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Media type:
E-Article
Title:
Fast synthesis of persistent fractional Brownian motion
Contributor:
Inácio, Pedro R. M.;
Freire, Mário M.;
Pereira, Manuela;
Monteiro, Paulo P.
imprint:
Association for Computing Machinery (ACM), 2012
Published in:ACM Transactions on Modeling and Computer Simulation
Language:
English
DOI:
10.1145/2133390.2133395
ISSN:
1049-3301;
1558-1195
Origination:
Footnote:
Description:
<jats:p>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 long-range dependence. This article describes a new algorithm to approximate persistent fractional Brownian motions with a predefined Hurst parameter. The algorithm presents a computational complexity of<jats:italic>O</jats:italic>(<jats:italic>n</jats:italic>) and generates sequences with<jats:italic>n</jats:italic>(<jats:italic>n</jats:italic>∈ N) values with a small multiple of log<jats:sub>2</jats:sub>(<jats:italic>n</jats:italic>) variables. Because it operates in a sequential manner, the algorithm is suitable for simulations demanding real-time operation. A network traffic simulator is presented as one of its possible applications.</jats:p>