Re: White Noise in Simulation
- To: mathgroup at smc.vnet.net
- Subject: [mg103603] Re: White Noise in Simulation
- From: "gigabitbucket at BrockEng.com" <gigabitbucket at BrockEng.com>
- Date: Wed, 30 Sep 2009 04:58:48 -0400 (EDT)
- References: <h9p69i$vu$1@smc.vnet.net> <h9srkm$p1v$1@smc.vnet.net>
Slip, I don't have an answer for this, but I do have a problem with the foundations of the question. You're asking for a representation of white noise, continuous in time, but white noise is inherently continuous in frequency too. Then, you propose to solve the de with NDSolve, which often reduces to a step-wise solution. It just doesn't hang together for me. Your problem statement has the strong scent of frequency domain in the first place. Advice is often worth what you pay for it. Fred Klingener On Sep 29, 7:39 am, SlipperyWeasel <slipperywea... at gmail.com> wrote: > 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?