Received30 June 1970 17.

Simulation of Multivariate and Multidimensional Random

Processes

M. Sm•ozur. A*

ColumbiaUniversity,New York•New Yor• 10027

Efficient and practical methodsof simulatingmultivariateand multidimensional processeswith specified

cro•-speetraJ densityarepresented.Whenthe cross-spectraldensit3-matrixof an n-variateprocessis speci-
fied• its component processescan be simulatedas the sumof cosinefunctionswith randomfrequencies
andrandomphaseangles.Typicalexamples of this•'pe are the simulation,
for thepurpose of shakertest,
of a multivariateprocess
representing
six components of the acceleration(due to, for example,a booster
enginecutoff)measuredat the baseof a spacecraft
and the simulationof horizontaland verticalcomponents
of earthquakeacceleration.
A homogeneous multidimensionalprocesscan aJsobe simulatedin termsof the
sumof cosinefunctionswith randomfrequencies and randomphasea•agles. Examplesof multidimensional
processes considered hereincludethehorizontalcomponent fo(t,x)of thewindvelocityperpendicular to the
axis (x axis)of a slenderstructure,the verticalgustvelocityfieldf0(x,y) frozenin space,andthe boundary-
layerpressure fieldfo(x,y,t).Also,a convenient useof the presentmethodof simulationtin a classof non~
linear structuralvibrationanalysisis describedwith a numericalexample.

INTRODUCTION I. SIMULATION OF A STATIONARY RANDOM

PROCESS WITH A SPECIFIED MEAN-
The purposeof this studyis to developa methodby SQUARE SPECTRAL DENSITY
which a class of multivariate and multidimensionM
randmixprocesses
with specifiedcross-spectraldensities As a preliminary stud?',consiciera Gaussianrandom
can be simulatedwith the aid of a digital computer processfo(l) with mean zero and the mean-square
within a reasonable amount of time. spectraldensit
3' functionSo(w).This processcan be
The motivation of the presenteffort includesthe simulatedby way of the followingseries:
necessityof simulatinga multivariaterandomprocess
whichstatisticallyrepresents
multicomponentmeasure-
ments of the acceleration excitation at the base of a
\X/
spacecraftdue to, for example,a boosterenginecutoff.
The randomprocesses thus simulatedcan then be used where
to performa shakertestfor a spacecraftof similardesign
to guaranteeits dynamicintegrity in a similarflight.
Also, such a simulationplays an essentialrole in a
•=[.;_•
So(co)rico]
i (lb)
generalclassof the "numericalprobabilistic mechanics" is the standard deviation of the processf0(t); co•
which includesthe followingproblems:(a) numerical (k=l,2,...,X) are independent random variables
analysis of nonlinear structure subjected to multi- identically distributed with the density function
dimensionM randomexcitation(e.g.,d3mamicanalysis g(w)• g(co,)obtainedby normalizing So(w);
involvinglargedeflectionof a thin plate acteduponby
a turbulent flow whosepressureon the plate c•n be (2)
representedby a multidimensionalrandom process)
and (b) numericMstressanalysisor eigenvaluecom- and qo,are independentrandom variables identically
putation of a structure consistingof a material whose distributedwith the uniformdensity1/(2r) between0
them•omechanical propertiesare random functionsof and 2;r. Note also that wnand qo•(k,l,= 1,2,. ß-,X) are
spacevariables. independent.

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 M. SHINOZUKA

It is easyto showthat the ensemble

averageE[-f(t)] densityS*(•o)as
of fit) is zero:
0.2

a(2N)t/=
Elf(t)-] •-cos(cot+½)g(w)dcdw--O.
• 'J-.•fo (3) 2a'N t,-t •_•

o-2
The autocorrelation
functionR(r) of f(t) becomes =-- Z [a(w-•O+a(•+•O], (9)
2N

R(r) = E[f(t+r) f(t) ]

where •i(.) is the Dirac delta function.Equation 9
20'2 31 31' produces themean-square spectraldistributionfunction
=-- Z Z/qcos(w•t+ ½•)cos[•(t+r)+ r*(w):
.'V k 1 1=1
r*(•) = S*(d)ad = --.v(•). (10)
= ½2
œ coswrg(w)
dw= cos•orXo(w)&o. (4)
In Eq. 10,N(w) is the numberof w• (amongthe sample
The last memberof Eq. 4 is identical to the auto- of size ¾) that are lessthan •0 or larger than --w if
correlationfunction Ro(r) of fo(t) becauseof the •o<0. If, however,•o>=0,
Wiener-Khintchine relationship: in which.Vl(w)equalstwicethe numberof wksuchthat
-o•<o•__<w;N2(w)equalsthe numberof •o•suchthat
wi<--o•, and Na(o0 equals the number of o•i such
Ro(r)--- So(co)ei•dw
= So(w)cos•or&o (S) that
It is importantto note that, whendealingwith the
and
temporal averages,•ol and •i are not consideredas

So(4lf• Ro(r)e-'•'dr=--
1f ,o
R(r)
coswrdr,
(6) these random variables. This convention
randomvariablesbut are treated as samplevaluesof
has been used
for simplicityof notation.
wherei is the imaginaryunit. It canbeshown(Appendix
A) that P*(o•+Aw)--P*(w)
This indicatesthat, when the ensembleaverageis convergesin the mean-squaresenseto corresponding
considered,the simulatedprocessf(t) possesses the target value P0(w-{-Aw)--Po(w),
which is in fact equal
autocorrelationR(r) and the mean-square spectral to So(w)/%•for smallvaluesof •o•, as N approaches
densityS(•) whichare identical,respectively,
with the infinity.
(target)autocorrelation
Ro(r) andthe (target)spectral
densitySo(w). l.i.m. [I'*(w+•o•)-- r*(o,)] = r0(•+ao,) - Co(o,),
The temporalmean(f(t)) iszerosinceit canbeshown
that whereI'0(w)is by definition

I(f(t))l
= lim--{--/
vo• TORN/
ro(•) =
œ So(dVd. (12)

2•(2N)t It is in this sensethat, as N approachesinfinity, the

--_<
lim . =0, (7) process
f(t)becomes
ergodie
inthemean
value
andthe
•o• T•.o*
mean-squarespectraldensitywhich,in thepresentcase,
wherew* is the smallestof co•(k= 1,2,- -- ,N). arerespectively
identicalwith the corresponding
target
The temporal autocorrelation function R*(•) values.The centrallimit theoremassuresthe normality
= (f(t+ r)f(t)) becomes of f(t).
It can be shown that similar seriesproposedfor
R* (r) ----(f(t + r) f(t) ) simulation of multivariate and nmltidimensional
processesin the followingsectionshavethe asymptotic
ergodickyin the samesense.In applications, however,
as largea value of N as practicalis usedto obtain an
approximateergodicity.
Xcos[w•(t+r) + •[]dt This particularmethodof simulationhasbeenusedt
0.2 •j
(8) toreproduce
theroad-surface
roughness ofabridgein
a study where the dynamicinteractionamong the
movingmass,the surfaceroughness, and the bridgeis
By applying the Wiener-Khintchinerelationship, investigated for the purposeof estimatingthe fatigue
mean-squarespectral life of simplebridges.Figure l(a) showsa typical
one can obtain the corresponding

358 Volume49 Numberi (Part 2) 1971

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 SIMULATION OF RANDOM PROCESSES

spectraldensityfunctionusedin Ref. 1 in a solidline o

andthespectraldensityvaluesin opencircle(computed
from a simulatedprocess of length50 secof the form
of Eq. 1 with N= 200). In this case, the idealized
spectraldensitydefinedoverthe wavenumber of surface
roughness basedon a measurementis transformedinto
the spectraldensityover the frequencydomainassum-
ing that the vehicle moveswith a speedof 40 mph.
Figure1(b) illustratesa typicalsectionof thesimulated
surface.
It appearsthat Eq. 1 was first usedfor simulation
purposesby Goto and Toki? In Ref. 2, however,no OOOl
discussion
is givenon the interrelationshipbetweenthe
temporalaverageand the ensembleaverageof the
seriesf(t). The presentmethodof simulationpossesses
the followingaAvantageof •eat practicalsignificance.
If f(t) givenin Eq. 1 is usedas an input to a linear
systemwith the frequencyresponse functionK(c0),the
output q(t) is "inunediately"obtained(wilhont per-
formingthe integrationin time domain)as

5'. (13a)
where
FIG. 1. (a) Targetand simulatedspectra.(b) A sectionof road
i• = tan-•[ImK(co•)/ReK(co•)], (13b) roughness.

with ImZ and ReZ standingfor imaginaryand real

part of Z, respectively. the unit spectraldensity.It is evidentthat the mean
Suchan advantagecanalsobe expectedof the similar values(ensemble average)of fi(t) are all zero.
seriesproposed for multivaxiateand muhidimensional It can be showns that the cross-spectral density
processes in what follows.This advantageis uniqueto matrixS•(c0)of f•(t) (i= 1,2,---,n) is
the present method, not being shared by any other
means(for example,Refs.3 and 4) of simulation. = =n (lS)
where S,(•o) is the cross-spectral densitymatrix of
II. SIMULATION OF A MULTIVARIATE STA- n•(t) (i-1,2,..-,n), which is the identity matrix of
TIONARY RANDOM PROCESS WITH ordern in the presentcase.H(co)is the matrix obtained
A SPECIFIED CROSS-SPECTRAL from the matrix h(t)= [-ha(t)] by taking the Fourier
DENSITY MATRIX transform.The overbar indicatesthe complex con-
jugate,and the prime the transpose.
Considera set of n stationary random processes
FromEq. 15, it followsthat i--j element
foi(t) (i= 1,2,---,n) with meanzeroandwith a specified can be written as
cross-spectral
density
matrixS•ø(co)=
[Saudi(co)I,
where
Sø•zi(co)
are meansquarespectraldensities
of foi(O (16)
if i= j, and cross-spectral
densitiesof foi(t) and foi(t)
if i•aj. A setof n functionsof time f•(t) (i= 1,2,-ßß,n)
with the target cross-spectral densitymatrix Sø•(w), whereSo(w)is writtenfor S• i Esimilar
notation
for
which can be simulated within a reasonable ranmint
of time, are to be found. If, therefore,Hi,(co)are sochosenthat
To this end, considera set of n stationaryrandom
processesfi(t) definedby
s?(o,)
= •--1
07)
f,(t)
=5'.f ho(t--
r)n•(r)dr, (14)then a setof n stationaryprocessesfi(t) havethe same
mean values and the same cross-spectralmatrix as
where h•i(t) are "real" functionsof time possessing thoseassociatedwith fofft).
Fourier transformsand hi(t) (j= 1,2,---,n) are white Equation 17, in fact, providesa set of n• equations
noises[ni(t) and hi(t) are independentfor i•j] with for n• nnknownfunctionsHo(co).However,considering
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 M. SHINOZUKA

thewell-known
propertyof cross-spectrM
densities formedon Hq(co)to evaluatehij(t) in approximation
=•s •,(,o), 08)
(suchnumericalFouriertransforms are no longer
consideredintractable;seeRef.6, for example). Upon
one can easily concludethat the number of unknown evaluatinghii(t),Eq. 14 is to be usedto producef•(t)
functionsHii(co)shouldbe reducedby (n•-n)/2. In assimulatedfunctionsof fo•(t).
this connection,an interesting procedure
proposedby In the following,however,an alternativeway of
Borgman• is describedhere. simulatingfoi(t)withtheaidof thetechnique described
Consider,in Eq. 14, that in thepreceding sectionispresented.
For thispurpose,introduceTo(•) as
ho(t)=0, for j>i, (19)
and therefore, •',•½)= I//,•(w)I/I//j•(c0)I. (23)
Ho(w)=0 , for j>i. (20)
Note that •,1i(co)=
1 for i=j, and Tq(•)=0 for i<j.
This evidentlymeansthat the upper off-diagonal Using•(w), write H•(w) in the polarform:
elementsof the matricesh(t) andH(•) are zero.Hence, •q(•) = I•,•(•)l• 'ø'•<•):Vo(•)l•(•)l •ø"<•), (24)
Eq. 17 becomes
with
Sø•(•) = lU,,(•) I •,
0•(•) = t•-'/•/, (2S)
S0•½)= •0•(•) = U•(•)B•(•), (2•b) LRe•i•(•)J
where &•= 0.
s%•(•)= 1•(•)I •+ I•(•) [•, (2•c) Sincehq(t)is assumed
to be real,
S%1
(•) = •01•(•)= • $1(•)•11(•), (21d) ReHo½)= ReHo(--•) (26)
S%•(w)=•%a(w)=Ha•(•)•ffw)+Ha•(w)•(•), (21e) and
I•o(•) = -h•o(-•). (27)
s%•½)= I•1(•)1•+ I•½)1 =+ In•½)l •, (21f)
It followsfrom Eqs. 25-27 that
Sø4•(•)
= Sø14(•)= H41½)•n(w), (21g)
o,•½)= -o,•(-•). (28)
Sø4•(w)=•ø•½)=H•(w)•(w)+H•(w)•(w), (21h)
Constructthen the followingseriescorresponding to
x0•½)= •%•(•) = u•(•)B•(•)+ u•(•)B•(•) Eq. 14withtherestriction
i• j asintroducedin Eq. 19:

x0.½) = I•½)[•+ IH•=½)I•+ IH,•½) I •

j=l •=1
+ I•.½)1 •,
etc. These equationscan sequentiallybe solved for Xcos[w/•t+q•+0
(29)
Hu(w) = •Søn(w)••, (22a) where• (k= 1,2,.-.,N) are randomvariablesiden-
ticallyandindependently
distributed with the density
H•(w) = S%ff•)/[Søn(w)•, (22b) function
g•½)= I•J•(•) I V•?, (30a)
with
Ha•(w)= Søa½)/•Søn(•)•, (22d)
½?= I//i•(co)
1•&o, (30b)
Ha•(•)= [Søa•½)--Hal(W)•x(w)•/H•(•), (22e)
•(•) = [s%•½)- 1•1(•) I •- I•=½) 10•, (22f) and qj• (k= 1,2,...,N) are alsoidenticallyand in-
H•1•) = Sø•(•)/[Sø•i(•)•, (22g) dependentlydistributedwith the uniform density
1/(2•r) between 0 and 2•r.
H4•(w)= [S%a(w)
--H•(w)•l(W)•/H•(•), (22h) It then followsthat, for i__>
j,
u•(•) = [s%½)-u•1½)•1½) R,•(r) = E[f ,(t+ r) fv(t)•

•.½) = [s0.(•)- iH•,½) i • •-•- r •

m•l n=l [ .V /=1
-I•=½)1 =-I•=(•)10•, (22j)
etc. Note that H•i½) are real and •ii½)=•ii(--•). Xco•[,.,•t+ •+0•.(•)]
Borgmanrecommends in effectthat, after Hi•½) is
thus found, the numericalFourier transformsbe per- xcos5o,at
+•,•+oi•½o
}
360 Volume49 Number1 (Part 2) 1971
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 SIMULATION OF RANDOM PROCESSES

tremelyadvantageous,
whenusedasan input,in evalu-
atingthe corresponding
outputof a linearsystem.
The presentmethod producesGaussianprocesses
becauseof the central limit theorem.

III. SIMULATION OF HOMOGENEOUS

MULTIDIMENSIONAL PROCESSES

The methodof simulationfor multivariateprocesses

describedin the precedingsectionis of extremeim-
Taking into consideration that IH•j(co)Iis an even portance in engineeringapplication. In fact, this
functionofco(seeEqs.26 and27) andthat theargument method can in principlebe appliedto simulationof
of cosinefunction in the above integrationis an odd multidimensionalprocessessuch as wind velocity
functionof co(seeEq. 28), fo(t,x) (or a componentwind velocityto be precise)
alongx axis, transversepressurefo(t,x,y) on a plate,
etc.; for example, consider a sixnulationof set of
processes fo(t,x),fo(t,x+ Ax), fo(t,x+ 2/Xx),....
X exp{i[cor-- Oi,•(co)
q-0,,•(co)
]dw}. The present section shows first that when two-
UsingEq. 24, dimensional processes with homogeneityare considered,
a drasticallysimplermethodof simulationis possible.
Considerthe followingseriesf(t,x) for fo(l,x) with
f• 5 mean zero:

Finally,with the aid of Eq. 17,

_ / •__•
f(t,x)-•\X cos
(w•t+
•x+½•). (32)
In Eq. 32, co•and •]• are randomvariablesjointly
R,y(r)-- S?(w)e•"'dco(i_>j). (31)
distributedwith the joint density function
----ga(coa,9a)
and independentof cotand 2, if k•l,
½• are random variablesidentically distributedwith
Equation 31 indicatesthat the seriesf•(t) as con- the density 1/(2r) between0 and 2r, and ½ is the
structedin Eq. 29 possessesthe targetcross-correlationstandarddeviationdefinedby
functions(andthereforetargetcross-spectral densities)
on the ensembleaverage. E[ff(l,x)'] = •2, (33)
The construction of theseriesf•(t) requires
simulation where the fact that
of (a) n independent
sequences
of N numberscoi•
(j= 1,2,-..,n;k= 1,2,...,N) taken from the distribu- E[f(l,x)• = 0 (34)
tionwith thedensitygi(co); (b) n independent
sequenceshas beentaken into consideration.Also, note that • is
of N numbers• (j= 1,2,--.,n;k= 1,2,.-.,N) taken independent of ½t(k•l) andof cotand•2t(/= 1,2,. ßß,N).
fromtheuniformdistribution between0 and2•r;and (c) Equation 32 suggeststhat f(t,x) is Gaussian,again
computationof the moduli ]H•j(•0•)l, from which owing to the central limit theorem.
?o(co•)
= [H•(co•)[/ [H•(c0•)candirectly
beevaluated, Constructthe cross-correlation
functionR(r,•) from
and the angles0o(coi•)of Hiy(coa'a). Eq. 32:
Simulationof independentsamplevalues from a
specilieddistributionis routineand the computation
involvedin (c) abovecanbe performed withina com-
puter if the cross-spectraldensitiesare givenin ana-
lytical form. However, since the measuredcross- =• cos(wr+•)ga(co,•2)dwdfL(35)
spectral densitiesare usually given nmnericallyin
termsof the real and the imaginarypartsor the moduli Write •(•1•0) and q'(co),respectively, for the condi-
andtlheangles,the computational workassociated with tional probabilitydensityfunctionof •2givenw and for
item (c) abovecanbe minimal.Therefore,the method the marginaldensityfunctionof co[hence,•(•2Ico) > 0
of sknulationpresentedhere appearsmore practical and ,I,(c0)->0]. Then,
than that proposed in Ref. 4, whichrequires(a) the
inverseFouriertransformation of N(Nq- 1)/2 functions
of •o,Ho(,o) and (b) the samenumberof integrations
in thetimedomain.
Also,aspointedoutin thepreceding (36)
section,the presentform of the simulatedfunctioncon-
sistingof a sumof cosine
functions
canbe provedex- wherec(co,•)
andq(co,•)
are,respectively,
theconditional

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Societyof America 361

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 M. SHINOZUKA

expectations
of cos9•and sin9•, givenco: Thisdefinition
of xp(co)
makesit possible
to interpretit
as a probabilitydensityfunction.In fact, in this case,
the fact that *(co)=*(-w) > 0 andf_,o, xP(co)dco= 1
c(co,•)
= cos•'I'c(f•1co)dfl (37)
followsrespectively from the well-knownpropertyof
and the mean-square spectraldensity,i.e., S(c•,0)= S(-w,0)
>=0 and from Eq. 45.
q(co,•)
=
Losin•'I'c(• I•0)dg. (38) Because
be written
xI,(w)is an evenfunctionof co,Eq. 44 can
as

If an evenfunctionof •2,qq(f•[co)andan oddfunction S(co,

•) = C(co,
•) -- iO(co,
O, (47)
with
of •, •:2(fl[co)aresoconstructed
that 0-2
C(co,•)
=--*(cO[-c(w,•)q-c(--co,•)• (48)
2
and
•2(•lco)= «[%(•1•)-.c(-•1•)], (40)
then (49)
qvd•l•) =*•(91 co)+•(•l co)
• 0. (41)
Therefore, where C(co,
f) and Q(co,•)are, respectively,the co-
c(co,•)
=2 cosfl•,I'l(f•[w)dfl (42) spectral
densityfunctionand the quadraturedensity
function.Equations48 and 49 are consistentwith the
and fact that the cospectraldensityand the quadrature(of
realprocesses) are,respectively,
evenandoddin co.It is
q(co,0-- 2 sinf•'I'2(• Ico)d•. (43) pointedout that Eqs. 48 and 49 are alsoevenand odd
in •, respectively,whichis true for a real stationary
The cross-spectral densityS(co,•)can then be ob- process.
tained from Eq. 36 with the aid of the Wiener- Equations 48 and49 identifyc(co,•)andq(co,•) up to
Khintchinerelationship: an arbitrary function in terms of cross-correlation
functions.To do so, define

•+(•,0 = IF•(•,0 +•(- •,•)•, (so)

a-(•,f)=«Ee(•,f)-•(-•,i)], (5•)
and
[½(cd,Ocosco'r-q(co',O
sinco'r] R(•,g)= g*(•,g)+ R-(•,•). ½2)
- 2•rd-• •
X•l,(cd)e-i•dw'dr
Evidently,R+(r,•) is an even functionof r, whereas
R-(r,•) is an oddfunctionof r. Therefore,
=.• c(d,Off a½-•')+
2a½+co').(co,)•co,
C(co,•)
=-- R+(r,O coscordr (53)
2•r
q-ia•
foo a½-co')
q(co',•)
-a(.+o')
.,I,(co')dco'
and

Q(co,i)= R-(r,•) sincordr. (54)

- It then follows that

2
0,-:2
-+-'i-Eq(co,
•/)* (co)
-q( -co,8),v( (44)
2
c(,,,b)
and
2•'•2e2(co)
R+(•,0
cos,,•d•+Co(•,
(55)
Fromthepreceding
definitions
of•2,R(r,•), andS(co,•),
it follows that
q(co,•)
2•ra2xI'(co)
R-(r,•)sinwrdr-kq
(56)
,•2=•(o,o)= s½,o)•t•,
whereco(co,
i) andq0(w,i)areassumed
to possess
inverse
Fourier transformsand to satisfy
whereS(co,O)
is the mean-square
spectraldensityfunc-
tionof f(t,x) with x beingkeptfixed.Let ,t,(co)
be c0(co,•)=c0½,
-•)=-Co(-co, •) (57)
defined as and
*(co)= S(co,O)/a:2. (46) q0(w,•)=-q0(w,-0=q0(-co, •). (58)

362 Volume
49 Number
I (Part2) 1971
ded 04 Feb 2011 to 129.187.254.46. Redistribution subject to ASA license or copyright; see http://asadl.org/journals/doc/ASALIB-home/info/
 SIMULATION OF RANDOM PROCESSES

Exceptfor theserestrictions, c0(co,•) are whereco/2•rand tff2•r, respectively,representwave-

and q0(co,•)
arbitrary.This arbitrarinessmakesit possibleto find numbersin x andy directions.
c(co,•)and q(co,•)which,upon inversionof Eqs. 42 By introducing the polarcoordinate r and0,
and43, produce •,(fllco) and 'I,2(alco),
satis/•4ng
the
conditionthat their sumis non-negative and equalto •= r cos0, ,/= r sin0, (65)
unity whenintegratedoverthe entiredomainof 9. one can write *
It isnotedthat Eqs.55 and56 canalsobewrittenas
c(co,•)
= [1/,ra'I,(,.,)]C(•o,•)+co(co,,
e) (59)
and
q(w,•)= - F1/a2'I
' (co)]Q(w,•)
q-qo½,•). (60) X R,*(r)rdrdO

The functions•I,ff•lw ) and ,I,.•(•llco

) eau be found
1 Jo(rp)Ro*(r)rdr, (66)
from Eqs. 42 and 43 with the aid of the sineand cosine with
Fourier inversion formulas:
p= (•o_+g•)•, (67)

wherethe inte•al represenlation

of Besselfunctionof
ß,(alco) 4co,) (61)order zero has beenused;
and

•a(fllco)=-
a'Jo
q(co,•)
sin;l•d•. (62) J"("P)
=•. 0•-"o•,t0. (68)
By meansof Hankel inversetransformation,
In summary,the followingstepshaveto be takento
simulatefo(t,x)in termsof f(t,x): (a) Identify
Q(co.•),and qt(•o)associatedwith the target cross- Ro(r)=_97r Jo(rp)•o*(p)pdp, (69)
spectraldensityfunctionSo(co,•);(b) constructc(w,[)
and q(co,/•)using Eqs. 50 and 60 with appropriate
functionsc0½,•)and qo(co,•) [note that c0(%•)=qo(co,•e) where4•o*(o)-=•,,(co,•O-
=0 is a possible choice];(c) evaluatexlq(f•]co) and Equations 66 and69 indicatethat,if R0(•,•)--=Ro*(r),
•z('qlco)with the aid of Eqs.61 and62; (d) makesure then c•o(co,/x)-=
•o*(p) andviceversa.
that xI,•(Rlco)=xI,•(nlco)q-•I,a(f•l,.,)
is non-negative and Evidently, the inethod of simulationdescribedin
satisfies the conditionf_.o
= xl%(•l 1; (e) simulate relation to fo(t,x) can also apply to the presentcase
,.,• (k=l,2,-..,X) accordingto the density function where the two-dimensionalspectraldensity becomesa
•(co) and also • (k=l,2,-..,N) from the uniform function of p. All that is to be done is to evaluate
distribution between 0 and 2it; (f) simulate So(co,•).Considering the fact that a•,,(co,u)
hasa circular
(k= 1,2,--. ,X) usingthe conditional densityxI,½(fllco0;symmetry,
and finally(g) constructthe seriesf(t,x) asin Eq. 32.
I[ the independentvariablest and x in f(t,x) are re-
placedby spacecoordinates x and y, then f(x,y) can So(cO,V) = •o(co,g)ei""d•-- . •,o(co,u)cost,
ntis.(70)
represent,for example,a randomfluctuationof a
material property within a thin plate where such a The rest of the procedureis exactlythe s:uneas that
fluctuationalong thicknesscan be disregarded,or a for the simulation of fo(t,x)described previously.
random pattern of a gust vertical velocit5r frozen in If, however,•0(co,/•)is non-negative[-•,(w,t•) is real
space. sinceRo(•,•) has a circulars3mnnetry],the inversion
In this case,however,situationsmay arise wherea of Eq. 64 providesa muchsimplermethodof simulation:
circularsymmetryexists:

Ro(•,•l)= E[fo(x,y)fo(xq- •, y-t-•1)-]= Ro*(r), (63) Ro(•,n) =

œœ ,I•o(oJ,t•)e+•r'•+•"•)dwdtq
(71)

wherer=
Definethe two-dimensional spectraldensityfunction which, becauseof the circularssTarnetryof •0(w,•),
becomes
rbo(co,t•)
as the doubleFourier transformof Ro(•,r/):
R0(•,r/)= •0(co,t•)
cos(co•+t•r/)dwd/•.
(72)
)•(co,tO
=(-•)z Ro(•,n)
Therefore,to simulatefo(x,y)with the (target)two-
X exp[--i(w•q-•)d•d,l•, (64) dimensionalspectrum•o(co,t•)or the (target) cross-

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Society
of America 363

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 M. SHINOZUKA

correlationR0(r,•), constructa series where

n-fold

(5552 cos(w•x+tl•:y+•),
f(x,y) = 0' (73) (79)
0'2= •'" •o(w•,w•,'
'',w,Odco•dco2'
' 'dco,•.
with 0'2=R0(0,0),wk and u•: being randomvariaNes
IV. EXAMPLES
jointly distributedaccordingto the joint density
function
A. Wind Velocity
g,(co,u)
= a2o(co,tO/a", (7'4)
Consider a wind velocity distribution due to atmo-
and½•a randomvariableuniformlydistributedbetween sphericturbulencealong the axis of a slenderline-like
0 and 2•r,wherecokand • are independent of cotand structure lying on a horizontal plane. Taking the
u•(l•k) andof •t (1=1,2,--.,.¾),andalso• is inde- structural axis as the x direction, the horizontal com-
pendentof •(k•l). Then, f(x,y) has the two- ponent.f(t,x) of the fluctuatingpart of the windvelocity
dimensional spectrumthat is identicalwith the target perpendicular to the x axisis considered.
spectrum •20(co,t•). Followingthe observations, øaøit is assumedthat the
It is noted that Eqs. 71 and 72 are alsovalid if quadraturedensityQ(co,•)is of negligiblemagnitude
Ro(r,•) has a doublesymmetrywith respectto r=0 and that the coherence w2(co,f)is a negativeexponential
and •=0. Equation73 can then be usedagainfor functionof I•l,
simulationof fo(x,y) if its two-dimensional spectral
density•o(co,•),whichis real andhasa doublesym- I$½,•)1'-'
metrywithrespect
toco;0 andu= 0, isnon-negative. •'-'(co,•)
=
=e-•11•, (80) -
Extension
of thepreceding
discussion
to the caseof a
general multidimensionalhomogeneousprocesseswherea is a positiveconstant.The cospectraldensity
fo(x•,x2,"',Xn) appearsquite possibleand is an can therefore be written as
interesting
subjectof futurestudy.
In this case, define Ro(•i,•2,'ß' ,•) and C(½o,•)=X(w,O)e-"Mltl=o'2,I,(co)e
-'qo'rr•I. (81)
4•0(col,co•,'
ß' ,COn),
respectively,
as
By settingc0(co,•)=0and q0(co,f)=0in Eqs. 59 and
R0(•,&,... ,•n)= EUo(x,,X•,"',Xn) 60, one obtains
c•,•) = e-•l•l•l (82)
X/0(•+•,,x•+•," ',Xn+•n)•, (78) and
n-fold
q(c0,•)
= 0. (83)

ßo(•,•,,''' ,,o•)= ß •o(•,•,--- ,•) It then followsfrom Eqs. 61 and 62 that

x exp[-
- •(co•+co,g•+
- ßß (84)
kI/l([21
co)
=; e-ctø;•
cos•(l•=ll.(o12co
Xd•d•=...d•,•. (76) and

In Eqs.75and76,if Ro(•l,•2,'ßß,•n)isanevenfunction %(alco)=0,

ofallofitsargmnents•1,52,'
' ' ,5,,then•o(col,W2,-
- ß,w,)
is real and evenwith respectto all of its arguments and, therefore,
co•,co•,...,w,
and vice versa. If, furthermore, (86)
aeo(Wl,w2,..
',C0n)isnon-negative,
8thenfo(x•,x2,...,x,O
can be simulatedin the form whichcaneasilybeshownto be a non-negative function
of f• and equal to unity whenintegratedover --o• to
f(x•,x=,.ßß,x•) + • with respect to U.
Useof ,I,,(•[w) (Eq. 86), togetherwith ,I,(w) and a
=a E cos(co•x•+w2•x=+"'
+co,,•,x,,+½•),
(77) uniformdistributionbetween0 and 2•rfor phaseangle,
makesit possibleto usethe seriesf(t,x) in Eq. 32 for
simulating
fo(t,x)withmeanzeroandwith thespecified
with½•being
uniformly
distributed
between0 and2• coherence function.
andindependent
of½•forkNl andwithw•i,w2•,.
ß
(k=1,2,..-,N)being
random
variables
independent
of B. Gust Vertical Velocity
wu,•=z,'
' .,w•fork•l anddistributed
according
tothe
jointdensity
funcdon Considera random gust vertical velocity frozen in
g,,½•,•,,...
,•,,)=•0(w•,w=,'''
,•)/*', (78) space.Suppose
that the two-dimensional
spectralden-

364 Volume
49 Number
1 (Part
2) 1971
ded 04 Feb 2011 to 129.187.254.46. Redistribution subject to ASA license or copyright; see http://asadl.org/journals/doc/ASALIB-home/info/
 SIMULATION OF RANDOM PROCESSES

sit)' is given"by where I•(•0,), jf=(c00,andfa(c0,)are, respectively,

Gaussiandensity as indicated in Eq. 91. Hence, coa•,
3.•L • L•[(•o/2a.)•+(•/2•r)2'] ,02},andwa•to besimulatedare "independent"Ganssian
ß0(co,•)=
4-x{l+L•[(•o/2•r?+(u/2,r)q}
f (87) variableswith densitiesgivenin Eq. 91.

where a2 is the vaxianceof the gust vertical velocity D. Nonlinear Structural Response
and L is the scale of turbulence.
One of the nmst interesting and significant appli-
Since •a(co,•) in Eq. 87 is non-negative,Eqs. 73
cationsof the proposedmethod is the simulationof
and 74 can be usedto simulatethe correspondinggust
randomgeneralizedforces.The necessityof simnlating
vertical velocity.
random generalizedforces ariseswhen the dynamic
For an airplanein high-speedflightmovingalongthe
response analysisis performedin time domaineither
negativex direction,therefore,one shonlduse fix,y)
for the purposeof obtaininginformationbeyondthe
in Eq. 73 with x= xo--vt,wherex0is the initial position
second-order statistics(suchas the first passagetime
of the planeon the x axisandy is the convection speed. distribution) or when the structure is nonlinear and
thereforean approximate randomresponse is soughtby
C. Boundary-Layer Turbulence
simulatingthe excitation.An exampleof the latter case
For a simulationof boundary-layerturbulence,con- is well illustrated in Ref. 12 where a dynanficanalysis
siderthe followingform of the cross-correlation
function of "large" deflectionis considered,with the aid of
of the boundary-lay'erpressurefield fo(x,y,t) (Ref. 5, Galerkin'smethod, of a simply supportedrectangular
p. 219): plate subjectedto turbulencepressurefieldon oneside
•r T •and to cavity pressureon the otherwith the interaction
of the plate and externaland/or internal (cavity) air
flow being taken into consideration.For a simply
wherei=x•-xz, n=y•--y•, r=t•-t•, and L is the scale supportedplate, the generalized forceQ,•,t) dueto the
of turbulence,v the convectionspeed(in the x direc- fluctuating part of the turbulence can be written as
tion), 0 the life expectancyof turbulenceeddies,and
a• the varianceof pressurefield. Q,•(t) = /(x,y; t) sin--x sin--vdxdy, (93)
The Fouriertransform(Eq. 76) of Eq. 88 with v= 0 a
becomes
L:O where f(x,y;t) denotesthe fluctuatingpart of the
turbulentpressureactingon the plate at time l, and
a and b are lengthsof the plate in x and y directions.
Assumingthat the convection
speedis v, fix,y; t) can
be written as

which can be written as

(90)
/(x,y; t) =.
(•Q7)
1?• I2
K 1
O_< x_< a. (94)
L
By substitutingEq. 94 into Eq. 93 and expressing
the
f•(•O =- exp[-- (L•/a-)co•x-[, sine and cosinefunctionsin terms of the exponential
function,Q,•(t) becomes
L
fu(,,,2)
=- exp[-- (L•/r)c•?], (91)
and
0
]a(coa)
= exp[---(0/2)%a•]. (95a)
where
(-1)•+s
Equations90 and 91 indicatethat •0(COl,CO.o,toa)
is non- (1 -- e;"•',')(1-- (9Sb)
negative and therefore, the pressure field can be
simulatedin the form of Eq. 77 with n=3 and xt, xa, with
and x, beingreplacedrespectivelyby x-vt, y, and t a,-ai= (-- 1)•+ 'co•aq-( -- 1)" (95c)
(recall the last paragraphof ExampleB). The joint and
densityfunctionfor w•a,ola•,and •oa&
is independentof k b•to= (-- 1)t'-}'•bq- ( -- 1)• %r. (9Sd)
and givenby
The computalionof Q,•(t), therefore,can be per-
ga(•,,co2,oa)
= f•½,)f=(•o2)fa(,,'a), (92) formed without any difficulty with the aid of a cron-

The Journalof the AcousticalSocietyof America 365

ed 04 Feb 2011 to 129.187.254.46. Redistribution subject to ASA license or copyright; see http://asadl.org/journals/doc/ASALIB-home/info
 M. SHINOZUKA

tension due to elongation of the string (but not the

variation of tensionalong the string).
T:5, N:100o . Assumingan approximatesolution of the following
fOFlll,
16T=50,
N=500
• ß M
u(x,t)= • b•(t) sin--x,
• œ
(98)

=12 / Li•ear.•
1,O
/ •/ /'"•Nonhnear
one obtainsa set of M ordinarydifferentialequations
for b•(l) (n = 1,2,..-,M):

I AE
• /k•r\
• '•
O6

=8 •ofO(x,t)
sin--xdx,
(99) L

O2

// O2 O4 O6 08 10 12
wherefi= c/(20). In derivingEq. 99, it is alsoassumed
that the fundamentalfrequencyof the corresponding
linearstringis 1.0 Hz or To/(oL•) = 4 sec
--ø.
The right-handsideof Eq. 99 is the randomgen-
eralizedforce Q,•(t) to be simulated.In the present
FzO. 2. Aoot-mezms•u&re responseof • stri• to m•dom
example, the forcingfunctionfo(x,t)hasthe coherence
excitation. givenin Eq. 80 andthepowerspectral densityfunction
S(co,O)= Ea/(a•+co93(,•/V•-). (100)
purer.The time requiredfor this is practicallynothing
comparedwith the time that would be neededfor Oncethe generalized forceis simulated,Eq. 99 can be
simulatingQ,,,,(l) with the direct use of the double integrated numerically. A numerical example iscarried
integrationin Eq. 93 (such a direct integrationis out for the case where •=0.1X2•r sec-• (Eq. 99),
extremelytime consuming and cannotbe avoidedif a=4r sec -• (Eq. 100),aL=0.7 sec(Eq. 80), and the
other meansof simulationis used). initial strainTo/(AE)=O.05.The assumption aL= 0.7
Similarclosedformexpressions canbe obtainedif the secimpliesthat the spacecorrelation in termsof the
modesconsistof sine,cosine,sine-and cosine-hyperbolic coherence at the fundamental frequency is
functions(their sumand/or product). exp(-4.4x/L).
A note of cautionis addedby statingthat the com- The root meansquareaa of nondimensional response
puter programshouldincludealternativeexpressions
to Eq. 95b to accommodate the situationwhereakhlor L L L
baj is closeto zero.This canbe doneby simplyexpand- • -,! =u -,1 --
ingthe corresponding exponential function;for example,
at themidspanis plottedasa functionof therootmean
In order to assert the validity of the preceding squarea?of nondimensionalforcingfunction
discussion,considerthe problem of the nonlinear
vibration of a stringin the time domainsimulatingthe
random generalizedforces.The governingdifferential /C)
=/o(,,t)
equationis
in Fig.2. Thesolidstraight
lineindicates
the (exact)
O2u Ou F AE ;• lOu\ • '•O•u analyticalsolution
for thecorresponding
linearstring,
{--} dxl--+fo(x,t), (97) and the dashedcurve is the solution for the nonlinear
Ot• O! L 2L J o \Ox/ JOx •
stringobtained
by meansof interpolation
throughthe
where p is mass per unit length, c is linear viscous simulatedpoints.In orderto examineaccuracy,the
damping,To is initial tension,fo(x,t) is forceper unit presentmethodis alsoappliedto the linearstring.
length, u is the lateral displacementof string,L is the The result showsthat the method is reasonablyaccurate
area of string, if the simulationof fo(x,t)is basedon 500 cosinefunc-
length of string, A is the cross-sectional
E is the elastic modulusof string, and the boundary tions(N= 500in Eq. 32) andthe computation of the
conditionsare u(O,t)=u(L,t)=O. Evidently,Eq. 97 is rootmeansquareof theresponse
is performed
overthe
nonlinear,taking into considerationthe changein time intervalequivalentof 50 fundamental periods

366 Volume49 Number1 (Part 2) 1971

ded 04 Feb 2011 to 129.187.254.46. Redistribution subject to ASA license or copyright; see http://asadl.org/journals/doc/ASALIB-home/info/
 SIMULATION OF RANDOM PROCESSES

(T==50), whereasthe solutionis unreliableif T and N the joint densityfunction associated with the gen-
are as smallas 5 and 100,respectively.
On the basisof eralizedspectrumof the process andwith randomphase
this observation,the interpolationfor the nonlinear anglesuniformly distributedbetween0 and 2•r. Ex-
solutionis performed through the simulated points amplesof multidimensional processes considered here
based on T= 50 and N = 500. includethe horizontalcomponent fo(t,x) of the wind
I•I is to be noted, however,that the result of the velocityperpendicular to the axis(x axis)of a slender
simulationfor the nonlinearstring behavesmuch less structure,the vertical gustvelocityfield fo(x,y) frozen
violentlyevenfor T= 5 and N = 50 because of the type in space,andthe boundary-layer pressure fieldfo(x,y,t).
of nonlinearityconsidered.This suggeststhat smaller Also,a convenientuseof the presentmethodof simula-
valuesof T andN than thoseneededfor the correspond- tion in a classof nonlinearstructuralvibrationanalyses
ing linearstringmay usuallyservethe purpose.In this is describedwith a mnnericalexample.
example,the analysishas considered up to the third
mode (M= 3 in Eq. 98). The time requiredto produce ACKNOWLEDGMENTS
five simulatedpoints with T= 50 and N= 500 for the
nonlinearproblemis of the order of 150 sec on an This paper presentsthe resultsof one phaseof re-
IBM 360/91system. searchcarried out at the Jet PropulsionLaboratory,
This methodof solutionis superiorto othermethods CaliforniaInstitute of Technology,undercontract,and
suchas equivalentlinearization •ain two points:(1) it sponsoredby the National Aeronauticsand Space
doesnot requirethat the deviationfrom th elinearity Administration.Also, this work is partially supported
be small; (2) the accuracy of the solution can be by the Department of Civil Engineeringand Engi-
confirmedin terms of the stability of the simulated neeringMechanics,ColumbiaUniversity.
points.
A moredetaileddiscussion of the presentnumerical
* Consultant,Jet PropulsionLab., Pasadena,Call[. 91103.
exampletogetherwith the result of the study of the • M. ShinozukaandT. Kobori,"FatigueLife of SimpleBridges;
nonlinearplate vibration currently beingundertaken A Sensitivity Study," Columbia University, Tech. Rep. No. 8,
NSF-GK 3858.
will be publishedin a separatepaper.
• H. Gotoand K. Toki, "StructuralResponse
to Nonstationary
Random Excitation," Proc. World Conf. Earthquake Eng., 4th,
V. CONCLUSION Santiago,Chile (1969).
aj. Laning and R. Battin, Random Processesin Automatic
Efficientand practicalmethodsof simulatingmulti- Control (McGraw-Hill, New York, 1956).
variate and multidimensionalprocesseswith specified 4L. E. Borgman, "Ocean Wave Simulation for Engineering
Design," J. Waterways Harbors Div., Proc. Amer. Soc. Civil
cross-spectral
densityare presented. Eng. 95, No. WW4, 557-583 (Nov. 1969).
When the cross-spectral density matrix of an n- a Y. K. Lin, ProbabilisticTheoryof StructuralDynamics (Mc-
variate processis specified,its componentprocesses
can Graw-Hill, New York, 1967),p. 158,Eq. 6-13.
• M. Shlnozukaand J.-N. Yang, "Numerical FourierTransform
be simulated as the sum of cosine functions with random in Random Vibration," J. Eng. Mech. Div., Proc. Amer. Soc.
frequenciesand random phase angles. The random Civil Eng. 95, No. EM3, 731-746(June1969).
• M. S. Bartlett, An Introductionto Stochastlc
Processes
(Cam-
frequenciesare simulatedfrom distributionfunctions bridgeU. P., Cambridge,England, 1962).
derivedfromthe cross-spectral densitymatrix,whereas sAfter this paperhad beenprocessed
for publication,it came
the random phase anglesare from the rectangular to the author's attention that Eq. 76 was in fact non-negative,
owingto Bochner'stheorum.
distributionbetween0 and 2•r.Typical examplesof this 0H. E. Cramer,"Useof PowerSpectraand Scalesof Turbulence
type are the simulation,for the purposeof shakertest, in EstimatingWindLoads,"Meteorol.Monogr.4, 12-18 (1970).
•0H. E. Cramer, "Measurement of Turbulence Structure near
of • multivariate processrepresentingsix components the Groundwith the Frequencyfrom 0.5 to 0.01 cyclesec%"in
of the acceleration(due to, for example,a booster Advancesin Geophysics
6 (Atmospheric
DiffusionandAir Polution)
enginecutoff)measuredat the baseof a spacecraftand (Academic,New York, 1959),pp. 75-96.
n G. K. Batchelor, Theoryof Homogeneous Turbulence(Cam-
the simulationof horizontalandvertical components of bridge U. P., Cambridge,England, 1953).
earthquakeacceleration. •2E. H. Dowell, "Transmission of Noise from a Turbulent
It is shown that a homogeneous multidimensional BoundaryLayer througha Flexible Plate into a ClosedCavity,"
J. Acoust.Soc.of Amer. 46, 238-252 (1969).
processcan also be simulatedin terms of the stun of n For example, T. K. Caughey, "Responseof a Nonlinear
cosinefunctionswith randomfrequencies drawn from Stringto RandomVibration,"J. Appl. Mech.26,341-344 (1959).

The Journalof the AcousticalSocietyof America 367

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 M. SHINOZUKA

Appendix A
For positivecoand/%, a randomvariableF*(co+/xco) The secondmomentof P*(co+Aw)-- P*(w) becomes
--F*(co)can be written as

o-4 hr
r*(co+aco)-r*O) =--[N(co+a•)-NO)3 4N 2 •=•
2N

o-2 N
=-- Z •,

where Ik are indicators such that

o-4
{2.VS0(co)aco
]-(N2--N)
__ (A6)
where •, is Kronecker's delta.
Ik= 1, if c0<•oa<co+/xco,
or -- co-- /ko= co
k_--
< --•o, Therefore,the varianceof r*(co+/\co)--I'*(co)is
= 0, elsewhere. (A2)
Var[r*(•+a•)-r*(•)]

Then, the probabilitythat w, will take valuesthat

(A7)
satisfyco-<•o•<co+/xco
or --w--Aco<w•<--cois, for a 2N N
small value of Aco, which indicates

lira Var[r*(•+a•)-- r*(•)] =0. (A8)

Becauseof symmetry, the expectedvalue and the

variance of r*(-•)-r*(-co-•) are respectively
= g(d)&o' identicalwith Eqs.A5 andA7. Therefore,the statement
d
in Eq. 11 follows.
Incidentally, the coefficient of variation of
F*(co+Aco)--r*(co) is, from Eqs.A5 andA7,
= 2gQ)/xco=
--, (A3)
O-2 c.v.[r*½+a•)-r*½)3= [-a2/2N/koSo(to)
3•, (A9)
wherethe secondterm of the right-handsideof Eq. A7
where E1UE2 indicates the union of two events E1 and has beendisregarded.
E2, and P[-E] the probabilityof occurrence of eventE. It is interestingto note that the coefficientof varia-
In derivingEq. A3, a useis madeof Eq. 2 togetherwith tion of the mean squareof those componentsof an
the fact that g(co)is an evenfunctionof co. ergodic Gaussianprocessthat are associatedwith fre-
It then follows that quenciesbetween co and co+Acois proportional to
1/(T/ko)i when measuredfrom a samplefunctionof
duration T with the aid of a narrow-band filter at •o
•U,3 = with the band width zXc0.The coefficient of variation in
= 2U•--<•<-- •+a•)v(-•-a•--<•- -< the present case is proportional to 1/(NAco)«as in
= 2So(co)Aco/o-
2 (A4) Eq. A9. Equation A9 alsoindicatesthat largervalues
of coefficientof variation are expectedas [c01gets
and therefore
larger. This can be consideredas a part of the reason
why the discrepancy betweenthe targetvalueand the
simulatedvalue is rather conspicuous for largervalues
(AS) of f=w/2;r in Fig. l(a).

368 Volume49 Number1 (Part 2) 1971

ded 04 Feb 2011 to 129.187.254.46. Redistribution subject to ASA license or copyright; see http://asadl.org/journals/doc/ASALIB-home/info/