PLNoise: a package for exact numerical simulation of power-law noises

Many simulations of stochastic processes require colored noises: here I describe a small program library that generates samples with a tunable power-law spectral density: the algorithm can be modified to generate more general colored noises, and is exact for all time steps, even when they are unevenly spaced (as may often happen in the case of astronomical data, see e.g. [N.R. Lomb, Astrophys. Space Sci. 39 (1976) 447]. The method is exact in the sense that it reproduces a process that is theoretically guaranteed to produce a range-limited power-law spectrum 1/f1+β1/f1+β with −1<β⩽1−1<β⩽1. The algorithm has a well-behaved computational complexity, it produces a nearly perfect Gaussian noise, and its computational efficiency depends on the required degree of noise Gaussianity.Program summaryTitle of program: PLNoiseCatalogue identifier:ADXV_v1_0Program summary URL:http://cpc.cs.qub.ac.uk/summaries/ADXV_v1_0.htmlProgram obtainable from: CPC Program Library, Queen's University of Belfast, N. IrelandLicensing provisions: noneProgramming language used: ANSI CComputer: Any computer with an ANSI C compiler: the package has been tested with gcc version 3.2.3 on Red Hat Linux 3.2.3-52 and gcc version 4.0.0 and 4.0.1 on Apple Mac OS X-10.4Operating system: All operating systems capable of running an ANSI C compilerNo. of lines in distributed program, including test data, etc.:6238No. of bytes in distributed program, including test data, etc.:52 387Distribution format:tar.gzRAM:   The code of the test program is very compact (about 50 Kbytes), but the program works with list management and allocates memory dynamically; in a typical run (like the one discussed in Section 4 in the long write-up) with average list length 2⋅1042⋅104, the RAM taken by the list is 200 Kbytes.External routines: The package needs external routines to generate uniform and exponential deviates. The implementation described here uses the random number generation library ranlib freely available from Netlib [B.W. Brown, J. Lovato, K. Russell, ranlib, available from Netlib, http://www.netlib.org/random/index.html, select the C version ranlib.c], but it has also been successfully tested with the random number routines in Numerical Recipes [W.H. Press, S.A. Teulkolsky, W.T. Vetterling, B.P. Flannery, Numerical Recipes in C: The Art of Scientific Computing, second ed., Cambridge Univ. Press, Cambridge, 1992, pp. 274–290]. Notice that ranlib requires a pair of routines from the linear algebra package LINPACK, and that the distribution of ranlib includes the C source of these routines, in case LINPACK is not installed on the target machine.Nature of problem: Exact generation of different types of Gaussian colored noise.Solution method: Random superposition of relaxation processes [E. Milotti, Phys. Rev. E 72 (2005) 056701].Unusual features: The algorithm is theoretically guaranteed to be exact, and unlike all other existing generators it can generate samples with uneven spacing.Additional comments: The program requires an initialization step; for some parameter sets this may become rather heavy.Running time: Running time varies widely with different input parameters, however in a test run like the one in Section 4 in this work, the generation routine took on average about 7 ms for each sample.