Journal of Sound and Vibration (1972) 25 (l), 111-128

DIGITAL SIMULATION OF RANDOM PROCESSES

AND ITS APPLICATIONS

M. SHINOZUKA
Department of Civil Engineering and Engineering Mechanics,
Columbia University, New York, New York 10027, U.S.A.

AND

C.-M. JAN
Gibbs and Hill Inc., New York, New York 10027, U.S.A.

(Received 10 April 1972, and in revised form 17 August 1972)

Efficient methods are presented for digital simulation of a general homogeneous process
(multidimensional or multivariate or multivariate-multidimensional) as a series of cosine
functions with weighted amplitudes, almost evenly spaced frequencies, and random
phase angles. The approach is also extended to the simulation of a general non-homo-
geneous oscillatory process characterized by an evolutionary power spectrum.
Generalized forces involved in the modal analysis of linear or non-linear structures can
be efficiently simulated as a multivariate process using the cross-spectral density matrix
computed from the spectral density function of the multidimensional excitation process.
Possible applications include simulation of (i) wind-induced ocean wave elevation,
(ii) spatial random variation of material properties, (iii) the fluctuating part of atmospheric
wind velocities and (iv) random surface roughness of highways and airport runways.

1. INTRODUCTION

The recent advent of high speed digital computers has made it practical to apply the so-
called Monte Carlo techniques to a much larger variety of engineering problems than ever
before. In the present study, a particular effort is made to develop a technique of digital
simulation of multivariate or multidimensional or multivariate-multidimensional random
processes which can be used as an essential tool in a general Monte Carlo method of
solution for a large number of problems in structural engineering. For example, the method
can be used in (a) numerical analysis of dynamic response of non-linear structures to
random excitations, (b) time domain analysis of linear structures under random excitations
performed for the purpose of obtaining a kind of information, such as first excursion
probability and exact time history of a sample function, that is not obtainable from the
standard frequency domain analysis, and (c) numerical solution of stress wave propagation
through a random medium and eigenvalue problems of structures with randomly non-
homogeneous material properties.
Numerous papers dealing with simulations of a random process have been published in
recent years (see, for example, references [l-7]). Only in the papers by Shinozuka [l] and
Borgman [a], however, were methods proposed for simulating a random process of more
than a single dimension or a single component.
In the simulation of ocean surface elevation, Borgman used wave superposition by
choosing the frequency in such a way that the amplitude of each (sinusoidal) wave function
was an equal portion of the cumulative spectrum. Borgman also presented a method for
simulating several simultaneous time series by passing a white noise vector through filters.
111
112 M. SHINOZUKA AND C.-M. JAN

The essential feature of Shinozuka’s approach [l] is that a random process can be
simulated by a series of cosine functions with random frequency (or wave number). The
density function (or joint density function) of the random frequency is derived from the
specified cross-spectral density matrix for multivariate process or from the specified spectral
density function for multidimensional process. For example, a three-dimensional homo-
geneous Gaussian process, f(xl, x2, x3), with its spectral density function, sO(wl, 02, oJ,
specified, can be simulated by

f(x1, x2, x3) = fJ -; ‘kil cos (%cxl + *2kX2 + a3kX3 + 4k), (1)
( 1
with & being the independent random variable uniformly distributed between 0 and 27~
and with r&k, ceZk,wJk being the random frequencies distributed according to the joint
density function

S(% 029 w3) = %I(% 02, w3)b2,

where

~4% ~2903) do, do2 dw,.

The process simulated in terms of equation (1) is ergodic as N -P co, and the simulated
spectral density converges as l/JR in the mean square sense to the target spectral density.
This method of simulation has recently been applied successfully to a variety of engineering
problems [S-l 1J.
When the dimensionality of the process is large and the spectral distribution is not
obtainable in closed form, however, the generation of random frequencies is very time
consuming. In the present study, the previous approach [l] is improved by simulating a
random process as a series of cosine functions with weighted amplitudes and almost evenly
spaced frequencies. As a result, the rate of convergence is increased, and thus the time
required to simulate a process is reduced, which is the key to a success of the Monte Carlo
solution.
While in reference [I] the techniques were presented only for the simulation of a multi-
dimensional or a multivariate homogeneous process, in this second phase of the study, the
previous approach is not only modified to improve its efficiency in terms of simulation time
but also is extended so that the simulation of a multivariate-multidimensional homogeneous
process or a multidimensional non-homogeneous process is now possible.
In performing either the normal mode analysis of linear structures or the modal analysis
of non-linear structures in a Galerkin sense, one always deals with generalized forces. When
the excitation is of random nature, then the simulation of a generalized force plays an
important role in the numerical solution, especially to the non-linear problems. In fact, a
method is also presented by which such generalized forces can be effectively simulated as a
multivariate process by using the cross-spectral density matrix computed from the spectral
functions of the multidimensional excitation processes.
The usefulness of this proposed method of simulation has been demonstrated in a
numberofrecentpapers[12-161.

2. SIMULATION OF A MULTIDIMENSIONAL HOMOGENEOUS PROCESS

The autocorrelation function of an n-dimensional homogeneous real process fO(x),

defined by
R,(5) = JxmI)h(x2)1~
 DIGITAL SIMULATION OF RANDOM PROCESSES 113
where x1 and x2 are space vectors and 5 = x2 - x1 is the separation vector, is even in 5
(symmetric with respect to the origin of the n-dimensional space):

Rm = M-9). (2)
Assume that the n-fold Fourier transform of R,(t) exists. The spectral density function of
fO(x) is then defined as

(3)

where o is the frequency (wave number) vector and 0.6 is the inner product of o and 5,
and, for simplicity

with IZbeing the dimension of the vector 4. It follows from equation (2) that

and also, from equation (3),

s a R,(5) sin (o*@ dc = 0
-03

S,(o) = S,( - 0).

Then
1 m
S,(o) = - R,(5) cos (0.5) d5 (4)
(271)”s -0X
and is real.
For an arbitrary function p(x) and an arbitrary n-dimensional domain of integration D,,
it can be shown that

ss
&a D”
&4x, - XI) AXI> P(XZ>
dx, dx, = E Ah> AxA dx,
1
2z 0.
Therefore the autocorrelation function R,(t) is non-negative definite, and, according to
Bochner [17], it has a non-negative n-fold Fourier transform: i.e.,

Based on these properties of S,(o), an efficient method of simulatingf,(x) is proposed

in the following.
Consider an n-dimensional homogeneous process with mean zero and spectral density
function S,(o) which is of insignificant magnitude outside the region defined by

- a3 < WI < co d co, < co,

where usually co1= - 0,. Denote the interval vector by

01” - 011 02u - 021 %u - %I

(AU,, Aw2, . . ., Aon) =
N, ’ N, ’ ‘**’ N, ’

with Ni being the number of intervals along the ith axis of the wave number domain. Then
8
114 M. SHINOZUKA AND C.-M. JAN

the process can be simulated by the series

(5)
where
c#+,,~~,.,~~
= independent random phase uniformly distributed between 0 and 2rc,

~ik,=~i~+(ki-t)Ac+, ki=1,2 ,...) Ni, i=1,2 ,... n,

Oiki = Oiki + 8Oi, ki =1,2, ...) Ni, i=l,2, . ..II.

in which 60~ is a small random frequency introduced to avoid the periodicity of the simu-
lated process, and is uniformly distributed between - AWi’/2and AOi’/2 with AOi’ < AOi.
To avoid the lengthy expressions in the subsequent discussion, equation (5) will be
written in the following compact form:

where
N = N,N2 . . . N,,, A(c.orJ = [S,(o,) Ao, Ao, . . . AD,]+ = [S,(o,) Ao]?

It is noted that if the symmetric condition of S,(o) is used, N in equation (5) can be reduced
by one-half. Furthermore, if the process is isotropic, N is reduced to N/2”.
It is easy to show that the ensemble average off’(x) is zero. The autocorrelation function
R(k) off(x) becomes

R(5) = ECf(x)f(x + 01

= jl AZ(%)ECCOS
(%’*4)1

x cos (wk’ ??
Q),d(6w,) . . . d(&,_ r) d(&e,J. (6)
Note that wk’* 5 can be written as

with &-, = (c&,, cLs, . . . 4,d, and L1 = (t2,t3, . . . t,). By trigonometric expansion
and the assumption that Ahoi’c1 < 1, it can be shown that

s -5AWl’

-+Aw,' AmI
-!- cos (wk’~4) d(6w,) = cos (o/Jr

Thus by successive application of equation (7), equation (6) is reduced to

+ w~,_~ en_&
??
(7)

R(5) = jr A2(%) cos (0, - 5). (8)

 DIGITAL SIMULATION OF RANDOM PROCESSES 115

Upon substituting A’(w,) = S,(o,) Aw, and taking the limit as N -+ cc (in the sense that
N,, Nz, . . .,Nn --f co simultaneously) one obtains

R(S)=
sm --co
S,(o) cos (co*k) dm = R,(k), (9)

where it is assumed that S,(o) = 0 for o < w1and o > w,.

This indicates that, when the ensemble average is considered, the simulated process f(x)
possesses the target autocorrelation R,(t) and therefore the target spectral density S,(o).
The temporal (spatial) mean (f(x)) is zero since it can be shown that

Jz $ A(e4
IfWl = lim JtL1 . ..~.;lcos(o,‘.x+&)dx,...d.~,,~
L,,L2,...,L,+m k=l L,L,. . .L, -3L,,

A(%) = o
< lim (10)
Lt,L*,...,Ln+m kzl L,L,. . .4,0,i%,. . .o, ’

where Wi is the smallest of rniki(ki = 1,2, . . . Ni).

For simplicity of notation, ok’ and +k are not considered as random variables but are
treated as sample values of these random variables when dealing with the temporal averages.
The temporal (spatial) autocorrelation R*(g) = (f(x)f(x + 5)) becomes

2
R”(5) = lim 5 2 A(wk)A(“l)~‘L’ . . . JtLn
LI ,..., L,-+m L,L,. . .L,,k=l I=1 -3L1 -tL”

X [COS (a,’ ’ X + &) COS(al’ * X + 01’’ 5 + 431 dx, . . . dx,,

= ktlA2@?d (ok’*t). 03s

Using once again the assumption that Ao’ 5 < 1, one obtains ??

R*(5) = k& A2(%) cos (Ok ’ 6). (11)

As N -+ co, equation (11) becomes

R*(G)=
sm -CO
S,(o) cos (o -5) do = R,(t). (12)

The process simulated by the technique presented in reference [l] is ergodic only at
N -+ co. From equations (8) and (11) however, it is seen that the processf(x) in equation
(5) is ergodic regardless of the size of N. This makes the method directly applicable to a
time domain analysis in which the ensemble average can be evaluated in terms of the
temporal average. Note that the simulated process is Gaussian by virtue of the central limit
theorem.
It is also shown in Appendix I that both the auto-correlation and spectral density functions
of the simulated process converge as l/N2 to the target auto-correlation function and the
target spectral density function, respectively. The improvement in convergence from
l/J% (in reference [l]) to l/N2 results in a remarkable reduction in computer time.
116 M. SHINOZUKA AND C.-M. JAN

w (rad/s)

o.= 12 w rad/s;

c( = 4 rad/s. f(t) =

I I
I

w (rad/s)

Figure 2. Target and simulated spectra.f(r) = l/Z k[, [& (w&)Aol* cos bk’ t + h) with N = 50;

1
Aw’ = z Alw.

For the purpose of comparison, a one-dimensional processf(t) was simulated, by two

different techniques, from a normalized one sided target spectral density,

-1
So =
[
tan- ’ 5
a I , o, = 1271rad/s,

and a = 4 rad/s. The process is first simulated, according to equation Cl), by

 DIGITAL SIMULATION OF RANDOM PROCESSES 117
with N = 500. It is assumed that the N so chosen is large enough so that the simulated
process is approximately ergodic. The simulated spectral density is then obtained by taking
the Fourier transform of the temporal auto-correlation. The result is plotted (open circles)
in Figure 1 in which the target spectral density is also shown (solid curve). The process is
then simulated, according to equation (5), by

f(t) = 8 k$l
Cso(wJAmI+ ~0s (o,‘t + 44 (15)

with N = 50 and Ao’ = Aw/20. The corresponding result is plotted in Figure 2. It is

immediately seen that the result is much better for the latter case although the number of
terms in the series is only one-tenth of the former one. For this particular example, the times
required to simulate 5000 points off(t) are 58 s and 8 s, respectively.
At this point, it is parenthetically stated that the representation of one-dimensional one-
variate random process in the form of equation (15) appeared in reference [ 181.

3. SIMULATION OF MULTIVARIATE MULTIDIMENSIONAL

HOMOGENEOUS PROCESSES

Consider a set of m homogeneous Gaussian n-dimensional processes&‘(x) (j = 1,2,. . . m)

with mean zero and with the cross-spectral density matrix So(w) defined by

where Sg,(ce) is the n-fold Fourier transform of the cross correlation Ry,(Q
Due to the fact that Rg&) = Rzj( - c), one obtains

S:,(m) = S,Oj(O),
(16)

where the bar indicates the complex conjugate.

The matrix So(o) is therefore Hermitian. As in the case of a one-dimensional multivariate
process [19], it can be shown that the matrix So(o) is also non-negative definite. To prove
this, construct a process go(x),

with the Cj being arbitrary constants. The autocorrelation function of go(x) becomes

Rg”(4>
= f
j=l
F CjCkR~k(O*
k=l

Introducing the Wiener-Khintchine relationship on both R,‘(4) and Rgk(Q yields

j$l kzl cjcks~k(~) = S,‘(O) > 0,

where the non-negativeness follows since go(x) is also a homogeneous process. Therefore,
So(o) is non-negative definite.
Suppose one can find a matrix H(o) which possesses an n-dimensional Fourier transform
118 M. SHINOZUKA AND C.-M. JAN

and satisfies the equation

SO(o) = H(o)B(o)r, (17)
where So(o) is the specified target cross-spectral matrix and T indicates the transpose.
Thenfj(x)(j=1,2, . . . . m) can be simulated by the following filtering technique:

where hjk(X) is the n-dimensional Fourier transform of Hjk(ca),

h,,(X) = m Hjk(O) exp (-id * X) da,

s -m

and qk(x) is an independent n-dimensional normalized white noise component such that

with

It can be easily verified that the&(x) (j = 1, . . . m), as simulated by equation (18), satisfy
equation (17) and thus represent the target processes.
To find the matrix H(o) in an efficient way, one can assume that N(o) is a lower triangular
matrix :

...............................1.
H,,(o) 0 0 ... 0
H,,(o) H,,(o) . ... 0
H(a) = T

LfL,,(4 Knzt~) . . . . Knmt~)_I

By substituting this into equation (17), solutions are obtained (see reference (20) for a
similar derivation) as

H,Jco) = [$!$$-]*. k =1,2, ...m. (19)

where &(a) is the kth principal minor of So(o) with De being defined as unity, and

co (132, . . ..k-l.j\
” \V-, . . ..k-Ml. k=l 2

m, j=k+l, ...m. (20)

Hjk(a) = H/A(~) 9
, . . .

4(a)
where
’ sy, sy, . . . sy,,_, yk
zik
I
sg, s;, . . . s;,k-l
..:..;
. .ii-,2’ .*..._. . .o. . . . . . . . . . . . . .

SE-m
Sk-I+I
, ST1 sg, . . . sy,,_, f$k
is the determinant of a submatrix obtained by deleting all elements except the
(1,2, ..I k - 1, j)th row and (1,2, . . . k - 1, k)th column of S’(w).
It is noted that the above solutions are valid only when the matrix So(o) is Hermitian
and positive definite, as can be seen from equation (19).
Because the cross-spectral density matrix So(o) is known to be only non-negative
definite, special consideration is needed in those cases where So(o) has a zero principal
 DIGITAL SIMULATION OF RANDOM PROCESSES 119

minor. This is discussed in Appendix II.

Since the real and the imaginary parts of cross-spectral density functions are respectively
even and odd in o, it can be shown from successive substitutions, with equations (19) and
(20) that
ReHjk(O) = ReHjk(-a),
(21)
Im Hjk(a) = - Im Hjk( - 0)
for j > k, and
Hjj(0) = Hjj( - W) Z 0,

from which it follows that hjk(X) is real.

If Hjk(m) is written in polar form,

Hjk(t.0) = IHjk(O)l eie Jk(o), (22)

then, due to equation (21), the argument ej,(ce) is antisymmetric in o; that is,

ejk(0) = - Ojk(- O>, (23)

with8,,(@) = 0.
Once H(o) is computed by using equations (19) and (20), then, instead of passing a white
noise vector through filters, the processfj(x) can be simulated in a more efficient way by the
following series :

fj(X) = f 2 IfJjrn(OJlJ2AO
CoSCal’*X + ejrn(WJ
f 4mJ, (24)
m=l I=1

where or, oL’, Ao and N are as defined previously in equation (5) for PZdimensional
processes and

It then follows that the ensemble average E[fj(x)] is zero and the cross correlation Rj&)
withj> kis

&c(S) = ECfj(X)h(X + Ul

In the same way as for equation (7), one can show that

*Ad
1
cos [q’ *5
Ace,’ -&Am’
-s

= COSIOl.~ +

In addition, equation (25) is reduced to

Rjk(6) = i 5 Iffjm(dfJkm(dl
m=l I=1
120 M. SHINOZUKA AND C.-M. JAN

with the aid of the following equation:

,il IHjm(eG H,,(Ql A 0 sin Cot *5 + ejm(Ol)

- h(dl

=
J
m INj,(O)H,,(W)l
--a
sin [OS{ + e,,(o) - (&,(o)] do = 0. (27)

In obtaining equation (27) use is made of the fact that the amplitude and the argument
of the sine function of the integrand are respectively even and odd in o because of
equation (23).
Finally, letting N -+ co, one obtains, in terms of equations (22) and (17),

=
J*
-C0
sjo(w) eXp (iW * 5) da = RkO(S). (28)

Thus equation (28) shows that the processes&(x) (j = 1, . . . m), as simulated by equation
(24), possess the target cross-correlation functions and hence the target cross-spectral
density, with respect to an ensemble average.

4. SIMULATION OF MULTIDIMENSIONAL NON-HOMOGENEOUS PROCESSES

Simulations of non-stationary processes have been studied, mostly in connection with

earthquake ground motion. The common feature of these studies is that a non-stationary
process can be simulated by multiplying by an envelope function the stationary process
generated either by filtering a white noise [3,4, 51 or by a series of oscillations with random
frequency and random phase [6, 71.
The efficient method of simulation that has been proposed here for multidimensional
homogeneous processes can be directly generalized to a non-homogeneous process
characterized by an evolutionary power spectrum as introduced by Priestley [21,22-J.
As a background study, consider a general one-dimensional homogeneous process fO(x),

00
which can always be expressed in the form of the spectral representation

+xX) =
J -m
eiwxdz(o), (29)

where z(w), called the spectral process, is orthogonal in the sense that the increments
dz(o,) and dz(oJ are uncorrelated when o1 # w2.
By employing the orthogonal condition of z(o), the autocorrelation function off(x) is
found to be

w3 =
sw
-a
eiwr Eldz(o)l’.

Assume that the spectral density function s,,(o) exists. Then Eldz(o)l’ = se(o)dw, and
(30)

equation (30) is reduced to the well-known Wiener-Khintchine relationship. For the case
 DIGITAL SIMULATION OF RANDOM PROCESSES 121

whenfo(x) is real, equation (29) becomes [19]

_&(x) = JOW[COSwx dU(w) + sin wx dV(o)], (31)

where U(w) and V(o) for any o > 0 are two mutually orthogonal processes, both real and
with orthogonal increments, such that

E[dU(o)]’ = E[dV(w)12 = S,‘(o) do,

where S,‘(w) (= 2S,(w)) is the one-sided spectral density function.

It is pointed out that if one defines
dU(w,) = [2S,‘(w,) Awl+ cos &,

dV(w,) = [2S,‘(wk) Awl* sin &, (32)

where wk, Aw and & are as defined in equation (5), and recalls the fact that ok’ G wk, then
all the conditions imposed on U(w) and V(w) are satisfied, and equation (5) is basically
consistent with the spectral representation.
It is seen from equation (31) that a homogeneous process is additively built up by
orthogonal oscillations with random amplitudes. This concept of orthogonal components
can be extended to that of the oscillatory processf,O(x), expressed as

x, w)[cos ox dU(w) + sin ox dV(w)], (33)

where B(x, w) is a deterministic modulating function characterizing the “non-homogeneity”

of the process, and U(w) and V(w) are the same as defined in equation (31).
By using the orthogonal conditions of U(w) and V(w), the mean square off,‘(x) is found
to be
m
ElX”(x)1’ = B2(x,w) sIo(w)dw =
O” &Ok w) do, (34)
s0 s0

where Seo(x, w) = B2(x, w) S,‘(w) is defined as the evolutionary power spectral density
function.
For the detailed discussion and the estimation of the evolutionary power spectrum,
readers are referred to references [l l] and [12].
The direct generalization of the above discussion to n-dimensional processes is obvious.
Thus, if a real non-homogeneous process has an evolutionary power spectral density function,
the processf,‘(x) can be simulated by

x, ok) &,(%) AmI”cos (a,’ ’x +

CB2( 4k), (35)

where B(x, CD)is the n-dimensional modulating function and the remaining notations are
the same as in the case of a homogeneous process given by equation (5). It can be shown
that the simulatedf,(x) possesses the target evoluationary power spectrum as N + cx).
Note that in a particular case when B(x, w) = B(x), then f,‘(x) can be obtained by
multiplying a homogeneous process simulated from S,(w) by the spatial envelope function
B(x).
122 M. SHINOZUKA AND C.-M. JAN

5. SIMULATION OF GENERALIZED FORCES

In performing either the normal mode analysis of linear structures or the modal analysis
of non-linear structures in a Galerkin sense, one always deals with generalized forces. When
the excitation is of a random nature, then the simulation of a generalized force plays an
important role in the numerical solution, especially to the non-linear problems.
Consider a random excitation field f(t, x) in which t is the time variable and
x = (x1, x2, x3) are the spatial coordinates. The generalized force corresponding to the
nth mode pL,(x) is written as

F,(t) =
s x>
D
f(c ~n(x>
dx, (36)

where D is the domain of integration.

Assume that f(t,x) is a stationary homogeneous process. Then it can be simulated by
equation (5) with dimension = 4:

where the notations are corresponding to the ones specified in equation (5).
Substituting equation (37) into equation (36), one obtains

F,(t) = JZ
i=l
3 (G,i COSWi’t - H”i SinWilt), (38)

where

Hni = f 2 f Aijkt(Bnjkl Sin d+jkl + Dnjkt cos 4ijkl)T

j=l k=l 1=1

with

B njkl = COS (Aj’jlx, + hk’XZ $- k,’ XJ)/&(X) dx,

s D

Dnjkl = Sill (3Lj'Xl i- hk’XJ i- kj’xg) p,,(X) dx. (40)

sD

It is pointed out that in many cases the integrations in equation (40) can be carried out in
closed form. Furthermore, Gni and H,i as given in equation (39) are independent of time and
need to be computed only once. Thus, the number of terms in the series is reduced from
N = N,N2N3N, to N, in the subsequent numerical calculations in the time domain. No
such advantage exists if equation (1) is used, because in that case the same number of terms
that appeared in the simulation of the process will appear in the simulation of the
generalized force.
However, the generalized force simulated by equation (38) is ergodic only at N -+ co.
 DIGITAL SIMULATION OF RANDOM PROCESSES 123

To see this, construct a random variable Fx such that

T
s) = lim -L Fn2(t) dt
T-+m T so

= T_m
lim 2 2
T i=l ~[G~icOS2w[t - 2G,iH,icos(oilt)sino,‘t
s

N1 i-l T
+ Hii Sin2 w;t] dt + 2 C C [G,iGnj COS (Wi’t) COS Oj’f
i=Zj=l s 0

- 2G,,Hnj cos (c_+‘t)sin ajlt + H,iH”j sin (Ui’t) sin oj’t] dt.

Performing the integration and taking the limit, one can show that

m) = 2 (G,", +H,2J.
i=l

Since Gni and Hni are functions of random phases ~ijkl, m) is a random variable which
can be shown to converge in mean square to E[F’;;27] as N, -+ cc with

E[Fx)] = 2 [EG,i + EH”J

i=l

(41)

The ergodicity is important in the time domain analysis. Therefore the above approach is
improved in what follows so that the simulated generalized force is ergodic for any finite
number of Ni.
Consider M generalized forces corresponding to A4 modes, with each of them expressed
as in equation (38); then the cross correlation among them can be shown (Appendix III)
to be

R,,(T) = 2 [Cmni COS

i=l
COiZ + QmniSiXI WiTI, (42)

where
N2
Cmni
=
j=l
c k$l
,$ +

Qmni = ,$k$l
,tl (43)

If the cross spectral density function S,,,,,(W)between F,,,(t) and F,(t) is written as

S,,(m) = C,,(o) - i Q,A~),

it follows that

Kfl,(r) = o, [C,,(o) cos cr)r + Q,,,,,(O)sin or] dw. (44)

s -m
124 M. SHINOZUKA AND C.-M. JAN

Comparison of equations (42) and (44) indicates the following relation:

smn(Oi) = t CCmni - iQ,,J- (45)

Note that, from equation (43),

Qmni= -Qnmi,
Qnni= 0.
Thus the cross spectral density matrix of the generalized forces is Hermitian as it should be.
From equation (42) one obtains

This is consistent with equation (41) as expected.

With the cross spectral density matrix thus obtained, F,(t) (n = 1,2, . . . , M) can be
easily simulated as an M-component multivariate process as described in section 3.

6. CONCLUSION

Efficient methods are presented for digital simulation of a general homogeneous process
(multidimensional or multivariate or multivariate-multidimensional) as a series of cosine
functions with weighted amplitudes, almost evenly spaced frequencies, and random phase
angles. The approach is also extended to the simulation of a general non-homogeneous
oscillatory process characterized by an evolutionary power spectrum. Generalized forces
involved in the modal analysis of linear or non-linear structures can be efficiently simulated
as a multivariate process by using the cross-spectral density matrix computed from the
spectral density function of the multidimensional excitation process.
Possible applications include simulation of (i) wind-induced ocean wave elevation,
(ii) spatial random variation of material properties, (iii) the fluctuating part of atmospheric
wind velocities and, (iv) random surface roughness of highways and airport runways.

ACKNOWLEDGMENTS

This work was supported by the National Science Foundation under NSF-GK 3858 and
GK 24925.

REFERENCES
1. M. SHINOZUKA1971 Journal of the Acoustical Society of America 49, 357-367. Simulation
of multivariate and multi-dimensional random processes.
2. L. E. BORGMAN1969 Journal of Waterways and Harbors Division, Proceedings of the American
Society of Civil Engineers WW4, 556-583. Ocean wave simulation for engineering design.
3. M. SHINOZUKAand Y. SATO 1967 Proceedings of the American Society of Civil Engineers 93,
1 l-40. Simulation of nonstationary random processes.
4. M. Am and A. H.-S. ANG 1968 EMD Journal, American Society of Civil Engineers 94,
559-583. Nonstationary stochastic models of earthquake motions.
5. G. W. HOUSNERand P. C. JENNINGS1964 EMD Journal, Amrrican Society of Civil Engineers 90,
113-l 50. Generation of artificial earthquakes.
6. J. E. GOLDBERG, J.L. B~GDANOFF and D. R. SHARPE1964 Bulletin of the Seismological Society
of America 54, 263-276. The response of simple non-linear structure to a random disturbance
of earthquake type.
 DIGITAL SIMULATION OF RANDOM PROCESSES 125

7. M. SHINOZUKAand P. W. BRANT1969 Proceedings of the American Society of Civil Engineers-

EMD Speciality Conference on Probabilistic Concepts and Methods in Engineering at Purdue
University, 12-14 November 1969 pp. 42-46. Applications of evolutionary power spectrum in
structural dynamics.
8. M. SHINOZUKAand C. J. ASTILL 1972 American Institute of Aeronatuics and Astronautics
Journal 10,456-462. Random eigenvalue problems in structural mechanics.
9. M. SHINOZUKAand Y.-K. WEN 1972 American Institute of Aeronautics and Astronautics
Journal 10,37-40. Monte Carlo solution of nonlinear vibrations.
10. M. SHINOZUKAand Y.-K. WEN 1971 Proceedings of the International Symposium of Stochastic
Hydraulics, Pittsburgh, 31 May-2 June 1971 pp. 507-521. Nonlinear dynamic analysis of
offshore structures; a Monte Carlo approach.
11. C. J. ASTILL, S. B. NOSSEIRand M. SHINOZUKA1972 Journal of Structural Mechanics 1,No. 1
(in press). Impact loading on structures with random properties.
12. R. VAICAITISand C.-M. JAN 1972 American Institute of Aeronautics and Astronautics Journal 10,
895-899. Nonlinear panel response and noise transmission from a turbulent boundary layer
by a Monte Carlo approach.
13. Y. K. WEN and M. SHINOZUKA1972 Journal of Waterways, Harbors and Coastal Engineering
Division, Proceedings of the American Society of Civil Engineers 98, 177-190. Analysis of
floating plate under ocean waves.
14. Y. -K. WEN and M. SHINOZUKA1971 Proceedings of the Third ZnternationaI Conference on
Wind Effects in Buildings and Structures, Tokyo, Japan, 6-11 September 1971 pp. 421428.
Monte Carlo solution of structural response to wind load.
15. H. ITAGAKIand M. SHINOZUKA1971 NSF GK 3858124925 Technical Report No. 16, Columbia
University, June 1971. Application of Monte Carlo technique to fatigue failure analysis under
random loading. (To be published in an ASTM Special Technical Publication No. 411).
16. R. N. IYENGARand M. SHINOZUKA1972 International Journal of Earthquake Engineering and
Structural Dynamics 1,69-78. Effects of self-weight and vertical acceleration on the behaviour
of tall structures during earthquake.
17. S. BOCHNER1959 Lectures on Fourier Integrals. Princeton University Press. See pp. 325-328.
(English translation by M. Tenebaum and H. Pollard.)
18. S. 0. RICE 1954 In Selected Papers on Noise and Stochastic Processes (Editor: N. Wax).
Mathematical analysis of random noise. New York: Dover Publications Inc. See pp. 180-181.
19. H. CRAMERand M. R. LEADBETTER 1967 Stationary and Related Stochastic Processes. New
York: Wiley. See p. 161 and p. 135.
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21. M. B. PRIESTLEY1965 Journal of the Royal Statistical Society B.27, 204-236. Evolutionary
spectra and nonstationary processes.
22. M. B. PRIESTLEY 1967 Journal of Sound and Vibration 6, 8697. Power spectral analysis of non-
stationary random processes.

APPENDIX I

To investigate the rate of convergence of R(c) to R&), consider a one-dimensional

process with the one-sided spectral density S,(o) specified in the region 0 < o < 0,;
otherwise S,(w) = 0.
For this case, equations (8) and (9) are written, respectively, as

R(t) =
k=l
$ So(w) Aw cm o,t, (Al)

with N = o,/Aw, and

R,(5) = wUS,(o) cos wg do. (A2)
s0

By using a Taylor series expansion, and neglecting the higher order terms of (A@), equation
(A2) can be expressed as

R,(t)= 5 &,(wk) Ao
k=l
COS wk< + 4(Aw) k$ [sO(wk) cos wktl”
126 M. SHINOZUKA AND C.-M. JAN

where

If the last term of the above expression is approximated by {(A0)~/24> [S,(o,) cos w&‘,
then equation (A2) together with equation (Al) produces

R,(5) - R(t) = o,2

24N2 [Se’(o,) cos w,t - &!&(w.) sin o,<].

This shows that the autocorrelation function R(5) of the simulated process converges as
l/N2 to the target function R,,(t).
To examine the convergence in the frequency domain, apply the Wiener-Khintchine
relationship to equation (Al) :

The spectral distribution I’(o) off(x) in this case is

T(o) = (oS,,(w) do P It; S,(o,J Aw,

s0
where N(o)is the number of wk such that wk 6 0.
With T(cu) thus defined, one can write

T(o + Ao) - T(o) = So(oNlwl+J Aw. (A3)

By writing oNCo)+1 = o + cldo with a ranging from 0 to 1 depending on the value of CD,
equation (A3) can be expanded as
c?(Ao)~ +
r(o + Aw) - T(o) = S,(o) Ao + S,‘(o) a(Ao)’ + S,“(o) 2 ... .

For the target spectral distribution T,(w),

(Am)’
- r,(w)
To(o + A?1w) = S,(o) Aw + S,‘(o) 2 +S,J+U)Y -t- . . . .

Therefore
[r,(o + Aho) - r,(w)] - [r(o + Alo) - r(o)]

(44)

For the purpose of normalization, one can let ro(o -I- Am) - r,(o) = S,(w) Aw. Then
it follows from equation (A4) that

[r,(w + Am) - r,(m)] - CUw + Ao) - QJ)I

To(o + A.0) - T,(w)
 DIGITAL SIMULATION OF RANDOM PROCESSES 127
Equation (A5) indicates that, in the interval AU, the spectral density S(o) converges on
the average as 1/iV2, to the target spectral density, since CIhas a mean value of l/2.

APPENDIX II

Expanding equation (17), with H(o) being a lower triangular matrix, one obtains

Sg, = Hj,~~, + Hj,B,, + . . . HjJTkk, for k < j,

Sgj= IHjll” + IHjzl” + . . . IHjj12. W)

From equations (24) and (Bl) one can see that the jth component process is simulated
from Hjk(co) (k = 1,2, . . . j) and that the coherence between the jth component and the
kth component with k < j is generated by Hjl(W) and H,,(o) (I = 1,2, . . . k). When a
vanishing principal minor is due to a zero mean square density of, say, the jth component
process at a wave number o, then the elements of the cross-spectral density associated with
this component are also zero at this particular wave number. It is easy to show that a
sufficient condition for this case is

Hjk(O) = 0, for k = 1,2, . . . j,

Hkj(o)=O, for k=j+l,...m.

The remaining elements of Hjk(O) are then determined from the submatrix obtained by
deleting the jth row and the jth column from So(o).
A coherence of unity between two component processes (the jth and the (j + I)th) at a
wave number o will also give rise to vanishing principal minors. This implies the complete
linear dependence at this wave number between the two processes and hence the existence
of the transfer function ~$0) such that

s9+l.j+l (O) = lu(0)l2 syj(0),

$,j+l (0) = c((o)s~j(Kl).

Therefore, at this o, it can be shown that S’(U) will take the following form:

Syi .**Syj G,j+l * . * Grn r So, . . . S~j cisyj . . . sy,

.................................... . -,. : : : ~~j.. . . . . . . . . . . . . b’.
Sg, ...Sgj sq,j+l . . . sgm MS9j...Sj,
‘9+1,1 ‘.. SQ+l,j sy+l,j+l ... SjO+l,m = ~Sy1 . . . c1S3j Ic#syj . . ESjom *
.................................... . ..*........................
_ So, . ..S~j szj+l . ..s., Sf,, ... Sij CtS~j. . So,

In this case, H(o) can be solved for this particular wave number o in the following fashion.
First, reduce the size of both matrices So(w) and H(o) by deleting their (j + 1)th row
and (j + 1)th column, then solve for the reduced H(o) from the reduced So(o), by way of
equations (19) and (20). Finally, the deleted elements of H(o), as can be seen by direct
substitution in equation (Bl), are given by

Hj+l.k = EHjk, for k=l,2, . . . . j,

Hj+l,j+l = 0,
Hk.j+l = 0, for k=j+2,...,m.
128 M. SHINOZUKA AND C.-M. JAN

If two component processes, again, say, thejth and the (j + I)th, are completely correlated,
then LX(O)as defined for the previous case will reduce to a real constant Q, independent of
wave numbers. This will lead to Dk(a) = 0, k = j + 1, j + 2, . . . , m, for all wave numbers.
For this case, it is necessary to simulate only m - 1 component processes with the (j + 1)th
removed from the system, since it can be obtained by

&+1(x) = %fj(X).
With the proper combination of the above procedures, it is possible to deal with the
following situations: (i) more than one component of So(o) vanishes; (ii) more than two
components are completely coherent or completely correlated; (iii) the combination thereof.

APPENDIX III

The derivation of the form given in equation (42) for the cross correlation R,,(z) can be
accomplished as follows.

R,,(z) = E[~~(t) F”(t + z)] = 2 ~ ~ {E[G,iG”j] E[COS (pi’ t) COS oj’(t + z)]
i=l j=l

+ E[H~iH,j] E[sin (oi’t) sin oj’(t + r)]

- E[GmiH,j] E[COS (oi't)sin wj’(t + z)]

- E[HmiG,j] E[sin (wi’t) cos ~j’(t + z)]}, (Cl)

where

+ kpqrQdXsin hpqr sin $jstul- &pqrDnsluECCOS

4ipqr sin 4jstul

- ~npqPmstu~Csin
4ipqr COS $jstul >

= i 6, 5 2 3 AFpqrCBmpqrBnpqr + DmpqrDnpqrh
p=l q=l r=l

and, similarly, one can show that

ECHrniffnjl
= ECG&nJ
and E[H,iG,j] = -E[G,iH,j].

Equation (Cl) is then reduced to

R,“(z) = 2 ~ {E[G,iG”i] E[COS (oi't)COS wj'(t+ Z) + sin (o’t) sin Oj’(t + Z)]
i=l

- E[G,iN,i] E[COS (oi't)sin ~j’(t + r) - sin (wi’t) cos mj’(t + z)])

= 2 ill {E[G,iGni] E[COS Wi'Z]- E[G,iH,i] E[sin ~i’r]}.

As in equation (7), it can be shown that

E[cosw;z] = cosqz

and E[sin wi’z] = sin OiZ.

Finally, R,,(r) takes the form of equation (42).