colored_noise

colored_noise, a C++ code which generates sequences that simulate 1/f^alpha power law noise. This includes white noise (alpha = 0), pink noise (alpha = 1) and brown noise or Brownian motion (alpha = 2), but also values of alpha between 0 and 2.

The original code listing by Kasdin referenced a number of functions from the Numerical Recipes library (FOUR1, FREE_VECTOR, GASDEV, RAN1, REALFT, VECTOR). Numerical Recipes is a proprietary library whose components cannot be freely distributed. Moreover, the referenced functions have some peculiarities of implementation (the FFT is not normalized; the FFT data must be a power of 2 in order; the code uses single precision real arithmetic).

In the code presented here, references to Numerical Recipes functions have been replaced by references to, and the source code of, nonproprietary code. In particular, the Fourier transform is implemented by a "slow Fourier transform" method, and by simple uniform and normal random number generators. You are welcome to make an efficient code by replacing these routines. The purpose of this posting is primarily to demonstrate the method.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

colored_noise is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

Related Data and Programs:

BLACK_SCHOLES, a C++ code which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.

colored_noise_test

CORRELATION, a C++ code which contains examples of statistical correlation functions.

ORNSTEIN_UHLENBECK, a C++ code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

PINK_NOISE, a C++ code which computes a "pink noise" signal obeying a 1/f power law.

SDE, a C++ code which illustrates the properties of stochastic differential equations (SDE's), and common algorithms for their analysis, by Desmond Higham;

SFTPACK, a C++ code which implements the "slow" Fourier transform, intended as a teaching tool and comparison with the fast Fourier transform.

STOCHASTIC_RK, a C++ code which applies a Runge-Kutta scheme to a stochastic differential equation.

UNIFORM, a C++ code which computes elements of a uniform pseudorandom sequence.

Reference:

1. Martin Gardner,
   White and brown music, fractal curves and one-over-f fluctuations,
   Scientific American,
   Volume 238, Number 4, April 1978, pages 16-32.
2. Jeremy Kasdin,
   Discrete Simulation of Colored Noise and Stochastic Processes and 1/f^a Power Law Noise Generation,
   Proceedings of the IEEE,
   Volume 83, Number 5, 1995, pages 802-827.
3. Edoardo Milotti,
   1/f noise: a pedagogical review,
   arXiv:physics/0204033.
4. Sophocles Orfanidis,
   Introduction to Signal Processing,
   Prentice-Hall, 1995,
   ISBN: 0-13-209172-0,
   LC: TK5102.5.O246.
5. William Press,
   Flicker Noises in Astronomy and Elsewhere,
   Comments on Astrophysics,
   Volume 7, Number 4, 1978, pages 103-119.
6. Miroslav Stoyanov, Max Gunzburger, John Burkardt,
   Pink Noise, 1/f^alpha Noise, and Their Effect on Solutions of Differential Equations,
   International Journal for Uncertainty Quantification,
   Volume 1, Number 3, pages 257-278, 2011.

Source Code:

• colored_noise.cpp, the source code.
• colored_noise.sh, compiles the source code.
• colored_noise.hpp, the include file.