White noise

About: White noise is a research topic. Over the lifetime, 16496 publications have been published within this topic receiving 318633 citations.

Noise Folding in Compressed Sensing

Abstract: The literature on compressed sensing has focused almost entirely on settings where the signal is noiseless and the measurements are contaminated by noise. In practice, however, the signal itself is often subject to random noise prior to measurement. We briefly study this setting and show that, for the vast majority of measurement schemes employed in compressed sensing, the two models are equivalent with the important difference that the signal-to-noise ratio (SNR) is divided by a factor proportional to p/n, where p is the dimension of the signal and n is the number of observations. Since p/n is often large, this leads to noise folding which can have a severe impact on the SNR.

Introduction to Signal Processing

Abstract: The previous chapter introduced the concept of a random process and explored in depth the temporal (i.e., time-related) properties of such processes. Many of the specific random processes introduced in Chap. 7 are used in modern engineering to model noise or other unpredictable phenomena in signal communications. In this chapter, we investigate the frequency-related properties of random processes, with a particular emphasis on power and filtering.

A stochastic wave equation in two space dimension : Smoothness of the law

Abstract: We prove the existence and uniqueness, for any time, of a real-valued process solving a nonlinear stochastic wave equation driven by a Gaussian noise white in time and correlated in the two-dimensional space variable. We prove that the solution is regular in the sense of the Malliavin calculus. We also give a decay condition on the covariance function of the noise under which the solution has Holder continuous trajectories and show that, under an additional ellipticity assumption, the law of the solution at any strictly positive time has a smooth density.

Explicit solutions of some linear-quadratic mean field games

Abstract: We consider $N$-person differential games involving linear systems affected by white noise, running cost quadratic in the control and in the displacement of the state from a reference position, and with long-time-average integral cost functional. We solve an associated system of Hamilton-Jacobi-Bellman and Kolmogorov-Fokker-Planck equations and find explicit Nash equilibria in the form of linear feedbacks. Next we compute the limit as the number $N$ of players goes to infinity, assuming they are almost identical and with suitable scalings of the parameters. This provides a quadratic-Gaussian solution to a system of two differential equations of the kind introduced by Lasry and Lions in the theory of Mean Field Games [22]. Under a natural normalization the uniqueness of this solution depends on the sign of a single parameter. We also discuss some singular limits, such as vanishing noise, cheap control, vanishing discount. Finally, we compare the L-Q model with other Mean Field models of population distribution.

Some First-Passage Problems in Random Vibration

Abstract: First-passage problems for a lightly damped linear oscillator excited by white noise are described for two types of initial conditions and three different types of barrier configurations. The qualitative behavior of the probability distribution of the time to first passage is discussed. Two numerical procedures utilizing high-speed digital computers are outlined, and quantitative results for first-passage probability densities are displayed. The asymptotic behavior of this density for long mean times to failure is discussed, and a table of experimentally determined mean times to failure is included.