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1.1. Introduccin
Citar ejemplos industriales.
Sensor de nivel
1.2. Perturbaciones
1.3. Conceptos de Probabilidad
Generador de nmeros aleatorios
%x=[];
%a=.55;
%b=pi;
%x(1)=a;
%for i=1:1000%
%x(i+1)=x(i)*b;
%x(i+1)=x(i+1)-floor(x(i+1));
%end
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40
60
80
100
0.09
0.08
0.07
0.06
0.05
0.04
0.03
0.02
0.01
0
-2
-1
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-2
-1
1.3.5. Esperanza.
E ( x , k 1 ) = f x ( k 1 , ) d = m( k 1 )
[1.1]
mx=mean(x);
my=mean(y);
[mean(x) fx*kx' mean(y) fy*ky']
ans =
3.0072
3.0069
3.0055
3.0061
1.3.6. Momentos
E X n = x n f X ( x ) dx
b
[1.2]
Ex=fx*(kx.^2)';
Ey=fy*(ky.^2)';
[Ex Ey]
ans =
10.0150
9.2366
momentos centrados
n
E ( X m X ) =
(x m )
b
f X ( x ) dx
[1.3]
Ex1=fx*(kx-mx)';
Ex2=fx*((kx-mx).^2)';
Ey1=fy*(ky-my)';
Ey2=fy*((ky-my).^2)';
[Ex1 Ex2 Ey1 Ey2]
ans =
-0.0003
0.9734
0.0005
0.2002
1.3.7. Varianza
[cov(x) fx*((kx-mx).^2)' std(x)
cov(y) fy*((ky-my).^2)' std(y)]
ans =
0.9719
0.9734
0.9859
0.1999
0.2002
0.4470
0.07
0.06
0.05
0.04
0.03
0.02
0.01
0
-2
-1
Una variable aleatoria (escalar) se dice que tiene una distribucin Gaussiana o
Normal si su funcin de densidad de probabilidad est dada por:
pX ( x ) =
1
X
( x mX )2
exp
2 2X
2
[1.4]
E [ XY ] =
xyf X ,Y ( x, y ) dxdy
[1.5]
crxx=xcorr(x,x);
crxz=xcorr(x,z);
crxy=xcorr(x,y);
14
x 10
12
10
8
6
4
2
0
-2
0.5
1.5
2
x 10
1.25
x 10
1.2
1.15
1.1
1.05
1
0.95
0.9
0.85
50
100
150
200
250
1.3.10. Covarianza
Las correlaciones entre las variables centradas E [X E [X ]] e E [Y E [Y ]] se
denomina covarianza de X e Y, y se denota:
[1.6]
llamando mX = E [ X ] y mY = E [Y ] resulta:
[1.7]
r XY (j,k)= 0
[1.8]
= ( x - m Xj ) f(X,j,k) dx
2
[1.9]
cvxx=xcorr(x-mean(x),x-mean(x));
cvxz=xcorr(x-mean(x),z-mean(z));
cvxy=xcorr(x-mean(x),y-mean(y));
plot([-9:11],cvxx(9991:10011));grid
10000
8000
6000
4000
2000
-2000
-10
-5
10
15
10
plot([-9:11],cvxy(9991:10011));grid
2000
1500
1000
500
-500
-10
-5
10
15
10
15
plot([-9:11],cvxz(9991:10011));grid
200
150
100
50
-50
-100
-150
-10
-5
11
m=100;
n=1000;
x=randn(m,n)+3;
den=[1 -.94];
num=sum(den);
y=filter(num,den,x);
plot(y(:,1:10)); grid
3.5
2.5
1.5
0.5
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40
60
80
100
12
70
60
50
40
30
20
10
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100
13
nb=50;
[fy,ky]=hist(y',nb);
waterfall([1:m],[1:nb],fy)
500
400
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200
100
0
60
100
40
80
60
20
40
0
20
0
14
FX ( X (t0 ) , t0 ) = P ( X ( t0 ) xt 0 )
[1.11]
FX ( X (t1 ) , X ( t2 ) , t1 , t2 ) = P ( X ( t1 ) xt1, X ( t 2 ) xt 2 )
[1.12]
Fx=cumsum(fx);
Fy=cumsum(fy);
mesh([1:m],[1:nb],Fx)
15
mesh([1:m],[1:nb],Fy)
16
xf X (t ) ( x ) dx
[1.13]
mx=mean(x');
plot([mx kx'*fx/n]);grid
3.1
3.05
2.95
2.9
2.85
50
100
150
200
my=mean(y');
plot([my' (ky'*fy/n)']);grid
17
3.5
2.5
1.5
0.5
20
40
60
80
100
1.4.4. Autocorrelacin
La funcin de autocorrelacin del proceso X (t ) se define como el valor esperado
del producto de las variables aleatorias X (t1 ) y X (t2 ) en los instantes t1 y t2
respectivamente, es decir:
+
RX (t 1, t2 ) = E X ( t1 ) X ( t2 ) =
[1.14]
crxx=[];
for i=1:m
crxx(i,:)=xcorr(x(1,:),x(i,:));
end
mesh([1:m],[1:1999],crxx')
18
1.4.5. Autocovarianza
La funcin de autocovarianza del proceso estocstico X (t ) se define como:
[1.15]
cvxx=[];
for i=1:m
cvxx(i,:)=xcorr(x(1,:)-mean(x(1,:)),x(i,:)-mean(x(i,:)));
end
mesh([1:m],[1:1999],cvxx')
19
cvyy=[];
for i=1:m
cvyy(i,:)=xcorr(y(1,:)-mean(y(1,:)),y(i,:)-mean(y(i,:)));
end
mesh([1:m],[1:1999],cvyy')
20
21
[1.16]
cvxx=[];
for i=1:m
cvxx(i,:)=xcorr(x(1,:)-mean(x(1,:)),x(i,:)-mean(x(i,:)));
end
mesh([1:m],[1:1999],cvxx')
R (t , t ) R XY ( t1, t2 )
R ( t1, t2 ) = X 1 2
RYX ( t1 , t2 ) RY ( t1 , t2 )
[1.17]
[1.18]
cvxy=[];
for i=1:m
cvxy(i,:)=xcorr(x(1,:)-mean(x(1,:)),y(i,:)-mean(y(i,:)));
end
mesh([1:m],[1:1999],cvxy')
22
70
60
50
40
30
20
10
0
-10
20
40
60
80
100
23
d 2x
dx
+c
= f
2
dt
dt
[1.19]
dx
dt
dx1
1 x1 0
dt 0
=
+
c 1 f
dx2 0 m x2 m
dt
[1.20]
[1.21]
[1.22]
fdt es el impilso que recibe la partcula por lo que se puede asociar a un proceso de
Wiener.
La media,
dmx (t )
= Amx (t )
dt
[1.23]
24
dPx (t)
= APx ( t) + Px (t ) AT + Rx 1
dt
[1.24]
Rx ( s, t ) = ( s, t) Px ( t)
[1.25]
mx (0) = 0 mx (t ) = 0 t
[1.26]
1 x
0
dx1 0
1
dt
=
+
1 dW
dx 0 c
x
2
2
m
m
[1.27]
1
1
t 0
(t ) = exp
c dt =
0 0
m
0
m
ct
1 exp
c
m
ct
exp
[1.28]
la matriz de covarianza,
dP1
dt
dP2
dt
dP2
0
1 P1
dt =
dP3 0 c m P2
dt
P2 P1
+
P3 P2
0 0
P2 0
+
P3 1 c m 0
0
r
m2
[1.29]
[1.30]
dx
dP (0)
= cte , 3
=0
dt
dt
P3 (0) =
r
2mc
25
1
1
kT = mE x22
2
2
[1.31]
1
1
r
kT = m
2
2 2mc
[1.32]
r = 2kTc
[1.33]
reemplazando resulta
P1 (t) = 2
kT
c
P2 ( t) =
kT
c
P3 (t ) =
kT
m
ct
m
m
t c 1 e
1 e ct m
[1.34]
[1.35]
[1.36]
la correlacin ser
r11 ( s, t ) = P1 (t) +
c ( s t)
m
m
1
P2 (t )
c
kT c ( s t) m
r22 ( s, t ) =
e
m
[1.37]
26