Fast, accurate algorithm for numerical simulation of exponentially correlated colored noise

1988409 citationsJournal Article

Authors

Ronald F. Fox · Georgia Institute of Technology

I. R. Gatland · Georgia Institute of Technology

Rajarshi Roy · Georgia Institute of Technology

Gautam Vemuri · Georgia Institute of Technology

Abstract

The normal procedure for numerical simulation of exponentially correlated colored noise is superseded by the novel algorithm presented here. A differential algorithm is replaced by an integral algorithm which is faster, more accurate, and permits the use of longer step sizes.

Topics & Keywords

Probabilistic and Robust Engineering Design stochastic dynamics and bifurcation Scientific Research and Discoveries

Publication Details

Published in: Physical review. A, General physics

Volume 38, Issue 11, pp. 5938-5940

DOI: 10.1103/physreva.38.5938

Field-Weighted Citation Impact: 13.33

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Fast, accurate algorithm for numerical simulation of exponentially correlated colored noise

Authors

Abstract

Topics & Keywords

Publication Details