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A sample-based iterative scheme for simulating non-stationary non-Gaussian stochastic processes

机译：一种用于模拟非静止非高斯随机过程的基于样品的迭代方案

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摘要

This paper presents a new numerical scheme for simulating stochastic processes specified by their marginal distribution functions and covariance functions. Stochastic samples are first generated to satisfy target marginal distribution functions. An iterative algorithm is proposed to match the simulated covariance function of stochastic samples to the target covariance function, and only a few iterations can converge to a required accuracy. Several explicit representations, based on Karhunen-Loeve expansion and Polynomial Chaos expansion, are further developed to represent the obtained stochastic samples in series forms. Proposed methods can be applied to non-stationary non-Gaussian stochastic processes, and three examples illustrate their accuracies and efficiencies.
机译：本文提出了一种新的数值方案，用于模拟边缘分布函数和协方差函数规定的随机过程。首先产生随机样品以满足目标边际分布功能。提出了一种迭代算法，以将随机样本的模拟协方差函数与目标协方差函数匹配，并且只有几个迭代可以收敛到所需的精度。基于Karhunen-Loeve扩展和多项式混沌扩展的几种显式表示，进一步开发出代表所获得的串联形式的随机样品。所提出的方法可以应用于非平稳的非高斯随机过程，三个例子说明了它们的准确性和效率。

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  • 来源
    《Mechanical systems and signal processing》 |2021年第4期|107420.1-107420.15|共15页
  • 作者

    Zhibao Zheng; Hongzhe Dai; Yuyin Wang; Wei Wang;

  • 作者单位

    Key Lab of Structures Dynamic Behavior and Control Harbin Institute of Technology. Ministry of Education Harbin 150090 China School of Civil Engineering Harbin Institute of Technology Harbin 150090 China;

    Key Lab of Structures Dynamic Behavior and Control Harbin Institute of Technology. Ministry of Education Harbin 150090 China School of Civil Engineering Harbin Institute of Technology Harbin 150090 China;

    Key Lab of Structures Dynamic Behavior and Control Harbin Institute of Technology. Ministry of Education Harbin 150090 China School of Civil Engineering Harbin Institute of Technology Harbin 150090 China;

    Key Lab of Structures Dynamic Behavior and Control Harbin Institute of Technology. Ministry of Education Harbin 150090 China School of Civil Engineering Harbin Institute of Technology Harbin 150090 China;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Stochastic samples; Non-stationary; Non-Gaussian; Karhunen-Loeve expansion; Polynomial Chaos expansion;

    机译：随机样品;非静止的;非高斯;Karhunen-Loeve扩张;多项式混沌扩张;

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