SYSTEM ANALYSIS

A. Veligura, L. Guts.

TO PROBLEM OF MATHEMATIC SIMULATION FOR FACTOR ANALYSIS

Factor analysis, regression analysis, statistical dynamics

To processes, which don’t permit the mathematical description, relate, particularly, most of
processes in metallurgy. Such of them are processes of smelting of cast iron, iron-founding,
ore-dressing, rolling of the steel, etc. Too tough for mathematical description are number
processes in chemical and cement industries and in many other branches of industry.
However, irrespective of the fact, if we can or not to make mathematical equations, which
describe any process, it is necessary to control all of the technology processes. And human
can do it. For instance, human controls the processes of smelting of cast iron in blast-
furnace, iron-founding, burning of the cement in spinning furnace etc. Now, when level of the
development of computers, electronics and automatics is allow to set free a human from
many standard operations in industry, the insistent need to create of automatic control
systems of every technology processes including that which are defy the mathematical
description is become ripe.
(p. 160-161)
Pugachiov V.S. Statistic methods in technical cybernetics. PH “Soviet Radio”, 1971, 192 p.,
ed. 11000 copies.

(стр. 160-161).

Пугачев В.С. Статистические методы в технической кибернетике. Изд-во «Советское радио», 1971, 192 стр., т. 11000 экз.

To the epigraph which describes current problem state we will add:

a) considerable positive changes are not marked;
b) the list of technical applications is supplemented with wide spectrum of eco-
nomical applications (stocks exchanges, investments, hierarchical systems
etc).
The ideas of regression analysis are adapt themselves to obtain some depen-
dence between stochastically samples Y (response) and X1, X 2 , ...,X m (factors).
In the simplest case, the result is the linear equation:
Y  k 0  k1X1  k 2 X 2  ...  k m Xm (1)
where k 0 , k1 ,...,k m are coefficients, which determine “weight” of the factor on com-
mon effective index influence Y.
Coefficients of regression equation (1) are calculated by LSM, in such case the Linear
equation system with m+1 indeterminate is solved.
Obviously the model (1) is static and stochastic. For the input data to creation of (1) of-
ten use the files (in paper or electronic form) of stochastic processes
Yt , X1 t , X 2 t , ..., X m t  , where parameter t determined as samples t1 , t 2 , ..., t N  ,
given with frequency more then 2-time then high frequency of spectrum of the corres-
ponding random process, (theorem of Vinner-Kotelnikov-Shennon). Next files
processing is reduced to common schema of the processing of random values. As re-
sult we receive the model (1) with weak adequacy which is often taken away as unac-
ceptable.
The aim of this research is challenge to create a dynamic stochastic regression model
(fig.1).
50

40

30
X1(t)
X2(t) 20
Y
Y, X1, X2, X3

Y(t) 10 Х1
object
0 Х2
Xm(t) 1 9 17 25 33 41 49 57 65 73 81 89 97 105 t Х3
-10

-20

-30

-40

a) b)
Fig.1 Object model (a) and input data sequences (b) for creation of statistical dynamic
model

It is expected that between input random stationary ergodic processes

X1 t , X 2 t , ...,X m t  and output random stationary ergodic processes Y(t) some
cause-effect relation is present. We will try to adequately formalize this relation. The
physical marketability of such objects (fig.1) is based on presence of delays (lags) be-
tween measuring of separate factors X1 t , X 2 t , ...,X m t  and response Y(t).
To determine of lags it is necessary to create appropriate cross-correlation stan-
dardized functions:
R YX1 , R YX2 ,...,R YXm  (Fig.2)
 1,5
1

YX2, RYX3
1

0,5
R YX1 
YxX2,YxX3

X1
0
R
X2 YX 2

1, R

0 2 4 6 8 10 12 14 16 R
X3 YX 3  


RYXYxX1,

3
-0,5

-1
2
-1,5
t

Fig. 2. Cross-correlation standardized functions

Sample of cross-correlation standardized functions (fig.2) shows as very weak

correlation instantly tie (   0 ) and absolute correlations between Y(t) and X(t) with
proper lags 1  6,  2  10, 3  2 .
This fact testify that adequacy of model (1) may be essentially different compare
with model
Yt   k 0  k1X1 t  1   k 2 X2 t  2   ...  k m X m t  m  (2)
Where 1 , 2 ,...,m - appropriated lags.
Calculation of cross-correlation functions makes on well-known algorithms and
lags 1 ,  2 ,..., m are appropriated abscises of sup extr R YX  (fig.2).
The sense of model (2) is on that assessment of current value Y(t) determined by
aggregate of previous values of factors X1 t  1  , X 2 t  2 , …., X m t  m  . Model
(2) with cross-correlation functions of type fig.2 makes absolutely adequacy in coinci-
dence Y(t) for corresponding samples X1 t  1 , X2 t  2 ,..., X m t  m . Example
(fig.2) is artificial for demonstration of differences between models (1) and (2). So,
model (2) is stochastic dynamic linear regression. Approach (2) may be disseminated
obviously on non-linear regression models and will cover wide circle of tasks, which
describes by regression models.
 The practical sense of this research is on, particularly in perception of thing that
activity of operators, who control the object type fig.1(a) and watch only the current
values X1 t , X 2 t , ...,X m t  are absolutely nonsensical.
Model 2 opens probabilities for creating of prognosis values of Yt   and
forming strategy of the control by the complex technical, economical, social systems,
etc.

Literature

1. Куликов Е.И. Методы измерения случайных процессов. – М.: Радио и

связь, 1986. – 272 с.: ил.
2. Теория статистики: Учебник/под ред. Проф. Г.Л. Громыко. – М.: ИН-
ФРА-М, 2002. – 414 с.
To publishing

A. Veligura
L. Guts

26.07.2006

The redaction of this text is allowed with agreement of authors