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Hello,
Can somebody please tell me how to generate a noise signal on the basis
of its statistical characteristics?

i want to create a c++ function with the following syntax:

=============================================================
valarray<double> GenerateNoise(int type,double* stats, size_t
sample_size)
=============================================================
arguments:

type - GAUSSIAN, POISSON, UNIFORM

stats - an array of moments
stats[0] = mean
stats[1] = variance

sample_size - size of noise signal required
=============================================================
return value:

valarray<double> of size sample_size
=============================================================

Now what i want to know is a good way to compute the noise values. I
would prefer to compute these values in a flexible manner so that i can
configure the noise type easily.

ideas please. im trying on my own too but suggestions are definitely
going to reduce the time ill take to finish this function.
thankx

siddharth

siddharth.vaghela@gmail.com wrote:

Hello,
Can somebody please tell me how to generate a noise signal on the
basis
of its statistical characteristics?

i want to create a c++ function with the following syntax:

=============================================================
valarray<double> GenerateNoise(int type,double* stats, size_t
sample_size)
=============================================================
arguments:

type - GAUSSIAN, POISSON, UNIFORM

stats - an array of moments
stats[0] = mean
stats[1] = variance

sample_size - size of noise signal required
=============================================================
return value:

valarray<double> of size sample_size
=============================================================

Now what i want to know is a good way to compute the noise values. I
would prefer to compute these values in a flexible manner so that i
can
configure the noise type easily.

ideas please. im trying on my own too but suggestions are definitely
going to reduce the time ill take to finish this function.
thankx

siddharth

The uniform dist is the easy one, you already have that in C.
I think the function is called rand(). You basically needs to
write a wrap-around that maps the uniform <0,1> distribution
accourding to your mean/variance specification.

The Gaussian distribution mapping function can be found, I think,
in "Numerical Recipies in C".

The Poisson distribution is a bit more awkward. First of all,
I believe you need more than two moments to specify it. Second,
it is not clear how to map a uniform distribution to a Poisson
distribution. I remember I asked that question here a couple
of years ago, but no one were able to help me with that one.

Rune

"
type - GAUSSIAN, POISSON, UNIFORM
"

Siddharth,

remember the proof of the theorem that there exists a random variable X
for any left-continuous monotonic function

F: R -> [0,1]

such that X has distribution function F? It is constructive, ie. it
shows how to construct X. The idea is to set X = F^-1(U), where U is a
uniform random variable on [0,1]. There are some details to take care
when calculating F^-1, the generalized inverse of F (this is called the
transformation method).

Another method is to look at the (continuous) density function f and
and generate the random variable X with density f via a two-dimensional
random variable which is uniformly distributed on the area under f
(rejection method).

The usual trick to generate a Gaussian random variable from a uniform
random variable is by using the Central Limit Theorem. I've read here
before that adding 12 unifromly distributed random variables gives a
"close enough" approximation. You can calculate the density of this by
convolution of the uniform distribution and thus bound the
approximation error.

Read all about it in Numerical Recipes (http://www.nr.com).
Regards,
Andor

hey thank u.... i finally got my hands on the Numerical Recipes book :)
so yes im developing the functions now.
also im trying to build a class wrapper for the random sequence
generators.

check y=u.cos(v) where u and v are uniformly distributed

siddharth.vaghela@gmail.com wrote:

Hello,
Can somebody please tell me how to generate a noise signal on the basis
of its statistical characteristics?
....

There is a whole set of rngs in Csound (look via csounds.com), including poisson.


Richard Dobson

siddharth.vaghela@gmail.com wrote:

Hello,
Can somebody please tell me how to generate a noise signal on the basis
of its statistical characteristics?

i want to create a c++ function with the following syntax:

=============================================================
valarray<double> GenerateNoise(int type,double* stats, size_t
sample_size)
=============================================================
arguments:

type - GAUSSIAN, POISSON, UNIFORM

stats - an array of moments
stats[0] = mean
stats[1] = variance

sample_size - size of noise signal required
=============================================================
return value:

valarray<double> of size sample_size
=============================================================

Now what i want to know is a good way to compute the noise values. I
would prefer to compute these values in a flexible manner so that i can
configure the noise type easily.

ideas please. im trying on my own too but suggestions are definitely
going to reduce the time ill take to finish this function.
thankx

siddharth

If your application allows use of open source code, then have a look at
GNU Scientific Library (GSL) at http://www.gnu.org/software/gsl/
Also worth looking are the packages hosted on http://www.netlib.org

Its simple enough to right functions to convert a uniform distribution
to any arbirary one; but libraries like GSL do make a life a lot more
easier. Using the Numerical Recipies book is also a good idea. Except
that their calling convention sometimes is not favored. Also, many of
functions in NR aren't the most optimum available (this I'm sure with
regards to FFT where beating FFTW is difficult).

Regards,

Aditya Sane
<Please remove NOSPAM before replying>

Here is what i have written by myself: reference is the prbability book
by Lyon Garcia. please let me know if i can make this basic class any
better.

class Random
{

public:
double gaussian(const double& m = 0.0, const double& d = 1.0);
int poisson(const double& a);
int geometric(const double& p);
int uniformDis(const int& i, const int& j);
double expon(const double& a);
inline double uniformCon(const double& a = 0.0, const double& b =
1.0);
inline double uniform();

public:
Random();
Random(const unsigned int& seed);
virtual ~Random();

private:
unsigned int seed;
class InvalidParams {};

};

// Random.cpp: implementation of the Random class.
//
//////////////////////////////////////////////////////////////////////

#include "Random.h"

//////////////////////////////////////////////////////////////////////
// Construction/Destruction
//////////////////////////////////////////////////////////////////////

Random::Random(): seed(time(0)) //default seed set to system time state
0
{
srand(seed);
}

Random::Random(const unsigned int& seed): seed(seed) //user defined
seed
{
srand(seed);
}

Random::~Random()
{

}

//////////////////////////////////////////////////////////////////////////
//Uniform Random Number Generator
//////////////////////////////////////////////////////////////////////////
//Range: [0,1)
//////////////////////////////////////////////////////////////////////////

inline double Random::uniform()
{
return ((double)rand()/(double)(RAND_MAX+1));
}


//////////////////////////////////////////////////////////////////////////
//Continuous Uniform Random Number Generator
//////////////////////////////////////////////////////////////////////////
//Range: [a,b]
//////////////////////////////////////////////////////////////////////////

inline double Random::uniformCon(const double& a,const double& b)
{
return (a + (b - a)*uniform());
}

//////////////////////////////////////////////////////////////////////////
//Discrete Uniform Random Number Generator
//////////////////////////////////////////////////////////////////////////
//Range: [i,j]
//////////////////////////////////////////////////////////////////////////

int Random::uniformDis(const int& i,const int& j)
{
return (i + (j - i + 1.0) * uniform());
}


//////////////////////////////////////////////////////////////////////////
//Exponential Random Number Generator with parameter a
//////////////////////////////////////////////////////////////////////////

double Random::expon(const double &a)
{
try
{
if (a == 0.0)
throw InvalidParams();

return (-log(uniform())/a);
}
catch(InvalidParams)
{
cout << "INVALID PARAMETER TO EXPON() - DIVIDE BY ZERO ERROR" <<
endl;
return 0.0;
}
}

//////////////////////////////////////////////////////////////////////////
//Geometric Random Number Generator with parameter p
//////////////////////////////////////////////////////////////////////////
//generates a geometric random variable S = {0,1,2,...} with parameter
p
//////////////////////////////////////////////////////////////////////////

int Random::geometric(const double &p)
{
try
{
if (p == 0.0)
throw InvalidParams();
return ((int)(log(uniform())/log(1.0 - p)));
}
catch(InvalidParams)
{
cout << "INVALID PARAMETER TO GEOMETRIC() - DIVIDE BY ZERO ERROR" <<
endl;
return 0;
}
}

//////////////////////////////////////////////////////////////////////////
//Poisson Random Number generator with mean a
//////////////////////////////////////////////////////////////////////////


int Random::poisson(const double &a)
{
int i;
double u,p,f;
i = 0;
f = p = exp(-a);
u = uniform();
while(f <= u)
{
p *= (a / (i + 1.0));
f += p;
i++;
}
return i;

}

///////////////////////////////////////////////////////////////////////////
//Gaussian Random Number generator with mean m and std deviation d
///////////////////////////////////////////////////////////////////////////



double Random::gaussian(const double &m, const double &d)
{
static double t = 0.0;
double x,v1,v2,r;
if (t == 0.0)
{
do {
v1 = 2.0 * uniform() - 1.0;
v2 = 2.0 * uniform() - 1.0;
r = v1 * v1 + v2 * v2;
} while (r >= 1.0);

r = sqrt((-2.0 * log(r)) / r);
t = v2 * r;
return (m + v1 * r * d);
}
else
{
x = t;
t = 0.0;
return (m + x * d);
}
}

next stop is making a class which will generate sequences of these
random numbers :D
siddharth