White Noise in Simulation
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From: SlipperyWeasel on 27 Sep 2009 22:16 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?
From: SlipperyWeasel on 29 Sep 2009 07:39 On Sep 27, 10:16 pm, SlipperyWeasel <slipperywea...(a)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?
From: Albert Retey on 29 Sep 2009 07:42 Hi, > 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? this is possible but has its pitfalls and has been discussed before, see if this discussion helps: http://forums.wolfram.com/mathgroup/archive/2009/Jul/msg00656.html hth, albert
From: Vince on 29 Sep 2009 07:45 On Sep 27, 10:16 pm, SlipperyWeasel <slipperywea...(a)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? If the shape of the distribution isn't critical (flatter than Gaussian), how about a sine function for the "noise function"? Very simple, fast, and deterministic. Just make it high enough frequency to decorrelate quickly. Vince Virgilio
From: Kevin J. McCann on 29 Sep 2009 07:46
Can you give us an example? SlipperyWeasel 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? > |