.1], [2.1], [2.1], [2.1].
()>
,
[2.1].
3
3.1. , ,
, , . . . (., , [1.1]), , ,
(., , [3.1]),
. ,
, .
()} , ()}
, . . .
() (), , . . .
,
. . . ,
.
3.2.
, 3.1 . .- -
[3.1] [3.3].
[3.1], [3.2].
3.3.
. ,
, , ,
.

302
3.4.
[3.1] [3.1]. .
[3.1], [3.2].
3.5. ,
-, [3.1], [3.1], [1.1],
[3.1], [3.1]. [3.1], [3.2]. ,
[2.1] [3.1], [3.2] ( ) [3.1] ( ).
4
4.1.
. Vz . [4.1]. [4.1],
[4.2] (. [4.3] [4.1]
). Ve VT [4.1],
[4.1] [4.4]. ,
, (. [4.1]). , ,
.
4.2. , , , .

[4.1].
4.3.
[4.1], [4.7].
. [4.1],
[4.1], [4.1], [4.1].
[4.1] [4.1]. -
.
[4.1], , [4.1].
4.4. 1() <2() .
. 1() (, [4.1] )>
( [4.1] > [4.1], [4.4], [4.1] Ve, ^Pl)- 1()
V\ VA [2.1].
4.5. -
[3.1].
, .
. , F[e] = || , 1 < < 2, [4.1]. = 1
(),
[4.1] [4.1], |4.1]. [4.1]

F[e] = 71 2 < F[e] = 72 \/ \\ > , 71 > 0>


72 > 0, > 0.
(.

303
[4.1]). , , , , [4.1], [4.1] [4.4],
[1.1]. , , [4.1]
, ,
.
, . . ,
. , , . , [1.1]
,
, :
, .
, , , .
[4.1]. , ,
.
4.6. -
Vi Vi, V3, 2() > \ crj,
<2() .
- [4.1]. - [4.1], [4.4], [4.5], [4.1].
,
(4.6.7), , , [4.1].
4.7. - - . ,
(. 4.4), . . .
4.8, 4.9. (robust (.) , , ) [4.1] [4.1]. ,
, .
: , , , , ,
. , .
[4.1], [4.2]. [4.2] [4.1]:
. .
:
- , , , .
[4.1]
, . , 10% (. [4.1]),
[4.1] 1 20% . , [4.1], 57% . , , 812% (.
[4.1]). [4.1],
[4.1], [4.1], [1.1], [4.1]. .

304
[4.3] [4.5], [4.1], [4.1], [4.1], [4.5],
[4.8], [4.1], [4.1], [4.1], [4.1]
[4.1], [4.1].

.
, , [4.1], [4.1].
,
, , , , ,
, ,
. ., [4.1]. ,
. , .
,
. .
[4.8]. , 19751976 .
,

[3.1], [3.2], [4.1] [4.3]. ,
, , , . -, , : [4.1], [4.1], [4.4], [4.5],
[4.1], , .
, ,
, [4.1] (. - [4.1]).
( [4.1],
[4.1], [4.1], [4.2]),
( [4.1]), (
[4.1]) ( [4.7],
[4.1])
[4.1] ,
[4.1], ,
. , ,
,
.
[4.7]
[4.1] [4.1].
5
5.1, 5.2.
- , , , .
[5.1], [4.1], [3.1], [4.3].

- [4.1] [4.5], [4.1]. , ,
, [5.1]; .
[4.1] [4.1].

305
5.3. [5.1], [5.1], [5.1], [4.8].
[4.8]. .
, - [5.1], [5.1].
5.4. [5.1], [4.1], [2.1],
[5.1]. [5.1].
:
- [5.1], [5.1], , , [5.1], [5.1].
[5.1] .
5.5. [3.1], [4.2], , [5.1].
6
6 . 1 . -
(., , [6.1],
[6.1], [6.1]). , , . -
, -
. . , aj^ 6J^,
d^. - ,
* 6* d^, d^,
. . .
6.2. [1.3].
6.3. .
. , , N(0, <2) (0, s). . [6.1], [6.1], [6.1].
6.4. -

.
6.5. - ,
[6.1]. -
, [6,1].
6.6.
.
, .
7
7.1. . . [7.1],
[7.1], [7.1], [7.1].
11 51. 3.

306
7.2. . (
[7.1], [7.1]), (
[7.1], [7.1]), (
[7.1]), ( [7.1], [1.1]), ( [7.1]).
( [7.1], [7.1]), ( [7.1]), (, [7.1], ( [7.1]).
. , (fiducial (.) , ). [1.2]
: , .
, .... ... . ,
. . [1.1], [7.1].
, . [7.1].
7.3. [7.1],
[7.1], [7.1], [7.1], [7.1]. , ,
.
7.6. , . . , [7.1] [7.3],
[7.1] [7.4], [7.1], [7.1], [7.1]; . [7.1].
, ,
_ ,
< ,
~ \ (),
>0.
<
, ,
, . , , . ,
.
[7.1], [7.1].
. . .
7.7. , , .
[1.1], , [7.1], , [7.1],
[7.1], [7.1], [7.1], [7.2],
[7.1], - [7.1]. . . ()

307
: () = detH n , : {) = trHn : () ^.().
[7.1] , det < tr~~ir~det < \,().

trH n ( ), a d e t # n .
8
8.2. [3.1].
[8.1].
8.3.
. , [8.1]. , , . [1.2], [8.1] [8.3]
[8.1]. ,
, ,
1/, [8.2]. (^'[s] = )
.
[8.1].
[8.1] [8.1]. ,
[8.1], .
8.4. ,
, [1.1], [1*2], [8.1],
[8.1], .
8.5. [8.1], , [8.1], [8.1], [8.2], [8.1],
[1.1], [1.1], [1.2], [8.1],
[8.1].
8.6. (., , [2.1] [8.1], ). , ,
[8.1], [8.1] [8.3].
8.8. , () , ,
<() (8.8.10) (8.8.23) (., , [2.1], [4.1], [4.1]).
(8.7.11) () ( 7())
.
.
. ,
, , , FQ[S] (8.8.13)
^' (8.8.16) , , .
11"

308
S.9. ,
(., , [8.4], [7.1], [8.1]), . , , ,
() *. ,
.

. , ,
[8.1].

[8.1], , [8.1], ,
[1.1], [1.1].

. [8.1], [8.2] ,
[8.1] .
.
. . . . . .
9
9.1. , ,
. (9.1.1) ,
(., , [1.1], [9.1], [9.1], [9.1]).
[1.3]. [9.1]
,
.
9.2. , . . , .
,
[9.1], [9.2].
[9.1], [9.1], [9.1], , [9.1], [9.1], [9.1], [9.1],
[9.1], [9.1], [9.1] .
. 1.
(9.2.16) (9.2.17)
[9.2].
9.3. (9.3.31) [9.1]. , F'[e] = v(n) = x(n)
, , [9.1], [9:1],
[9.1], [9.1], [9.2].
[9.1]. , .
9.4. [9.1] [9.1].
.

309

[9.1], [9.1]. 6 , [9.1]
ARMA-
.
[9.1]. , ,
. [7.1], [9.1]
.
9.5. .
[9.1], .
9.6. .
, [9.1] , [9.1],
( , , .).
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[9.1],
.
10
10.1. , , - [10.1]
[10.1] [10.1]. [10.1], [10.1],
[10.1], , [10.1] .
, , ,
[10.1], [10.1] , ,
[10.1], [10.1]
. . ,

I 1 0 - 1 !-

10.2. [10.1],
.
[10.1], (. [10.1]),
[10.1] .
10.3. (Back Propagation)
, [10.1].
[10.1]. ,
(., , [10.1]).
10.4.
1/ (., ,
[10.1]). .

.

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