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©2012 Civil-Comp Ltd |
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M. Grigoriu
Department of Civil and Environmental Engineering, Cornell University, Ithaca, New York, United States of America
Keywords: Gaussian noise, linear systems, Monte Carlo simulation, non-Gaussian noise, nonlinear systems, random vibration, stochastic reduced order models.
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Current random vibration methods provide efficient solutions for
the second moment properties of the states of arbitrary linear
systems subjected to random noise. For Gaussian noise, these
properties define completely the state probability law. The random
vibration methods can also be used to find the distribution of the
states of simple linear systems under non-Gaussian noise and
simple nonlinear systems under Gaussian or non-Gaussian noise.
Monte Carlo simulation is the only general method for finding the
probability laws for the states of arbitrary linear or nonlinear
dynamic systems subjected to Gaussian or non-Gaussian noise.
Computational effort, that can be significant when dealing with
realistic systems, is the essential limitation of Monte Carlo
simulation.
A novel method is proposed for analysing arbitrary
linear or nonlinear dynamic systems driven by Gaussian or non-Gaussian
noise. The method is based on stochastic reduced order models
(SROMs), that is, processes that have finite numbers of samples
that may or may not be equally likely.
The implementation of the method involves three steps. First, a
SROM is developed for the noise process driving a dynamics system.
Second, deterministic algorithms are used to calculate system
responses to the samples of the input SROM. Resulting response
samples define a SROM for the state of the dynamic system. Third,
the SROM for the system state is used to construct approximations
for response statistics. SROM-based solutions of various
resolutions are used to calculate statistics for the response of a
simple nonlinear dynamic system subjected to non-Gaussian noise.
Response statistics are also determined for linear systems
subjected to non-Gaussian noise by methods of stochastic calculus.
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