jburkardt

PINK_NOISE\ Samples of a Pink Noise Signal {#pink_noise-samples-of-a-pink-noise-signal align=”center”} ==============================

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PINK_NOISE is a C++ library which can generate random values taken from an approximate pink noise signal obeying a 1/f power law.

Licensing: {#licensing align=”center”}

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

Languages: {#languages align=”center”}

PINK_NOISE is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs: {#related-data-and-programs align=”center”}

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

COLORED_NOISE, a C++ library which generates samples of noise obeying a 1/f\^alpha power law.

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

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

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

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

Reference: {#reference align=”center”}

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: {#source-code align=”center”}

• pink_noise.cpp, the source code.
• pink_noise.hpp, the include file.

Examples and Tests: {#examples-and-tests align=”center”}

• pink_noise_prb.cpp a sample calling program.
• pink_noise_prb_output.txt, the output file.

List of Routines: {#list-of-routines align=”center”}

• CDELAY2 is a circular buffer implementation of M-fold delay.
• CORR computes the sample correlation of a signal sample.
• CROSS_CORR computes the sample cross correlation between two signal samples.
• RAN1F is a 1/F random number generator.
• RANH is a hold random number generator of period D.
• TIMESTAMP prints the current YMDHMS date as a time stamp.
• WRAP2 is a circular wrap of the pointer offset Q.

You can go up one level to the C++ source codes.

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Last revised on 20 June 2010.