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2
1. ,
............................................................................................. 7
1.1

............................................................ 7
1.2 ............................................................................... 10
1.3 ............................................. 12
1.4 ............ 15
1.5
.............................................................................................................................. 19
2. ................................................................... 24
2.1 .......................................................... 25
2.2 ........................................................................................... 31
2.3
............................................................................. 40
2.4
............................................................................................................... 43
............................................................................................... 48

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[13-15] (,

## .., .., .., .., ..

.

):
K

1 j n j + 1 = y1
j =1

2 j n j + 2 = y 2
j =1

.......................................
K

Mj n j + M
j =1

(1)

= yM

: yi - i ;

n j - j -

; 1 j , 2 j ... Mj 1 , 2 ... M - j -
1 , 2 ... M .
(1)

n j 1 , 2 , ... M
.
.
, (
) ,
.
(1)
( ,

( 1 j 2 j )n j = y1

):

j =1
K

( 3 j 4 j )n j = y2
j =1

......................................

(2)

( Mj M 1 j )n j = y M / 2
j =1

## .., .., .., .., ..

.

yi = y2i 1 y2i .
(1) (2)
.
(1) :

Wx = Kn + = y

(3)

W - (1); x - ; K -
; n -
; - ; y -
(2).
(2) :

K n = y

(4)

K-

yi = y( i ) = y( 2i 1 ) y( 2i ) = y2i 1 y2i ;
K - K K

K ji = K j ( i ) = K j ( 2i 1 ) K j ( 2i ) .
(1) - (4) (..
)
,

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~
y = y +

(5)

y - (4);

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2 3
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CO 2

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CO 2

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10

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1.2

(4), (2).
~
y ,

~ .
n , n
~ n :
n

~ = T( ~y )
n
:

T - , ,
.

## .., .., .., .., ..

.

11

~ n,
(T ) = n
.
(T ) :

~ n = M [n
~] n + n
~ M [n
~ ] = b(T , n) + (T )
(T ) = n
:

~ ] n - ,
b( T ,n ) = M [ n
~

; ,

M [ ] -
;

~ M [n
~ ] - ,
(T ) = n
(T ) .
(T )
D (T ) = M [ (T ) (T )] .
T

~ n)T ( n
~ n)] = bT (T , n)b(T , n) + Sp[ D(T )]
2 (T , n) = M [(n
:

Sp [ D( T )] - () D( T ) ; D( T ) [ d ik ]

n n Sp [ D( T )] = d ii .
i =1

~
() , n
.
n
-.

p( n, ~y )

## .., .., .., .., ..

.

12

p( n, ~y ) - n

~
y . n :

n p( n, ~y ) =

p( n, ~y ) p( n, ~y ) p( n, ~y )
,
,...,
n1
n2
nM

M - n .
:

I n = M [ n p( n, ~y )Tn p( n, ~y )]
~ n
:

D( T ) ( E + n b( T ,n ))I n1 ( E + n b( T ,n ))T
:

E - .
- ,

n . n~ , - ,

1.3
(.,
, [19]). ,
. , , (
) . ,

## .., .., .., .., ..

.

13

, , ,
.

~) .
(n, n
:

~) = n - n
~ ;
- ( n, n
2

~) = n - n
~;
- ( n, n
-

1
~
, n - n
~) =
2
(n, n
~<
0, n - n
2

~,
~
y , n
, .

~
y
.

p( ~y n )

~
y n . ,

~ ) p( ~y n)d~y
R(T , n) = (n, n

(6)

~ . n~ , ,
n
.
n

p( n ) -

, , n ,

R ( T ) (., , [19]):

## .., .., .., .., ..

.

14

~ ) p( ~y n)d~y dn ,
R (T ) = p(n) (n, n

(7)

p( n ) - n ;
p( ~y n ) - ~y
n .
, ,
.

p( n ~y ) n .
n ~
y .

p( ~y n ) p( n )
~
p( n y ) =
,
p( ~y )
:

p( ~y ) - ~y .

R ( T ) :
~ ) p(n ~y )d~y dn
R (T ) = p ( ~y ) (n, n

(8)

R ( T ) (8), ,

.
n ,
,

n = np( n ~y )d n

p( n ~y ) .

## .., .., .., .., ..

.

15

n ,
,

p( n ~y ) .
n
. ,

p( n ~y )

, ( n , n , n ) . ,

.

p( n ) ,

- ,

,

p( n ~y ) .

p( n ~y ) ln[ p( n ~y )]

n . n ,

p( n ~y ) , :

{ln[ p( n ~y )]} = 0 ,

(9)

p( n ~y )

, (
) n .

1.4
,
n (. (4)):

.

16

K n = y
:

~
y = y + ;

- K - ;
y - K- ;

K - ,
( K K
).
K - n

:
1. (
) ,
( y )
V .
2. n
n0

N0 ( ).
3.

V N0 ( V1

N01 ).

- .

y) .
p ( n ~
[19],

p (n ~y ) n n ,
(9).

## .., .., .., .., ..

.

17

(
(4)) n n
:

( N 01 + K T V1K )n = K T V1 ~y + N 01n0

(10)

"" ,
"-1" .
(10)
[19].
(4)

K K ,

~
y n [19].
(10) :

n = ( N 01 + K T V1K ) 1 (K T V1 ~y + N 01n0 )
(11) V

(11)

N0

[19]
( V )
(

12

V = .
.
.
0

0
22
.
.
.
0

N0 ):

... 0

... 0
.
.

.
.
.
.
... K2

(12)

i2 - i- (
).

## .., .., .., .., ..

.

18

12n
0

2
0 2n

.
N0 = .
.
.

.
.
0
0

... 0

... 0
.
.
.
.

.
.
2
... Kn

(13)

2jn - j-
.
,
n
(11). ,
(11).
n (4)
[19]:
- n0 ;
- :

D = ( N01 + K TV1K )1 ;
- :

2 = M [( n~ n )T ( n~ n )] = Sp [ D( T )] .

I n (

n ):

I n = N01 + K TV1K

.

19

(
(4) ) [19].

(
) .
,
- ,

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

N0 (

),
.

1.5

( ).

--. : 1- (
) , 2
, (4), 3
, (11).
I , II , III .

.

20

1 -

(

i2 - i- ),

(

2jn - j-

) (
n0 ) (

n ).
1
3% (

).

100%,
50100%.

## .., .., .., .., ..

.

21

,
( (4))
.
,
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100

( )

(,
)
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6,6 10

- 7,3 10

- 8,5 10

- 6,7 10

- 9,2 10

90%, -
90 %. : - ,
(4); b
, (11); 1 0,5 %; 2 - 1 %; 3 1,5 %; 4
- 2 %; 2 2,5 %; 6 - 3 %.
2 , (0,5%)

( ,
).
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,

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22

2 -

----

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3, 4
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100

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90% ().
: 1,6 10
7,3 10

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23

. 50%
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(4); b
, (11);
1- - 6,6 10
- 6,6 10
5

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24

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25

[20-23].

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2.1

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26

, , [21]). ,
.

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,
. 5
.

5

5 :

x = Fx + Cu
,

z = Hx + Du

(14)

x = [x1 , x2 , , xn ]

- ,

,
;

x - ;
u = [u1 ,u 2 , ,u k ] - ,
T

,
;

## .., .., .., .., ..

.

27

z = [z1 , z 2 , , z m ] - ( ) ,
T

, ;

f f f
1n
F = 21 22

f n1 f n 2 f nn

),
, ;

c c c
1k
C = 21 22
- ,

cn1 cn 2 cnk
;

h h h
1n
-
H = 21 22

hm1 hm 2 hmn
, hij i-
z i j- x j ,
;

d d d

21
22
1
k
- ,
D=

d m1 d m 2 d mk

, ,
.
(14) ()
, () .

## .., .., .., .., ..

.

28

,
, .. xi = xi (t ) , ui = ui (t ) , z i = z i (t ) , f ij = f ij (t ) , cij = cij (t ) , hij = hij (t ) ,

d ij = d ij (t ).
D ,
, .
:

x = Fx + Cu

z = Hx
,

(15)

.
,
t k . , ,
. ,
, ,
.

(15) . , z
, ,
t k .
x
t k t k +1
x = Fx + Cu [24]:
tk +1

(t k +1 , t k )x (t k ) +
x (t k +1 ) =
(tk +1 , )C ( )u( )d ,

(16),

tk

(t , t ) - F .

k +1 k

## .., .., .., .., ..

.

29

(t , ) :

(t , ) = (t ) 1 ( ) ,

(17),

(t ) - , :
(t ) = F (t ) (t ) .

- :

u(t ) = u(t k ) t k t t k +1
(16) :
tk +1

tk +1

tk

tk

## (tk +1 , )C ( )u( )d = u(tk ) (tk +1 , )C ( )d = u(tk )B(tk ) ,

:
B(t k ) =

tk +1

(t

k +1

, )C ( )d - .

tk

t k :

z (t k ) = H (t k )x (t k ) .

t k

k ,

(t , t ) (k ) . (15),

k +1 k
:

## .., .., .., .., ..

.

30

x (k + 1) = (k )x (k ) + B(k )u(k )

z (k ) = H (k )x (k )

(18)

(18)

.

(18)

, , x (k )
k , : x (0 ) ,
u(k ) , (k ) B(k ) .

(18) H (k )
. ,
,
.
(18)
.

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

.
, ,
.
, ,

## .., .., .., .., ..

.

31

x (k + 1) = (k )x (k ) + B(k )u(k ) + (k )w (k )
,

(
)
(
)
(
)
(
)
z
k
=
H
k
x
k
+
v
k

(19)

:
(k ) - ;

w (k ) - ;
v (k ) - ( ).
,

.
, .
, ,
, .

2.2

. .
, .
(., , [24]). , (k ) I ( I ), [24].

.

## .., .., .., .., ..

.

32

x (k + 1) = (k )x (k ) + w (k )

z (k ) = H (k )x (k ) + v (k )

(20)

x (k ) n.
, x (k = 0 )
,
m x0 V x 0 .

z (k ) m.

(k ) , H (k ) .

w (k ) v (k )
,
:

[
]
M [v (k )v (i )] = V (k )

M [w (k )] 0

M w (k )w T (i ) = Vw (k ) ki

M [v (k )] 0

ki

ki - ;
1, k = i
ki =
0, k i
, ,
:

M x (k )w T (i ) 0 ,

M w (k )v T (i ) 0

M x (k )v T (i ) 0 ,

x (k ) ( x (k ) )
z (i ), z (k ) .

x (k ) x (k ) :
.

## .., .., .., .., ..

.

33

,

.
k
()

k.

.
,

P (k ) :

[{

}]

}{

P (k ) = M x (k ) - x - (k ) x (k ) - x - (k )

(21)

,
z (k ) , k.
x (k )
H (k )x (k ) :

x (k ) = x - (k ) + K (k ){z (k ) H (k )x (k )} ,

(22)

K (k ) - , .
, z (k ) H (k )x (k )
x - (k ) z (k ) k.
(22)
K (k ) , ,
.
P(k ) :

P(k ) = M {x (k ) - x (k )}{x (k ) - x (k )}

(23)

(20) (22)
x (k ) (23):

## .., .., .., .., ..

.

34

[({

})

P(k ) = M x (k ) - x - (k ) K (k ) H (k )x (k ) + v (k ) H (k )x - (k )

## ({x(k ) - x (k )} K (k ){H (k )x(k ) + v (k ) H (k )x (k )}) ]

-

(24)

(24), , ,
x (k ) x - (k ) - ,

v (k ) (. M (k )v (k ) 0 ) [20, 25], :
-

## P(k ) = {I K (k )H (k )}P (k ){I K (k )H (k )} + K (k )Vv (k )K (k )

T

(25).

(22) ( )
K (k ) , P(k )
( P(k )
).
[20-26]. [25] ,
,
.
(25) ,
k:

P = (I KH )P (I KH ) + KVv K T
T

(26)

(26):

P = P KHP P H T K T + K (HP H T + Vv )K T

(27) K HP H + Vv K
T

(27)

K ,

KHP P H T K T . (27)

. HP H + Vv
T

. [25]:

S S T = HP H T + Vv

(28)

## .., .., .., .., ..

.

35

(28) , ,
. (27) (28):

P = P KHP P H T K T + K (SS T )K T

(29)

(29) :

## P = P (KS A)(KS A) AAT ,

T

(30)

A - K .
, (30) (29), (30)
(29). :

KSAT + AS T K T = KHP + P H T K T

(31)

(31) , A :

A = P H T (S T )

(32)

(29) K .
(29) K ,
, ,
.
, (30) , :

KS = A

(33)

(33) (32):

K = AS 1 = P H T (S T ) S 1 = P H T (SS T )
1

(34)

, SS HP H + R , :
T

K (k ) = P (k )H T (k ){H (k )P (k )H T (k ) + Vv (k )}

(35)

K (k ) ,
, .

## P(k ) = {I K (k )H (k )}P (k ){I K (k )H (k )} + K (k )Vv (k )K (k ) =

T

= P (k ) K (k )H (k )P (k ) P (k )H T (k )K T (k ) + K (k ) H (k )P (k )H T (k ) + Vv (k ) K T (k )
(36)

## .., .., .., .., ..

.

36

( (34))
(36), :

P(k ) = P (k ) P (k )H T (k ){H (k )P (k )H T (k ) + Vv (k )} H (k )P (k )

(37)

## P(k ) = P (k ) K (k ){H (k )P (k )H T (k ) + Vv (k )}K T (k )

(38)

P(k ) = {I K (k )H (k )}P (k )

(39)

## (37) - (39) P(k )

(39),

.
, (22),
( , k),
K (k ) -
. x (k ) ,
(22) x - (k ) ,
P (k )

. , k+1

x (k + 1) x - (k + 1) P (k + 1) .

x - (k + 1) k+1 ,
(20) x (k ) :

x - (k + 1) = (k )x (k )

(40)

w (k ) ,
w (k 1) .
(k + 1) k+1 :

(41)

## .., .., .., .., ..

.

37

, w (k ) (k ) ,
k+1 :

(42)

,
k+1,

z (k ) ,
.
(22), (35), (39), (40) (42)
.
( )

z (0 )

k=0,
:

x - (0) = m x 0

(43)

P (0) = Vx 0

[27]:

T
T
x - (0 ) = I + H (0 ) H (0 ) H (0 ) z (0 )
1

P (0 ) = I + H (0 ) H (0 )

(44)

- , ;

- .
, k x (k )

x - (0 ) P (0 ) [20].

.

38

6.
,

.
: x - (k )
-
.

m m, z (k ) .
10..20,

. , K (k )
z (k ) w (k ) ,
,
K (k ) .
,
.

, P(k ) , z (k )
w (k ) , .

## .., .., .., .., ..

.

39

: P(k )
P (k ) K (k )H (k )P (k ) (. (39)),

P(k )
,
[28].
P(k )
(Cholesky) [28]:

P(k ) = P

(k )P 2 (k )T
1

(45),

.

40

(k ) - P(k ) .
P(k )
P

[29]:

T

.

. w (k )

v (k )
, [20,
25].

, ..
[29, 30].

2.3

[31-33].

, .

, .

(20),

,
1:

## .., .., .., .., ..

.

41

n(k + 1) = (k )n(k ) + w (k )
,

y (k ) = Kn(k ) + (k )

(47)

n(k ) - k ,
x (k ) ;
K - ,
H (k ) , , K
k , ,
;

y (k ) - z (k )
;

(k ) - v (k ) ;

w (k ) - ,
;

(k ) - .

(k )

,
.
, ,
. (
) ,
, .

, ,
(k ) .

.

, (k ) .
(47) :

## .., .., .., .., ..

.

42

n(k + 1) = n(k ) + w (k )

y (k ) = Kn(k ) + (k )

(48)

, w (k ) (k )

, V (k )

Vw (k ) . , V (k ) Vw (k )
: V (k ) V Vw (k ) Vw .
w (k ) , (k ) .

( )

V , Vw , V

ii

y (k ) , (Vw )ii
.
(22), (35), (40), (42) (46)
(48):

n (k ) = n - (k ) + K (k ){y (k ) Kn (k )}

K (k ) = P (k )K T K P (k )K T + V

(49)

(50)

P(k ) = {I K (k )K }P (k ){I K (k )K } + K (k )V K (k )

(51)

n - (k + 1) = n (k )

(52)

P (k + 1) = P(k ) + Vw ,

(53)

:
n (k ) - k ;

n - (k ) - k .

n - (0 ) = I + K T K

K T y (0 )

P (0 ) = 2 I + K T K

(54)

## .., .., .., .., ..

.

43

2.4

, 5.

CO 2 .
270.
:

n(k + 1) = n(k ) + w (k )
k = 0 5.
5

k = 0

( )

(, .)

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1. / . . . . .: , 1979. 416 .
2. . . . .: - , 1986. 328 c.
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, 1983.192 .
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12.

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50

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