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<H2><A NAME="SECTION00043000000000000000">Iteratively refined surrogates</A></H2>
<A NAME="seciterative">&#160;</A>
In Ref.&nbsp;[<A HREF="node36.html#surrowe" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node36.html#surrowe">30</A>], we propose a method which iteratively corrects
deviations in spectrum and distribution from the goal set by the measured
data. In an alternating fashion, the surrogate is filtered towards the correct
Fourier amplitudes and rank-ordered to the correct distribution.
<P>
Let <IMG WIDTH=47 HEIGHT=28 ALIGN=MIDDLE ALT="tex2html_wrap_inline2008" SRC="img34.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img34.gif"> be the Fourier amplitudes, Eq.(<A HREF="node9.html#eqpgram" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node9.html#eqpgram">7</A>), of the
data and <IMG WIDTH=28 HEIGHT=24 ALIGN=MIDDLE ALT="tex2html_wrap_inline2010" SRC="img35.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img35.gif"> a copy of the data sorted by magnitude in ascending order.
At each iteration stage (<I>i</I>), we have a sequence <IMG WIDTH=36 HEIGHT=36 ALIGN=MIDDLE ALT="tex2html_wrap_inline2014" SRC="img36.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img36.gif">
that has the correct distribution (coincides with <IMG WIDTH=28 HEIGHT=24 ALIGN=MIDDLE ALT="tex2html_wrap_inline2010" SRC="img35.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img35.gif"> when sorted), and a
sequence <IMG WIDTH=36 HEIGHT=36 ALIGN=MIDDLE ALT="tex2html_wrap_inline2018" SRC="img37.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img37.gif"> that has the correct Fourier amplitudes
given by <IMG WIDTH=47 HEIGHT=28 ALIGN=MIDDLE ALT="tex2html_wrap_inline2008" SRC="img34.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img34.gif">.  One can start with <IMG WIDTH=38 HEIGHT=36 ALIGN=MIDDLE ALT="tex2html_wrap_inline2022" SRC="img38.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img38.gif">
being either an AAFT surrogate, or simply a random shuffle of the data.
<P>
The step <IMG WIDTH=68 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2024" SRC="img39.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img39.gif"> is a very crude
``filter'' in the Fourier domain: The Fourier amplitudes are simply <EM>
replaced</EM> by the desired ones. First, take the (discrete) Fourier transform of
<IMG WIDTH=36 HEIGHT=36 ALIGN=MIDDLE ALT="tex2html_wrap_inline2014" SRC="img36.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img36.gif">:
<BR><IMG WIDTH=500 HEIGHT=46 ALIGN=BOTTOM ALT="equation1038" SRC="img40.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img40.gif"><BR>
Then transform back, replacing the actual amplitudes by the desired ones, but
keeping the phases <IMG WIDTH=126 HEIGHT=38 ALIGN=MIDDLE ALT="tex2html_wrap_inline2028" SRC="img41.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img41.gif">:
<BR><A NAME="eqstep1">&#160;</A><IMG WIDTH=500 HEIGHT=47 ALIGN=BOTTOM ALT="equation1040" SRC="img42.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img42.gif"><BR>
The step <IMG WIDTH=84 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2030" SRC="img43.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img43.gif"> proceeds by rank
ordering:
<BR><A NAME="eqstep2">&#160;</A><IMG WIDTH=500 HEIGHT=25 ALIGN=BOTTOM ALT="equation1042" SRC="img44.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img44.gif"><BR>
It can be heuristically understood that the iteration scheme is attracted to a
fixed point <IMG WIDTH=81 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2032" SRC="img45.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img45.gif"> for large
(<I>i</I>). Since the minimal possible change equals to the smallest nonzero
difference <IMG WIDTH=64 HEIGHT=13 ALIGN=MIDDLE ALT="tex2html_wrap_inline2036" SRC="img46.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img46.gif"> and is therefore finite for finite <I>N</I>, the fixed
point is reached after a finite number of iterations. The remaining discrepancy
between <IMG WIDTH=29 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2040" SRC="img47.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img47.gif"> and <IMG WIDTH=29 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2042" SRC="img48.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img48.gif"> can be
taken as a measure of the accuracy of the method. Whether the residual bias in
<IMG WIDTH=29 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2040" SRC="img47.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img47.gif"> or <IMG WIDTH=29 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2042" SRC="img48.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img48.gif"> is more tolerable
depends on the data and the nonlinearity measure to be used. For coarsely
digitised data,<A NAME="tex2html6" HREF="footnode.html#220" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/footnode.html#220"><IMG  ALIGN=BOTTOM ALT="gif" SRC="foot_motif.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/foot_motif.gif"></A>
deviations from the discrete distribution can lead to spurious results
whence <IMG WIDTH=29 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2040" SRC="img47.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img47.gif"> is the safer choice. If linear correlations
are dominant, <IMG WIDTH=29 HEIGHT=35 ALIGN=MIDDLE ALT="tex2html_wrap_inline2042" SRC="img48.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img48.gif"> can be more suitable.
<P>
The final accuracy that can be reached depends on the size and structure of the
data and is generally sufficient for hypothesis testing. In all the cases we
have studied so far, we have observed a substantial improvement over the
standard AAFT approach. Convergence properties are also discussed
in&nbsp;[<A HREF="node36.html#surrowe" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node36.html#surrowe">30</A>]. In Sec.&nbsp;<A HREF="node21.html#secaccuracy" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node21.html#secaccuracy">5.5</A> below, we will say more about the
remaining inaccuracies.
<P>
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<B>Up:</B> <A NAME="tex2html191" HREF="node9.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node9.html">Fourier based surrogates</A>
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<P><ADDRESS>
<I>Thomas Schreiber <BR>
Mon Aug 30 17:31:48 CEST 1999</I>
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