scholarly journals APPROXIMATE SOLUTIONS FOR THE KOLMOGOROV-WIENER FILTER WEIGHT FUNCTION FOR CONTINUOUS FRACTIONAL GAUSSIAN NOISE

2021 ◽  
Vol 1 (1) ◽  
pp. 29-35
Author(s):  
V. N. Gorev ◽  
A. Yu. Gusev ◽  
V. I. Korniienko
Keyword(s):  
Integral Equation ◽  
Approximate Solution ◽  
Weight Function ◽  
Fredholm Integral Equation ◽  
Gaussian Noise ◽  
Wiener Filter ◽  
Expansion Method ◽  
Approximate Solutions ◽  
Fractional Gaussian Noise ◽  
Polynomial Expansion Method

Context. We consider the Kolmogorov-Wiener filter for forecasting of telecommunication traffic in the framework of a continuous fractional Gaussian noise model. Objective. The aim of the work is to obtain the filter weight function as an approximate solution of the corresponding WienerHopf integral equation. Also the aim of the work is to show the convergence of the proposed method of solution of the corresponding equation. Method. The Wiener-Hopf integral equation for the filter weight function is a Fredholm integral equation of the first kind. We use the truncated polynomial expansion method in order to obtain an approximate solution of the corresponding equation. A set of Chebyshev polynomials of the first kind is used. Results. We obtained approximate solutions for the Kolmogorov-Wiener filter weight function for forecasting of continuous fractional Gaussian noise. The solutions are obtained in the approximations of different number of polynomials; the results are obtained up to the nineteen-polynomial approximation. It is shown that the proposed method is convergent for the problem under consideration, i.e. the accuracy of the coincidence of the left-hand and right-hand sides of the integral equation increases with the number of polynomials. Such convergence takes place due to the fact that the correlation function of continuous fractional Gaussian noise, which is the kernel of the corresponding integral equation, is a positively-defined function. Conclusions. The Kolmogorov-Wiener filter weight function for forecasting of continuous fractional Gaussian noise is obtained as an approximate solution of the corresponding Fredholm integral equation of the first kind. The proposed truncated polynomial expansion method is convergent for the problem under consideration. As is known, one of the simplest telecommunication traffic models is the model of continuous fractional Gaussian noise, so the results of the paper may be useful for telecommunication traffic forecast.

scholarly journals INVESTIGATION OF THE KOLMOGOROV-WIENER FILTER FOR CONTINUOUS FRACTAL PROCESSES ON THE BASIS OF THE CHEBYSHEV POLYNOMIALS OF THE FIRST KIND

2020 ◽  
Vol 10 (1) ◽  
pp. 58-61
Author(s):  
Vyacheslav Gorev ◽  
Alexander Gusev ◽  
Valerii Korniienko
Keyword(s):  
Integral Equation ◽  
Approximate Solution ◽  
Weight Function ◽  
Structure Function ◽  
Power Law ◽  
Chebyshev Polynomials ◽  
Wiener Filter ◽  
Expansion Method ◽  
Solution Convergence ◽  
Polynomial Expansion Method

This paper is devoted to the investigation of the Kolmogorov-Wiener filter weight function for continuous fractal processes with a power-law structure function. The corresponding weight function is sought as an approximate solution to the Wiener-Hopf integral equation. The truncated polynomial expansion method is used. The solution is obtained on the basis of the Chebyshev polynomials of the first kind. The results are compared with the results of the authors’ previous investigations devoted to the same problem where other polynomial sets were used. It is shown that different polynomial sets present almost the same behaviour of the solution convergence.

scholarly journals ON THE KOLMOGOROV-WIENER FILTER FOR RANDOM PROCESSES WITH A POWER-LAW STRUCTURE FUNCTION BASED ON THE WALSH FUNCTIONS

2021 ◽  
pp. 39-47
Author(s):  
V. N. Gorev ◽  
A. Yu. Gusev ◽  
V. I. Korniienko ◽  
A. A. Safarov
Keyword(s):  
Integral Equation ◽  
Approximate Solution ◽  
Numerical Calculation ◽  
Weight Function ◽  
Structure Function ◽  
Random Process ◽  
Power Law ◽  
Wiener Filter ◽  
Walsh Function ◽  
Better Than

Context. We investigate the Kolmogorov-Wiener filter weight function for the prediction of a continuous stationary random process with a power-law structure function. Objective. The aim of the work is to develop an algorithm of obtaining an approximate solution for the weight function without recourse to numerical calculation of integrals. Method. The weight function under consideration obeys the Wiener-Hopf integral equation. A search for an exact analytical solution for the corresponding integral equation meets difficulties, so an approximate solution for the weight function is sought in the framework of the Galerkin method on the basis of a truncated Walsh function series expansion. Results. An algorithm of the weight function obtaining is developed. All the integrals are calculated analytically rather than numerically. Moreover, it is shown that the accuracy of the Walsh function approximations is significantly better than the accuracy of polynomial approximations obtained in the authors’ previous papers. The Walsh function solutions are applicable in wider range of parameters than the polynomial ones. Conclusions. An algorithm of obtaining the Kolmogorov-Wiener filter weight function for the prediction of a stationary continuous random process with a power-law structure function is developed. A truncated Walsh function expansion is the basis of the developed algorithm. In opposite to the polynomial solutions investigated in the previous papers, the developed algorithm has the following advantages. First of all, all the integrals are calculated analytically, and any numerical calculation of the integrals is not needed. Secondly, the problem of the product of very small and very large numbers is absent in the framework of the developed algorithm. In our opinion, this is the reason why the accuracy of the Walsh function solutions is better than that of the polynomial solutions for many approximations and why the Walsh function solutions are applicable in a wider range of parameters than the polynomial ones. The results of the paper may be applied, for example, to practical traffic prediction in telecommunication systems with data packet transfer.

On Improved Approximate Solution of the Fredholm Integral Equation

2006 ◽  
Vol 6 (3) ◽  
pp. 264-268
Author(s):  
G. Berikelashvili ◽  
G. Karkarashvili
Keyword(s):  
Integral Equation ◽  
Approximate Solution ◽  
Fredholm Integral Equation ◽  
Algebraic Equations ◽  
Order Convergence ◽  
One Dimensional ◽  
Averaging Operator ◽  
Linear Algebraic Equations ◽  
Convergence Solution

AbstractA method of approximate solution of the linear one-dimensional Fredholm integral equation of the second kind is constructed. With the help of the Steklov averaging operator the integral equation is approximated by a system of linear algebraic equations. On the basis of the approximation used an increased order convergence solution has been obtained.

scholarly journals On the Fredholm integral equation associated with pairs of dual integral equations

1969 ◽  
Vol 16 (3) ◽  
pp. 185-194 ◽  
Author(s):  
V. Hutson
Keyword(s):  
Integral Equation ◽  
Approximate Solution ◽  
Bessel Function ◽  
Integral Equations ◽  
Fredholm Integral Equation ◽  
Unknown Function ◽  
Sufficient Conditions ◽  
Neumann Series ◽  
Dual Integral Equations ◽  
Image Position

Consider the Fredholm equation of the second kindwhereand Jv is the Bessel function of the first kind. Here ka(t) and h(x) are given, the unknown function is f(x), and the solution is required for large values of the real parameter a. Under reasonable conditions the solution of (1.1) is given by its Neumann series (a set of sufficient conditions on ka(t) for the convergence of this series is given in Section 4, Lemma 2). However, in many applications the convergence of the series becomes too slow as a→∞ for any useful results to be obtained from it, and it may even happen that f(x)→∞ as a→∞. It is the aim of the present investigation to consider this case, and to show how under fairly general conditions on ka(t) an approximate solution may be obtained for large a, the approximation being valid in the norm of L2(0, 1). The exact conditions on ka(t) and the main result are given in Section 4. Roughly, it is required that 1 -ka(at) should behave like tp(p>0) as t→0. For example, ka(at) might be exp ⌈-(t/ap)⌉.

scholarly journals Approximate Solution of Nonlinear Integral Equations of the Second Kind by Using Homotopy Perturbation Method

2017 ◽  
Vol 65 (2) ◽  
pp. 151-155
Author(s):  
MM Hasan ◽  
MA Matin
Keyword(s):  
Integral Equation ◽  
Exact Solution ◽  
Approximate Solution ◽  
Perturbation Method ◽  
Fredholm Integral Equation ◽  
Homotopy Perturbation Method ◽  
Nonlinear Integral Equations ◽  
Numerical Examples ◽  
Homotopy Perturbation ◽  
Nonlinear Fredholm Integral Equation

In this paper, we apply Homotopy perturbation method (HPM) for obtaining approximate solution of nonlinear Fredholm integral equation of the second kind. Finally, some numerical examples are provided, and the obtained numerical approximations are compared with the corresponding exact solution. Dhaka Univ. J. Sci. 65(2): 151-155, 2017 (July)

scholarly journals Application of Jacobi Polynomials to the Approximate Solution of a Singular Integral Equation with Cauchy Kernel on the Real Half-line

2006 ◽  
Vol 6 (3) ◽  
pp. 326-335
Author(s):  
D. Pylak
Keyword(s):  
Integral Equation ◽  
Exact Solution ◽  
Approximate Solution ◽  
Singular Integral Equation ◽  
Singular Integral ◽  
Jacobi Polynomials ◽  
Approximate Solutions ◽  
Half Line ◽  
Cauchy Kernel ◽  
The Real

AbstractIn this paper, exact solution of the characteristic equation with Cauchy kernel on the real half-line is presented. Next, Jacobi polynomials are used to derive approximate solutions of this equation. Moreover, estimations of errors of the approximated solutions are presented and proved.

scholarly journals An Approximate Solutions of two Dimension Linear Mixed Volterra- Fredholm Integral Equation of the Second Kind via Iterative Kernel Method

2019 ◽  
Vol 6 (2) ◽  
pp. 101-110
Author(s):  
Talaat Ismael Hasan
Keyword(s):  
Integral Equation ◽  
Exact Solution ◽  
Fredholm Integral Equation ◽  
Kernel Method ◽  
Approximate Solutions ◽  
Least Square ◽  
Computer Application ◽  
Numerical Examples ◽  
Running Time ◽  
Two Dimension

Abstract: In this work, we reformulate and apply iterative kernel method (IKM) for solving two dimension mixed Volterra-Fredholm integral equation of the second kind (MVFIE-2). The suitable algorithm for IKM is suggested and the programming for of the algorithm of the technique is written by Matlab programs. The computer application for the algorithm is tested on a number numerical examples. The results which are obtained by this technique compared with exact solution and some new theorems are proved; for decision the results computing the least square error (LSE) of the IKM and running time (RT) for the program.

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