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Adrian Sandu*, Corina Sandu, and Mehdi Ahmadian

Virginia Polytechnic Institute and State University

*Computer Science Department, sandu@cs.vt.edu

Abstract

This study applies generalized polynomial chaos theory to model complex

nonlinear multibody dynamic systems operating in the presence of parametric

and external uncertainty. Theoretical and computational aspects of this

methodology are discussed in the companion paper Modeling Multibody

Dynamic Systems With Uncertainties. Part I: Theoretical and Computational

Aspects.

In this paper we illustrate the methodology on selected test cases. The

combined effects of parametric and forcing uncertainties are studied for a quarter

car model. The uncertainty distributions in the system response in both time and

frequency domains are validated against Monte-Carlo simulations. Results

indicate that polynomial chaos is more efficient than Monte Carlo and more

accurate than statistical linearization. The results of the direct collocation

approach are similar to the ones obtained with the Galerkin approach. A

stochastic terrain model is constructed using a truncated Karhunen-Loeve

expansion. The application of polynomial chaos to differential-algebraic systems

is illustrated using the constrained pendulum problem. Limitations of the

polynomial chaos approach are studied on two different test problems, one with

multiple attractor points, and the second with a chaotic evolution and a nonlinear

attractor set.

The overall conclusion is that, despite its limitations, generalized

polynomial chaos is a powerful approach for the simulation of multibody dynamic

systems with uncertainties.

Keywords: uncertainty, stochastic process, polynomial chaos, statistical

linearization, Monte Carlo, Karhunen-Loeve expansion, chaotic dynamics.

Introduction

This study investigates the efficient treatment of uncertainties that occur in

mechanical systems. Such uncertainties result from poorly known or variable

parameters (e.g., variation in suspension stiffness and damping characteristics),

from uncertain inputs (e.g., soil properties in vehicle-terrain interaction), or from

rapidly changing forcings that can be best described in a stochastic framework

(e.g., rough terrain profile). In the companion paper Modeling Multibody

Dynamic Systems with Uncertainties. Part I: Theoretical and Computational

Aspects [1] we present the methodology developed to account for several types

of uncertainties, with the goal of obtaining realistic predictions of the system

behavior using computationally efficient methods.

As described in detail in Part I, this study applies the generalized

polynomial chaos theory to formally assess the uncertainty in multibody dynamic

systems. The polynomial chaos framework has been chosen because it offers an

efficient computational approach for the large, nonlinear multibody models of

engineering systems of interest, where the number of uncertain parameters is

relatively small, while the magnitude of uncertainties can be very large (e.g.,

vehicle-soil interaction). The proposed methodology allows the quantification of

uncertainty distributions in both time and frequency domains, and enables the

simulations of multibody systems to produce results with error bars, similar to

the way the experimental results are often presented.

The results obtained with the polynomial chaos approach are compared

with Monte Carlo simulations and with statistical linearization. Monte Carlo

simulations are costly, and the accuracy of the estimated statistical properties

improves with only the square root of the number of runs. Statistical linearization

computes several moments of the uncertainty distribution of the solution, but do

not capture essential features of the nonlinear dynamics (e.g., as revealed by

power spectral density).

This paper is organized as follows: The response of a two degree-offreedom system that represents a vehicle suspension is analyzed for parametric

uncertainties, stochastic forcings, and combined sources of uncertainty. Next, we

present numerical results for modeling uncertain terrain. The polynomial chaos

approach is compared with the statistical linearization method. Aspects related to

special dynamical behavior are studied with the help of two test cases: the

double-well problem and the Lorenz problem. The treatment of uncertainties in

multibody dynamic systems with constraints (modeled by differential algebraic

equations (DAEs)) is illustrated on a simple pendulum problem. Finally, the main

conclusions of this study are summarized.

The treatment of nonlinear multibody dynamic systems with the proposed

stochastic methods that account for uncertainties in the system is illustrated by

the following case study. Recognizing that most dynamic systems can be

expressed in a lumped parameter form (as a series of mass, spring, and

in Fig. 1 which models a vehicle suspension.

The sprung mass M s and the unsprung mass M u are connected by a

nonlinear spring k and a linear damper c . The forcing z (t ) applied to M u through

the linear spring of stiffness kT represents the interaction with the terrain. The

state-space representation of the quarter-car model system is:

x&1 =v1

x& 2 = v2

(1)

3

M s v&1 = k3 ( x1 x2 ) c(v1 v2 )

3

M u v&2 = k3 ( x1 x2 ) + c (v1 v2 )+ kT ( z (t ) x2 )

where x1 , x2 are the displacements of the sprung and unsprung masses, and

v1 , v2 their respective velocities. The terrain is of the form:

z (t ) = A sin(2f t )

(2)

The quarter-car model is subject to parametric and forcing uncertainties.

The forcing uncertainty comes from the terrain profile, i.e., the force

displacement. Its amplitude can take values within +/- 50% of the nominal value.

The uncertainty in the displacement is modeled using a uniform distribution

(u.d.):

z (t ) = z (t ) + z (t , 1 ) = A (1 + a1 ) sin (2ft ), 1 [1,1] u.d.

(3)

The parametric uncertainty comes from the variable tire stiffness and

damping constant. The probability distribution of the tire stiffness values is:

kT = kT + kT 2 , 2 [ 1,1] u.d.

(4)

and the probability distribution of the damping coefficient is:

c = c + c 3 , 3 [ 1,1] u.d.

(5)

We assume that the uncertainties in the terrain amplitude, tire stiffness,

and the damping coefficient are not correlated, i.e., 1 , 2 , and 3 are

independent, uniformly distributed random variables.

The state is expressed as:

xi (t , ) = xij (t ) j ( ( ) ), i = 1, 2, 3, 4

(6)

j =1

where S is the dimension of the polynomial chaos space. Thus, the stochastic

system is formulated as

x&1j =v1j ,

for all 1 j S

x& 2j =v2j

(7)

M s v&1j = c v1j v2j c A ( j ) k3B ( j )

M u v&2j =c v1j v2j + c A ( j )+ k3 B ( j )+ kT z j x2j + kT D ( j )

where:

1 S k

A ( j )=

v v2k E3 (3,k , j )

2 1

(

(

B ( j )=

D ( j )=

1

j 2

1 2

)

)

k =1

(x x )(x

S

l =1 m =1 p =1

(z

S

k =1

l

1

l

2

m

1

)(

(8)

x2k E3 (4,k , j )

with:

E3 (i, j ,k ) =

+1

+1

+1

E 4 (i, j ,k ) =

j =

2

i (1 , 2 , 3 ) j (1 , 2 , 3 ) k (1 , 2 , 3 ) w(1 , 2 , 3 ) d1 d 2 d 3

+1

+1

+1

+1

+1

+1

i (1 , 2 , 3 ) j (1 , 2 , 3 ) k (1 , 2 , 3 ) l (1 , 2 , 3 )

w(1 , 2 , 3 ) d1 d 2 d 3

(9)

j ( ) k ( ) d1 d 2 d 3

Due to the nonlinearity of the quarter-car system and the non-Gaussian

distribution of the parametric uncertainty, the model output uncertainty

distribution is non-Gaussian and difficult to estimate.

Figure 2 shows the uncertainty in the sprung mass displacement and in

the power density due to uncertainty in the damping coefficient. Only slight

differences can be noticed between the evolution of the sprung mass

displacement in the deterministic case and the mean value of the system

response in the stochastic case with polynomial chaos.

Displacement [m]

Deterministic

Polyn. Chaos (mean 1)

0.15

0.1

0.05

0

0.05

0.1

0.15

1.2

1.4 1.6

Time [s]

1.8

180

Deterministic

Polyn. Chaos (mean 1 )

150

120

90

60

30

0

0

2

3

Frequency [Hz]

Figure 2. The uncertainty in the sprung mass displacement and in the power

density due to the uncertainty in the damping coefficient

Deterministic

Polyn. Chaos (mean 1)

0.15

Displacement [m]

the power density due to uncertainty in the tire stiffness. It can be seen that this

type of uncertainty influences the response of the system substantially. The

range of the system responses, as illustrated by the error bars in Fig. 3a, is also

larger than that due to uncertainty in the damping characteristics.

0.1

0.05

0

0.05

0.1

0.15

1.2

1.4 1.6

Time [s]

1.8

180

Deterministic

Polyn. Chaos (mean 1 )

150

120

90

60

30

0

0

2

3

Frequency [Hz]

Figure 3. The uncertainty in the sprung mass displacement and in the power

density due to the uncertainty in the tire stiffness

Uncertainty due to Stochastic Forcing

The forcing function uncertainty is first considered of the form shown in Eq. (3),

where the random variable has (a) a uniform, and (b) a beta distribution, with

mean 0 and support [ 1,1] . Thus, the forcing amplitude can change between

A(1 a ) and A(1 + a ) , and has mean A . The system response is parameterized

using polynomial chaos decomposition up to order 5 (with Legendre polynomials

for the uniform distribution, and Jacobi polynomials for the beta distribution). The

evolution of the sprung mass position for one second of evolution is shown in Fig.

4a for the uniform forcing, and in Fig. 4b for the beta forcing. Note that the results

of the deterministic simulation (using the nominal value of the amplitude) are

different than the probabilistic mean due to nonlinearities, but remain within one

standard deviation of it. As expected, the results for the beta uncertainty show a

5

slightly smaller variance, and a smaller difference between the stochastic mean

and the deterministic solution.

Deterministic

Polyn. Chaos (mean 1)

0.3

0.3

0.2

0.2

Displacement [m]

Displacement [m]

Deterministic

Polyn. Chaos (mean 1)

0.1

0

0.1

0.2

0.1

0

0.1

0.2

0.3

0.3

0

0.2

0.4

0.6

Time [s]

0.8

0.2

0.4

0.6

Time [s]

0.8

Figure 4. Time evolution of sprung mass displacement for stochastic forcing with

amplitude uniformly distributed and beta distributed

In this section we present results reflecting the combined effect of both

parametric uncertainty and stochastic forcing. We analyze the resulting

uncertainty in both time domain and frequency domain for the quarter-car model.

Figure 5 presents the uncertainty in the sprung mass displacement, and

the power density due to the combined effect of all uncertainty sources: forcing,

damping parameter, and tire stiffness. The deterministic run results are different

than the probabilistic mean, but they remain within one standard deviation of it.

Deterministic

Polyn. Chaos (mean 1 )

Power Density [m2 s4 Hz1]

Displacement [m]

Deterministic

Polyn. Chaos (mean 1)

0.15

0.1

0.05

0

0.05

0.1

0.15

1.2

1.4 1.6

Time [s]

1.8

180

150

120

90

60

30

0

0

2

3

Frequency [Hz]

Figure 5. The uncertainty in the sprung mass displacement and in its power

spectrum due to the combined effect of all uncertainty sources: forcing, damping

parameter, and tire stiffness

Figure 6 presents the mean values (upper panels) and standard

deviations (lower panels) for the sprung mass (left panels) and unsprung mass

(right panels) displacements. Shown are the moments computed from the

polynomial chaos simulation, and from a Monte Carlo simulation with 2000 runs.

The results are indistinguishable for the means and very close for standard

deviations. The cpu times (of Matlab implementations) are 20 seconds for the

polynomial chaos simulation and 360 seconds for the Monte Carlo.

Sprung Mass

0.25

0.5

Deterministic

Monte Carlo Mean

Polyn. Chaos Mean

Displacement [m]

Displacement [m]

0.5

0.25

0

Unsprung Mass

Deterministic

Monte Carlo Mean

Polyn. Chaos Mean

0.25

0.25

1

Time [s]

Monte Carlo Std. Dev.

Polyn. Chaos Std. Dev.

0.15

0.12

Displacement [m]

Displacement [m]

0.15

0.09

0.06

0.03

0

0

Time [s]

Polyn. Chaos Std. Dev.

0.12

0.09

0.06

0.03

0

0

Time [s]

Time [s]

Figure 6. The mean values (upper panels) and standard deviations (lower

panels) for the sprung mass (left panels) and unsprung mass (right panels)

displacements

The polynomial chaos simulation can produce the probability density

function (PDF) of the results. The PDFs of the of the sprung and unsprung mass

displacements after 3 seconds of simulation are shown in Fig. 7a and in Fig. 7b.

To validate the approach we carried out a 2,000-run Monte Carlo simulation. The

Monte Carlo PDF is similar to the polynomial chaos PDF (ignoring the additional

peak for the sprung mass), but is obtained in a much longer CPU time.

Sprung Mass

20

20

Monte Carlo

Polyn. Chaos

15

15

10

5

0

0.2

Unsprung Mass

Monte Carlo

Polyn. Chaos

10

5

0.1

0

Displacement [m]

0

0.2

0.1

0.1

0

Displacement [m]

0.1

unsprung mass

180

150

Deterministic

Polyn. Chaos

(mean 1 )

120

90

60

30

0

0

PDF (3 Hz)

PDF (1.33 Hz)

0.04

Probability Density

Figure 8 shows the power density of the sprung mass displacement, and

the probability density of the power spectral density. Both the deterministic and

the probabilistic mean of the power density peak at 3 Hz, as can be seen in Fig.

8a. At lower frequencies, the peaks are at 1 Hz, respectively at 1.33 Hz. For 1.33

Hz, the probability density increases rapidly and drops abruptly at a power

density of approximately 30 m 2 s 4 Hz , as shown in Fig. 8b. For the 3 Hz case, the

probability density increases slowly until the power density reaches 30 m 2 s 4 Hz ,

it stays relatively constant until 150 m 2 s 4 Hz , then decreases slowly, as

illustrated in Fig. 8b.

2

3

Frequency [Hz]

0.03

0.02

0.01

0

0

50

100 150 200 250

Power Density [ m2 s4 Hz1 ]

Figure 8. (a) Uncertainty in the power density of the sprung mass displacement;

(b) the probability density of the power spectral density

To illustrate the collocation approach we consider a cubic spring and a nonlinear

damping element which models a magneto-rheological (MR) damper. The MR

damper force depends on the velocity difference v between the sprung and

unsprung masses, and on the applied current intensity I ,

F = (701.5 I + 319 ) v + (45 + 1015 I ) tanh (14.3 v )

(10)

The MR response is shown in Fig. 9a. It simulates the real MR damper

characteristics shown in Fig. 9b. The current intensity is a random variable,

uniformly distributed between [0, 2] A . The range of values of the damping force

for different velocities is illustrated in Fig. 9b.

6000

2670

MR Damper

1780

2000

Force [N]

Force [N]

4000

0

2000

4000

6000

1.5

890

0

I=0A

I=1A

I=2A

0.75

0

0.75

Velocity [m/s]

as described in the text.

0 Amps

0.2 Amps

0.4 Amps

0.6 Amps

0.8 Amps

1.0 Amp

1.2 Amps

1.4 Amps

1.6 Amps

1.8 Amps

890

1780

1.5

2670

-0.64

-0.38

0.13 0 0.13

Velocity [m/s]

0.38

0.64

8

Figure 9. MR damper response and experimental damping characteristics

Because of the hyperbolic tangent nonlinearity, the application of the

Galerkin formulation of the polynomial chaos is difficult. Instead, we define the

stochastic system using the direct collocation approach. The basis functions are

Legendre polynomials of order up to 3, and the collocation points are the roots of

the fourth order Legendre polynomial.

The evolution of the sprung mass and unsprung mass displacements are

shown in Fig. 10, when the vehicle negotiates over a 25 cm square bump. Note

that the deterministic and the stochastic mean results do not coincide.

Figure 10. The response of the nonlinear quarter-car with uncertain MR damping

characteristics when negotiating over a square bump

The probability density functions of the displacements after 6 seconds is

shown in Fig. 11. The polynomial chaos results are in excellent agreement with

Monte Carlo simulation results.

PDF of Sprung Mass Displacement

PDF of Unsprung Mass Displacement

150

100

50

0

0.06

0.07

0.08

0.09

Displacement [m]

0.1

Figure 11. The probability density functions of the response of the nonlinear

quarter car at t = 6 seconds

Accurate modeling of the soil characteristics and terrain geometry is one of the

main challenges in modeling off-road vehicles [4-6]. Another non-trivial issue is

modeling unprepared terrain, due to the high degree of uncertainty in its

geometry. The accuracy of the terrain model is directly related to the response of

the vehicle analyzed, such as its mobility. It is clear that a deterministic approach

is not suitable in this case [7], and the uncertainties in the terrain profile must be

taken into account.

The proposed terrain model exemplifies the use of Karhunen-Loeve (KL)

expansion to represent stochastic forcings. KL expansion is based on the

eigenfunctions and eigenvalues of the covariance function. As explained in the

companion paper [1], the covariance function of the forcing can be determined

experimentally, for example from power spectrum density data.

We consider a one-dimensional course with an uncertain profile. The

terrain height is periodic in space with a period D and is modeled as a stochastic

process periodic in space.

x

x

x

x

z (x ) = z (x ) + A1 11 cos + 12 sin + A2 21 cos + 22 sin

L1

L1

L2

L2

2x

(11)

z (x ) = A0 sin

D

D

D

L1 =

, L2 =

, n1 and n2 integers

2 n1

2 n2

In Eq. (11) ij are independent normal random variables of mean 0 and

standard deviation 1. The terrain height at each location x is a normal random

variable of mean z (x) and standard deviation

terrain heights at two spatial points is

x x

x x

R ( x1 , x2 ) = E [( z ( x1 ) z ( x1 ) )( z ( x2 ) z ( x2 ) )] = A12 cos 1 2 + A22 cos 1 2

(12)

L2

L1

We regard the stochastic process from Eq. (11) as the superposition of

two periodic stochastic processes with correlation lengths L1 and L2 respectively.

The correlation function R ( x1 x2 ) is also periodic with period D . Lucor et. al. [8]

show that the Karhunen-Loeve representation of a periodic stochastic process is:

0

2

2 n x

2 n x

z ( x, ) =

(13)

c0 +

n cn cos

+ sn sin

D

D n=1

D

D

They also establish that the eigenvectors of the periodic covariance kernel

are cos( x / Ln ) , sin( x / Ln ) , where the correlation length of the n th eigenvector is

Ln = D /( 2 n) . The periodic correlation function in Eq. (12) has only two nonzero

eigenvalues,

D

D

1 = A12 , 2 = A22

(14)

2

2

From Eq. (13) and Eq. (14) we conclude that Eq. (11) is the KarhunenLoeve representation of the periodic stochastic process with covariance given by

Eq. (12). The choice of the model Eq. (11) is motivated by the analysis of Lucor

et al. [8]. The authors consider bilateral autoregressive processes of the form:

10

z ( xi + x ) + z ( xi x )

+ a i

(15)

2

Intuitively, the terrain height at xi depends on the average of terrain

heights at locations situated both to its left and to its right, plus a random term. In

[8] it is shown that, in the continuous limit x 0 , b 1 , and for particular

choices of the correlation lengths, the second order autoregressive process from

Eq. (15) can be represented as in Eq. (11).

In the numerical experiments presented next we consider the following

numerical values:

D

D

D = 100 m , A0 = 0.5 m , A1 = 0.2 m , A2 = 0.1 m , L1 =

5.3m , L2 =

2.3m (16)

6

14

Therefore the mean terrain profile is a sine wave of period 100 m . The

uncertainty in terrain height is modeled as the sum of two stochastic processes

with normal profiles and spatial correlation lengths of 5.3 m and 2.3 m

respectively. Three different realizations of this model are shown in Fig. 12.

We now consider driving the quarter-car at v = 10 m s over this uncertain

terrain profile. We wish to assess the uncertainty in the displacements of the

sprung and unsprung masses. A third order polynomial chaos expansion is used,

with four independent Gaussian variables. The bases are Hermite polynomials.

Terrain height [m]

z (xi ) = b

0.5

0.5

0.5

0.5

0.5

0.5

20

40 60 80

Distance [m]

100

20

40 60 80

Distance [m]

20

40 60 80

Distance [m]

100

Figure 12. Three different realizations of the periodic terrain stochastic model.

The mean (the deterministic part of the profile) is represented in dashed red line.

For comparison, Fig. 13 presents the displacements of the sprung mass

and of the unsprung mass obtained by polynomial chaos of order 3 and by a

2000-run Monte-Carlo simulation. The results are very similar, with the

polynomial chaos method having the advantage of reduced computational time.

MC Sprung Mass (mean 1)

0.5

Displacement [m]

Displacement [m]

0.75

0.25

0

0.25

0.5

0.75

1

0.75

0.5

0.25

0

0.25

0.5

0.75

4 5 6

Time [s]

10

11

4 5 6

Time [s]

10

Figure 13. Time evolution of the displacements of sprung and unsprung masses

obtained by polynomial chaos of order 3 and by a 2000-run Monte-Carlo.

Figure 14 illustrates the probability density functions at the final time for

the sprung and unsprung masses. The polynomial chaos and the 2000-run

Monte-Carlo estimates give similar results.

2

Polyn. Chaos

Monte Carlo

1.5

1.5

0.5

0

1

Polyn. Chaos

Monte Carlo

0.5

0.5

0

0.5

Sprung Mass Displacement [m]

0

1

0.5

0

0.5

Unsprung Mass Displacement [m]

Figure 14. The probability density function at the final time for the sprung and

unsprung masses.

Polynomial Chaos versus Statistical Linearization

Statistical linearization is a powerful approach to approximate the mean and

variance of the response of nonlinear dynamic systems to stochastic

perturbations [9]. To compare polynomial chaos with statistical linearization,

consider the single degree of freedom nonlinear oscillator:

m&x& + cx& + g (x ) = f (t )

(17)

where f (t ) is a stochastic forcing and g (x) a nonlinear spring. The system in

Eq. (17) is approximated by a linear system [9]:

m&y& + cy& + ky = f (t )

(18)

with the equivalent stiffness coefficient k chosen such that the mean-square

response E[ y 2 ] of the linear system is an optimal estimate of the mean square

response E[ x 2 ] of the nonlinear system in Eq. (17). Based on this approximation,

and assuming the response of the system in Eq. (18) has zero mean, its variance

is given by:

12

S ( )

[ ]

(k m ) + c

E y2 =

2 2

(19)

The standard equivalent linearization applied to the one-dimensional

system in Eq. (17) provides the following formula for the equivalent stiffness

coefficient [9]:

E[ x g ( x)] E [ yg ( y )]

(20)

k=

E[ x 2 ]

E y2

The value of this coefficient can be derived only if the statistics of the

nonlinear solution x are known. In practice these statistics are approximated by

the statistics of the linear response y , which is often assumed Gaussian.

Equations (19) and (20) are solved simultaneously for k and E[ y 2 ] .

We consider a nonlinear cubic spring with g ( x) = h x 3 . Under the Gaussian

assumption for the distribution of y we have that

[ ]

E[h y 4 ] 3 h E[ y 2 ]

k

=

= 3 h E[ y 2 ]

(21)

2

2

E[ y ]

E[ y ]

Consider the stochastic forcing be the stochastic terrain surface in Eq.

(11) with zero mean, z ( x ) = 0 . The power density of this forcing is:

S f ( ) =

(22)

2

2

From Eq. (19) and Eq. (22) the variance of the response is obtained:

2 A12

2 A22

(23)

E y2 =

+

2

2

k mL12 + c 2 L12 k mL22 + c 2 L22

[ ]

In the numerical experiments presented below we use the following

numerical values (in non-dimensional units):

m = 10 , c = 1, h = 1, A1 = 4 , A2 = 2 , t [0, 200]

(24)

The system starts from rest position with zero velocity. The results are

shown in Table 1. Since statistical linearization estimates the variance at steady

state we consider a long integration interval (200 time units) for Monte Carlo and

polynomial chaos integrations. Polynomial chaos and Monte Carlo give very

similar estimates of the variance, while statistical linearization overestimates it.

Table 1. The variance and equivalent stiffness estimated by different methods

Method

k

E[ x 2 ]

Monte Carlo (3000 runs)

0.033 1.463 4.389

Polynomial Chaos (order 3)

0

1.452 4.356

Statistical Linearization

0

1.956 5.869

E[x]

13

time/distance of the stochastic forcing is, the more terms are needed in the

Karhunen-Loeve expansion for a given accuracy. The polynomial chaos

approach becomes impractical for weakly correlated forcings (and in particular

for white noise forcing).

We study the quality of the polynomial chaos approximation for two systems with

very particular dynamics. The first example is the double-well problem; the PDF

of the solution becomes bi-modal and difficult to approximate by smooth

polynomials. The second example is the chaotic 3-variable Lorenz model; with

proper initial values, the solutions collapse onto an attractive manifold. We

expect the chaotic dynamics to challenge the polynomial chaos approximations

of the PDF.

The Double-Well Problem

The double-well problem is governed by the ordinary differential equations

(ODEs):

x& = x x 2 1 , 0 t 2 , x(0 ) = x0

(25)

There are two stable attractors at x = 1 , and one unstable steady state at

x = 0 . For every negative initial condition x0 < 0 the system evolves toward the

attractive steady state x = 1 , and for every x0 > 0 toward x = +1 . Thus any

probability distribution of the initial state (which spans both positive and negative

values) will evolve toward a couple of Dirac distributions on the attractor states.

The problem is challenging since the state probability density becomes less

smooth as the system evolves, making it increasingly difficult to construct

spectral approximations.

Consider the case where the initial state is uniformly distributed between

[0.625, 0.375] , as shown in Fig. 15a. Since this distribution is skewed to the left,

we expect the system to reach the final state x = 1 with higher probability than

x = +1 . The resulting PDF was computed with Monte Carlo (10,000 runs) and

Legendre chaos of orders 3 and 7. The results are shown in Fig. 15b for t = 2

and in Fig. 15c for t = 4 . We notice that the polynomial chaos approximation

captures the bimodal result distribution. For t = 2 the PDF calculated by

polynomial chaos is reasonably accurate. As the real distribution approaches two

Dirac functions, the quality of the polynomial chaos PDF decreases, as seen in

Fig. 15c. Nevertheless, the bimodal character is well captured, with the

probability of the left final state being larger than that of the right final state.

14

0.5

20

0

1.5 1 0.5 0 0.5 1

State at T = 0

1.5

30

Monte Carlo

Polyn. Chaos 3

Polyn. Chaos 7

1.5

10

0

1.5 1 0.5 0 0.5 1

State at T = 2

(a)

(b)

1.5

0

1.5 1 0.5 0 0.5 1

State at T = 4

1.5

(c)

Figure 16. Polynomial chaos approximations of the PDF for the double-well

problem reproduce the two peaks of the final distribution.

The Lorenz Problem

We now consider the classical Lorenz 3-variable system [10] motivated by

meteorological applications.

x& = ( y x )

y& = x y x z

(26)

z& = x y z

This system has been extensively studied since it provides a simple

example of a particular type of nonlinear dynamics. For certain values of the

parameters the system has chaotic solutions: very small perturbations in the

initial conditions lead quickly to very different solutions. From the point of view of

this study, small uncertainties in the initial conditions grow rapidly as the system

evolves. Trajectories fall onto the Lorenz attractor, a low-dimensional stable

manifold. Note that the concepts of chaotic dynamics and polynomial chaos are

not directly related despite the similar terminology.

We consider the initial values of the system to be uncertain, and uniformly

distributed in the cube

0 x0 1 , 0 y 0 1 , 14.5 z 0 15.5

(27)

First we study the behavior for the parameter values = 1 , = 10 , and

= 1 , and a time interval of 15 units. We use 3 uncertain variables, and

Lagrange chaos of order 5. There are 56 basis functions. The system evolves

toward the stable equilibrium point x = y = 3 , z = 9 (there are several stable

equilibria, but the cube of initial values lies in the attractive basin of this particular

one). Figure 16 presents a comparison of the mean and standard deviation of

each variable against a 1000 ensemble Monte Carlo run. The polynomial chaos

approximation of the PDF is very accurate, and becomes sharper in time,

simulating the Dirac distribution at the equilibrium point, as can be seen from the

vanishing variance in Fig. 16.

15

X mean

Y mean

Z mean

16

14

12

10

Monte Carlo

Polyn. Chaos

10

15

X std

10

15

Y std

1.4

0.8

0.6

15

5

10

Time units

15

1

1.5

10

Z std

2.5

1.2

2

0.4

0.5

0.2

0

5

10

Time units

15

5

10

Time units

15

Figure 16. Lorenz system, the stable attractor case. The polynomial chaos

approximation of the PDF is very accurate.

Next, we consider the parameter values that were originally chosen by

Lorenz [10] to obtain chaotic dynamics: = 10 , = 28 , and = 8 3 . A phase plot

of the Lorenz attractor can be seen in Fig. 17. The attractor has a complicated

geometry, which makes it difficult for polynomial chaos to approximate it.

The cube of initial values lies near the attractor, as seen in Fig. 17 (blue

dots). Even if the set of initial conditions is very localized, after 15 time units the

trajectories have diverged and span all the attractor, as seen in Fig. 17 (red

dots). This behavior is typical for chaotic dynamics, and is what makes this test

case challenging for polynomial chaos approximations.

Figure 18 compares the mean and standard deviations obtained by

polynomial chaos with a 1000 ensemble Monte Carlo run. The rapid increase in

standard deviation in the beginning reflects the rapid amplification of uncertainty,

in chaotic dynamics. We notice that polynomial chaos approximation is quite

accurate in the very beginning (for about 3 time units). After that the

approximation of the Z mean, as well as the standard deviations, become

inaccurate. The polynomial chaos PDF after 15 time units is shown in Fig. 19a. It

is not a very accurate approximation of the PDF estimated by Monte Carlo. The

phase plot of the polynomial chaos predicted distribution is shown in Fig. 19b.

This phase plot reveals that an attractor is also predicted by the polynomial

chaos approach. Its shape, however, is only a rough approximation of the real

attractor shown in Fig. 17.

16

25

25

15

15

5

5

15

15

25

25

15

15

25

25

10

20

30

40

50

50

40

30

20

10

0

25

15

15

25

Figure 17. Lorenz system, the chaotic case. Phase plot of the Lorenz attractor.

The initial ensemble (blue) is localized in a 1x1x1 cube. After 15 time units of

evolution the trajectories have fallen onto, and dispersed all over the Lorenz

attractor (red).

X mean

Y mean

20

20

Z mean

Monte Carlo

Polyn. Chaos

40

15

35

10

10

30

25

0

20

15

10

10

15

10

0

10

15

20

X std

10

15

Y std

14

10

15

5

10

Time units

15

Z std

15

12

12

10

10

10

8

6

6

5

4

2

2

0

5

10

Time units

15

5

10

Time units

15

Figure 18. Lorenz system, the chaotic case. The approximations of the mean

and standard deviation of the three variables is accurate only for a short period

(~3 time units) at the beginning of the simulation.

17

0.15

0.15

0.15

0.1

0.1

0.05

0.05

0.05

25

15

15

0.1

25

0

20

20

0

25

25

25

50

Monte Carlo

15

15

25

25

15

15

25

25

10

20

30

40

50

50

Polyn. chaos

0.1

0.1

0.05

0.05

0.05

40

0.1

30

20

10

0

20

0

X

20

0

25

0

Y

25

25

Z

50

0

25

15

15

25

Figure 19. (a) The PDF at T = 15 units predicted by polynomial chaos and by

Monte Carlo. (b) The phase plot of the attractor predicted by polynomial chaos is

only a rough approximation of the real attractor.

DAE Problems

The simple pendulum offers a simple example of a constrained mechanical

system. In the ODE formulation:

g

(28)

&& = sin ( ), 0 = , &0 = 0

4

L

where L is the length of the pendulum, defines the angular position of the

pendulum, && is the pendulums angular acceleration, g is the gravitational

acceleration, and ,& are the initial position and the initial velocity conditions.

0

In Cartesian coordinates

x = L sin ( ), y = L cos( )

(29)

the pendulum equations form an index-3 DAE system:

x (x& 2 + y& 2 ) gxy

&x& =

L2

2

y (x& + y& 2 ) + gx 2

&y& =

(30)

L2

0 =

x 2 + y 2 L2

This system is solved by differentiating the constraints twice and

integrating the resulting index-1 DAE. Each step is followed by a projection of the

solution onto the velocity constraint manifold.

We consider the length of the pendulum string to be uncertain, with a

uniform distribution between [0.8,1.2] m .

L = L + L , [ 1,1] u.d. , L = 1 m , L = 0.2 m

(31)

The stochastic DAE is formulated by direct stochastic collocation.

Figure 20 shows the variation of the angle for a simple pendulum

represented as an ODE in the deterministic model, in the stochastic model with

polynomial chaos, and using a 2000-run Monte Carlo simulation.

18

Deterministic

Polyn. Chaos (mean 1)

0.5

[ rad ]

[ rad ]

0.5

0.5

Deterministic

Monte Carlo (mean 1)

0.5

6

9

Time [ s ]

12

15

6

9

Time [ s ]

12

15

Figure 20. Variation in the pendulum position coordinate for the ODE

formulation, using stochastic modeling with polynomial chaos of order 3, and

Monte Carlo simulations

Figure 21 presents the variation of the position in the x and y directions for

a simple pendulum modeled with DAE in the deterministic model, and in the

stochastic model with polynomial chaos or order 3. Comparison with the Monte

Carlo results in Fig. 24 reveals that this approximation is not very accurate.

X Deterministic

X Polyn. Chaos (mean 1)

Displacement [m]

Y Deterministic

Y Polyn. Chaos (mean 1)

1.1

1

0.5

0.9

0.8

0.5

0.7

1

6

9

Time [ s ]

12

15

6

9

Time [ s ]

12

15

Figure 21. Variation in the pendulum x and y coordinates for the DAE

formulation, using stochastic modeling with polynomial chaos of order 3

Figure 22 illustrates the variation of the position in the x and y directions

using a stochastic model with polynomial chaos or order 7. We notice that only

the order 7 approximation is close to the Monte Carlo results presented in Fig.

24. The convergence of the polynomial chaos approximation for stochastic DAEs

is slow.

19

X Deterministic

X Polyn. Chaos (mean 1)

Displacement [m]

Y Deterministic

Y Polyn. Chaos (mean 1)

1.1

1

0.5

0.9

0.8

0.5

0.7

1

6

9

Time [ s ]

12

15

6

9

Time [ s ]

12

15

Figure 22. Variation in the pendulum x and y coordinates for the DAE

formulation, using stochastic modeling with polynomial chaos of order 7

Figure 23 shows the variation of the position in the x and y directions for

a simple pendulum modeled with DAE in the deterministic model, and in the

2000-run Monte Carlo simulation.

X Deterministic

X Monte Carlo

Displacement [m]

Y Deterministic

Y Monte Carlo

1.1

1

0.5

0.9

0.8

0.5

0.7

1

6

9

Time [ s ]

12

15

6

9

Time [ s ]

12

15

Figure 23. Variation in the pendulum x and y coordinates for the DAE

formulation, using a 2000-run Monte Carlo simulation

Figure 24a presents the position constraint for a simple pendulum

modeled with the stochastic model with polynomial chaos of order 3, and Fig.

24b for polynomial chaos of order 7. The order 3 approximation shows an

increase in variance after about 10 seconds, which confirms that the

convergence of the polynomial chaos approach for DAE problems is slow.

PositionConstraint (X2+Y2)

1.5

2

2

PositionConstraint (X +Y )

1.4

1.2

1

0.8

0.6

0.5

0.4

0.2

6

9

Time [ s ]

12

15

6

9

Time [ s ]

12

15

20

Figure 24. The position constraint for the pendulum modeled with DAE

Conclusions

Many real life mechanical systems operate under uncertainty. Uncertainties

result from poorly known or variable parameters (e.g., variation in suspension

stiffness and damping characteristics), from uncertain inputs (e.g., soil properties

in vehicle-terrain interaction), or from rapidly changing forcings that can be best

described in a stochastic framework (e.g., rough terrain profile).

This study investigates the use of generalized polynomial chaos theory for

modeling complex nonlinear multibody dynamic systems with uncertainty. The

theoretical and computational aspects of the polynomial chaos approach are

discussed in the companion paper Modeling Multibody Dynamic Systems with

Uncertainties. Part I: Theoretical and Computational Aspects [1].

This paper continues the study with numerical investigations of a selected

set of test problems. A quarter-car model is subject to both parametric and

external forcing uncertainties. Polynomial chaos allows the calculation of mean

and variance of the solution, and of its probability density distribution in both time

and frequency domains. For nonlinear systems of interest the deterministic

results with the most likely values of the parameters are different than the

stochastic mean. The modeling of uncertain terrain profiles is illustrated using a

periodic, bilateral, autoregressive stochastic process. This stochastic process is

discretized using a Karhunen-Loeve expansion, and the system response is

obtained using polynomial chaos.

Numerical experiments performed with the simple pendulum illustrate the

modeling of uncertainties in DAE systems. The statistics convergence is slow,

and higher order polynomial chaos expansions are employed for the DAE

formulation than for the ODE formulation. The reasons for this slow convergence

in the DAE formulation require further investigations.

Limitations of the polynomial chaos approach are studied on two test

problems with special dynamical behavior. While the method correctly

approximates multiple attractor points, its accuracy decreases after a short time

interval when it follows a chaotic evolution.

The main advantages of the polynomial chaos approach to simulate

multibody dynamic systems with uncertainty are:

Allows an accurate treatment of nonlinear dynamics and of nonGaussian probability densities;

Does not rely on the assumption that uncertainties are small;

Is well suited for multibody dynamic systems of interest, which have a

small number of uncertain parameters with large levels of uncertainty;

Is more efficient than Monte Carlo;

Is more accurate than statistical linearization;

Allows the quantification of uncertainty distribution in both time and

frequency domains;

Allows a consistent discretization of external stochastic forcings

through truncated Karhunen-Loeve expansions;

Can qualitatively capture the dynamics for multiple attractor states;

21

The main weaknesses of the polynomial chaos approach are:

The dimension of the stochastic space increases exponentially with the

number of independent random variables. Consequently, the approach

is efficient only for a relatively small number of sources of uncertainty;

The discretization of external stochastic forcings by truncated

Karhunen-Loeve expansions require many terms for processes with

short correlation lengths/times;

Treatment of non-polynomial nonlinearities in the Galerkin framework

requires the use of multidimensional quadrature rules. On the other

hand, a complete convergence theory for the less expensive

collocation approach is not available at this time;

For chaotic dynamics the approximation of the PDF is accurate only for

short simulation times;

The convergence of the method for the DAE (pendulum) example is

notably slower than for the ODE formulation of the same system.

The overall conclusion is that despite its limitations, polynomial chaos is a

powerful and potentially very useful, approach for the simulation of multibody

dynamic systems with uncertainty.

Acknowledgements

The work of A. Sandu was supported in part by NSF through the awards

CAREER ACI-0093139 and ITR AP&IM 0205198. The work of C. Sandu was

supported in part by the AdvanceVT faculty development grant 477201 from

Virginia Techs NSF ADVANCE Award 0244916.

References

[1] Sandu, A., Sandu, C., and Ahmadian, M., Modeling Multibody Dynamic

Systems with Uncertainties. Part I: Theoretical Development, submitted Sept.

2004.

[2] Ahmadian, M., Appleton, R., and Norris, J. A., Designing MagnetoRheological Recoil Dampers in a Fire-out-of Battery Recoil System, IEEE

Transactions on Magnetics, Vol. 37, No. 1, Jan. 2003, pp. 430 435.

[3] Ahmadian, M. and Poynor, J.C., Effective Test Procedure for Evaluating

Force Characteristics of Magneto-rheological Dampers, Proc. of ASME IMECE

2003, IMECE2003-38153, Nov. 15 21, 2003, Washington, D.C.

[4] Bekker, M.G., Theory of Land Locomotion, The U. of Michigan Press, Ann

Arbor, Michigan, 1956.

[5] Bekker, M.G., Off-the-Road Locomotion, The University of Michigan Press,

Ann Arbor, 1960.

[6] Bekker, M.G., Introduction to Terrain-Vehicle Systems, The University of

Michigan Press, Ann Arbor, Michigan, 1969.

22

[7] Harnisch, C., and Jakobs, R., Impact of Scattering Soil Strength and

Roughness on Terrain Vehicle Dynamics, Proc. of the 13th Int. Conf. of ISTVS,

Munich, Germany, 1999.

[8] Lucor, D., Su, C.-H., and Karniadakis, G.E., Karhunen-Loeve Representation

of Periodic Second Order Autoregressive Processes, M. Bubak editor, ICCS

2004, LNCS 3038, pp. 827-834, Springer-Verlag, 2004.

[9] Crandall, S.H., Is Stochastic Linearization a fundamentally flawed

procedure?, Probabilistic Engineering Mechanics, Vol. 16, pp. 169-176, 2001.

[10] Lorenz, E.M., Deterministic Nonperiodic Flow, J. Atmos. Sci., 20, 448-464,

1963.

23

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