Applying the Monte Carlo method for optimum estimation in systems with random structure (Q1087523)

The Monte Carlo method is used to perform approximate calculations of optimum estimates for filtration, interpolation and extrapolation in systems with random structure. In the systems examined, structural changes occur either when the coordinate vector goes from one domain of the phase space to another, or is initiated by a Markov chain independent of the coordinates. Examples illustrating the method are presented. A procedure for the approximate calculation of the estimate for the ''failure'' time of a random sequence is presented.