AM 5430: Stochastic Processes in Structural Mechanics Assignment 2

March 7, 2014 Date for submission: March 17, 2012.

1. Let X and Y be independent random variables and 1 pX (x) = , 1 < x < 1, 1 x2 y2 pY (y ) = y exp[ ], 0 y < . 2 Show that the pdf for Z = XY equals 1 z2 pZ (z ) = exp[ ], < z < . 2 2 2. Let random variables R and S denote, respectively, the load and resistance of a structure. Show that if S and R are assumed to be independent, the probability of survival of the structure can be expressed as (a) P [M = R S 0] =

pR (r)FS (r)dr.

(b) Show that the above is equivalent to

P [M = R S 0] =

[1 FR (s)]pS (s)ds.

(a) If R N (R , R ) and S N (S , S ), show that P [M = R S 0] = 1 R S + . 2 2 1/2 2 (R + S )

Here, [] is the Gaussian PDF, p() is the pdf and F () is the PDF. 3. A component in a mechanical system is expressed as Y = tan , where, is a random variable uniformly distributed in [/2, /2]. (a) Find the probability density function (pdf) of Y analytically. (b) Find the corresponding probability distribution function (PDF). (c) Determine the characteristic function of Y . 1

(d) Plot the pdf and the corresponding PDF in Figures 1 and 2. (e) Simulate using Monte Carlo simulations. Plot the numerically obtained pdf and PDF in Figures 3 and 4. (f) Numerically simulate Y . Plot the pdf and PDF for Y in Figs 1 and 2 and compare the results with your analytical estimates. (g) Comment on how you decide on the N the number of samples used in Monte Carlo simulations. 4. Let the random variable X be gamma distributed, i.e., p X ( x) = 1 a+1 ( x x exp[ ], + 1) a > 1, a > 0, 0 x < .

2 (a) Show that the mean and the variance of X are X = a + a and X = a2 ( + 1).

(b) Find the characteristic function of X . (c) Determine the n th moment of X by using the characteristic function.