Struct Multidisc Optim (2008) 35:213–223
DOI 10.1007/s00158-007-0146-y
RESEARCH PAPER
On stochastic finite element method for linear elastostatics
by the Taylor expansion
Marcin Kamiński
Received: 25 January 2007 / Published online: 18 July 2007
# Springer-Verlag 2007
Abstract The main aim of the paper is to present an applica-
tion of the Taylor expansion in formulation and computational
implementation of the perturbation-based stochastic finite
element method. Random-input parameters as well as all-state
functions included in static equilibrium equations are expanded
in this approach around their expectations via Taylor series up
the order given a priori. It further enables a dual computational
approach for determination of probabilistic moments of the
state functions—a formation and the solution of increasing
order equilibrium equations and, on the other hand, polynomial
approximation of deterministic state functions with respect to a
given input random parameter. Theoretical and technical details
of such methodology are explained also; some elementary
engineering application with analytical solution is available to
derive explicitly fundamental probabilistic moments of the
resulting state function.
Keywords Taylor expansion .
Stochastic finite element method . Elastostatics
1 Introduction
Until now, stochastic computational techniques have been
implemented in many essentially different ways, i.e. stochas-
tic spectral approaches proposed by Ghanem and Spanos
(1991), some Monte Carlo simulation techniques as well as
many realisations of the perturbation technique (see Kleiber
M. Kamiński (*)
Chair of Mechanics of Materials,
Technical University of Łódź,
Al. Politechniki 6,
93-590 Łódź, Poland
e-mail: Marcin.Kaminski@p.lodz.pl
and Hien 1992; Liu et al. 1986). As it is apparent from the up-
to-date literature, the stochastic perturbation methods can find
their applications in geotechnics (see Peschl and Schweiger
2003), in cardiac kinematics (Shi and Liu 2002), in acoustic
scattering (Elman et al. 2005) as well as in subsurface trans-
port problems (cf. Li et al. 2004). Long tradition of an
application of those methods shows, close to traditional solid
mechanics applications, even some well-established research
areas in fluid mechanics given by van Dyke (1975). As it is
known, compared with Keese and Matthies (2005), the usage,
precision and computational implementation algorithms
strongly depend on types of the input random fields, their
correlations, interrelations between the first few probabilistic
moments as well as the numerical technique used to solve the
basic deterministic problem. Some of those issues are
discussed here in terms of truncated Gaussian input included
in the boundary value problem with random parameters being
solved by the stochastic perturbation method. It should be
noticed that the assumption that the random input has normal
distribution is not justified by the experimental statistics on
most of engineering design and material parameters. Whereas
the elasticity modulus usually exhibits a Gaussian character
limited to the non-negative values only, the Poisson ratio is
restricted to a relatively narrow interval around a value of 0;
strength parameters are approximated frequently using Weibull
or other non-symmetric probability density functions. Another
problem is correlation or its lack in material and/or geometrical
parameters, cf. Papadopoulos and Papadrakakis (2005) and its
influence on higher-order random response of the structure,
which was studied before by the stochastic finite element
method (SFEM) using second-order cross-correlations only.
Finally, the perturbation method, applied frequently in its
second-order moment version for Gaussian deviates, has well-
known limitations on the input coefficients of variation, and
that is why the traditional approach is generalised now and
implemented as the tenth-order technique.
214 M. Kamiński

There is also a problem of technical implementation of this of the given problem via Taylor series about their spatial
methodology in both the existing commercial and academic expectations using some small parameter ɛ>0 (see Nayfeh
software, mainly with finite element method (FEM) solvers 1973; Hinch 1991; Kamiński 2002, 2007). In the case of
but also for the finite differences or boundary element random quantity b≡e, the following expression is employed:
methods. That is why a dual methodology is proposed
here—the first technique assumes frontal formation and the X
1
@ne
solution of up to the given order equilibrium equations e ¼ e0 þ 1 n
n! " ð$bÞn ; ð3Þ
n¼1
@bn
resulting from previous Taylor expansion of all random
parameters in deterministic origin. Solution and further
algebraic combinations of up to nth-order partial derivatives where
of the state functions with respect to a random parameter
lead to probabilistic moments of the structural output. An  
"$b ¼ " b  b0 ð4Þ
alternative way is similar to the response surface method
known in the reliability theory—first, the response function
approach in deterministic context is found by a sequential is the first variation of b about its expected value and
solution of the initial elastostatic problem in the uniformly
discretised neighbourhood of the input parameter expecta-  2
tion. After the solution of extra linear systems of equations in "2 ð$bÞ2 ¼ "2 b  b0 ð5Þ
each node it is possible to determine analytically up to the
given order partial derivatives of nodal output with respect to
denotes the second variation of b about b0. Symbol (.)0
the random input variable. Finally, probabilistic moments may
represents the function value (.) taken at the expectation b0,
be also determined, now even analytically. Some fundamental
while (.),b and (.),bb denote the first and the second partial
benchmark problems in elastostatics are attached here to give
derivatives with respect to b evaluated at b0, respectively. Let
a perspective of computational works necessary to complete
us make further analysis of the expected values of any state
both methods and to check the results. Of course, there is a
function f (b) defined analogously to (3) by its expansion via
necessity of further numerical studies, especially of compar-
Taylor series with a given small parameter ɛ in the following
ative nature with other stochastic methods. The improved
manner:
Monte Carlo analyses of analogous engineering problems
would be recommended to establish the most efficient
perturbation orders for different input and perturbation Zþ1 Zþ1 !
X
1
@nf
1 n n
parameters and to work out the theoretical basis for the E½ f ðbÞ ¼ f ðbÞpðbÞdb ¼ f0 þ n! " $b pðbÞdb
n¼1
@bn
analyses with non-Gaussian variables as well as to include 1 1

random processes into structural analysis too (see Falsone ð6Þ

2005; Schenk et al. 2005).

Let us remind that this power expansion is valid only if

2 Theoretical background
the state function is analytic in ɛ and the series converge,
and therefore, any criteria of convergence should include
Let us introduce the random field b(x,ω) and its probability
the magnitude of the perturbation parameter; this parameter
density function as p(b). Then, the first two probabilistic
is taken as equal to 1 in numerous practical computations
moments of this field are defined after Kleiber and Hien
(Kleiber and Hien 1992). Contrary to the previous studies
(1992) and Vanmarcke (1983)
in this area, now the quantity ɛ is treated as the general
Zþ1 expansion parameter in further analysis, so that it is included
E ½b  b ¼0
bpðbÞdb; ð1Þ explicitly in all the derivations demanding analytical
1
expressions. Numerical studies performed in the next section
demonstrate the influence of this parameter on the expected
and values and standard deviations in various orders of the
Zþ1
   perturbation methodology. Both moments are obtained in the
Covðbðxr Þ; bðxs ÞÞ  Srs ¼ bðxr Þ  b0 ðxr Þ bðxs Þ  b0 ðxs Þ pðbÞdb:
1
form of polynomials of the additional order with respect to
the parameter ɛ.
ð2Þ From the numerical point of view, the expansion provided
The basic idea of the stochastic perturbation approach is by (6) is carried out for the summation over the finite num-
to expand all the input variables and all the state functions ber of components. Considering various probability distribu-
SFEM method for linear elastostatics by the Taylor expansion 215

tions, the essential difference is noticed between symmetric tion to be carried out initially to determine the necessary order
distribution functions, where of the perturbation for a given problem.
Let us focus now on analytical derivation of the first two
Zþ1 !
X
M
@ 2n f probabilistic moments for the structural response function.
E ½ f ðbÞ ¼ f þ
0
ð2nÞ! "
1 2n
$b 2n
pðbÞdb ð7Þ According to (6), it yields for the input random variable with
n¼1
@b2n
1 symmetric probability density function in the second-order
perturbation approach
and non-symmetric probability functions

Zþ1 !
X
N
@nf Zþ1
1 n n
E ½ f ð bÞ  ¼ f þ
0
ðnÞ! " $b pðbÞdb: ð8Þ
@bn E ½ f ð bÞ  ¼ f ðbÞpðbÞdb
n¼1
1
1
Zþ1 ð13Þ
 
¼ f 0 þ f ;b Δb þ 12 f ;bb ΔbΔb pðbÞdb
In both cases, the natural quantities N, M should
guarantee a satisfactory precision of approximation of the 1

relevant probabilistic moments. It can be done for the ¼ f 0 ðbÞ þ 0  "f ;b ðbÞ þ 12 "2 f ;bb ðbÞSbb (13)
expected values and the variances introducing the following
statistical error measures:
– For the expectations This expected value can be calculated or symbolically
computed only if it is given as some analytical function of
 h i the random input parameter b. Many existing models in
 
8δ1 2<þ 9N1 2N E½ fN1 ðbÞ  E ef ð bÞ   δ 1 ; ð9Þ
various branches of engineering can be adopted to achieve
this goal. Computational implementation of the symbolic
calculus programs combined with powerful visualisation of
– For the variances probabilistic output moments assure the fastest solution of
such problems.
  
 
8δ2 2<þ 9N2 2N Varð fN2 ðbÞÞ  Var e
f ð bÞ   δ 2 : ð10Þ If higher-order terms are necessary (because of a large
random deviation of the input random variable about its
expected value), then the following extension was proposed
by Kamiński (2007):
The real positive numbers δ1 and δ2 denote the admissible
errors for determination of expectations and the variances (cf.
Babuška et al. 2005; Oden et al. 2005). Natural quantities N1 E ½ f ðbÞ ¼ f 0 ðbÞ þ 12 "2 f ;bb ðbÞμ2 ðbÞ
and N2 correspond to the orders of perturbation resulting in a
desired accuracy; maximum of these two numbers fulfils þ 4!1 "4 f ;bbbb ðbÞμ4 ðbÞ
satisfactory accuracy conditions. Finally, it yields þ 6!1 "6 f ;bbbbbb ðbÞμ6 ðbÞ þ . . . ð14Þ
h i 1X 1
E ef ðbÞ ¼ lim e
f i ðbÞ; ð11Þ
L!1 L
i¼1
where μn(b) denotes the nth-order central probabilistic
moment of the quantity b, where all terms with the odd
as well as orders are equal to 0 for the Gaussian random deviates and
where higher than the sixth-order terms are neglected. Using
  1 X 1  h i2 such an extension of the random output, any desired accuracy
Var e
f ðbÞ ¼ lim f i ð bÞ  E e
e f ðbÞ ð12Þ of the expected values as well as higher probabilistic moments
L!1 L  1
i¼1
may be achieved by an appropriate choice of the parameters m
and ɛ corresponding to the input probability density function
where L is the total number of random trials in statistical type, relations between the probabilistic moments, acceptable
verification of the estimators for the random function f (b). As it error of the computations etc. This choice can be made by
can be seen, sufficiently accurate modelling of the moments comparative studies with long (almost infinite)-series Monte
by the perturbation technique needs the Monte Carlo simula- Carlo simulations or theoretical results obtained from the
216 M. Kamiński

direct symbolic integration. Similar considerations lead to the equations can be powerful in conjunction with symbolic
fifth-order expressions for a variance. There holds packages with automatic differentiation tools only; it can
extend the area of stochastic perturbation technique applica-
Zþ1 !2 tions in computational physics and engineering outside the
f 0 þ Δbf ;b þ 12 ðΔbÞ2 f ;bb þ 3!1 ðΔbÞ3 f ;bbb
Varð f Þ ¼ pð f ðbÞÞdb: random processes with small dispersion about their expected
þ 4!1 ðΔbÞ4 f ;bbbb þ 5!1 ðΔbÞ5 f ;bbbbb  E ½ f 
1 values. Hence, there is no need to implement directly exact
ð15Þ formulas for a particular nth-order equation extracted from the
perturbation procedure. They can be generated symbolically
in the system MAPLE and, next, converted to the FORTRAN
Hence,
source codes of the relevant computer software. Finally, it
should be emphasised that the random input variables must
express here the uncertainty in space or in time, separately.
Zþ1 Zþ1
 2  2 Quite a similar expansion can be proposed as a function
Varð f Þ ffi ðΔbÞ2 f ;b pð f ðbÞÞdb þ 4 ðΔbÞ
1 4
f ;bb pð f ðbÞÞdbþ
1 1
of the perturbation parameter ɛ, a perturbation order as well
Zþ1 Zþ1 as the input random variable b
þ Δbf ;b 3!1 ðΔbÞ3 f ;bbb pð f ðbÞÞdb þ Δbf ;b 3!1 ðΔbÞ3f ;bbb pð f ðbÞÞdb
1 1
Zþ1 Zþ1
3 ;bbb 1 3 ;bbb 4 ;bbbb 1 2 ;bb
þ 3! ðΔbÞ f
1
3! ðΔbÞ f pð f ðbÞÞdb þ 4! ðΔbÞ f
1
2 ðΔbÞ f pð f ðbÞÞdb
1 1 @2f
Zþ1 Zþ1 E ½ f ðbÞ ¼ f 0 ðbÞ þ 12 "2 μ ð bÞ ð18Þ
þ 4 ;bbbb 1 2 ;bb 5 ;bbbbb
Δbf ;b pð f
@b2 2
4! ðΔbÞ f 2 ðΔbÞ f pð f ðbÞÞdb þ 5! ðΔbÞ f ðbÞÞdb
1 1

1 1 @4f 1 6 @ f
6
Zþ1 þ 4!1 "4 μ ð b Þ þ " μ ð bÞ
þ 5 ;bbbbb
Δbf ;b pð f ðbÞÞdb
@b4 4 6! @b6 6
5! ðΔbÞ f
1

1 @ 2m f
ð16Þ þ . . . þ ð2m1 Þ! "2m μ ð bÞ
@b2m 2m (18)

As it can be recognised from (16), the first integral

corresponds to the second-order perturbation, the next three for any natural m with μ2m being the ordinary probabilistic
complete fourth-order approximation and the rest needs to be moment of the 2mth order.
included to achieve full fifth-order expansion. After multiple
integration and indices transformations, one can show that
3 Variational formulation

Varðf ðbÞÞ ¼ μ2 ðbÞf ;b f ;b
 
þ μ4 ðbÞ 14 f ;bb f ;bb þ 3!2 f ;b f ;bbb
þ μ6 ðbÞ
 
 3!1 f ;bbb f ;bbb þ 4!1 f ;bbbb f ;bb þ 5!2 f ;bbbbb f ;b
2 generalised stochastic FEM (GSFEM), where practically
Let us mention that it is necessary to multiply each of
these equations by the relevant order probabilistic moments
of the input random variables or fields to get the algebraic
form convenient for any symbolic computations. Because
of a great complexity of such a solution, the second-order
perturbation approach was usually preferred. Recursive
derivation of the particular perturbation order equilibrium
All those considerations can be applied to most of the
discrete computational techniques like the FEM, for
instance; the second-order stochastic perturbation-based
FEM is known from Kleiber and Hien (1992). Now the
goal is to formulate and to implement the so-called the

any order of the state parameters tensors can be determined
ð17Þ with an accuracy given a priori.
Let us consider a statistically homogeneous and bounded
continuum Ω  < without any initial stresses and strains.
Elastic properties and geometry of Ω may be treated as
design random parameters, and they result in random
displacement field ui(x) and random stress tensor σij(x)
satisfying the classical boundary-value problem typical for
the linear elastostatics problem. Let us assume that there are
non-empty subsets of external boundaries of Ω namely, ∂Ωt
and ∂Ωu, where the stress and displacement boundary
conditions are defined. The boundary-differential equation
SFEM method for linear elastostatics by the Taylor expansion 217

system describing this equilibrium problem can be written By an application of the generalised nth-order perturba-
as follows: tion technique, one can derive a single zeroth-order equation
as
σαβ ð xÞ ¼ Cαβγ1 ð xÞ "γ1 ð xÞ; ð19Þ
Z Z  
:: 0 :0 :0
ρ0 uα δu0α dΩ þ ξ0 ρ0 uα δuα þ ζ 0 Cαβγ1
0
uα;β δuγ;1 dΩ ð28Þ

@ua ð xÞ @ub ð xÞ Ω Ω
Z
"ab ð xÞ ¼ 1
þ ; ð20Þ
2 @xb @xa þ Cαβγ1
0
u0α;β δuγ;1 dΩ
Ω
Z Z
:: ¼ ρ0 fα0 δuα dΩ þ et 0α δuα dð@ΩÞ
s ab;b ð xÞ þ rfa ð xÞ ¼ rua ; ð21Þ (28)
Ω @Ωσ

A derivation of R first-order equations with ɛ powers is

ua ð x Þ ¼ b
ua ð xÞ; x 2 @Ωu ; ð22Þ not so straightforward, and it leads to the formula
Z   Z  
:: 0 :: b :0 :0 :b
ρ;b uα þ ρ0 uα δu0α dΩ þ ξ;b ρ0 uα þ ξ0 ρ;b uα þ ξ0 ρ;0 uα δuα dΩþ ð29Þ
Ω Ω

uα ð x ; t Þ ¼ u
α ð xÞ; x 2 @Ωu ; t ¼ 0 ð23Þ Z  
:0 ;b :0 :b
þ ζ ;b Cαβγ1
0
uα;β þ ζ 0 Cαβγ1 uα;β þ ζ 0 Cαβγ1
0
uα;β δuγ;1 dΩþ
Ω

Z  
σαβ ð xÞnβ ¼ t α ð xÞ; x 2 @Ωt ; ð24Þ ;b
þ Cαβγ1 u0α;β þ Cαβγ1
0
u;b
α;β δuγ;1 dΩ
Ω
where Z Z
 
¼ ρ;b fα0 þ ρ0 fα;b δuα dΩ þ etα;b δuα dð@ΩÞ
(29)
eð xÞvð xÞ   eð xÞ Ω @Ωσ
Cαβγ1 ð xÞ ¼ δαβ δγ1 þ δαγ δβ1 þ δα1 δβγ
ð1 þ vð xÞÞð1  2vð xÞÞ 2ð1 þ vð xÞÞ
Then, we derive the second-order variational statement
ð25Þ for this principle as
Z   Z  
for a=1,2,...,n and α,β,γ,1=1,2. Generally, the equation :: 0 :: ;b :0 :0 : ;b
ρ;b uα þ ρ0 uα δu0α dΩ þ ξ;b ρ0 uα þ ξ0 ρ;b uα þ ξ0 ρ0 uα δuα dΩþð30Þ
system posed above is solved using the well-established Ω Ω
numerical methods like finite or boundary elements, finite
Z  
differences or some meshless approaches. First (for the þ ζ ;b Cαβγ1
0 :0 ;b
uα;β þ ζ 0 Cαβγ1
:0
uα;β þ ζ 0 Cαβγ1
0 : ;b
uα;β δuγ;1 dΩþ
FEM needs), it should be transformed into the relevant Ω
variational (Hamilton) statement. It yields Z  
Z Z Z Z þ ;b
Cαβγ1 u0α;β þ Cαβγ1 u;b
α;β δuγ;1 dΩ
0
::
ρuα δuα dΩ þ Cαβγ1 "αβ δ"γ1 dΩ ¼ ρfα δuα dΩ þ etα δuα dð@ΩÞ: Ω
Z Z
Ω Ω Ω @Ωσ  
¼ ρ;b fα0 þ ρ0 fα;b δuα dΩ þ etα;b δuα dð@ΩÞ
(30)
ð26Þ Ω @Ωσ

where the left hand side of (26) corresponds to elastody- Finally, we obtain the nth-order variational equation for
namic behaviour of the structure, the first component on the this principle as
n n k n n k
nk  

right side includes the body forces effects, while the last R P @ ρ @ nk uα
:: R P @ ξ P nk @ m ρ @ ðnkmÞ u: α
k @bk
δu0α dΩ þ
@bnk k @bk m @bm @bðnkmÞ δuα dΩþ
one is equivalent to the stress boundary conditions applied. Ω k¼0 Ω k¼0
nk m¼0

n n k
R P  
@ ζ P nk @ m Cαβγ1 @ ðnkmÞ uα;β
:

It can be transformed into the variational statement as þ k @bk m @bm @bðnkmÞ

δuγ;1 dΩþ
Ω k¼0 m¼0
n n k
R P n n k
R P R
@ Cαβγ1 @unk @ ρ @ nk fα @ ne
tα
Z Z  þ k
α;β
δuγ;1 dΩ ¼ k δuα dΩ þ δuα dð@ΩÞ
:: :: :o
 Ω k¼0
@bk @bnk
Ω k¼0
@bk @bnk
@Ωσ
@bn

ρuα δuα dΩ þ ξρuα δuα þ ζCαβγ1 uα;β δuγ;1 dΩ ð27Þ

ð31Þ
Ω Ω
Z
Analogously, we can recover the perturbation-based
þ Cαβγ1 uα;β δuγ;1 dΩ
variational statements for the multifield principles like the
Ω
Z Z Hu–Washizu equation, for instance. Furthermore, if the
¼ ρfα δuα dΩ þ etα δuα dð@ΩÞ Young modulus characterising the region Ω is considered
Ω @Ωσ (27) as the input random variable of the problem, then the first
218 M. Kamiński

partial derivatives of the elasticity tensor with respect to this @ n ui ð x Þ @ n qα

¼ ϕ iα ð x Þ ; x 2 Ω; ð38Þ
variable are derived as @bn @bn
vðxÞ
;b
Aαβγ1 ðxÞ ¼ Cαβγ1 ðx; ωÞ ¼ δα;β δγ;1 ð32Þ where i=1,2; r,s=1...R; α=1,...Nα (Nα is the total number
ð1 þ vðxÞÞð1  2vðxÞÞ
  1 of degrees of freedom introduced in Ω) and n=1,...,N. The
þ δαγ δβ1 þ δα1βγ ;
2ð1 þ vðxÞÞ strain tensor components are discretised analogously. It
yields
and they are all deterministic quantities. Further, all higher-
order partial derivatives of this tensor with respect to the "0ij ð xÞ ¼ Bijα ð xÞq0α ; xk 2 Ω; ð39Þ
same variable are equal to 0. Neglecting the body forces
effects and eliminating all partial derivatives of the stress
boundary conditions, we can write down the fundamental @ n "ij ð xÞ @ n qα
¼ B ijα ð x Þ ; xk 2 Ω; ð40Þ
equations of the problem as @bn @bn

– Zeroth-order equation: where Bijα(xk) is the matrix containing the shape functions
Z Z derivatives
δuγ;1 Cαβγ1
0
u0α;β dΩ ¼ δuαetα0 dð@ΩÞ; ð33Þ
j k
Ω @Ωt Bijα ð xÞ ¼ 1
2 ϕiα;j ðxk Þ þ ϕjα;i ðxk Þ ; xk 2 Ω ð41Þ

– First-order equation:
Z Z The FEM approach is obtained as the linear algebraic
;b
δuγ;1 Cαβγ1 uα;β dΩ ¼  δuγ;1 Aαβγ1 u0α;β dΩ;
0
ð34Þ equations system

Ω Ω Kαβ qβ ¼ Qα ; ð42Þ
where qβ is the solution vector. When some random
– Second-order equation:
Z Z quantities are inserted into the matrix Kαβ and the vector
Qα, then (42) should be rewritten and solved to determine
δuγ;1 Cαβγ1
0
u;bb
α;β dΩ ¼ 2 δuγ;1 Aαβγ1 u;b
α;β dΩ; the first consecutive orders of the random structural
Ω Ω
response. It yields
ð35Þ
– Zeroth-order equations
– nth-order equation:
K0α;β q0β ¼ Q0α ; ð43Þ
Z Z
@ n uα;β @ n1 uα;β
δuγ;1 Cαβγ1
0
dΩ ¼ ðn  1Þ δuγ;1 Aαβγ1 dΩ: – First-order equations
@bn @bn1
Ω Ω

ð36Þ K0αβ q;b ;b ;b 0

β ¼ Qα  Kαβ qβ ; ð44Þ

– Second-order equations
These equations are implemented next using the FEM to K0αβ q;bb ;bb ;b ;b ;bb 0
β ¼ Qα  2K αβ qβ  K αβ qβ ð45Þ
solve some basic elastostatics problem illustrating basic
results of the technique involved. – nth-order equations
X
N  
;ðkÞ ;ðNkÞ
N
k Kαβ qβ ¼ Q;ðN
α :
Þ
ð46Þ
4 Finite element method implementation k0

4.1 Straightforward approach to the nth-order solution

Let us recall here the classical definition of the stiffness
Let us introduce the following approximation for the matrix in the form of
displacement field and its nth-order partial derivatives with E Z
X ðeÞ
respect to the input random variable using the shape Kαβ ¼ Cijkl Bijα Bklβ dΩ; ð47Þ
functions ϕiα(x): fe¼1
Ωfe
ð eÞ
where Cijkl
denotes the elasticity tensor components for the
u0i ð xÞ ¼ ϕiα ð xÞq0α ; x 2 Ω; ð37Þ finite element fe, and E is the total number of finite elements
SFEM method for linear elastostatics by the Taylor expansion 219

in Ω. Thus, we can describe the stiffness matrix nth-order 4.2 Semi-analytical determination of the stochastic
derivatives with respect to Young modulus e as follows: structural response

Z E Z
@Cijkl X X
E As it could be noticed during derivation of equations for the
@Kαβ
¼ Bijα Bklβ dΩ ¼ Aijkl Bijα Bklβ dΩ generalised perturbation-based approach, one of the most
@e @e fe¼1
Ωfe
fe¼1
Ωfe complicated issues is numerical determination of up to nth-
order partial derivatives of the structural response function
ð48Þ
with respect to the randomised parameter. To complete this
and task, it is possible to determine first this function by a
multiple solution of the boundary value problem around the
expectation of the random parameter and then, using
@ n Kαβ
¼0 ð49Þ various approximation techniques, final formation of the
@en
response function. That is why we consider further a
problem of the unknown response function approximation
for any n≥2. Furthermore, it is seen that all partial by the following polynomial of the n−1 order:
derivatives of external load vector are equal to 0. Therefore,
it yields
f ðbÞ ¼ A1 bn1 þ A2 bn2 þ . . . þ An b0 ð54Þ
– Zeroth-order equations
having the values of this function determined computation-
K0αβ q0β ¼ Q0α ; ð50Þ ally for n different arguments. Thanks to this representation,
the algebraic system of equations is formed
– First-order equations 8
>
> A bn1 þ A2 bn2 þ . . . þ An b01 ¼ C1
< 1 1n1 1
n2
A1 b2 þ A2 b2 þ . . . þ An b02 ¼ C2
; ð55Þ
K0αβ q;eβ ¼ K;eαβ q0β ; ð51Þ >
> ...
: n1 n2
A1 bn þ A2 bn þ . . . þ An bn ¼ Cn 0

– Second-order equations
where the coefficients Ci =f(bi) for i=1,...,n denote the
approximated functions values in ascending order of the
K0αβ q;ee ;e ;e
β ¼ 2Kαβ qβ ð52Þ
arguments bi. The interval with a specified length around b0
is divided for this purpose into the subdomains with
– nth-order equations constant width, as it is shown below. After successive
solution for the set of structural responses, the symbolic
@ N qβ ;e @
N 1
qβ computations package MAPLE is used to build the
K0αβ N
¼  ð N  1 ÞK αβ N 1
: ð53Þ
@e @e approximating analytical functions for the response being
sought. Therefore, the following algebraic system of equa-
tions is formed to determine the polynomial coefficients Ai:
Next, from the first equation of this system zeroth-order
solution is determined, which, inserted into the next 2 38 9 8 9
bn1 bn2 ... b01 > > A1 >
> >
> C1 >
>
equation returns the first-order solution etc. until the nth-
1
6 bn1
1
< = < =
6 2 bn2 b02 7 7 A C2
4 ...
2 2
¼ : ð56Þ
order solution is completed. After all, the solution vector ... . . . 5>> . . . >
> : >
> ..
. >
>
: ; ;
components are determined and their expected values, bn1
n bn2
n ... b0n An Cn
variances and other probabilistic moments can be extracted.
As it is demonstrated further, symbolic computations
The unique solution for this system makes it possible to
packages, like MAPLE for example, having linear algebra
calculate up to nth-order ordinary derivatives of the
options implemented, can be very efficient for the purpose
function f with respect to b at the given b0 as
of the perturbation methodology implementations. Finally,
it should be underlined that in most of the engineering – First-order derivative
applications, the state function or the state vector are not
df
Gaussian variables. It leads to the necessity of computing ¼ ðn  1ÞA1 bn2 þ ðn  2ÞA2 bn3 þ . . . þ An1 ;
higher and especially odd probabilistic moments and can db
proceed in a similar way. ð57Þ
220 M. Kamiński

– Second-order derivative of extension u namely, E[u] and Var(u). Following (18), one
can write that
d2 f
¼ ðn  1Þðn  2ÞA1 bn3 þ ðn  2Þðn  3ÞA2 bn4 þ . . . þ An2 ;
db2 @2u 1 4@ u
4
E ½uðeÞ ¼ u0 ðeÞ þ 12 "2 μ ð bÞ þ " μ ðeÞ ð60Þ
ð58Þ @e2 2 4! @e4 4
@6u
þ 6!1 "6 μ ð eÞ þ . . . þ
– kth-order derivative @e6 6
@ 2m u
þ . . . þ ð2m1 Þ! "2m μ ð eÞ
dk f Yk Yk @e2m 2m
¼ ðn  iÞA1 bnk þ ðn  iÞA2 bnðkþ1Þ þ . . . þ Ank :
db k
i¼1 i¼2
(60)
ð59Þ Because the input variable is Gaussian, one can notice
that

Provided that the response function f has a single μ2m ðeÞ ¼ 1 3 5 . . . ð2m  1Þσ 2m ðeÞ ¼ ð2m  1Þ!ðVarðeÞÞm
independent argument being the input random variable of ð61Þ
the problem, it is possible to employ the stochastic
perturbation technique based on the Taylor representation and
to compute up to mth-order probabilistic moments μm(f). It
9m 2 N : μ2mþ1 ðeÞ ¼ 0: ð62Þ
is clear from above that to complete mth-order approxima-
tion, we need to solve the initial deterministic problem m
Inserting it into the above relation and providing the
times with its number of degrees of freedom and a single
tenth-order expansion, there holds
system of algebraic equations m×m to find a single
response function. Including the above formulas for the
derivatives of the response function into definition of Pl Pl
probabilistic moments for f, one can determine the expec- E ½uðeÞ ¼ þ 2!1 "2 3 σ2 þ
mA m A
tations, variances as well as any order random character- 1 4 24Pl 720Pl
þ 4! " 5 3σ þ 6!1 "6 7 15σ6
4
istics of the structural response. m A m A
40320Pl 1 10 3628800Pl
þ 8!1 " 8
105σ þ 10!
8
" 945σ10 ¼
m9 A m11 A
5 Numerical illustrations

Pl σ2 σ4 σ6 σ8 σ10
¼ 1 þ "2 2 þ 3"4 4 þ 15"6 6 þ 105"8 8 þ 945"10 10
mA m m m m m
5.1 Tension of a prismatic beam with random ð63Þ
Young modulus
Let us note that taking into account ɛ=1 and eliminating
Let us consider a fundamental engineering application
higher than the second-order terms, we obtain the solution
known very well from the strength of materials. This is
proposed by Kleiber and Hien (1992). In a general case of
the case of a homogeneous elastic bar with Young modulus
nth-order expansion, one can get here that
e, constant cross-sectional area A, length l, clamped at the
 σ 2k

left end and tensioned at the right one with the force P. The Pl σ2 σ4
E ½uðeÞ ¼ 1 þ "2 2 þ 3"4 4 þ . . . þ 1 3 5 . . . ð2k  1Þ "
deterministic solution is trivial and for extension at the forced mA m m m
Pl
edge equals to u ¼ eA . This result is also available after ð64Þ
discretisation of the bar onto any number of 1D two-noded
finite elements with linear interpolation functions, so that Convergence of such an approximation for the expected
this simple result is examined further. Now, let us assume value can be easily resolved by analysing the neighbouring
that e is the Gaussian random variable with specified first terms of Taylor expansion as
two probabilistic moments m and σ2. Engineering practice  σ 2ðkþ1Þ
Pl
tells us that this variable is truncated to the non-negative E ½uðeÞ; e; "; n þ 1  E ½uðeÞ; e; "; n ¼ 1 3 5 . . . ð2k þ 1Þ "
mA m
values only; however, this effect on a final result will be
ð65Þ
further omitted for the clarity of presentation; the remaining
parameters of the bar are taken as deterministic. Let us focus As the first multiplier has a finite character because of
now on the determination of the first two probabilistic moments apparent relation mσ  1 and the intuitively clear fact that
SFEM method for linear elastostatics by the Taylor expansion 221

exponential function tends faster to 0 than the factorial so that the Taylor expansion for the expected values
function goes to infinity, it yields converge unquestionably with ɛ≤1.
The remaining open question is a relation of perturba-
tion-based expected value to the Monte Carlo simulation
lim fE ½uðeÞ; e; "; n þ 1  E ½uðeÞ; e; "; ng expectation estimator treated with a number of random
n!1
  σ 2ðkþ1Þ 
Pl trials tending to infinity as the exact result. Furthermore,
¼ lim 1 3 5 . . . ð2k þ 1Þ " ¼0
n!1 mA m
following (17), we restrict the second-order central proba-
ð66Þ bilistic moment of the bar extension u to the following
formula:

!
Pl 2 1 2Pl 2 2 Pl 6Pl
VarðuðeÞÞ ¼ μ2 ðeÞ  2 þ μ 4 ð eÞ þ  2  4
m A 4 m3 A 3! m A m A

2




!
1 6Pl 2 1 24Pl 2Pl 2 120Pl Pl
þ μ6 ðeÞ  4 þ þ  2
3! m A 4! m5 A m3 A 5! m6 A mA

P2 l σ2 σ4
¼ . . . ¼ σ 4 2 1 þ 9 2 þ 75 4
2
ð67Þ
m A m m

5 ql 4
where some basic equations given before were inserted into relation f ¼ 384 EJ . Because the analytical rule for this
elementary algebraic transformations. Once more, the first deflection is available here, the first two probabilistic
component coincides exactly with Kleiber and Hien’s moments of this deflection may be derived (a) using the
(1992) second-order and second-moment solution, whereas straightforward technique as well as (b) the perturbation
the convergence character is easily predictable following approach. This first methodology based on fundamental
the above experience with the expected values. The transform on random quantities leads to the equations:
derivation of higher-order moments with accuracy level
given a priori needs much more mathematical effort, and 5 q  4 25 q2  
that is why it is omitted here. The response function method E½ f  ¼ E l ; Varð f Þ ¼ Var l 4 :
384 EJ 147456 E J
2 2
introduced in Section 4.2 was also examined here. The ð68Þ
discrete domain for an approximation was taken as [0.775e,
0.825e, 0.875e, 0.925e, 0.975e, 1.025e, 1.075e, 1.125e,
Analytical derivations can be completed thanks to the
1.175e, 1.225e], which returned a trivial set of solutions
help of the well-known relations for the transformations
reflecting a primary classical result. After the symbolic
between Gaussian random and their first even powers
solution of the additional equations system using the
program MAPLE, the approximated function was deter-

mined as equal to 1:000000034 eA Pl
; it completely agrees E X 2 ¼ E 2 ½ X  þ Varð X Þ ð69Þ
with the straightforward approach used above.


5.2 Deflection of the Euler–Bernoulli simply supported E X 4 ¼ E 4 ½ X  þ 6Varð X ÞE 2 ½ X  þ 3Var2 ð X Þ ð70Þ
beam with random length
   
Let us consider further a simple case of the simply- Var X 2 ¼ 2Varð X Þ Varð X Þ þ 2E 2 ½ X  ð71Þ
supported-at-both-ends Euler–Bernoulli linear elastic and
homogeneous beam transversely loaded by the constant
uniformly distributed load with the length being a    2   
truncated Gaussian random variable. As it is known, Var X 4 ¼ Var X 2 ¼ 4Varð X Þ Varð X Þ þ 2E2 ½ X 
following basic strength-of-materials equations, maximum    2 
2Varð X ÞðVarðX Þ þ 2E2 ½ X Þ þ 2 E2 ½ X  þ Varð X Þ
deflection f of such a beam with the length l, load q, Young
modulus E and cross-sectional area A is given by the ð72Þ
222
Following those equations, one can derive, also symbol-
ically using the MAPLE system, for instance, that
25q2  
Varð f Þanalytical ¼ Var ð l Þ Var ð l Þ þ 2E 2
½ l 
36864E 2 J 2
Contrary to those relations, one can determine the
corresponding formulas (see (75) and (76)) driven by the
perturbation method, in this particular case, of the fourth
order. There holds
5qE 4 ½l  5qE2 ½l Varðl Þ 15qVar2 ðl Þ
E ½ f perturbation ¼ þ þ ;
384EJ 64EJ 384EJ
ð75Þ
25q2 E 6 ½l Varðl Þ 425q2 E 4 ½l Var2 ðl Þ 875q2 E 2 ½l Var3 ðl Þ
Varð f Þperturbation ¼ þ þ
9216E 2 J 2 12288E 2 J 2 12288E 2 J 2
A comparison of the perturbation method based on the
Taylor expansion with the additional analytical derivation in
the context of a particular numerical result is obtained for the
following set of data: E=210E9, J=0.001, E[l]=10.0, q=
10.0E4, Var(l)=alfa2(l)E2[l]. The expected values are given
in Fig. 1, whereas variances on Fig. 2 as the functions of the
coefficient of variation for an input random quantity l. The
analytical method results are collected below using diamond
curves, and the perturbation-based results are given here
using continuous curves. As it is clear from those graphs, the
results relevant to the perturbation-based technique are
systematically slightly larger than the exact probabilistic
solution of a beam deflection. It is apparent that these
differences increase together with the increases of the input
Fig. 1 Expected values for the beam deflection, perturbation vs analytical
approaches
M. Kamiński
5q  4 
E ½ f analytical ¼ E ½l  þ 6Varðl ÞE2 ½l  þ 3Var2 ðl Þ ;
384EJ
ð73Þ
   2 2 
2Var ðl Þ Var ð l Þ þ 2E 2
½l  þ 2 E ½ l  þ Var ðl Þ ð74Þ
coefficient of variation and, according to the previous
considerations, can be eliminated by some modifications of
the perturbation parameter ɛ.
6 Concluding remarks
As it is documented above, the Taylor expansion method
embedded into the FEM apparatus may be an effective
numerical modelling tool in the form of the perturbation-
based SFEM. This formulation is an essential extension of
the second-order second-moment technique applied fre-
quently before for Gaussian random variables or fields (see
ð76Þ
Belytschko et al. 1986; Kleiber and Hien 1992) because
now any accuracy of structural response probabilistic
moments can be achieved. Furthermore, it is shown that
the application of the Taylor expansion returns convergent
expression for basic structural response moments, and
further numerical comparative studies with the Monte Carlo
simulation will enable verification of the computational
error of this technique. Now, expressions for probabilistic
moments are independent from interrelations between lower
probabilistic moments of the input and in particular from
the coefficient of variation; it was the crucial limitation of
the second-order methods. Furthermore, dual numerical
approach is given here—first is the straightforward tech-
nique, where primary deterministic problem is consecutive-
ly differentiated with respect to the random input variable,
Fig. 2 Variances for the beam deflection, perturbation vs analytical
approaches
SFEM method for linear elastostatics by the Taylor expansion
and then, equilibrium equations of an increasing order are
formed and solved to derive the moments. The novelty here
is in the response function method, essentially different
from the previous technique, where semi-analytical approx-
imation of structural response is built node-to-node
within the entire computational domain, and, using these
polynomial functions, analytical determination of partial
derivatives with respect to the random input is obtained.
The first method needs the open source code of the FEM
program, whereas the second one absolutely does not. As it
is shown, using the elementary example from the strength of
materials, they both return almost the same results (in the
sense of output moments); however, the GSFEM so defined
needs a lot of computational effort to be implemented and to
test it by the additional benchmark examples for the
probabilistic moments of order higher than the second. It is
apparent that both techniques perfectly satisfy the needs of
structural optimisation, where first partial derivatives with
respect to the random input variables may be interpreted
(after numerical normalisation) as sensitivity coefficients
with respect to the design variables and used in the structural
optimisation process. Analogous analysis is done to
compare a maximum deflection of the simply supported
prismatic beam with random length subjected to constant
distributed load. The perturbation-based analysis of the
fourth order is compared in this case against analytical
derivations valid for the Gaussian variables. As it is seen
from all comparisons attached here, the perturbation
methodology in its generalised version allows to guarantee
desired accuracy of computer modelling for physical and
engineering problems with random parameters.
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