" "

. -

/ /
,
, .
.
:
; - .

,
:
1 ;
2 ;
3 ( );
(
) .
,
. W
.
- :
:
1, 1, 2, ....,
;

2 ( ) x1, x2 .....,
.
,
- ,
.
, 1, 2, ....,
, - ,

x1, x2 ....., , .

. - ,
x1, x2 ..... ,
.
( x1,

x2 .....) ,

,
, .

:
3, 1, 2, ....,
;
4 ( ) x1, x2 .....,
;

5 1, Y2, ....
W

:
W=W( 1, 2, ...., 1, Y2, ....: x1, x2 .....).

1, Y2, .... ,
W x1,

x2 .....,

. ,
1, Y2, .... .
1, 2, ....
1, Y2, ....: x1, x2 .....,
.
1, Y2, ....:
,
.
,

1, Y2, ....: , ,
,
:
- ;
- .
,

 , W1, W2,

..,

Wh

,
.

, .
,

, , :

U=

W1 ...Wm
Wm +1 .....Wk .

,
:

U= 1W1 + 2W2 + + + kWk,

1,

2, .,

k,

W1, ,
:
W2 w2 .....; Wm wm .....;

Wm +1 wm +1 .....;

W k wk .

 .
( , , ):
R1, R2, , Rm

b1, b2, , bm

.
1, 2, , n .
() j
aij Ri (i = 1, 2, , m, j = 1, 2, , n ).
j cj . (j = 1, 2, , n ).
. x1,
1,

2, ,

x2 .....xn

n ,

.

:
a11 x1 + a21 x2 +,..... + am1 xn b1
a21 x1 + a22 x2 +,..... + am 2 xn b2
..............................................
am1 x1 + am 2 x2 +,..... + amn xn bm

xj 0 (j= 1 ,, n).

 x=(x1, x2 .....xn ),
W(a11, . amn ,b1, .., bm

c1, , cn, x1,

x2 .....xn ).

W=c1 x1 + c2 x2 + + cnxn

a11 x1 + a12 x2 +,..... + a1n xn b1

a21 x1 + a22 x2 +,..... + a2 n xn b2

(1)

..............................................
am1 x1 + am 2 x2 +,..... + amn xn bm

xj 0 (j= 1 ,, n).
(1) ,
(1):

b1y1 +b2y2 +.+ bmym

a11y1 + a12y2 + .+ a1nym c1

a21y1 + a22y2 + .+ a2nym c2
...............................................
am1y1 + am2y2 + ..+ amnym cn

(2)

yi 0 (i= 1 ,, m).
y1, y2, ., ym
,
. ,
c1 x1 + c2 x2 + + cnxn b1y1 +b2y2 +.+ bmym

(3)

x1, x2 .....xn y1, y2, ., ym ,

.
x*1, x*2 .....x*n y*1, y*2, ., y*m (1)
(2),

c1 x*1 + c2 x*2 + + cnx*n = b1y*1 +b2y*2 +.+ bmy*m

(4)

,
.
(1), (2), (3) (4) ,

(c1 x*1 + c2 x*2 + +

cnx*n ),

y1, y2, ., ym

, (3) (4)

, (1) (2)

aij, bi cj (i= 1, 2, , m, j = 1, 2, , n ) xj yi
(i= 1, 2, , m, j = 1, 2, , n)
(1) (2)
,
" " 1949 .
(1) (2).

.
m :
C1, C2, , Cm
n

1, 2, , n

C 1,
1,

2, , n . C1,

C2, , Cm

C2, , Cm

a1, a2, , am
1,

2, ,

b1, b2, , bn

:
n

j =1

i =1

b j = ai

C1, C2, , Cm
1,

2, ,

. Ci
j cij (i= 1, 2, , m, j = 1, 2, , n ).
ij , i j
(i= 1, 2, , m, j = 1, 2, , n),
{ij}, ..

m

W=
.

c x
i =1 j =1

ij ij

) :
m

c x
i =1 j =1

ij ij

x
i =1

ij

= bj

j =1, 2, , n

x
j =1

ij

= ai

i =1, 2, ., m

xij 0 i= 1, 2, , m, j = 1, 2, , n .

xij

.
cij, bj ai

cij

i. ai bj
, xij 1.
()

() ().
,
. ,

 ,
,
t.
, , ..
() ,
.
.
- .
1, 2, , k
, m .

K0,
.
.
.
:
.
,
1, 2, , k
?

 .
i

1,

2, ,

:
X i(1) , X i( 2 ) , , X i(k ) ,

i- :
(1)
( 2)
(k )
U = ( X i , X i , , X i ).

:
U = (U1, U2, Um).
,
.

W,
.
( )
m :
W=W(U)=W(U1, U2, Um)
:
U1, U2, Um , W(U) ?
, W(U) ,

u = (u1, u2, , um).
,

W = wi
i =1

wi i- .
:
S0 - , Sw . Wi(S)
, - ,
i- ;
. ,
, S.
ui(S) .

: S
,

max .

: Wi(S) ui(S) i = 1,2, ., m

.

i- . (i-1)
S ui i- .

Wi=wi(S, ui)
.
, , .
,
(i+1) . Ui i- ,
S S
S= i (S, Ui) ( i ).
, ,
i- . Ui,
.
~

Wi ( S , U i )
~

Wi ( S , U i ) = wi ( S , U i ) + Wi +1 ( S ' )

(1)

Wi ( S , U i ) = wi ( S , U i ) + Wi +1 ( ( S , U i )) .

Ui=ui(S), (1) , ..

(2)

Wi ( S ) = Wi ( S , ui ( S )) = max Wi ( S ,U i ) =
Ui

max{ wi ( S , U i ) + Wi +1 ( ( S ,U i ) )}
Ui

Ui=ui(S), max,
.
(2) wi(S,Ui) i(S,Ui) . Wi(S)
Wi+1(S); .
(2)
. Wi(S), Wi+1(S).
Wm(S) (
), . (
S). , ..
(3)

Wm ( S ) = max wm ( S ,U m )
Um

( wm(S,U) ).
Um,
Sw. Um =
um(S), (3) e . .

. , Wm(S) Wm-1(S)
um-1(S) (2). Wm-2(S) um-2(S) ..
W1(S) u1(S).

 W1(S)
( Wi(S) i =1,2,,m),
S.
.
.
u = (u1, u2, , um)
. S0 .
S S0.
Wmax = W1(S0)

u1 = u1(S0).
*
S0 u1 S1

S1* = 1 ( S 0 , u1 ) .
*
*
S1 . u2 = u2( S1 )

S 2* = 2 ( S1* , u 2 )
..
*
*
*
*
*
S0 u1(S0) S1 u2( S1 ) S m 1 um( S m 1 ) S m

S m* S w
S0, ..

S 0 ,
Wmax = W1 ( S 0* ) = max
W1 ( S )
~
ss0

*
S 0 .

- .

:
1. () ..
, ..
2. i- S
Ui
Wi = wi(S, Ui).
3. i- S S
S ' = i ( S ,U i )

4.
(4)

Wi ( S ) = max{ wi ( S , U i ) + Wi +1 ( ( S ,U i ) )}
Ui

5. Wm(S) ( )
Wm ( S ) = max{ wm ( S ,U m )}
Um

. um(S).
6. Wm(S) (4) wi(S,Ui)

i (S ,U i )

Wm-1(S), Wm-2(S), ... , W1(S),

um-1(S), um-2(S), ... , u1(S).
7. S0 .
Wmax = W1 ( S 0 )
. , :
*
*
*
*
*
S0 u1(S0) S1 u2( S1 ) S m 1 um( S m 1 ) S m

K0

( ),
m I II.
, . . I
,
f(X), .
:

(X) < X.
Y II g(Y) :

(Y) < Y.
, K0

 I II. ;
, .
,
m- .

1. , I
II .
..
Ui = (Xi, Yi)
U = (U1, U2,, Um)
2. i-
K , (i-1) .
Ui i- Xi I .; Yi

Yi = K - Xi.
i-
wi(K, Xi) = f(Xi) + g(K Xi).
3. Ui

K = (Xi) + (K - Xi).

4.
Wi ( K ) = max { f ( X i ) + g ( K X i ) + Wi +1 ( ( X i ) + ( K X i ) )}
0 X i K

. Xi(K), ..
.

5. . . :
Wm ( K ) = max { f ( X m ) + g ( K X m )}
0 Xm K

Xm(K) . .
6. Wm (K )
Wm 1 ( K ) = max

0 X m 1 K

{ f ( X m1 ) + g ( K X m1 ) + Wm ( ( X m1 ) + ( K X m1 ) )}

..
Xm-1(K), Xm-2(K), ..., X1(K).

7. K0 Wm ax = W1 ( K 0 ) .
1-
K 1* = ( X 1 ) + ( K X 1 ) .
. 2-

( )

X 2 = x 2 K 1* ..
i-

K i* = ( X i ) + ( K X i )
.

X i = xi K i*1

..
*
*
*
*
*
K0 x1(K0) K 1 x2( K 1 ) K m 1 xm( K m 1 ) K m

*
K m

. I
*
X= {X1, X2, ,Xm}, Y = { K0 - X1, K 1 - X2,

, K m 1 - Xm}.

H0

V0,

Hw,
Vw ( w ).
, H H
(H > H) V. ,
V V (V > V)

.

, .

( )

()
.
S
VOH

, S

() S0 Sw.
, .
.
Vw V0 n1
V =

Vw V0
n1

Hw H0 n2
H =

Hw H0
n2
.

n1=5, n2=4
S0 Sw. .

 ,
m = n1+n2.
. S S0 Sw. m
().
,
( ).

,
:
Hw
10

12
17

13

14

13

14

7
8

12

11

11

12

10

H0

8
11

8
10

11

13

13
14

14

14

14
13

12

20
15

13
12

11

17

10

11

12

14

15

15

13
10

13
12

11

10

14

Sw

17

11

11

13

15
14

13

12

10

15

10

7
12

10

11

10

11

12

14
14

10

12

10

10

8
13

8
10

13

12

7
10

13

15

16

18

20

10
18
12

17

10
20

S0

V0

Vw

n1=8, n2=6 m = n1+n2 = 14.

S0 Sw 14.
,
.
, W :

W = 12 + 11 + 10 + 8 + 11 + 8 + 10 + 10 + 13 + 15 + 20 + 9 + 12 + 14 =
163 .

 !
14 14
Sw.

Sw.
B1 B2 .
B1

17

13

Sw
14

17

B2

B1,
(.. ) 17
, B2 (..
) 14 .
B1 B2.
B1

Sw

17

13

14
17

14

B2

17 B1 :
B1,
Sw 17 . 14 B2.

,

, .
,
14 (B1 B2) 13 .

13 .

- 12
. C1, C2,
C3. .
C1

15

B1

17

13

14
17

C2

Sw

B2
12

C3

1, Sw 15 + 17 =
30 . C1.
2 : Sw B1 B2.
13 + 17 = 30 , 17 + 14 =
31 . , 2 Sw
( ), min
min(30, 31) = 30. C2.
C3 Sw

12 +14 = 26 .

C3.

 .
C1

32

15

B1

17

Sw

17

13

C2

30

14
17

14

B2

12
26

C3

c
( )

, ... , Sw
min .

- .

min
,

, .

, - ( C2
).

, ,
min Sw ( min
). S0.
( )
,

. S0
Sw.
.
. 139
S0 min . -
.

,
.
:
1 ;
2 6 ;
3 .
, .
: 6

.
- , .
: 4
.

. ,

, ,
A .
.
, A .
A ,
.
. ()
(B).
, , , ...., L .

.
: 1, 2, 3, 4, 5 6 ,
.

e A1, A2, , An
:
1. ..
Ai, Ak ,
.
2. A1, A2, , An

( ).
3. A1, A2, , An .
,
-, .
,

Ai

.
, n A1, A2, , An,
m .

,
P(A), ..

P ( A) =

m
n.

.
A1, A2, , A6
P ( A1 ) =
:

= P ( A6 ) =

1
6.

3 ( 3) 6 (. 6).

P ( A) =

2 1
=
6 3.

. .
.

. .

P(A B) = P(A) + P(B).

,
, , , ...., L

P( .... L) = P(A) + P(B)+ ..+ P(C).

B ,
B, ,
PA(B).

.

, , ,
.
P(A B) = P(A).P(B).

.
. P(A B) = P(A).P(B) = P().P().

. , (
,
),
P(A B) = P(A).P(B).
( . B).
:

P( .... L) = P(A).P(B)..P(L).

. .

H1, H2, , Hn

 , Hi,

PH i ( A)

P ( H 1 A) = P ( H 1 ) PH1 ( A)
P ( H 2 A) = P ( H 2 ) PH 2 ( A)
...........................
P ( H n A) = P ( H n ) PH n ( A)
, .. H1, H2, , Hn

P ( A) = P ( H 1 ) PH1 ( A) + P ( H 2 ) PH 2 ( A) + ...... + P ( H n ) PH n ( A)

: , .
1, 2, 3, 4, 5 6.

 ,
.
,
.
.
(-
). :
. -
..
X x1, x2, .,
X=xi.

pi=P(X=xi)
, X xi.

xi pi

. X M(X)

M ( X ) = x1 p1 + x 2 p 2 + .... + x n p n = xi pi
i =1

D( X ) = M ( X M ( X ) ) .
2

1. .
2. S
, .
3.

() .

. S
, :
t0,
( t >t0 )

( t = t0 )

S S1, S2,
, Sn.

()

S)

( ).
:

S ,

:
S1 , ; S2 , ; S3 ; S4 ; S5 .

S1
S2

S3

S4

S5

S.

.
.

 :
,
t1, t2, .
. :

t.
(K )
S i , , K

() S Si.
K

S1( K ) , S 2( K ) , ...., S n( K )
.
, ,
(0)
(1)
( 2)
( 3)
( 4)
. : S1 , S 2 , S1 , S 2 , S 3 ,.......

k S S1, ...., Sn
.
S1( K ) , S 2( K ) , ......., S n( K ) .
:

( )

( )

( )

p1 (1) = P S1(1) , p 2 (1) = P S 2(1) , ......., p n (1) = P S n(1)

.. ;

p1 (k ) = P S1( K ) , p 2 (k) = P S 2( K ) , ......., p n (k) = P S n( K )

- .
n

p (k ) = 1
=1

k.

.. ,
.
p1 (k ), p 2 (k), ......., p n (k) .
,
.
.
,

Pij Si Sj . Pii

).

Si

(..

Pij

P11
P
= 21
....
Pn1

P12
P22
....
Pn 2

... P1n
... P2 n
... ....
... Pnn

Pij

, p1 (k ), p 2 (k), ......., p n (k)

k.
,

Pij = P S (j k ) / Si( k 1)

S (kj )

..

( k 1)
S i .

(|0|) S Sm
..
p1 (0) = 0, p 2 (0) = 0, ......., p n (0) = 0

S1, S2, , Sn Pm1, Pm2, .,Pmn.
p1(1), ., pn(1).
, p1(1)= Pm1, p2(1)= Pm2, ., pn(1)= Pmn.
p1(2), ., pn(2)
:

p1(2) = p1(1)P11 + p2(1)P21 + + pn(1)Pn1

p2(2) = p1(1)P12 + p2(1)P22 + + pn(1)Pn2

pn(2) = p1(1)P1n + p2(1)P2n + + pn(1)Pnn

pi (k ) = p j (k 1) Pij
j =1

: t 1,
t2, t3 t4.

.
.

pi(t) t
Si (i=1, 2, , n).
:
n

p (t ) = 1
=1

Pij

ij

ij = lim

Pi j ( t )

t 0

Pij ( t )

- S t Si t

Sj. :
Pij ( t ) ij t

ij

- ,

.

:
12

S1
31

23

S2

S3

42
24

34

S4

4
: pi(t) ( ).
S .
12

S1
13

S3

32
53

34

S4

S2

45

S5

dp1 (t )
= ( 12 + 13 ) p1 (t )
dt
dp 2 (t )
= 12 p1 (t ) + 32 p3 (t )
dt
dp 3 (t )
= ( 32 + 34 ) p3 (t ) + 13 p1 (t ) + 53 p5 ( t )
dt
dp 4 (t )
= 45 p 4 (t ) + 34 p3 (t )
dt
dp 5 (t )
= 53 p5 (t ) + 45 p 4 (t )
dt
.
t=0 p1=1

p2=p3=p4=p5=0

(
).
.
,
. ,
. , .

,
, .

S1, S, ., Sn,

 ,
.

ij = const

, p1 (t) p2(t),,pn(t),
t
n

p (t ) = 1
i =1

S t .
p1 (t) p2(t),,pn(t) ?
,
.
: S
,

.
?
,
.
(p1, p2, , pn),
lim pi (t ) = pi
t

0 = ( 12 + 34 ) p1
0 = 12 p1 + 32 p3
0 = ( 32 + 34 ) p1 + 13 p1 + 54 p5
0 = 45 p 4 + 34 p3
0 = 53 p5 + 45 p 4
()

S,

.
()
, :

S1

S2

...
...

Sk

...
...

Sn-1

Sn

: ,
;
.
: S0 ; S1
, 2 ; S2 2 , ;
S3 .

S0

S1

S2

S3

()

ij

S1

12

21

S2

23 ...

k-1k

...
kk-1

32

Sk

kk+1 ...

n-2n-1

...
k+1k

n-1n-2

S n-1

n-1n

nn-1

Sn

12 p1 = 21 p 2

23 p 2 = 32 p3
..

k 1k p k 1 = kk 1 p k
..

n 1n p n 1 = nn 1 p n
n

p (t ) = 1
i =1

p2 =

12
p1
21

p3 =

23

p 2 = 23 12 p1
32
32 21

pk =

k 1k

...
p k 1 = k 1k k 2 k 1 12 p1
kk 1
kk 1 k 1k 2 ... 21 .
, 1.

p1 =

1
1+

...
.12 23 12
+
+ ... + n 1n n 2 n 1 12
21 32 21
nn 1 n 1n 2 ... 21

S1

2
3

S2

1
2

S3

3
2

S4

p1, p2, p3 p4.

S1

12

S2

23

Sk

k-1k

n1

23 p 2 = 12 p1
34 p 3 = 23 p 2
..

k 1k p k 1 = kk 1 p k
..

n1 pn = 12 p1
n

p
i =1

p1 :

p2 =

12
p1
23

p3 =

23

p 2 = 12 23 p1 = 12 p1
34
23 34
34

.
pk =

12
p1
kk +1

pn =

12
p1
n1

=1

k+1k

...

n-1n

Sn

p1 =

1
1
1
1
1

1 + 12
+
+ ... +
+

34
n 1n
n1
23

.
: S1 , ; S2 , ; S3
, ; S4 ,
.
,
; 6 ,
. .

S1

S2

48

S3

S4

24

S3
S1

S2

S5
S4

( , )

1. 4 t1, t2, t3
t4. ( S) S1
; S2 ; S3

 ; S4 .

S1
S2

S3

S4

pij

0 .3 0 .4 0 .2 0 .1
0 0 .4 0 .4 0 .2
=
0
0 0.3 0.7
0
0
0
1

:

S1.
. p1(0)=1, p2(0)=0, p3(0)=0, p4(0)=0.

: S 4 S1,
S2, S3 , S4.
,
.

S1
2

S2

1
3
S3
2

1
S4

p1, p2, p3 p4.

:
.

dp1 (t )
= 5 p1 (t ) + p3 (t )
dt
dp 2 (t )
= p 2 (t ) + 2 p1 (t ) + 2 p3 (t )
dt
dp3 (t )
= 3 p3 (t ) + 3 p1 (t ) + 2 p4 (t )
dt
dp4 (t )
= 2 p4 (t ) + p2 (t )
dt

:
0 = 5 p1 + p3
0 = p2 (t ) + 2 p1 + 2 p3
0 = 3 p3 + 3 p1 + 2 p4
0 = 2 p 4 + p 2

 :
(*) p1 + p 2 + p3 + p 4 = 1 .
:
p3 = 5 p1 ,

p 2 = 12 p1 , p 4 = 6 p1 .

(*)
p1 + 12 p1 + 5 p1 + 6 p1 = 1
p1 =

1
,
24

p2 =

1
,
2

p3 =

5
,
24

p4 =

1
4.

.
:
S1 ; S2 , , ; S3
, ; S4 ,
.

.

(0,5 .).
1 .
.

S1

S2

S3

S4

t1 , t 2 , t3 t 4 .
t1 =

1
2 ( . )

t2 =

1
48 ( )

t3 =

1
4 ( )

t4 =

1
24 ( )

12 , 13 , 14 , 41

12 =

1
1
1
1
34 =
23 =
41 =
t3
t1 ,
t2 ,
t4
,

12 p1 = 23 p2
23 p2 = 34 p3
34 p3 = 41 p4
41 p4 = 12 p1
(*) p1 + p 2 + p3 + p 4 = 1 .
:

p2 =

12

p1 p3 = 12 p1 p4 = 12 p1
23 ;
34 ;
41

*) p1

1
1
1
p1 = 1
p1 + 12
+
+

34
41
23

p = 0.615, p =0.026, p = 0,308, p = 0,0051

1
2
3
4

().

; ; ; ..

, . .

(), .
(
),

.
,
(.. )
.

 . ,
, ,

, -

:
,
, ,
(, ).

1 , 1- ;
2

;
3 ;
4 , .
.

:
1 . .
2 . ,
. ,
.

2
,
.

, .

:
n ;

- ;

- ( ,
).
, .

n = 1

().

:
3 . ;
4 . q.
S,

 :
S0 - ;
S1 - .

S0

S1

:
dp 0
= p 0 + p1
dt
dp1
= p1 + p0
dt
p0(t) p1(t) S0 , S1
,
p0(t) + p1(t) = 1 t.
,
q = p0

q = p0 =

0 = p 0 + p1
0 = p1 + p 0
p0(t) + p1(t) = 1

A = q

..

A=

+.

P
P = 1 q

(.. P = p1)

, .

n- . S
, :
S0 ;
S1 , . ;
..... ... .... ..... ... ...
Sk k , . ;
..... ... .... ..... ... ...
Sn .

S0

S1

S2

...

...

Sk

...
...

(k+1)

Sn

,
.

dp 0
= p 0 + p1
dt
dp1
= ( + ) p1 + p0 + 2 p2
dt
.
dpk
= ( + k ) pk + pk 1 + (k + 1) pk +1
dt
.
dpn
= npn + pn 1
dt
. p0, ,
pn, 0 :
p0 +p1++ pn =1

pk =

( / ) k
p0
k!
k= 1,,n

p0 =

1
2

1+
+
+ + +
1!
2!
n!

P= pn ; , q=1-pn; A = q = (1 pn )

n=1,

M m.
S
S0 ;
S1 , ;
S2 , ;
..... ... .... ..... ... ...
Sk , k-1 ;
..... ... .... ..... ... ...
Sm+1 , m .

S0

S1

S2

...
...

Sk

...
...

Sm+1

, ( )


p1 =

p0

p 2 = p 0

.
k

p k = p 0

.
p m +1

p0 =

m +1

p0

1
1+

+ + ... +

m +1

P= pm+1 ; , q=1-pm+1; A = q

n, , m .
S :
S0 ;
S1 , . ;

..... ... .... ..... ... ...

Sk k ,. ;
..... ... .... ..... ... ...
Sn ;
Sn+1 , ;
..... ... .... ..... ... ...
Sn+r , r ;
..... ... .... ..... ... ...
Sn+m , m ;

S0

S1

...

...

Sk

Sn

...
...

(k+1)

Sn+1

...

...

Sn+r

...

...

Sn+m

pk =

( / ) k
p0
k!
k= 1,,n

pn +1 =

p0 =

( / ) n +1
( / ) n + 2
( / ) n + m
p 0 pn+2 =
p
p
=
p0
0
n
+
m
n n!
n 2 n!
n m n!
,
,..,
1
2

n +1

1+
+
+ + +
+
1!
2!
n!
n n!

n+ m

n m n!
P= pm+n=

, q=1-pm+n; A = q

n+ 2

+ 2
n n!

n+ m

+ + m
n n!


()
1.

: .
-
, .
= 0,8 ( )
t = 1,5

1) . q;
2) A;
3) P.
:

S0

S1

S0 ; S1 .

= 0,8 ,

1
= = 0,667
t
( )
q=

= 0,445
+

A = q = 0,8.0,445 0,364 P = 1-q = 0,545

2.

( , n =3)

S0

= 0,8 ,
pk =

1
= = 0,667
t
,

S1

S2

S3

1,2

( / ) k
p0
k!
k= 1, 2, 3

p0=0,312; p1=0,374; 2=0,224; p3=0.090

q=1-p3=0,910 A = q = 0,728
P= p3 = 0,09

3.

. ,
.
= 1 ( ).
1,25 . :

5 P;
6 , ;
7 ;
8

).
.

S0
= 11,25 = 0,8
,

S1
=

S2

S4

1
=
= 1,25
0,8

p0 =

1
1 m+2 , pk = k p0 , P = p

p0 = 0,122; p1 = 0,152; 2 = 0,191; p3 = 0,238; p3 = 0,297

q =1 - P = 0,703 A = q = 0,703

4.

. 2 ,
.

 = 2

(.. 2 ).

2 .
.

S0
n=2; m=3, = 2 ;

S1

S2

1
= =0,5 =
t

n
n
p0
p0
p0
p1= 1! ; pn= n! ; pn+1= nn! ;

S3

S4

S5

n+ m
p0
m
pn+m= n
; =4

p0 = 0,008; P = 0,512

q=1- P = 0,488
A = q = 0,976 ( )

,
, .
.. .
,


, .

.
,
. ..
Ai, Bj ,
.

, ,
. ,
.

, (..
).
: - ( ),
,
?

.
A1Am 1.n
.

SA = (p1,,pm)
A, A1Am
p1,,pm
m

p
i =1

=1

, SA = (q1,,qn)
n

q
j =1

=1

. ,
.
*
*
, S A S B ,

v .

mxn

mxn, m A1Am n
1.n . {aij}.
*
*
S A = (p1,,pm) S B = (q1,,qn).

*
S A . -

v B v,
*
S B .

*
S A , B Bj

a j = p1 a1 j + ..... p m a mj

(j=1,..,n)

*
aj v . S A ..

a = pi aij v
i =1

xi =

j = 1,,n

pi
v i =1,,m

(1)

i =1

p
i =1

=1

i =1,,m.

x
i =1

xj 1

(2)

ij

1
v.

(v),

(3)

x
i =1

min

(1) ..
(4)

a
i =1

ij

x 1

, j = 1,,n, xi 0 .

(3) (4) .

 B ( v
(.. ),
n

y
j =1
n

(5)

a
j =1

yj =

max

ij

yj 1

, i = 1,..,n,

yj 0

qj
v , j =1, ,, n

(3) (4) (5) .

(3) (4) .. .
x1 = min max aij

, x2=x3=xm=0.

, (5) .
.

A1
A2
A3

B1
2
-3
4

B2
-3
4
-5

B3
4
-5
6

5 ( )

A1
A2
A3

B1
7
2
9

B2
-2
9
0

B3
9
0
11

*
S A ,

 ..

v = v + 5
v .

..

1
5

1
1
1
x2 =
x3 =
20 ,
10 ,
20

, .. v = 5 .. v = v -5=0

p1 = x1v' = 1

*
.. S A =

x1 =

p 2 = x2 v' = 1

p3 = x3 v' = 1

{ 1 4 , 1 2 , 1 4} . B

4
S B* =

{ 1 4 , 1 2 , 1 4} .

2x2

- 2x2.

A1
A2

B1
a11
a21

B2
a12
a22

a11 p1 + a 21 p 2 = v
a12 p1 + a 22 p 2 = v
p1 + p 2 = 1
,

S *A

= {p1, p2}

p1 =

a 22 a 21
a11 + a 22 a12 a 21

p2 =

a11 a12
a11 + a 22 a12 a 21

v=

a 22 a11 a12 a 21
a11 + a 22 a12 a 21

*
S B = {q1, q2}

q1 =

a 22 a12
a11 + a 22 a12 a 21

q2 =1 - q1.

A1
A2

B1
-1
1

B2
1
-1

( ).


p1 =

1
1
1
1
p2 =
q1 =
q2 =
2,
2 , v = 0,
2,
2,

2x2.
.
2x2 .
B1

B2

A1
A2
.

a11
a21

a12
a22

y
B1

B2
N
K

L
B2

B1

21

12

22

11

0A
1

p2

SA

p1

A2

.
(x=0) A1, (x=1) A2.
0 1 . S A = { p1 , p 2 } p1
p2 . 1.
A1 A2 2 ,
a11 a21 A2 (
, e B2).

a12

a22

A1 A2 ( , B B2).
N B1B1 B2B2 v
S *A A.
*
B S B = { q1 , q2 }

q1 =

kB2
LB2
q2 =
kB2 + kB1 ,
LB2 + LB1

 2xn mx2
-

2xn mx2. 2xn .

A1 A2
A, B1 B2,
B3B4,..,Bn.

B1 B1,B2 B2, ..Bn Bn. -

*
v S A ( 2x2).

, ,
( ),
,
. :
,
.. B .
A A1A2..Am .
, n
1....n, .
{aij},

 j aij
, ,
-.
?
,
(Ai)
(j) ,
.
(rij) ( i j)
, , j ,
, i.

rij = j aij

rij 0

j = max aij
j

. : (

) 1,..,n, ,

Q1=P(1), ..., Qn=P(n)
n

Q
j =1

=1
.

ai = Q j aij
j =1

ai ( )
Ai0.
Ai0 ,
ai 0 = max ai
i =1,..., n

() ,

..

ri = Q j rij
j =1

i =1, .. ,n

ri 0 = min ri
i

, ..

max min aij = ai0 j0 = W

i

.. Ai0 W
.

-
..

R = min max rij = ri0 j0

i

(. Ai0 , j0 - )

2x2

2x2

Bj

B1

B2

Ai
A1
a11
a12
A2
a21
a22
, , ..
min max a ij max min aij
( ), . .
. -
. A :
S A* = ( p1 , p 2 )

S B* = ( q1 , q 2 )

S A*

- v

a11 p1 + a 21 p 2 = v
a12 p1 + a 22 p 2 = v
p1 + p 2 = 1

,
p1 =

a 22 a 21
a11 + a 22 a12 a 21

p2 =

a11 a12
a11 + a 22 a12 a 21

v=

a 22 a11 a12 a 21
a11 + a 22 a12 a 21

S B* = ( q1 , q 2 )

a11 q1 + a 21 q 2 = v
a12 q1 + a 22 q 2 = v
q1 + q 2 = 1
..
q1 =

a 22 a 21
a11 + a 22 a12 a 21

q 2 = 1 q1 .
:

Bj

B1

B2

-1
1

Ai
A1
A2
. = 1

-1
= 1 .

- :
p1 = 1 ,
2

p2 = 1 ,
2

q1 = 1 ,
2

v = 0,

S A* = 1 , 1
S = 1 ,1
2 2 B*
2 2

q2 = 1 ,
2

2: .

I II; I , II .

B. .
II

, II ,

0,3.
I,
.
1-(1-0,3)2=0,51
, (I
IIs) 0,8.

) , .

. .
?
?
. .
1. 1, 1 I; I-. ,
- -
, .
a11 = 0,51 + (1-0,51)(1-0,8) = 0,608
0,51
(1-0,51) -
(1-0,8) I

2. 2, 1 II, I;
a21 = 1 ?

3. 1, 2 - I, II;
a12 = 1
2.

4. 2, 2 - II, II;
a22= 0,3 + (1-0,3)(1-0,8) = 0,44

0,3 ; (1-0,3) II; (10,8) II;

Bj

B1

B2

Ai
A1
0.608
1
0.608
A2
1
0.44
0.44
1
1
j
max i < min j
!

p1 = 0.558

p2 = 0.412

v =0.768
q1 = 0.588

q2 = 0.412

) 0,608.1 + 1.2 = v

 ) 1.1 + 0,44.2 = v
) : (1, 2),
1;
) : (1, 2),
2.
y
B1

B2
N
K

L
B2

B1

= 0.768

11

21

22

12

0.412

0A

p2

0.588

SA

p1

A2

S A*

(1, 2) ,

.
S B8

- .

. !!!

2xn mx2
2xn.

B1
B2
B3
1
a11
a12
a13
2
a21
a22
a23
n :

Bn
a1n
a2n

(1, 2), B1, B2, ., Bn.

y
B1

B2
B3

B3
Bn

B2
Bn
0

p2

SA*

p1

B1

.
() , ( ) .
2 ; .
.
.
: I, II III, .

II

III

.
.
.
,
.
- .
.
:
1 2 ;
2

1 (1 + 1 + 1) - ;
2 (2 + 1+ 0 ) , ,
;

3 (3 + 0 + 0) , .
.
, .. 1
.

1. 11
a11= ?
2. 21
a21= 1
3. 12
a12= 2/3 (2/3.1/2=1/3)
4. 22
a22= 2/3 (2/3.1/2=1/3) (1-1/3=2/3)
5. 13
a13= 1
5. 23
a23= 2/3

A1
A2
j
max

0
1
1

= min

2/3
2/3
2/3

1
2/3
1

0
2/3

= 2/3 .

2; 2.
y
B1

B3 1

1
B2

B2

B3

SA*

B1
0

2/3

p2

p1

(Portfolio)

I.
=(C, Q, S) (policy), C, Q S
S 0 "" (liability ), (),
( , ,
).
Q 0 (risk premium); ( )
( ), 0 . (
) (claim size). . , S Q

 ,
F(v)=Fc(v)=P{cv}, Fc(0)=0.
= Q/S (relative premium)
U= C/S

(increase portfolio)
(collection)

={ }

N
i i =1

= C , Q, S

i i = 1, 2,, N
N

C = Ci
i =1

Q = Qi
i =1

S = Si
i =1

() .

C (
) :
F (v ) = F C (v ) = P (c v ) .

(uncovarage risk)

R()= P (c Q)

. N
S, . p(0, 1).
S.

0
1-

S
p

K N
P.
. = Np, DK = Np(1-p).

P C = kS = C Nk p k (1 p ) N k = 1, , N

E C = Np S

DC = Np (1 p ) S 2

:
.

Si

Ci a [0, Si].

Ci = riSi (i= 1, , N),

ri
[0,1].
.

,
.

,
.
,
.
.

, .. ,

. , ..
.

1. , ,
,
..
y = y ( p ) y ' = y ( p ) > 0 ( )

2. , ,
, , ..
x = x( p ) x '( p ) < 0 ( ).

y(p) , x(p)
. y(p) x(p)
.

, p*

y ( p*) = x( p*) = q * ,

, - .

x,y

q*

p*

p > p * ,

y ( p ) > x( p) , .. .
- , .
.
.
p < p * , y ( p) < x ( p ) , ..
, .
- .
. ,
,
, .
, , p* ()
.
.

.
.
,
, .

,
. ..
. :

yt = bpt 1 xt = pt ,

b, , t
t.
pt pt-1
pt =

b
pt 1

.

pt pt-1 , ..

yt = xt
().

 ,
p* :

p* =
(1)

b
p*

.

p* =
(2)

b
, q* =
+b
+b

(2) (1)

pt p* =
b> ,

b
( pt 1 p*)

pt p * - pt 1 p * .

x,y

y=bp

p1
p0
p2

x= - p
q1

q2

. b< .

 ,

, .
,
.

. .

.
,

l,

p, ,

= p+l .

y ( p ) = x( )

y ( p ) x( )

= p+l
y ( p ) = x( ) ,
, l .
.. p l ,

d dp
=
+1
dl
dl

(3)

y '( p)

(4)

dp
dp
= x '( )
dl
dl

.
dp d
.
(3) (4) dl dl

dp
x '( )
=
(5) dl y '( p ) x '( )
d
y '( )
=
y '( p) x '( )
(6) dl
q = y ( p )
dq
dp
x '( ) y '( p )
= y '( p )
=
dl
dl y '( p) x '( )

(7)
l

( x '( ) < 0 ) y ( p ) ( y '( p) > 0 ).

dq
<0
( dl
(7) ..
x '( ) < 0, y'(p)>0 ).

 ().
( ) , z1 ,..., zn ,
, y.

y = F ( z1 ,..., zn )

y = z1/1 2 .z1/2 3

n .
,
w1 ,..., wn p.
n

w z
i =1

i i

(1)

py wi zi
i =1

(2)

zF1 ,...,
( z1z,...,
zn )
n

w z

- i =1

i i

z = ( z1 ,..., zn ) .
. g ( z1 ,..., zn )

dg
<0
dzi

0
, zi +

g.

dg

dg
Vg ( z0 ) =
( z0 ) ,..., ( z0 ) 0
dzn
dz1

(2),
p
(3)

dF
wi = 0
dzi

i = 1,..., n

dF
dzi i.

dF
dzi i;
dF
p
dzi .

dF
dzi zi .
.

zi

d 2F
dzi 2 <0.

: y ,
.

wz = wi zi

min

F ( 1z , ...,n z= ) . y

.

.

L( z , ) = wz + ( y F ( z ))
n+1 z1 ,..., zn .
:
dF
= wi
dzi
y = F (z)

dF
wi i, dzi

. ,
w
= i
dF
dzi
( )
-

i.
,
w1
w
> 2
dF dF
dz1 dz2 ,
y
z1 z2 , y.

x1 x2 y=f(x1, x2)
R2.

N ( f , c ) = {x = ( x,1 x2 ) |

f ( x,1 x2 ) = c},

c e .

N ( f , c)

R2 y=f(x1, x2) R3 ,
.
N ( f , c) y=f(x1, x2).
1.

y = 3x1 + 2 x2 = f ( x1 , x2 )

x2

a)

x1

) N ( f , c) = {x = ( x,1 x2 ) |

3x1 +2x 2 =6},

) N ( f , c) = {x = ( x,1 x2 ) |

3x1 +2x 2 =9},

N ( f , c ) N ( f , c) .
, , .
, (3,2).
( -), (3,2)
y = f ( x1 , x2 ) = 3 x1 + 2 x2 .
2.
y = f ( x1 , x2 ) = 4 x12 + 9 x2 2 .

N ( f ,9) = {x = ( x1 , x2 ) | 4x1 +9x 2 =9}

N ( f , 4) = {x = ( x1 , x2 ) | 4x1 +9x 2 =4} .

.

x2

x2

N( f, 9 )

N ( f, 4 )

x1

(0,0).
3.
y = f ( x1 , x2 ) = x1 x2
N ( f ,9) = {x = ( x1 , x2 ) | x1x 2 = 9} N ( f , 4) = {x = ( x1 , x2 ) | x1x 2 = 4} .

x2

x2

)
3

1
3

(-3,3)

(3,3)

(-2,2)

(2,2)

(-2,-2)

(2,-2)

x1

(3,-3)

(-3,-3)
2

2
4

N ( f ,9) e 1 2
(3,3) (-3,-3) ).

N ( f , 9) 3 4

). N ( f , 4) 1 2 ), N ( f , 4) -

 3 4.
: 1, 2 3

?

y = 3x1 + 2 x2

(0,0).

y=9. h.
h R2 N ( f ,9) .

N(f,9)

y=9

x1

x2
2
2
2. y = 4 x1 + 9 x2

(0,0). y=9 ( x1,

x2). E1 x1x2

N(f,9).

y=4 E2. x1x2 N(f,4).

E1
y=9

y=4

E2

x1
N(f,4)
N(f,9)

x2

3.
.
max(min) f ( x1 , x2 )
0
0
0
x= (x1,x2)D, D R2 , .. x = ( x1 , x2 ) D ,

f ( x10 , x20 ) = max(min) f ( x1 , x2 )

( x1 , x2 )D

o
, N(f, C )

f ( x1 , x2 )
0
0
0
o
o
o
D N(f, C ) , x D N(f, C ) C = f ( x1 , x2 ) .

(x1 , x2 )=x
0

x2

D
x2

N(f, C01 )
N(f, C'')

(x1, x2 )
0

N(f, C')

N(f, C02 )

x1

x1

(x1, x2 )=x
0

0
N(f, C ' ), N(f, C '' ), N(f, C1 ) N(f,

C20 ). N(f, C10 ) N(f, C20 )

f ( x1 , x2 ) (.. max, min).

df ( x10 , x20 ) df ( x10 , x20 )

f ( x10 , x20 ) =
,

dx1
dx2
f ( x1 , x2 ) ,

f ( x1 , x2 )

x 0 = ( x10 , x20 ) .

0
0
0
, x = ( x1 , x2 ) ,

-. :

x2
f(x1,x2 )
0

(x ,x )=x
0

x1
:
,

D N(f, C )
.

x2
N(f, C10 )

N(f, 0 )

f=(3,2)

D
(x1,x2 )=x
0

x1

N(f, C )-

f(3,2) , max
0
0
0
0
0
. x = ( x1 , x2 ) x1 = 6, x2 = 0 .

-2x1 + 2 x2 max(min)
x1 + x2 1

D x1 + x2 1
x + 2 x 2
2
1
1
=
2
x
+
-x1

x2

N(f, 0,2 )

2
2x
-x1+

f=(-2,2)

,
D

2
=-

x1

x1+x 2 = -1

f ( x1 , x2 ) = ( x1 1,5)2 + ( x2 5)2 min
x1 0, x2 0

D x1 + x2 2
2 x + 3 x 11
2
1
x2
x
-x+

=2

(1,5, 5)

x2= 0

x1
x1= 0

x
+3
2x

1
=1

, .
(1.5, 5) 2x1+3x2=11. ..
( r)

( x1 1,5) 2 + ( x2 5) 2 =r
2x1+3x2=11
r -.

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.

, () m
, () n . m x n.
A1, 2, ..., Am ,

1, 2, ..., n. ,

: Ai, Bj.
, Ai, Bj
,
aij.
,
Ai, Bj .

.
aij.
, aij.
:

Bj

B1

B2

....

Bn

a11
a21
....
am1

a12
a22
....
am2

....
....
....
....

a1n

Ai
A1
A2

Am

a2n
amn

 . .
mxn.
Bj
Ai
A1
A2

Am

B1

B2

....

Bn

a11
a21
....
am1

a12
a22
....
am2

....
....
....
....

a1n
a2n
amn

:
: - 1,
2,....n. 1 n. Ai
, Bj,
. aij
i - i:

i = min aij
j

min
j

j).
i :

Bj
Ai
A1
A2

B1

B2

....

Bn

a11
a21

a12
a22

....
....

a1n
a2n


Am

....
am1

....
am2

....
....

amn

i, ,
i.
- .. ,
, i,

= max ai
i

= max min aij

j

. ,
.

. .
. aij :

i = max aij
i

= min j

= min max aij

i

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,

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= =
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.

, A1, 2, ..., Am ,
1, 2, ..., n.
S A = ( p1 , p2 ,..., pm ) ,
A1, 2, ..., Am p1 , p2 ,..., pm
, p1 + p2 + .. + pm = 1 .

S B = (q1 , q2 ,..., qn ) ,
q1 + q2 + .. + qn = 1
*
*
S A , S B

 ,
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.
.

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,
.
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.
, ,
..
. ..
.
,

mxn,

S * = ( p1 , p2 ,..., pm ) , S * = (q1 , q2 ,..., qn )

mxn

*
*
: S = ( p1 , p2 ,..., pm ) , S = (q1 , q2 ,..., qn ) ,

 p1 , p2 ,..., pm , q1 , q2 ,..., qn p1 + p2 + .. + pm = 1 q1 + q2 + .. + qn = 1 -
,
.
,
, ,
j .
p1 a11 + p2 a21... + pm am1

p1 a21 + p2 a22 ... + pm am 2

.............................

p1 a1n + p2 a2 n ... + pm amn

x1 =

p1
,

x2 =

p
p2
,...., xm = n

11 x1 + a21 x2 ... + am1 xm1 1

a21 x1 + a22 x2 ... + am 2 xm 1

.............................
an1 x1 + a2 n x2 ... + amn xm 1
x1 ,

x2 ,...., xm
p1 + p2 + .. + pm = 1

x1 , x2 ,..., xm
x1 + x2 + .. + xm =

 .
,
.

..
L = x1 + x2 + .. + xm min
11 x1 + a21 x2 ... + am1 xm 1

a21 x1 + a22 x2 ... + am 2 xm 1

.............................
an1 x1 + a2 n x2 ... + amn xm 1
.

11 y1 + a21 y2 ... + am1 ym 1

a21 y1 + a22 y2 ... + am 2 ym y 1

.............................

an1 y1 + a2 n y2 ... + amn ym 1

y1 =

q1
,

y2 =

q
q2
,...., ym = n

L = y1 + y2 + .. + yn max