Thread Subject:

How to correctly add random noise to equations while solving ode

Hi all,
   I am not sure how to add a gaussian random noise to a system of ode correctly in matlab. Basically, what I want to do is the following:
to solve dx/dt=f(x)+n(t)
while n(t) is a gaussian random noise satisfying <n(t)n(t')>=T*delta(t-t'), where T is the noise temperature so that the noise at each time step is uncorrelated. Thanks!

Dear Alan,

I have the same question.

I know you can do it easily using Simulink in Matlab (just use the noise input block), but I don't like using this environment.
I tried adding a random term in f(x), but then the ode routines fail.

Would be nice if someone had a simple solution.

Regards,
Bas-Jan

On 9 Feb., 11:53, "Bas-Jan " <basjan2...@hotmail.com> wrote:
> Dear Alan,
>
> I have the same question.
>
> I know you can do it easily using Simulink in Matlab (just use the noise input block), but I don't like using this environment.
> I tried adding a random term in f(x), but then the ode routines fail.
>
> Would be nice if someone had a simple solution.
>
> Regards,
> Bas-Jan

Try
http://sdetoolbox.sourceforge.net/

Best wishes
Torsten.

Thanks very much! I think it is exactly what I needed.
(For some reason I did not get a message of you having replied, but the answer is still very useful for me.)