dorsal/arxiv
View SchemaEfficient generation of correlated random numbers using Chebyshev-optimal magnitude-only IIR filters
| Authors | Alejandro Rodriguez, Steven G. Johnson |
|---|---|
| Categories | |
| ArXiv ID | physics/0703152 |
| URL | https://arxiv.org/abs/physics/0703152 |
Abstract
We compare several methods for the efficient generation of correlated random sequences (colored noise) by filtering white noise to achieve a desired correlation spectrum. We argue that a class of IIR filter-design techniques developed in the 1970s, which obtain the global Chebyshev-optimum minimum-phase filter with a desired magnitude and arbitrary phase, are uniquely suited for this problem but have seldom been used. The short filters that result from such techniques are crucial for applications of colored noise in physical simulations involving random processes, for which many long random sequences must be generated and computational time and memory are at a premium.
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"abstract": "We compare several methods for the efficient generation of correlated random\nsequences (colored noise) by filtering white noise to achieve a desired\ncorrelation spectrum. We argue that a class of IIR filter-design techniques\ndeveloped in the 1970s, which obtain the global Chebyshev-optimum minimum-phase\nfilter with a desired magnitude and arbitrary phase, are uniquely suited for\nthis problem but have seldom been used. The short filters that result from such\ntechniques are crucial for applications of colored noise in physical\nsimulations involving random processes, for which many long random sequences\nmust be generated and computational time and memory are at a premium.",
"arxiv_id": "physics/0703152",
"authors": [
"Alejandro Rodriguez",
"Steven G. Johnson"
],
"categories": [
"physics.comp-ph",
"physics.data-an"
],
"title": "Efficient generation of correlated random numbers using Chebyshev-optimal magnitude-only IIR filters",
"url": "https://arxiv.org/abs/physics/0703152"
},
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