Fast synthesis of persistent fractional Brownian motion

Pedro R. M. Inácio; Mário M. Freire; Manuela Pereira; Paulo P. Monteiro

doi:10.1145/2133390.2133395

$Fast Synthesis of Persistent Fractional Brownian Motion PEDRO R. M. INACIO, MARIO M. FREIRE, and MANUELA PEREIRA, Instituto de Telecomunicacoes and University of Beira Interior Ë PAULO P. MONTEIRO, Nokia Siemens Networks Portugal S. A. and Instituto de Telecomunicacoes Ë Due to the relevance of self-similarity analysis in several research areas, there is an increased interest in methods to generate realizations of self-similar processes, namely in the ones capable of simulating longrange dependence. This article describes a new algorithm to approximate persistent fractional Brownian motions with a prede ned Hurst parameter. The algorithm presents a computational complexity of O(n) and generates sequences with n (n N) values with a small multiple of log2 (n) variables. Because it operates in a sequential manner, the algorithm is suitable for simulations demanding real-time operation. A network traf c simulator is presented as one of its possible applications. Categories and Subject Descriptors: F.2.0 [Analysis of Algorithms and Problem Complexity]: Numerical Algorithms and Problems General; G.3 [Mathematics of Computing]: Probability and Statistics Correlation and regression analysis; probabilistic algorithms (including Monte Carlo); stochastic processes; time series analysis; I.6.8 [Simulation and Modeling]: Types of Simulation Continuous; Monte Carlo General Terms: Algorithms, Performance, Theory,$

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Fast synthesis of persistent fractional Brownian motion

Inácio, Pedro R. M.; Freire, Mário M.; Pereira, Manuela; Monteiro, Paulo P.

Follow ACM Transactions on Modeling and Computer Simulation (TOMACS) , Volume 22 (2) Association for Computing Machinery – Mar 1, 2012

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Fast synthesis of persistent fractional Brownian motion

Inácio, Pedro R. M.; Freire, Mário M.; Pereira, Manuela; Monteiro, Paulo P.

Follow ACM Transactions on Modeling and Computer Simulation (TOMACS) , Volume 22 (2) Association for Computing Machinery – Mar 1, 2012

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