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2942 JOURNAL OF LIGHTWAVE TECHNOLOGY, VOL. 21, NO. 11, NOVEMBER 2003<br />

A Fast <strong>and</strong> Accurate Method <strong>for</strong> Evaluating Joint<br />

Second-Order <strong>PMD</strong> Statistics<br />

Abstract—A <strong>fast</strong> <strong>and</strong> efficient way <strong>for</strong> <strong>evaluating</strong> the <strong>joint</strong> probability<br />

density function of the polarization-mode dispersion (<strong>PMD</strong>)<br />

vector derivative components parallel <strong>and</strong> orthogonal to the <strong>PMD</strong><br />

vector itself is presented. This allows <strong>for</strong> a fully analytical evaluation<br />

of outage probabilities, overcoming thus the limitation of the<br />

Monte Carlo <strong>method</strong>, which do not allow <strong>for</strong> reliable evaluation of<br />

probabilities smaller than about IH R .<br />

Index Terms—Optical fiber communications, polarization-mode<br />

dispersion (<strong>PMD</strong>), statistics.<br />

I. INTRODUCTION<br />

POLARIZATION-MODE dispersion (<strong>PMD</strong>) is a r<strong>and</strong>om<br />

phenomenon producing penalties r<strong>and</strong>omly changing over<br />

distance <strong>and</strong> time <strong>and</strong> represents one of the major impairments<br />

to upgrading to current wavelength-division-multiplexed<br />

(WDM) systems with higher data rates. In system design, a<br />

maximum sensitivity penalty is assigned to <strong>PMD</strong>, requiring<br />

that the outage probability is very small, typically or<br />

less. Outage probabilities due to <strong>PMD</strong> are evaluated through<br />

the Monte Ccarlo simulations in which the fiber is modeled by<br />

the r<strong>and</strong>om waveplate (or equivalent) model [1]–[4], but, in<br />

practice, due to the extremely large number of configurations<br />

that should be generated, it is next to impossible to obtain a<br />

reliable estimate <strong>for</strong> values below about .<br />

Recently, importance sampling (IS) <strong>method</strong>s have been proposed<br />

to allow rare differential-group-delay (DGD) events to be<br />

simulated more efficiently [5]. While IS can surely improve efficiency<br />

when <strong>evaluating</strong> outage probabilities in uncompensated<br />

systems, where the DGD only causes penalties, it is questionable<br />

that it can do the same in the presence of <strong>PMD</strong> compensation<br />

as, in this case, per<strong>for</strong>mance is also dictated by higher <strong>order</strong><br />

effects, such as the <strong>PMD</strong> vector rotation rate. Indeed, it is known<br />

that rotation rate <strong>and</strong> DGD are highly correlated such that large<br />

values of the one can be obtained only <strong>for</strong> low values of the other<br />

<strong>and</strong> vice versa [6]–[9]. This means that IS <strong>method</strong>s can be effective<br />

when biasing the proper probability density functions (pdfs)<br />

<strong>and</strong> not only the DGD one [10]. Moreover, since the correct bias<br />

is not known a priori, a validation of the results is m<strong>and</strong>atory.<br />

The outage probability estimates could be obtained by a full<br />

analytical approach that can take into account up to <strong>second</strong><strong>order</strong><br />

effects as Jones matrices <strong>for</strong> <strong>second</strong>-<strong>order</strong> <strong>PMD</strong> are available<br />

[11]–[13]. Un<strong>for</strong>tunately, a closed-<strong>for</strong>m expression is only<br />

Manuscript received April 7, 2003; revised July 21, 2003. This work was<br />

supported by Marconi Communications SpA under a grant.<br />

The author is with Scuola Superiore Sant’Anna di Studi Universitari e di Perfezionamento,<br />

1-56124 Pisa, Italy, <strong>and</strong> also with CNIT, Photonic Networks National<br />

Laboratory, Pisa I-56124, Italy.<br />

Digital Object Identifier 10.1109/JLT.2003.819865<br />

Enrico Forestieri, Member, IEEE<br />

0733-8724/03$17.00 © 2003 IEEE<br />

available <strong>for</strong> the characteristic function of <strong>second</strong>-<strong>order</strong> <strong>PMD</strong><br />

parameters [14]–[17] <strong>and</strong> the needed <strong>joint</strong> pdf is to be numerically<br />

evaluated [14]. Analytical evaluations of penalties due to<br />

first- <strong>and</strong> <strong>second</strong>-<strong>order</strong> <strong>PMD</strong> have been reported in [18] <strong>and</strong> [19]<br />

but only through eye-closure penalties [18] or by use of an approximate<br />

<strong>joint</strong> pdf obtained through perturbation <strong>method</strong>s [19].<br />

As this pdf is not able to describe the correct tail behavior of<br />

the <strong>second</strong>-<strong>order</strong> parameters [15], its use is limited to the case<br />

of uncompensated systems; otherwise, it is expected to produce<br />

optimistic results. There<strong>for</strong>e, as of this writing, the exact <strong>joint</strong><br />

pdf to be used <strong>for</strong> averaging may be obtained by numerical evaluation<br />

only, <strong>and</strong> it is of key importance that this evaluation be<br />

as <strong>fast</strong> as possible to reduce the amount of computing time.<br />

The paper is organized as follows. In Section II, an exact expression<br />

<strong>for</strong> the <strong>joint</strong> pdf, requiring a double integration, is derived<br />

from the characteristic function of <strong>second</strong>-<strong>order</strong> <strong>PMD</strong> parameters.<br />

In Section III, a very efficient <strong>method</strong> <strong>for</strong> <strong>evaluating</strong><br />

such a double integral <strong>for</strong> small values of DGD is developed.<br />

Section IV extends the <strong>method</strong> to larger values of DGD, <strong>and</strong>,<br />

finally, Section V summarizes the results.<br />

II. JOINT PDF OF SECOND-ORDER <strong>PMD</strong><br />

In optical fibers, first- <strong>and</strong> <strong>second</strong>-<strong>order</strong> <strong>PMD</strong> is described in<br />

Stokes’ space by the dispersion vector <strong>and</strong> its optical angular<br />

frequency derivative<br />

where is the DGD,<br />

(1)<br />

is the principal state of<br />

polarization (PSP) unit vector, <strong>and</strong> the subscript indicates<br />

differentiation. The component of parallel to , i.e.,<br />

, causes polarization-dependent chromatic<br />

dispersion (PCD), whereas the perpendicular component<br />

DGD<br />

is responsible <strong>for</strong> <strong>PMD</strong> depolarization. The<br />

has the well-known Maxwellian distribution, the<br />

pdf of is reported in closed <strong>for</strong>m in [15], whereas that of<br />

is given as an integral expression in [17, eq. (14a)], <strong>for</strong><br />

convenience reported here<br />

where is the zero-<strong>order</strong> cylindrical Bessel function. We found<br />

that (2) is very well approximated by the closed-<strong>for</strong>m expression<br />

where is the Catalan’s constant <strong>and</strong><br />

(2)<br />

(3)<br />

(4)


FORESTIERI: A FAST AND ACCURATE METHOD FOR EVALUATING JOINT SECOND-ORDER <strong>PMD</strong> STATISTICS 2943<br />

Fig. 1. Pdf of <strong>for</strong> a 15-, 20-, <strong>and</strong> 30-ps mean DGD. Circles are obtained<br />

from (2), <strong>and</strong> solid lines from (3).<br />

where means expectation, is the mean DGD. A comparison<br />

of (2) <strong>and</strong> (3) is shown in Fig. 1.<br />

Even if the pdf of all the quantities appearing in (1) is<br />

known, this is not enough as, <strong>for</strong> averaging, the <strong>joint</strong> pdf<br />

is needed. 1 As <strong>and</strong> is known [14],<br />

we focus on , which is the unknown quantity we need.<br />

Following [15], we let<br />

<strong>and</strong> denote by<br />

the normalized <strong>PMD</strong> vector <strong>and</strong> its derivative, respectively.<br />

Parameter is the st<strong>and</strong>ard deviation of each one of the<br />

components of the dispersion vector . In the reference frame<br />

whose first axis is coincident with , the characteristic function<br />

of the conditional <strong>joint</strong> pdf<br />

of the components 2 is [15]<br />

where<br />

is the three-dimensional (3-D) trans<strong>for</strong>m<br />

variable <strong>and</strong> .<br />

Obtaining a closed-<strong>for</strong>m expression <strong>for</strong> by analytical<br />

inversion of (7) proved to be a <strong>for</strong>midable task, <strong>and</strong> on the other<br />

side, a numerical inversion through a 3-D <strong>fast</strong> Fourier trans<strong>for</strong>m<br />

1For brevity, the pdf arguments are sometimes omitted.<br />

2In the following ‘1“ denotes transpose.<br />

(5)<br />

(6)<br />

(7)<br />

(8)<br />

(FFT) is not feasible as, by simply <strong>and</strong> optimistically using 64<br />

points one-dimensional (1-D) FFTs, a total of about 7 000 000<br />

multiplications should be carried out, which does not exactly<br />

account <strong>for</strong> a <strong>fast</strong> <strong>and</strong> efficient evaluation.<br />

Analytical approximations <strong>for</strong> the <strong>joint</strong> pdf of <strong>and</strong> are<br />

reported in [14] <strong>and</strong> [15], but, even if <strong>second</strong>-<strong>order</strong> moments are<br />

correctly reproduced, they greatly underestimate the tails<br />

<strong>and</strong> there<strong>for</strong>e are not suitable <strong>for</strong> <strong>PMD</strong>-induced penalties evaluation<br />

in compensated systems.<br />

Regarding the inversion of (7), as shown in Appendix A,<br />

after changing to spherical polar coordinates, the<br />

circular symmetry of one of the angle coordinates allows that<br />

angle dimension to be easily integrated in closed <strong>for</strong>m, <strong>and</strong>,<br />

after a suitable trans<strong>for</strong>mation, the <strong>joint</strong> pdf of <strong>and</strong><br />

, conditional upon , can be written as 3<br />

where<br />

(10)<br />

Hence, to evaluate (9), we have to numerically per<strong>for</strong>m a twodimensional<br />

(2-D) integral, but a very difficult one, as both<br />

<strong>and</strong> the integr<strong>and</strong> in (10) have an oscillatory nature.<br />

Indeed, evaluation of through (9) over a grid<br />

of 100 100 points, covering the tails down to about ,<br />

requires from a few hours to several days of computing time<br />

on a <strong>fast</strong> processor, depending on . The higher the value of<br />

with respect to , the lesser the required time to obtain a<br />

prescribed accuracy. The inner integral (10) is the most critical<br />

one, <strong>and</strong> we tried several numerical integration <strong>method</strong>s to<br />

evaluate it, including evaluation through FFT, but the most efficient<br />

turned out to be a recursive one based on the determination<br />

of a set of subintervals , , of (0,1)<br />

such that , , <strong>for</strong> which 8- <strong>and</strong> 16-points Gauss<br />

quadrature <strong>for</strong>mulas give results differing by less than a prescribed<br />

accuracy . Denoting by , the approximate<br />

value of the integral on interval given by the -point<br />

Gauss <strong>for</strong>mula, (10) is approximated as ,<br />

where , <strong>for</strong> ,<br />

<strong>and</strong> are found by the following recursive procedure: i) initially<br />

; ii) <strong>for</strong> , is successively set to<br />

, , until the prescribed<br />

accuracy is attained in ; <strong>and</strong> iii) the procedure completes<br />

when accuracy is obtained <strong>for</strong> .<br />

III. EVALUATING THE JOINT PDF FOR<br />

As already pointed out in Section II, the numerical evaluation<br />

of (9) is not a trivial task. In this section, we will develop a<br />

<strong>method</strong> that turns out to be very efficient in the case<br />

, other than evidencing a key feature of the inner integral<br />

in (10).<br />

3 We moved the conditioning on from the subscript to avoid clutter.<br />

(9)


2944 JOURNAL OF LIGHTWAVE TECHNOLOGY, VOL. 21, NO. 11, NOVEMBER 2003<br />

As shown in Appendix A, the inner integral in (10)<br />

can be evaluated as<br />

where is as in (8), whereas<br />

(11)<br />

(12)<br />

Using the first term only in the series expansion (11), we have<br />

that<br />

<strong>and</strong> substituting (13) in (9) yields<br />

(13)<br />

(14)<br />

We will now show that (14) is a good approximation <strong>for</strong><br />

, meaning that very few terms in (11) are needed to approximate<br />

well when is of the same <strong>order</strong> as . In <strong>order</strong><br />

to do this, we evaluate the approximate marginals<br />

<strong>and</strong> from (14) <strong>and</strong> compare them with the exact<br />

ones. To evaluate the marginal pdf , we integrate (14)<br />

over from to . By per<strong>for</strong>ming the change of variable<br />

, the needed integral can be evaluated with the<br />

aid of [20, eq. 3.753.3]<br />

to yield<br />

(15)<br />

(16)<br />

which turns out to be the exact expression <strong>for</strong> the pdf<br />

[17]. This means that the approximate pdf (14) is already normalized,<br />

i.e., it integrates to 1.<br />

We now evaluate from (14) the marginal pdf<br />

by integrating over from 0 to . Taking<br />

into account that the Fourier trans<strong>for</strong>m of the unit step function<br />

is , by the<br />

change of variable ,wehave<br />

(17)<br />

<strong>and</strong> thus<br />

from which, as ,wehave<br />

whereas the exact expression is [15]<br />

(18)<br />

(19)<br />

(20)<br />

As can be seen, the integr<strong>and</strong>s in (19) <strong>and</strong> (20) differ by the exponential<br />

term , but taking into account (8), <strong>for</strong><br />

, it can be approximated with 1 without significantly affecting<br />

the value of the integral. There<strong>for</strong>e, <strong>for</strong> , the marginals<br />

obtained from (14) are almost exact, <strong>and</strong> thus (14) is a good approximation<br />

to the exact <strong>joint</strong> pdf.<br />

A. Evaluating<br />

In <strong>order</strong> to use (11), we need an explicit expression <strong>for</strong> the<br />

term<br />

(21)<br />

<strong>and</strong> we found several expressions <strong>for</strong> it. Here, we will use the<br />

one that we found most convenient from a numerical point of<br />

view <strong>and</strong> present a less efficient but simpler alternative in Appendix<br />

B.<br />

As shown in Appendix A, (21) can be evaluated through the<br />

finite sum<br />

where<br />

(22)<br />

(23)<br />

with being the Kronecker symbol ( if ,0<br />

otherwise), the integer part of , the Gegenbauer<br />

polynomial of <strong>order</strong> <strong>and</strong> index [21], <strong>and</strong><br />

(24)


FORESTIERI: A FAST AND ACCURATE METHOD FOR EVALUATING JOINT SECOND-ORDER <strong>PMD</strong> STATISTICS 2945<br />

which can also be written in a recursive <strong>for</strong>m, more suitable <strong>for</strong><br />

calculation, as<br />

(25)<br />

The use of makes evaluation of (23) very efficient because<br />

Gegenbauer polynomials satisfy the recurrence relation<br />

[21]<br />

(26)<br />

<strong>and</strong> , <strong>for</strong> any value of . There<strong>for</strong>e, in (23), only<br />

the polynomial corresponding to should be explicitly<br />

evaluated, but this can be done, in turn, through the recurrence<br />

relation [21]<br />

(27)<br />

As all quantities appearing in (22) are easily <strong>and</strong> recursively<br />

evaluated by per<strong>for</strong>ming simple multiplications, it is a very efficient<br />

expression. As an example, taking into account (26) <strong>and</strong><br />

(27), all the Gegenbauer polynomials needed in (23), <strong>for</strong> all<br />

values of , can be obtained with multiplications, at most,<br />

<strong>and</strong> only two multiplications need be per<strong>for</strong>med <strong>for</strong> each to<br />

evaluate <strong>and</strong> through (25) as the required values<br />

<strong>for</strong> <strong>and</strong> are to be evaluated only once. Moreover, notice<br />

that the values in (23) are independent from , <strong>and</strong> thus they<br />

need not be reevaluated when per<strong>for</strong>ming the outer integral with<br />

respect to .<br />

A word of notice is in <strong>order</strong> here about the correct use of the<br />

recurrence relation (25). As, <strong>for</strong> fixed , the sequence<br />

is decreasing in absolute value with , (25) can be safely used in<br />

the <strong>for</strong>ward direction <strong>for</strong> <strong>evaluating</strong> only when ;<br />

otherwise, it becomes unstable. Hence, <strong>for</strong> , (25) is to be<br />

used in the backward direction<br />

(28)<br />

according to the following procedure. As is a decreasing<br />

function of , <strong>for</strong> a sufficiently large value of ,<br />

say , the term becomes negligible<br />

with respect to <strong>and</strong> can be taken equal to<br />

zero. There<strong>for</strong>e, the starting value to be used with (28) can<br />

be taken equal to .<br />

The value of can be readily found in the following<br />

manner. If is to be evaluated <strong>for</strong> ,<br />

with , then initially one takes ,<br />

, <strong>and</strong> applies (28) <strong>for</strong><br />

<strong>evaluating</strong> . Let us refer<br />

to the value obtained in this way as . Then,<br />

the computations are repeated but starting with ,<br />

<strong>and</strong> the resulting value of is compared with the<br />

previous one. If their difference is less than a prescribed<br />

accuracy, say , then<br />

(28) is repeatedly applied until finding ;<br />

otherwise one starts again with <strong>and</strong> so on. We<br />

found that when choosing , only two iterations are<br />

required to achieve ten-significant-digits accuracy on .<br />

Depending on the value of , (28) may lose accuracy <strong>for</strong> the<br />

smaller values of ; there<strong>for</strong>e, <strong>for</strong> better results, one also uses<br />

(25) starting from <strong>and</strong> replacing the corresponding<br />

values obtained through (28) until their absolute difference<br />

keeps decreasing.<br />

For later use, notice that, by using (24) <strong>and</strong> after some algebra,<br />

(22) can be written as<br />

where<br />

(29)<br />

(30)<br />

B. Evaluating the Outer Integral<br />

The expressions previously developed to evaluate the inner<br />

integral in (9) turn out to be useful <strong>for</strong> the evaluation of the outer<br />

integral, as well. Indeed, in [22], it is shown that integrals of<br />

the type , where ,as , tends to a <strong>for</strong>m<br />

that can be written as a steadily decreasing factor times the sum<br />

of a finite number of sinusoidal terms whose periods tend to<br />

constant values, can be very efficiently evaluated by means of<br />

the trapezoidal rule by using a step size close to the shortest<br />

period . The interval is related to the sampling theorem<br />

<strong>for</strong> b<strong>and</strong>-limited functions, <strong>and</strong> the trapezoidal rule can give the<br />

exact value of the integral when the step size is less than some<br />

fixed value [22, p. 709].<br />

Taking into account (11), (29), <strong>and</strong> (30), in (10) can<br />

be written as<br />

where<br />

(31)<br />

(32)


2946 JOURNAL OF LIGHTWAVE TECHNOLOGY, VOL. 21, NO. 11, NOVEMBER 2003<br />

Fig. 2. @&Y Y A <strong>and</strong> @&Y Y A in (32) <strong>for</strong> a aQ<strong>and</strong> 1( a ". Inset<br />

shows s@&Y Y A in (10) (solid line) <strong>and</strong> approximation (13) (circles).<br />

are steadily decreasing functions of , as shown in Fig. 2 <strong>for</strong><br />

<strong>and</strong> . Thus, the integr<strong>and</strong> in (9) is of the<br />

type mentioned previously with , <strong>and</strong> (9)<br />

can be efficiently evaluated by the trapezoidal rule as<br />

(33)<br />

The sum is stopped when becomes negligible while<br />

taking the initial step size as<br />

(34)<br />

<strong>and</strong> successively halving it until the result stabilizes in the desired<br />

number of digits. When halving the step size, the newly<br />

computed values can be simply added to the trapezoidal sum,<br />

<strong>and</strong> the multiplication by the final step size done at the end. We<br />

found that when taking the initial step size as in (34), in the vast<br />

majority of cases, it has to be halved only once to achieve fourdigits<br />

accuracy. By this <strong>method</strong>, evaluation of<br />

over the same grid of 100 100 points previously mentioned requires<br />

only a few tens-of-<strong>second</strong>s computing time <strong>for</strong> ,<br />

with a gain of up to five <strong>order</strong>s of magnitude with respect to<br />

the case in which is evaluated through a numerical<br />

quadrature <strong>method</strong>. The total number of times that in (33)<br />

is to be evaluated <strong>for</strong> four-digits accuracy ranges from ,<br />

<strong>for</strong> low values of <strong>and</strong> ,to <strong>for</strong> the tails down to<br />

about . Correspondingly, evaluation of through<br />

(11) requires less than 25 terms, depending on the<br />

value of , according to the following empirical relation<br />

, where . In Fig. 3(a) <strong>and</strong><br />

(b), the <strong>joint</strong> pdf is shown <strong>for</strong> <strong>and</strong> 2 , respectively,<br />

showing that the conditional variance of ,<br />

the normalized component of parallel to , is constant, its<br />

value being as known [15]. In Fig. 4, ,<br />

evaluated through (33), is plotted <strong>for</strong> 2 as a function of<br />

<strong>for</strong> several values of in (a), <strong>and</strong> as a function of <strong>for</strong> several<br />

values of in (b). Circles represents values obtained through<br />

numerical integration of (10) as previously explained, whereas<br />

solid lines are obtained by using (11).<br />

IV. EVALUATION OF THE JOINT PDF FOR 2<br />

When the DGD becomes progressively larger than , the<br />

value of in (8) also increases <strong>and</strong> a larger number of terms<br />

would be required to evaluate through (11). This is a<br />

problem as, when <strong>evaluating</strong> (21) through (22), the term<br />

assumes values increasing with <strong>and</strong>, having the terms in<br />

(22) alternate signs, this causes too much cancellation <strong>for</strong> larger<br />

values of or , preventing evaluation of (21) with the required<br />

accuracy. We found that evaluation of through (11)<br />

<strong>and</strong> (22) is always safe <strong>for</strong> 2 , but we need alternative<br />

ways when 2 .<br />

We discovered several exact expansions <strong>for</strong> in (10),<br />

but none of them turned out to be usable <strong>for</strong> all possible values<br />

of parameters in (8) <strong>and</strong> <strong>and</strong> in (12) without incurring<br />

in numerical problems similar to those discussed about (22).<br />

Instead, it is possible to develop an approximate expansion <strong>for</strong><br />

that is always valid whatever the value of , <strong>and</strong><br />

. The key to this expansion is an approximate expansion <strong>for</strong><br />

the term in terms of hyperbolic cosines. We start by<br />

taking the Fourier trans<strong>for</strong>m of ,<br />

where is the unit step function. By completing the square<br />

in the exponent, the result is <strong>for</strong>mally simple<br />

(35)<br />

where is the complex error function.<br />

We now use an infinite series approximation <strong>for</strong> the complex<br />

error function, whose relative error is [21, eq. 7.1.29],<br />

to write<br />

<strong>and</strong> antitrans<strong>for</strong>ming back, we obtain<br />

(36)<br />

(37)<br />

with a relative error of <strong>for</strong> all values of . This means<br />

that in a double-precision arithmetic (37) is virtually exact. As<br />

an example, <strong>for</strong> ,wehave<br />

double precision<br />

quadruple precision.


FORESTIERI: A FAST AND ACCURATE METHOD FOR EVALUATING JOINT SECOND-ORDER <strong>PMD</strong> STATISTICS 2947<br />

Fig. 3. Joint pdf @Y A <strong>for</strong> (a) 1( a " <strong>and</strong> (b) 1( a 2". Contours are at IH , aIY PY FFFY IS.<br />

By using [21, eq. 10.1.48], we also have that<br />

(38)<br />

where are the spherical Bessel<br />

functions of the first kind. Substituting (37) <strong>and</strong> (38) in (10), we<br />

obtain<br />

where<br />

(39)<br />

(40)<br />

may be evaluated with the aid of [20, eq. 7.322]. 4 By using [21,<br />

eq. 10.1.45], (39) can be written as<br />

4 Notice that a factor 2 is missing in the result in [20, eq. 7.322].<br />

(41)<br />

<strong>and</strong>, taking the principal value, the square root appearing in (41)<br />

is equal to<br />

where<br />

so that (41) becomes<br />

(42)<br />

(43)<br />

(44)<br />

(45)<br />

.<br />

This is the expression to be used <strong>for</strong> <strong>evaluating</strong> the <strong>joint</strong> pdf<br />

when 2 . Notice that (45) could also be used <strong>for</strong><br />

2 , but, in this case, (11) turns out to be <strong>fast</strong>er. This is because<br />

in (45) the various elementary functions must be reevaluated <strong>for</strong><br />

each term in the series, whereas (22) only requires the evaluation<br />

of a few terms through simple recurrence relations, as already<br />

discussed. For larger values of , however, (11) would require


2948 JOURNAL OF LIGHTWAVE TECHNOLOGY, VOL. 21, NO. 11, NOVEMBER 2003<br />

Fig. 4. Joint pdf @Y A (a) as a function of <strong>for</strong><br />

a RY TY FFFY IT <strong>and</strong> (b) as a function of <strong>for</strong> a HY PY FFFY IH <strong>and</strong><br />

1( a 2", evaluated through (33). Circles are obtained through numerical<br />

integration of (10), solid lines by using (11).<br />

more terms than those needed in (45), which in most cases are<br />

in the <strong>order</strong> of to achieve the necessary precision. Also<br />

notice that the major contribution does not necessarily come<br />

from the first terms. Indeed, rewriting (45) as<br />

(46)<br />

where , <strong>and</strong> taking into account that, <strong>for</strong> increasing<br />

values of , in (44) asymptotically tends to ,<br />

i.e., , we also have that<br />

, so that, in many cases, the most important<br />

terms are those <strong>for</strong> in the <strong>order</strong> of , or slightly less.<br />

Using (45), evaluation of (33) <strong>for</strong> the larger values of turns<br />

out to be about an <strong>order</strong> of magnitude slower than using (11)<br />

<strong>for</strong> the smaller values. For the larger values, evaluation<br />

of (33) through numerical integration of (10) turns out to<br />

be about an <strong>order</strong> of magnitude <strong>fast</strong>er than <strong>for</strong> the smaller<br />

values. There<strong>for</strong>e, using (45) <strong>for</strong> <strong>evaluating</strong> (33) is about<br />

<strong>order</strong>s of magnitude <strong>fast</strong>er than using the integration <strong>method</strong><br />

described at the end of Section II <strong>and</strong> even much <strong>fast</strong>er with<br />

respect to other st<strong>and</strong>ard numerical integration <strong>method</strong>s. However,<br />

we point out that this discussion applies only when considering<br />

values <strong>for</strong> the <strong>joint</strong> pdf not smaller than about ;<br />

otherwise st<strong>and</strong>ard numerical integration <strong>method</strong>s slow down<br />

Fig. 5. Joint pdf @Y A (a) as a function of <strong>for</strong><br />

a RY VY FFFY PV <strong>and</strong> (b) as a function of <strong>for</strong> a HY PY RY FFFY IH<br />

<strong>and</strong> 1( a 5", evaluated through (33). Circles are obtained through numerical<br />

integration of (10), <strong>and</strong> solid lines by using (45).<br />

considerably, <strong>and</strong> the values they provide are not reliable (as<br />

the curves become jagged <strong>and</strong> sometimes negative values are<br />

returned), whereas the <strong>method</strong>s presented in this <strong>and</strong> Section III<br />

do not suffer any slow down <strong>and</strong> can give reliable values down<br />

to about , i.e., the machine precision in IEEE St<strong>and</strong>ard<br />

754 double-precision arithmetic.<br />

In Fig. 5, , evaluated using (45) in (33), is<br />

plotted <strong>for</strong> 5 as a function of <strong>for</strong> several values of in<br />

(a), <strong>and</strong> as a function of <strong>for</strong> several values of in (b). Again,<br />

circles represents values obtained through numerical integration<br />

of (10).<br />

V. SUMMARY AND CONCLUSION<br />

The exact evaluation of the <strong>joint</strong> pdf of <strong>and</strong> , conditional<br />

upon , can only be per<strong>for</strong>med by numerical <strong>method</strong>s,<br />

<strong>and</strong>, to this end, the double-integral <strong>for</strong>mula (9) has been devised.<br />

It has been shown that the inner integral (10) has an<br />

analytic expression that can be exploited <strong>for</strong> a really efficient<br />

evaluation of the outer integral in (9) through (33), practically<br />

equivalent to a series expansion, as the step size (34) is to be<br />

halved only once in about 90% of cases, on average, to achieve<br />

four-digits accuracy when <strong>evaluating</strong> in (10) with sufficient<br />

accuracy; indeed, the fact that the step size is to be halved<br />

more than once may be taken as an indication of poor accuracy<br />

on .


FORESTIERI: A FAST AND ACCURATE METHOD FOR EVALUATING JOINT SECOND-ORDER <strong>PMD</strong> STATISTICS 2949<br />

Evaluation of the inner integral in (10) is the most<br />

critical, as it is to be evaluated with very high accuracy <strong>for</strong> the<br />

tails of the <strong>joint</strong> pdf, <strong>and</strong> we had to use a value <strong>for</strong> accuracy<br />

as small as in the numerical integration <strong>method</strong> described<br />

at the end of Section II to obtain reliable values down to<br />

. We also noticed that the higher the accuracy in <strong>evaluating</strong><br />

, the lesser the number of times that step size<br />

in (33) is to be halved to achieve a given number of reliable<br />

digits <strong>for</strong> the <strong>joint</strong> pdf. The very high accuracy needed <strong>for</strong><br />

is easily <strong>and</strong> efficiently achieved through the expansions<br />

reported in Sections II–IV. Until a closed-<strong>for</strong>m expression<br />

is not available, a <strong>fast</strong> <strong>and</strong> <strong>accurate</strong> <strong>method</strong> <strong>for</strong> <strong>evaluating</strong> the<br />

<strong>joint</strong> <strong>second</strong>-<strong>order</strong> <strong>PMD</strong> statistics is a prerequisite <strong>for</strong> a full analytical<br />

evaluation of the <strong>PMD</strong> impact on the per<strong>for</strong>mance of<br />

compensated systems <strong>and</strong> may also be a useful tool <strong>for</strong> validating<br />

IS techniques (see Appendix C).<br />

APPENDIX A<br />

In this appendix, we show the derivation of (9), (11), <strong>and</strong> (22)<br />

mentioned in the paper. The exact expression <strong>for</strong><br />

can be obtained by direct antitrans<strong>for</strong>mation of (7) as<br />

(A1)<br />

where is as in (8). Changing to spherical polar coordinates<br />

yields<br />

(A2)<br />

<strong>and</strong> the integral with respect to is easily per<strong>for</strong>med, yielding<br />

(A3)<br />

From (A3), we obtain the <strong>joint</strong> pdf of <strong>and</strong><br />

as<br />

(A4)<br />

from which, by the change of variable <strong>and</strong> after some<br />

algebra, we obtain (9).<br />

By using the expansion , the integral<br />

in (10) can be evaluated as<br />

Letting <strong>and</strong> as in (12), we start from [20, eq. 6.677.6]<br />

<strong>and</strong>, by repeated differentiation with respect to , obtain<br />

(A5)<br />

(A6)<br />

(A7)<br />

which, substituted in (A5), gives (11).<br />

Thus, we simply need an explicit expression <strong>for</strong> the<br />

right-h<strong>and</strong>-side term in (A7). To obtain it, we use the rule<br />

<strong>for</strong> the th derivative of a composite function. Letting<br />

(such that ), if<br />

, then [20]<br />

where<br />

(A8)<br />

(A9)<br />

Given , where<br />

, , we apply the previous rule<br />

to obtain the th derivative of as<br />

where<br />

By using the <strong>for</strong>mula [20]<br />

(A10)<br />

(A11)<br />

(A12)<br />

where denotes the Pochhammer’s symbol, defined as [21]<br />

(A13)


2950 JOURNAL OF LIGHTWAVE TECHNOLOGY, VOL. 21, NO. 11, NOVEMBER 2003<br />

being the Gamma function, it is easy to show that<br />

(A14)<br />

in which we can recognize the Gegenbauer polynomial of <strong>order</strong><br />

<strong>and</strong> index as<br />

so that<br />

(A15)<br />

(A16)<br />

Letting <strong>and</strong> substituting (A16) in (A11), we obtain<br />

(A17)<br />

where we made the change of variable . Taking now<br />

into account the fact that<br />

(A17) can also be written as<br />

<strong>and</strong> substituting (A19) in (A10), we obtain (22).<br />

(A18)<br />

(A19)<br />

APPENDIX B<br />

As already said, we found several different expansions <strong>for</strong><br />

<strong>evaluating</strong> (21), <strong>and</strong> in this appendix, we report the one that<br />

turned out to be the most competitive with (22). Thus, somewhat<br />

sacrificing per<strong>for</strong>mance, it could be used as an alternative to<br />

(22). For the sake of brevity, we will only report a trace of the<br />

full proof.<br />

It is easy to show that the relation [21, eq. 10.1.24]<br />

also holds <strong>for</strong><br />

i.e.,<br />

<strong>and</strong>, using (B3), by induction, we have<br />

. . .<br />

.<br />

..<br />

Taking now into account that<br />

, we obtain<br />

(B1)<br />

(B2)<br />

(B3)<br />

(B4)<br />

The spherical Bessel functions needed in (B4) can be efficiently<br />

evaluated by a simple recurrence relation [21] or through<br />

one of the many available subroutines <strong>for</strong> <strong>evaluating</strong> the cylindrical<br />

functions of fractional <strong>order</strong> . Although more compact<br />

than (22), we found that (B4) is less efficient than it when<br />

used in (11) <strong>for</strong> <strong>evaluating</strong> (33).<br />

APPENDIX C<br />

A <strong>fast</strong> <strong>and</strong> <strong>accurate</strong> <strong>method</strong> <strong>for</strong> the evaluation of the <strong>joint</strong> pdf<br />

is also useful <strong>for</strong> validating other techniques used <strong>for</strong> outage<br />

probabilities estimation. In this appendix, we apply the <strong>method</strong>s<br />

previously developed to evaluate the <strong>joint</strong> pdf of <strong>and</strong><br />

<strong>and</strong> compare it with the <strong>joint</strong> pdf obtained numerically through<br />

IS in [10] <strong>and</strong> [23].<br />

As known [24], the <strong>joint</strong> pdf of <strong>and</strong>5 , where <strong>and</strong> have <strong>joint</strong> pdf ,<br />

is , <strong>and</strong> the marginal pdf<br />

<strong>for</strong> can be obtained as . There<strong>for</strong>e,<br />

5 The —— function is taken to return values between 0 <strong>and</strong> %.


FORESTIERI: A FAST AND ACCURATE METHOD FOR EVALUATING JOINT SECOND-ORDER <strong>PMD</strong> STATISTICS 2951<br />

letting , , <strong>and</strong> taking into account (9), it can<br />

be shown that<br />

where<br />

(C1)<br />

(C2)<br />

(C3)<br />

By the change of variable <strong>and</strong> using [20, eq. 6.677.6],<br />

in (C3) can be integrated in closed <strong>for</strong>m, <strong>and</strong> we see that it is<br />

independent from<br />

Substituting (C4) in (C2) <strong>and</strong>, in turn, this in (C1), we obtain<br />

where<br />

(C4)<br />

(C5)<br />

(C6)<br />

is as in (45) <strong>for</strong> , i.e., . Multiplying<br />

(C5) by the Maxwellian pdf finally gives<br />

(C7)<br />

where the integral can be evaluated as done in (33) with an initial<br />

step size of .<br />

Fig. 6 shows contour plots of the denormalized <strong>joint</strong> pdf<br />

(C8)<br />

<strong>for</strong> 3.257 ps, evaluated through (C7), <strong>and</strong> should be<br />

compared with Fig. 4 in [23], reporting the same quantity at the<br />

Fig. 6. Contour plots of the <strong>joint</strong> pdf of <strong>and</strong> <strong>for</strong> a mean DGD of<br />

3.257 ps. Starting from the inner, the contours are at IH with a 1.5, 1.75,<br />

2, 2.25, 2.5, 3, 4, 5, 6, 8, 10, 15, 20, 25, <strong>and</strong> 30.<br />

same contour levels. A close examination reveals that the accordance<br />

is excellent until , but afterwards, the <strong>joint</strong> pdf<br />

obtained through IS starts underestimating the true pdf progressively<br />

more as the contour level lowers. The contours below<br />

in Fig. 6 required quadruple precision to be computed<br />

(notice that (C6) can be used <strong>for</strong> values smaller than when<br />

using a higher precision arithmetic, but only about the first 16<br />

significant digits are correct).<br />

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[1] C. D. Poole <strong>and</strong> D. L. Favin, “Polarization-mode dispersion measurements<br />

based on transmission spectra through a polarizer,” J. Lightwave<br />

Technol., vol. 12, pp. 917–929, June 1994.<br />

[2] D. Marcuse, C. R. Menyuk, <strong>and</strong> P. K. Wai, “Application of the manakov-<strong>PMD</strong><br />

equation to studies of signal propagation in optical fibers<br />

with r<strong>and</strong>omly varying birefringence,” J. Lightwave Technol., vol. 15,<br />

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[3] R. Khosravani Jr, I. T. Lima, P. Ebrahimi, E. Ibragimov, A. E. Willner,<br />

<strong>and</strong> C. R. Menyuk, “Time <strong>and</strong> frequency domain characteristics of polarization-mode<br />

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[4] A. O. Dal Forno, A. Paradisi, <strong>and</strong> J. P. von der Weid, “Experimental <strong>and</strong><br />

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[5] G. Biondini, W. L. Kath, <strong>and</strong> C. R. Menyuk, “Importance sampling <strong>for</strong><br />

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[6] B. L. Heffner, “Accurate, automated measurement of differential group<br />

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[7] L. M. Gleeson, E. S. R. Sikora, <strong>and</strong> M. J. O. Mahoney, “Experimental<br />

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[8] D. Penninckx <strong>and</strong> F. Bruyère, “Impact of the statistics of <strong>second</strong>-<strong>order</strong><br />

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Tech. Dig., 1998, Paper ThR2, pp. 340–342.<br />

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of depolarization <strong>and</strong> scaling associated with <strong>second</strong>-<strong>order</strong> polarization<br />

mode dispersion in optical fibers,” IEEE Photon. Technol. Lett.,<br />

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<strong>for</strong> first- <strong>and</strong> <strong>second</strong>-<strong>order</strong> polarization-mode dispersion,” IEEE Photon.<br />

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<strong>for</strong> <strong>second</strong>-<strong>order</strong> polarization mode dispersion,” Opt. Lett., vol. 25, no.<br />

1, pp. 19–21, 2000.


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[13] E. Forestieri <strong>and</strong> L. Vincetti, “Exact evaluation of the jones matrix of a<br />

fiber in the presence of polarization mode dispersion of any <strong>order</strong>,” J.<br />

Lightwave Technol., vol. 17, pp. 1898–1909, Dec. 2001.<br />

[14] G. J. Foschini <strong>and</strong> C. D. Poole, “Statistical theory of polarization<br />

dispersion in single mode fibers,” J. Lightwave Technol., vol. 9, pp.<br />

1439–1456, Nov. 1991.<br />

[15] G. J. Foschini, R. M. Jopson, L. E. Nelson, <strong>and</strong> H. Kogelnik, “The statistics<br />

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[16] G. J. Foschini, L. E. Nelson, R. M. Jopson, <strong>and</strong> H. Kogelnik, “Probability<br />

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Technol., vol. 19, pp. 1882–1886, Dec. 2001.<br />

[18] F. Bruyére, “Impact of first- <strong>and</strong> <strong>second</strong>-<strong>order</strong> <strong>PMD</strong> in optical digital<br />

transmission systems,” Optic. Fiber Technol., vol. 2, pp. 269–280, 1996.<br />

[19] H. Bülow, “System outage probability due to first- <strong>and</strong> <strong>second</strong>-<strong>order</strong><br />

<strong>PMD</strong>,” IEEE Photon. Technol. Lett., vol. 10, pp. 696–698, May 1998.<br />

[20] I. S. Gradshteyn <strong>and</strong> I. M. Ryzhik, Table of Integrals, Series, <strong>and</strong> Products.<br />

San Diego, CA: Academic, 1992.<br />

[21] M. Abramowitz <strong>and</strong> I. A. Stegun, H<strong>and</strong>book of Mathematical Functions.<br />

New York: Dover, 1972.<br />

[22] S. O. Rice, “Efficient evaluation of integrals of analytic functions by<br />

the trapezoidal rule,” Bell Syst. Tech. J., vol. 52, no. 5, pp. 707–722,<br />

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[23] S. L. Fogal, G. Biondini, <strong>and</strong> W. L. Kath, “Multiple importance sampling<br />

<strong>for</strong> first- <strong>and</strong> <strong>second</strong>-<strong>order</strong> polarization-mode dispersion,” IEEE Photon.<br />

Technol. Lett., vol. 14, p. 1487, Oct. 2002.<br />

[24] A. Papoulis, Probability, R<strong>and</strong>om Variables, <strong>and</strong> Stochastic Processes.<br />

New York: McGraw-Hill, 1991.<br />

Enrico Forestieri (S’91–M’92) was born in Milazzo, Italy, in 1960. He received<br />

the Dr. Ing. degree in electronics engineering from the University of Pisa, Pisa,<br />

Italy, in 1988.<br />

From 1989 to 1991, he was a Postdoctoral Scholar at the University of Parma,<br />

Parma, Italy, working in optical communication systems. From 1991 to 2000,<br />

he was a Research Scientist <strong>and</strong> Faculty Member of the University of Parma.<br />

He is now Associate Professor of Telecommunications at the Scuola Superiore<br />

Sant’Anna, Pisa, Italy. His research interests are in the area of digital communication<br />

theory <strong>and</strong> optical communication systems.

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