A novel eigenvalue-based iterative simulation method for multi-dimensional homogeneous non-Gaussian stochastic vector fields

Yan Jiang

doi:10.1016/j.strusafe.2022.102290

Return

A novel eigenvalue-based iterative simulation method for multi-dimensional homogeneous non-Gaussian stochastic vector fields

2023-01-01

PRE

DOI：10.1016/j.strusafe.2022.102290

Original

Original request for help

Save

Abstract

En 中文

The generation of sample functions of stochastic fields or processes is a prerequisite to use the Monte Carlo method in stochastic mechanics and structural reliability analysis. When it comes to non-Gaussian characteristics such as the spatial variability of material or structural properties, the simulation of multi-dimensional non -Gaussian stochastic vector fields becomes necessary. However, the conventional Cholesky decomposition-based iterative simulation method requires three times of decomposition operations at each iteration and a complex procedure of random shuffle, which inevitably augment the model complexity. To this end, this study develops a novel eigenvalue-based iterative simulation method which only requires one decomposition operation in the whole simulation process. Central to this method is to represent the cross power spectral density matrix with its eigenvalue matrix during the iteration procedure, which avoids the cumbersome Cholesky decomposition and random shuffle procedure. Meanwhile, it can yield unique convergence result and present a powerful ability in addressing cases with the complex-valued spectral matrix. Numerical example demonstrates that the proposed method has a similar accuracy as that of the Cholesky decomposition-based iterative simulation method. Meanwhile, the estimated cumulative distribution function from one simulated sample and the estimated ensemble correlation function from 1000 simulated samples are all consistent with their respective targets. In addition, the sensitive analysis is performed to demonstrate that the proposed method has a relatively wide applicability. Therefore, this method may have a great potential to simulate multi-dimensional homogeneous non-Gaussian stochastic vector fields in practice.

Keywords:

Non-Gaussianity

Simulation

Multi -dimensional homogeneous stochastic

vector fields

Translation vector field theory

Eigenvalue decomposition