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# Applications of Statistics and Probability in Civil Engineering, Der Kiureghian, Madanat & Pestana (eds)

## Analysis of uncertain structural systems under white noise excitation

by a response surface method
N. Impollonia & G. Ricciardi
Dipartimento di Costruzioni e Tecnologie Avanzate, University of Messina, Italy

Keywords: Stochastic dynamics, uncertain structures, white noise excitation, response surface method
ABSTRACT: A method for the analysis of linear structural systems with uncertain parameters subjected to
stochastic excitation is presented. The excitation is modeled as a Gaussian white noise process and the stationary stochastic response is characterized in terms of its second order moments. The variability of the response due to the uncertainty in the dynamic properties of the structure is investigated. A novel response surface method is developed, expressing an accurate explicit relationship between the derived and basic random
variables. The method is based on the solution of complex eigenvalue problems, one for each basic random
variable, with few eigenvalues different from zero. A complete probabilistic characterization of the response
process can be made. The efficiency and the accuracy of the proposed procedure are evidenced by a numerical application.

1 INTRODUCTION
The inclusion of the parameter uncertainty in the
analysis of structures is essential for a more complete
understanding of the structural behavior. Such uncertainty can arise because of the numerous assumptions
made when modeling the geometry, material, properties, constitutive laws, and boundary conditions of the
structural members. Although many non-statistical
methods have been proposed to evaluate the response
of structures with uncertain parameters (or stochastic
structures) to deterministic excitation, the case of stochastic excitation has not been extensively investigated. An efficient method to evaluate the response of
stochastic structure to stochastic excitation is of particular interest as in this setting the statistical techniques based on Monte Carlo simulation are very
time consuming due to the large number of samples
needed to get satisfactory results.
The orthogonal polynomial expansion proposed
by Ghanem & Spanos (1991) has been successfully
extended to the case of stochastic excitation by Jensen & Iwan (1992). Such method produces accurate
solutions for a second order analysis although it may
become prohibitive for large systems. Furthermore,
the probability density function of uncertain parameters can not be arbitrarily chosen, as only for few of
them suitable polynomials have been presented.

## The response surface method can be resorted to

solve the problem (Khuri & Cornell 1987). This is a
very general and conceptually simple technique,
broadly used in several scientific areas for a long
time. For our purpose a response surface is an explicit function approximating the implicit unknown
limit surface, i.e. the function expressing the dependence of a response quantity on the uncertain parameters.
The form of the response surface is usually arbitrarily chosen to be of polynomial type (linear or
quadratic) and its coefficients are obtained by fitting
the limit surface at a number of points, named sampling points, which constitute realizations of the uncertain structural parameters (Wong 1985, Bucher &
Bourgund 1990). Then, a deterministic analysis is
required for each sampling point, in order to get the
corresponding value of the limit surface.
The key step of the response surface method is
the choice of the response surface form. Nevertheless, no much attention has been devoted in the literature to this issue, as the use of linear or quadratic
(with or without cross terms) polynomials seems unquestionable. However, such choice may be inappropriate as the limit surface shape is usually far
away from a hyperplane or a quadratic surface,
which consequently furnish only a poor fit of the actual surface.

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## The drawbacks related to the use of inadequate

response surfaces have been already evidenced
(Nelder 1966, Guan & Melchers 2001). The main
trouble is the high sensitivity of response surface to
the sampling point positions so that, remarkably different approximations are created varying a little the
sampling points. Which is the correct choice of the
sampling points to obtain a better fit is still an open
question. Moreover, the use of low order polynomials as response surface is accompanied by some
other disadvantages and neither it is convenient
from a computational point of view. For example, in
some cases, the fitting with inverse polynomials has
been shown to involve no more labor than ordinary
polynomials and to be preferable for several reasons
(Nelder 1966).
A novel response surface technique was recently
presented for the static analysis of stochastic structures (Falsone & Impollonia 2002). The performance
function adopted is built up by a sum of ratio of
polynomials and turns out to be very effective to fit,
in the spirit of response surface methods, the implicit
response surface. Differently from the classical response surface method neither sampling points nor
deterministic analyses are needed. In fact, the coefficients of the response surface can be retrieved by
solving low dimension real eigenvalue problems.
In the present paper a response surface method
based on rational polynomials is developed to get
the stationary response of stochastic structures under
white noise processes. For the present case, the eigen-problems to be solved, one for each basic random variable (i.e. each parameter assumed uncertain
with a given probabilistic description), are complex.
Moreover, the eigen-problems possess only few eigenvalues different from zero, so that a very simple
explicit relationship between the basic random variables and the response is derived, regardless of the
number of degree of freedoms. Such a relationship is
the exact one if a single uncertain parameter is present; it is very accurate if several uncertain parameters are present. In this case, however, in order to get
a better approximation, the inclusion of cross terms
is also considered.
The results are given in terms of the second order
statistical moments of the response, although higher
order moments can be straightforwardly derived.
In the applications, the results obtained by the
proposed method are compared with those deriving
from Monte Carlo simulations.
2 FORMULATION
Consider an n-DOF structural system whose dynamic properties are predicted by an analytic model

70

## with linear behavior, characterized by the mass,

damping and stiffness (n n) matrices M , C and
K , respectively. Moreover, let us assume that the
structure is subjected to a stationary Gaussian white
noise excitation W (t ) with zero mean and intensity
q = 2S0, S0 being the constant power spectral density.
The motion differential equations of the system
can be written as follows
(t ) + Cu (t ) + Ku(t ) = pW (t )
Mu

(1)

## (t ) are the n-vectors of nodal

where u(t ) , u (t ) and u
displacements, velocities and accelerations, respectively, and p is the influence forcing n-vector.
By using the 2n-dimensional vector state approach, Eq.(1) can be written in the following matrix
form:
 (t ) + B Z(t ) = gW (t )
AZ

(2)

where
u(t )
Z(t ) =
,
u (t )

p
g=
0

(3)

and
C M
A=
,
M 0

K
B=
0

0
M

(4)

## are symmetric matrices. Eq.(2) can be written in alternative form as follows

Z (t ) + D Z(t ) = vW (t )

(5)

where

D = A1 B
In
0
M1 K 0 0
= 1
= 1
,

1
1
1
M M CM 0 M M K M C
v = A1g
0
M1 p 0
= 1
= 1
1
1
M M CM 0 M p
(6)
being I n the identity matrix of order n .
If the physical properties of the system, such as
mass, damping and stiffness, are known deterministically, the response process is Gaussian and its
probabilistic characterization is known if the stationary second order moments are evaluated. The differential equations describing the time evolution of
these quantities can be written as follows (Falsone et
al. 1991)
 2 (t ) + D2m 2 (t ) = v 2 q
m

(7)

## respect to their mean value. K (0) and C(0) represent

the expected values of the stiffness and damping matrices, respectively, and the summations represent
their fluctuating components. It follows that

where
D2 = D I 2 n + I 2 n D
= ( A 1B) I 2 n + I 2 n ( A 1B)
(8)
v2 = v v

i =1

= ( A 1g ) ( A 1g ) = ( A 1 )[2] g[2]

B( ) = B

## In Eqs.(8), the symbol means kronecker product

and the exponent in square brackets means kronecker power (Bellman 1974, Brewer 1978). In
Eq.(7), the 4n2-vector m 2 (t ) , given as
m 2 (t ) = m 2 [Z(t )] = E[ Z[2] (t )]

(9)

## collects all the second order moments between the

displacement and velocities of the nodal coordinates.
Note that all the cross moments appear twice in the
vector m 2 (t ) . Then a condensation can be employed
in order to reduce the size of the problem by clearing
away the repetitions. So operating the problem dimension reduces from 4n 2 to N (2n 2  n) .
The stationary response is solution of the following system of algebraic equations:
D2m 2 = v 2 q

(10)

## From Eq.(10), it appears that the evaluation of the

stationary second order moments of the nodal coordinates requires the inversion of the matrix D2 .
3

A( ) = A (0) + i A (i )

PARAMETER UNCERTAINTY

In agreement with realistic models, the mass parameter fluctuations are negligible, whereas stiffness
and damping parameters commonly suffer from significant uncertainty. Then, let us assume that the matrices K and C can be written in the following
form
K ( ) = K (0) + i K (i )
i =1

(12)

+ i B(i )
i =1

where
C(0) M
A (0) =
,
0
M
K (0)
0
B (0) =
,
0

C( i ) 0
A (i ) =

0 0
K (i ) 0
B(i ) =

0 0

(11)

C( ) = C(0) + i C(i )
i =1

## where K (0) , K (i ) , C(0) and C(i ) are deterministic

matrices and = [1 2 R]T is the vector collecting the basic random variables. It is worth noting that Eq.(11) does not involve any approximation,
since, whatever the uncertain physical properties are,
the stochastic stiffness matrix can always be expressed as a linear function of appropriate random
variables i (eventually by applying a variable
transformation). The basic random variables represent the fluctuations of the random parameters with

(13)

## and the dynamic matrix D can be written in the

form
R

D( ) = D(0) + i D( i )

(14)

i=1

where
I n
0
D(0) = 1 (0)
,
M 1C(0)
M K
0
0
D(i ) = 1 (i )
1 ( i )
M C
M K

(15)

The stationary second order moment of the nodal response is solution of the following system of algebraic equations
D2 ( )m 2 () = v 2 q

(16)

where
R

(i )
D2 ( ) = D(0)
2 + i D2

(17)

i=1

being
(0)
D(0)
I 2 n + I 2 n D(0)
2 =D

(0)

(18)

## In Eq.(16), the vector of the second order moments

of the nodal response m 2 ( ) depends on the uncertain parameters, then it is a vector of random variables (derived random variables). Solving the system
governed by Eq.(16) from a stochastic point of view
means to find probabilistic information on the derived random variables m 2 ( ) , once that the probabilistic characteristics of the basic random variables
i are given. In the literature many approaches solving this problem in an approximate way have been
proposed. In the next section a novel approach will
be presented.

## Analysis of uncertain structural systems under white noise excitation

71

4 PROPOSED METHOD
Let us first consider the case in which only one design variable i is present. In order to operate with
symmetric matrices, by pre-multiplying Eq.(10) by
A[2] = A A and by taking into account Eq.(8), we
obtain
C2m 2 = g 2 q

(19)

where
C2 = A[2]D2 = A B + B A
g2 = g g

(20)

## By taking into account the presence of the uncertain

parameter i, the stochastic version of Eq.(19) is
C2 ( )m 2 () = g 2 q

(21)

## The vector of the second order moments of the nodal

response can be written as follows
(i )
m 2 ( ) = m (0)
2 + m 2 ( i )

(22)

where m (0)
is the vector of the stationary second or2
der moments of the nominal structure, solution of
the following matrix equation
(0)
C(0)
2 m2 = g2q

(23)

## which is characterized by a small number p of

complex eigenvalues different from zero, with
p  N , being N (2n 2  n) .
By imposing the following ortonormalization condition
(i )
(i )T C(0)
= Ip
2

(28)

## < (i ) = [\ 1(i ) \ (2i ) ! \ (pi ) ] being the N p matrix

listing the p eigenvectors \ (ji ) (with j = 1, 2, ! , p ),
we have
(i )T C(2i ) (i ) = /(i )

(29)

(i )

(i )
1

(i )
2

(i )
p

eigenvalues

## m (2i ) (i ) = < ( i )n (2i ) (i ),

( i ) (0)
m (0)
2 = < n2

and taking
in Eq.(26), by pre-multiplying by
into account of Eqs.(28) and (29), Eq.(26) becomes
(I p + i (i ) ) n (2i ) (i ) = i (i )n (0)
2
n (2i ) (i ) = (i ) (i )n (0)
2

(32)

( i )T (0)
( i )T
n (0)
C2 m (0)
g2q
2 =
2 =

(24)

## By substituting Eq.(22) and Eq.(24) into Eq.(21), we

obtain
C2 ( )m 2 ()
(i )
(0)
(i)
(C(0)
2 + i C 2 )[m 2 + m 2 ( i )] = g 2 q

(25)

Taking into account of Eq.(23), the following equation for the unknown vector m (2i ) (i ) is obtained:
(i )
(i )
(i )
(0)
(C(0)
2 + i C 2 ) m 2 ( i ) = i C 2 m 2

(26)

## The exact solution of Eq.(26) appears not

straightforward at a first glance, as the inverse of the
( i ) 1
parametric matrix (C(0)
is required. How2 + i C2 )
ever, a simple expression of the vector m (2i ) (i ) as a
function of the design parameter i can be obtained,
as shown in the next.
Let us consider the following eigenproblem relative to the ( N N ) symmetric matrices C(0)
and
2
C(2i ) :
(i)
C(2i ) ( i ) = ( i )C(0)
2

72

(27)

(31)

C2 ( ) = C

+ iC

(30a,b)

( i )T

where

(i )
2

(with

## Moreover, the matrix C2 ( ) takes on the following

simpler form:
(0)
2

(ji )

(33)

and
(i ) (i ) = i (I p + i (i ) ) 1 (i )

(34)

given as
(ji ) (i ) =

i (ji )
1 + i (ji )

j = 1, 2,! , p

(35)

## By replacing Eq.(32) and Eq.(33) into Eq.(30a), the

exact relationship between the vector m (2i ) (i ) and
the uncertain parameter i is determined as follows
m (2i ) (i ) = ( i ) ( i ) (i ) ( i )T g 2 q

(36)

## If more than one uncertain parameter is present, as

a first approximation we assume that the cross effects of the uncertainties are negligible and the superposition principle is applied. Therefore the solution is the sum of the single contributions, that is
R

(i )
m 2 ( ) = m (0)
2 + m 2 ( i )

(37)

i=1

## where R is the number of the uncertain parameters

and the generic m (2i ) (i ) is given by Eq.(36). It is
obvious that Eq.(37) is an approximation if R 2 .
However, it is possible to find the expression of the
residue associated with the use of Eq.(37) by replacing this one and Eq.(17) into Eq.(16):
(0)
Residue ( D(0)
2 m 2 g 2q )
R

(i )
(i )
(i )
(0)

+ (D(0)
2 + i D 2 )m 2 ( i ) + i D 2 m 2 (38)
i =1

= i D(2i )m (2 j ) ( j )
i =1 j =1
i j

## As it will be seen in the applications, this residue

implies an acceptable error in the stochastic characterization of the structural response, even for high
uncertainty level in the parameters. Eq.(38) leads to
the consideration that it is possible to further improve the explicit response surface given by Eq.(37)
by adding to this expression proper crossing terms
R

(i )
m 2 ( ) = m (0)
2 + m 2 ( i )
i =1

(0) 1
2

(D ) i D(2i )m 2( j ) ( j )

(39)

i =1 j =1
i j

## In this case the residue is reduced, being quadratic

with respect to parameter fluctuations (assumed
smaller than one), namely
R

## where ts ,r means the moment of order t of the r-th

component of the vector collecting the moments of
s-th order of the response.
Alternatively, one can apply the Monte Carlo
simulation on Eq.(37) or Eq.(39) to get the statistical
moments and the probability density functions of the
second order moments of the response. Clearly such
a simulation is enormously more efficient than a
simulation applied directly to Eq.(16), being very
small the time required to get a response sample.
Note that Eq.(37) and Eq.(39) have been derived
without any assumptions on the probabilistic structure of the basic random variables.
5 APPLICATION
As an application of the proposed method, the characterization of the second order moment of the response of a shear-type frame structure under white
noise base excitation W (t ) is presented. In particular, a three-degree-of-freedom system ( n 3 ) with
uniform mass distribution along the height of the
structure is considered, with m j = m = 1 ( j = 1, 2,3 );
on the contrary, a nonuniform nominal stiffness distribution is assumed, as shown in fig. 1, with
k1(0) = 2k = 2 and k2(0) = k3(0) = k = 1 (see Fig.1). The
structure is assumed classically damped, with (0)
j
( j = 1, 2,3 ) equals to 5% of nominal critical damping in all the three modes. The intensity of the white
noise is q = 1 .

( j)
1
Residue = i k D(2k ) (D(0)
2 ) m 2 ( j )

(40)

i =1 j =1 k
i j

u3(t)

In the case of significant uncertainties, this correction procedure can be easily extended in order to reduce the residue and, then, to improve the response
surface approximation.
The stochastic characterization of the response
can be made evaluating its statistical moments, easily available starting from Eqs. (36) and (37). For
example, for the first and second order moment of
the r-th component of the second order vector moment of the response we can write:

k3
u2(t)

m
k2

u1(t)

m
k1

## 12,r = E[m2,r ( )] = m2,(0)r + E[m2,( i r) (i )]

i =1

22,r = E[(m2,r ( )) 2 ]
R

W(t)

(41)

i =1

i =1 j =1

(i )
2, r

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## The influence of the uncertainties in the system

parameters, in conjunction with that inherent to the
applied dynamic load on the response variability, is
investigated. In particular, the nodal displacements
u j (t ) and velocities u j (t ) (for j = 1, 2,3 ) are considered as response quantities and the second order
moment of the nodal response of the type
E[u rj (t ) uks (t )] (with j , k = 1, 2, 3 and r + s = 2 ) are
investigated. Two types of structural uncertainties
are considered: uncertain structural stiffness and uncertain modal damping ratios. The uncertain parameters are modeled as random variables in terms of
their mean value and deviatoric components in the
following form
k j = k (0)
j (1 + j )

(a)

j = 1, 2,3

(42)

j = (1 + j +3 )
(0)
j

## where 1 , 2 ,! , 6 (being R 6 ) are the basic

random variables.
For the present case, the vector m 2 (D ) , has
4n 2 36 components before the condensation and
(4n 2  n) / 2 21 after the condensation. All the vectors and matrix are condensed so to reduce the dimension of the problem to 21. The eigen-problems
in Eq.(27) have just 5 eigenvalues different from
zero for i 1, 2! , 6 , so that just 5 eigenvelues and
eigenvectors are needed to obtain each of the vectors
m (2i ) (i ) . It turns that for all the six cases 4 eigenvalues are complex and one is real. For example the
component of m (2i ) (i ) relative to the second order
moment of the top displacement as a function of the
E[u32 D ] = 36.273 +

5.684
1 + D

0.05925 0.02094D
0.8325 0.6153D + D

14.444 + 13.801D
1.0386 + 1.9116D + D

(43)

## Eq.(43) expresses the exact relationship between a

derived and a basic random variable, which is independent from the probabilistic information on the
random variable 3 .
The accuracy of the proposed method in the case
more the one basic variable are present can be assessed from Figure 2.

74

(b)
Figure 2. Percentage error (exact  approx ) / exact 100 of
the approximate relationship between the second order moment
of the top floor displacement and the basic variable 2 (a) and
3 (b) for given values of the basic variable 1 .

## The figure shows that even neglecting the cross

terms by using Eq.(37) the error is very small despite of large fluctuations of the basic random variables. Furthermore, the inclusion of cross terms by
Eq.(39) produces a better approximation with negligible errors.
Once the probabilistic structure of the basic random variables is assigned, its counterpart for the derived random variables can be easily obtained.
Figures 3 and 4 portray, respectively, the mean
value and the mean square value of the conditional
second order moment of top floor displacement. In
the figures some of or all the variables
1 , 2 ,! , 6 are simultaneously considered zero
mean independent random variables, uniformly distributed in the intervals ( a, a ) .

## Figure 3. Mean value of the conditional second order moment of

the top floor displacement. Dotted line: 1 , 2 , 3 are uncertain
and 4 = 5 = 6 = 0 . Dashed line: 1 = 2 = 3 = 0 and
4 , 5 , 6 are uncertain. Solid line: 1 , 2 ,! , 6 are uncertain.
Symbols: Monte Carlo simulation.

## The pdf of the conditional second order moment

of top floor displacement is reported in Figures 5-7.
Figure 5 refers to the case of uncertain stiffness
(the basic random variables 1 , 2 , 3 are independent and uniformly distributed in the
range ( 0.4, 0.4) ) and deterministic critical damping
ratios ( 4 = 5 = 6 = 0 ).
Figure 6 refers to the case of uncertain critical
damping ratios ( 4 , 5 , 6 are independent and uniformly distributed in the range ( 0.4, 0.4) ) and deterministic stiffness ( 1 = 2 = 3 =0).
Figure 7 refers to the case of uncertain stiffness
and critical damping ratios ( 1 , 2 ,! , 6 are independent and uniformly distributed in the
range ( 0.4, 0.4) ).
The probability density function is obtained by statistically combining the samples given by Eq.(37)
(which does not include cross terms) or by Eq.(39)
(which includes cross terms). Such a simulation is
enormously more efficient than a simulation applied
directly to Eq.(21), whose results are reported by
symbols. In fact, the time required to get a response
sample by Eq.(37) or Eq.(39) is much smaller than
that required by Eq.(21).
The solution given by the proposed formulation is
practically exact in the case only the damping is uncertain (Fig.6), even if the cross terms are neglected.
If uncertain stiffness is present (Figs.5 and 7), then,
the solution is still very accurate especially if the
cross terms are taken into account.

## Figure 4. Mean square value of the conditional second order

moment of the top floor displacement. Dotted line: 1 , 2 , 3
are uncertain and 4 = 5 = 6 = 0 . Dashed line: 1 = 2 = 3 = 0
and 4 , 5 , 6 are uncertain. Solid line: 1 , 2 ,! , 6 are
uncertain. Symbols: Monte Carlo simulation.

## The approximate statistical moments are derived,

neglecting the cross terms, by integrating Eq.(37)
and its square times the joint probability density
function. The accuracy is evidenced by comparison
with the results pertaining to Monte Carlo simulations. Obviously, such performance is preserved
with any other probability density function of the
basic random variables.

CONCLUSIONS

## An approach to the stochastic analysis of structures

with uncertain parameters excited by white noise
processes has been introduced. It can be considered
as a particular response surface method which produces an explicit relationship between the derived
and the basic random variables by solving complex
eigen-problems.
The numerical results demonstrate that the proposed approach provides very accurate estimates of
both the statistical moments and probability density
function of the system response, even when high
levels of uncertainty are present. The response considered in the paper is the conditional second order
statistical moments, although also higher order statistics can be derived.
The inclusion of cross terms in the response surface is formulated so to reduce the error of the approximate explicit relationship.

75

## Figure 5. Pdf of the conditional second order moment of the top

floor displacement for independent 1 , 2 , 3 uniformly distrib-

## Figure 6. Pdf of the conditional second order moment of the top

floor displacement for independent 4 , 5 , 6 uniformly distrib-

## uted in the range ( 0.4, 0.4) and 4 = 5 = 6 = 0 . Dashed line:

proposed method without crossing terms. Solid line: proposed
method with crossing terms. Symbols: Monte Carlo simulation.

## uted in the range ( 0.4, 0.4) and 1 = 2 = 3 = 0 . Dashed line:

proposed method without crossing terms. Solid line: proposed
method with crossing terms. Symbols: Monte Carlo simulation.

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Vol.111(1): 32-53.

76

## Figure 7. Pdf of the conditional second order moment of the top

floor displacement for independent 1 , 2 ,! , 6 uniformly distributed in the range ( 0.4, 0.4) . Dashed line: proposed method
without crossing terms. Solid line: proposed method with crossing terms. Symbols: Monte Carlo simulation.