Systems and Means of Informatics
2015, Volume 25, Issue 3, pp 24-43
MOMENTS METHODS FOR ANALYTICAL MODELING OF STOCHASTIC SYSTEMS ON MANIFOLDS
Abstract
Problems of accuracy and sensitivity estimation for algorithms of analytical modeling methods (AMM) based on one- and multidimensional initial moments methods (IMM) and central moments method (CMM) in stochastic systems on manifolds (MStS) with Wiener and Poisson noises are considered.
For typical reliability and security problems accuracy and sensitivity, equations for AMM are given. Problems of reduction of equations for IMM and CMM are discussed. The results are the basis of symbolic software tools in MATLAB-MAPLE. A test example for scalar MStS with cubic nonlinearity and multiplicative Gaussian noise is given. Some generalizations are presented.
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[+] About this article
Title
MOMENTS METHODS FOR ANALYTICAL MODELING OF STOCHASTIC SYSTEMS ON MANIFOLDS
Journal
Systems and Means of Informatics
Volume 25, Issue 3, pp 24-43
Cover Date
2015-09-30
DOI
10.14357/08696527150302
Print ISSN
0869-6527
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
accuracy IMM and CMM equations; analytical modeling method (AMM); central moments method (CMM); Hermite polynomials; initial moments method (IMM); one- and multidimensional distribution density; sensitivity IMM and CMM equations; stochastic system on manifold (MStS)
Authors
I.N. Sinitsyn 
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science
and Control", Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
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