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Efficient generation of correlated random numbers using Chebyshev-optimal magnitude-only IIR filters

Authors
  • Rodriguez, Alejandro
  • Johnson, Steven G.
Type
Preprint
Publication Date
Apr 13, 2007
Submission Date
Mar 14, 2007
Identifiers
arXiv ID: physics/0703152
Source
arXiv
License
Unknown
External links

Abstract

We compare several methods for the efficient generation of correlated random sequences (colored noise) by filtering white noise to achieve a desired correlation spectrum. We argue that a class of IIR filter-design techniques developed in the 1970s, which obtain the global Chebyshev-optimum minimum-phase filter with a desired magnitude and arbitrary phase, are uniquely suited for this problem but have seldom been used. The short filters that result from such techniques are crucial for applications of colored noise in physical simulations involving random processes, for which many long random sequences must be generated and computational time and memory are at a premium.

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