一种基于小波变换的多分形布朗运动合成算法.pdfVIP

2007年 l2月 北 京 航 空 航 天 大 学 学 报 December 2007 第33卷 第l2期 Journal of Beijing University of Aeronautics and Astronautics Vo1．33 NO．12 一 种基于小波变换的多分形布朗运动合成算法 王兆瑞 吕善伟 中村武恒 (北京航空航天大学 电子信息工程学院，北京 100083) (京都大学 电气系，京都615．8510) 摘 要：为了更有效地描述点状奇异性指数沿样本路径变化的信号，利用多分形的 概念，在基于离散小波变换技术的基础上，提出了一种合成多分形布朗运动的新算法．该算法 通过控制高斯白噪声的小波系数权来获得期望的信号局部正则性，而合成过程的收敛性由收 敛因子保证．通过与基于Durbin—Levinson和轮换矩阵嵌入技术算法的比较以及数字仿真试 验，表明提出的算法不仅计算复杂度低，而且适用于生成非高斯的、自协方差函数事先未知的 多分形过程． 关 键 词：小波变换；奇异性；多分形布朗运动 中图分类号：TN 911．7 文献标识码：A 文 章 编 号：1001—5965(2007)12-1417—03 Synthesis algorithm of multifractional Brownian motion with wavelet Wang Zhaorui Lii Shanwei (School of Electronics and Information Engineering，Beijing University of Aeronautics and Astronautics，Beijing 100083，China) Nakamura Taketsune (Graduate School of Engineering，Kyoto University，Kyoto 61 5-851 0，Japan) Abstract：In practice，the signals being analyzed are often very far from regular or smooth，and these ir— regular signals usually have many non—differentiable points，even nowhere differentiable．To describe the sig— nal whose pointwise singularity varies along the sample path，in terms of the concept of multifractal a new al— ， gorithm based on discrete wavelet transform for synthesis of multifractional Brownian motion was proposed．The desired local regularity of the multifractional process was obtained by controlling the weights of the wavelet ex— pansion of the Gaussian white noise．The convergence of the synthesized process was controlled by an experi— mental factor．Compared with both Durbin—Levinson model and cir