Re: Re: White Noise in Simulation
- To: mathgroup at smc.vnet.net
- Subject: [mg103607] Re: [mg103576] Re: White Noise in Simulation
- From: Dan Dubin <ddubin at ucsd.edu>
- Date: Wed, 30 Sep 2009 04:59:36 -0400 (EDT)
- References: <h9p69i$vu$1@smc.vnet.net> <200909291136.HAA25463@smc.vnet.net>
>On Sep 27, 10:16 pm, SlipperyWeasel <slipperywea... at gmail.com> wrote: >> I am trying to add random noise to a function inside an NDSolve >> function. Is there a good way to add a "noise function" in my model? > >for example, my system is: x'[t] == x[t] + Sin[t] + v >where v is Gaussian white noise. > >v has to be a continuous function of t in order to use NDSolve on the >ODE, but it also should be uncorrelated. How can I make this a >continuous function while still making it uncorrelated? Your noise function must have a finite correlation time to be realizable, and be a continuous function to work with NDSolve. Here is a continuous random function a(t, dt) consisting of a series of peaks of width dt with random amplitudes amp[n] between +-1 amp[n_] := amp[n] = RandomReal[{-1, 1}]; a[t_, dt_] := amp[Floor[t/dt]] Sin[2 Pi Mod[t, dt]/dt]^2 -- Dan Dubin
- References:
- Re: White Noise in Simulation
- From: SlipperyWeasel <slipperyweasel@gmail.com>
- Re: White Noise in Simulation