Fast synthesis of persistent fractional Brownian motion

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

  • Affiliations:
  • Instituto de Telecomunicações and University of Beira Interior, Portugal;Instituto de Telecomunicações and University of Beira Interior, Portugal;Instituto de Telecomunicações and University of Beira Interior, Portugal;Nokia Siemens Networks Portugal S. A. and Instituto de Telecomunicações, Portugal

  • Venue:
  • ACM Transactions on Modeling and Computer Simulation (TOMACS)
  • Year:
  • 2012

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Abstract

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 O(n) and generates sequences with n (n& in; 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 traffic simulator is presented as one of its possible applications.