Random Vibration

and Spectral Analysis

by

ANDRÉ PREUMONT
UniversitéLibrede Bruxelles, Belgium

KLUWER ACADEMIC PUBLISHERS

DORDRECHT / BOSTON / LONDON
TABLE OF CONTENTS

Preface xv

Introduction 1
1.1 Overview 1
1.1.1 Organization 4
1.1.2 Notations 4
1.2 The Fourier transform . . . 5
1.2.1 Differentiation theorem 5
L2.2 Translation theorem 6
1.2.3 Parseval's theorem 6
1.2.4 Symmetry, change of scale, duality 6
1.2.5 Harmonic functions 7
1.3 Convolution, correlation 7
1.3.1 Convolution integral 7
1.3.2 Correlation integral 8
1.3.3 Example: The leakage 8
1.4 References 10
1.5 Problems 11

Random Variables 13
2.1 Axioms of probability theory 13
2.1.1 Bernoulli's law of large numbers 13
2.1.2 Alternative interpretation 13
2.1.3 Axioms 14
2.2 Theorems and definitions 15
2.3 Random variable 17
2.3.1 Discrete random variable 18
2.3.2 Continuous random variable 18
2.4 Jointly distributed random variables 20
2.5 Conditional distribution 21
2.6 Functions of Random variables 22
2.6.1 Function of one random variable 22
2.6.2 Function of two random variables 24
2.6.3 The sum of two independent random variables . . . 25
2.6.4 Rayleigh distribution 25
2.6.5 η functions of η random variables 26
2.7 Moments 27
viii Random Vibration and Spectral Analysis

2.7.1 Expected value 27

2.7.2 Moments 27
2.7.3 Schwarz inequality 28
2.7.4 Chebyshev's inequality 29
2.8 Characterstic function, Cumulants 29
2.8.1 Single random variable 29
2.8.2 Jointly distributed random variables 31
2.9 References 32
2.10 Problems 32

3 Random Processes 35
3.1 Introduction 35
3.2 Specification of a random process 36
3.2.1 Probability density functions 36
3.2.2 Characteristic function 37
3.2.3 Moment functions 38
3.2.4 Cumulant functions 38
3.2.5 Characteristic functional 39
3.3 Stationary random process 40
3.4 Properties of the correlation functions 41
3.5 Differentiation 43
3.5.1 Convergence 43
3.5.2 Continuity 43
3.5.3 Stochastic differentiation 44
3.6 Stochastic integrale, Ergodicity 45
3.6.1 Integration 45
3.6.2 Temporal mean 46
3.6.3 Ergodicity theorem 47
3.7 Spectral decomposition 48
3.7.1 Fourier transform 48
3.7.2 Power spectral density 48
3.8 Examples 50
3.8.1 White noise 50
3.8.2 Ideal low-pass process 50
3.8.3 Process with exponential correlation 51
3.8.4 Construction of a random process with specified po-
wer spectral density 51
3.9 Cross power spectral density 52
3.10 Periodic process 53
3.11 References 54
3.12 Problems 55
Contents ix

4 Gaussian Process, Poisson Process 57

4.1 Gaussian random variable 57
4.2 The central limit theorem 58
4.2.1 Example 1 59
4.2.2 Example 2: Binomial distribution 60
4.3 Jointly Gaussian random variables 62
4.3.1 Remark 64
4.4 Gaussian random vector 64
4.5 Gaussian random process 66
4.6 Poisson process 67
4.6.1 Counting process 67
4.6.2 Uniform Poisson process 68
4.6.3 Non-uniform Poisson process 70
4.7 Random pulses 70
4.8 Shot noise 72
4.9 References 72
4.10 Problems 73

5 Random Response of a Single Degree of Freedom Oscilla-

tor 75
5.1 Response of a linear system 75
5.2 Single degree of freedom oscillator 76
5.3 Stationary response of a linear system 79
5.4 Stationary response of the linear oscillator. White noise app-
roximation 80
5.5 Transient response 82
5.5.1 Excitation applied from t = 0 82
5.5.2 Stationary excitation 83
5.6 Spectral moments 85
5.6.1 Definition 85
5.6.2 Computation for the linear oscillator 85
5.6.3 Rice formulae 88
5.7 Envelope of a narrow band process 90
5.7.1 Crandall & Mark's definition 90
5.7.2 Joint distribution of X and X 91
5.7.3 Probability distribution of the envelope 91
5.8 References 92
5.9 Problems 92
 Random Vibration and Spectral Analysis

R a n d o m Response of Multi Degree of Freedom Systems 94

6.1 Some concepts of structural dynamics 94
6.1.1 Equation of motion 94
6.1.2 Input-output relationship 95
6.1.3 Modal decomposition 95
6.1.4 State variable form 97
6.1.5 Structural and hereditary damping 98
6.1.6 Remarks 100
6.2 Seismic excitation 100
6.2.1 Equation of motion 100
6.2.2 Effective modal mass 102
6.2.3 Input-Output relationships in the frequency domain 104
6.3 Response to a stationary excitation 107
6.4 Role of the cross-correlation 108
6.5 Response to a stationary seismic excitation 112
6.6 Continuous structures 113
6.6.1 Input-Output relationship 113
6.6.2 Structure with normal modes 115
6.7 Co-spectrum 118
6.8 Example: Boundary layer noise 120
6.9 Discretization of the excitation 122
6.10 Along-wind response of a tall building 123
6.10.1 Along-wind aerodynamic forces 123
6.10.2 Mean wind 124
6.10.3 Spectrum at a point 124
6.10.4 Davenport spectrum 125
6.10.5 Example 126
6.11 Earthquake 128
6.11.1 Response spectrum 128
6.11.2 Cascade analysis 130
6.12 Remark on sound pressure level 131
6.13 References 132
6.14 Problems 133

Input-Output Relationship for Physical Systems 135

7.1 Estimation of frequency response functions 135
7.2 Coherence function 136
7.3 Effect of measurement noise 137
7.4 Example 139
7.5 Remark 141
7.6 References 141
Contents xi

8 Spectral Description of Non-stationary Random Processesl42

8.1 Introduction 142
8.1.1 Stationary random process 142
8.1.2 Non-stationary random process 143
8.1.3 Objectives of a spectral description 144
8.2 Instantaneous power spectrum 145
8.3 Mark's Physical Spectrum 146
8.3.1 Definition and properties 146
8.3.2 Duality, uncertainty principle 148
8.3.3 Relation to the PSD of a stationary process 150
8.3.4 Example: Structural response to a sweep sine . . . . 151
8.4 Priestley's Evolutionary Spectrum 152
8.4.1 Generalized harmonic analysis 152
8.4.2 Evolutionary spectrum 154
8.4.3 Vector process 155
8.4.4 Input-output relationship 156
8.4.5 State variable form 157
8.4.6 Remarks 158
8.5 Applications 158
8.5.1 Structural response to a sweep sine 158
8.5.2 Transient response of an oscillator 159
8.5.3 Earthquake records 159
8.6 Summary 160
8.7 References 161
8.8 Problems 162

9 Markov Process 164

9.1 Conditional piobability 164
9.2 Classification of random processes 165
9.3 Smoluchoweki equation 166
9.4 Process with independent increments 166
9.4.1 Random Walk 167
9.4.2 Wiener process 167
9.5 Markov process and state variables 169
9.6 Gaussian Markov process 171
9.6.1 Covariance matrix 171
9.6.2 Wide sense Markov process 173
9.6.3 Power spectral density matrix 173
9.7 Random walk and diffusion equation 175
9.7.1 Random walk of a free particle 175
9.7.2 Random walk of an elastically bound particle . . . . 176
9.8 One-dimensional Fokker-Planck equation 177
xii Random Vibration and Spectral Analysis

9.8.1 Derivation of the Fokker-Planck equation 179

9.8.2 Kolmogorov equation 180
9.9 Multi-dimensional Fokker-Planck equation 181
9.10 The Brownian motion of an oscillator 182
9.11 Replacement of an actual process by a Markov process . . . 184
9.11.1 One-dimensional process 184
9.11.2 Stochastically equivalent systems 185
9.11.3 Multi-dimensional process 186
9.12 References 186
9.13 Problems 187

10 Threshold Crossings, Maxima, Envelope and Peak Factor 188

10.1 Introduction 188
10.2 Threshold crossings 189
10.2.1 Up-crossings of a level b 189
10.2.2 Central frequency 190
10.3 Maxima 191
10.4 Envelope 194
10.4.1 Crandall & Mark's definition 194
10.4.2 Rice's definition 194
10.4.3 The Hilbert transform 196
10.4.4 Cramer & Leadbetter's definition 197
10.4.5 Discussion 197
10.4.6 Second order joint distribution of the envelope . . . 199
10.4.7 Threshold crossings 200
10.4.8 Clump size 202
10.5 First-crossing problem 206
10.5.1 Introduction 206
10.5.2 Independent crossings 207
10.5.3 Independent envelope crossings 208
10.5.4 Approach based on the dump size 208
10.5.5 Vanmarcke's model 208
10.5.6 Extreme point process 209
10.6 First-passage problem and Fokker-Planck equation 211
10.6.1 Multidimensional Markov process 211
10.6.2 Fokker-Planck equation of the envelope 211
10.6.3 Kolmogorov equation of the reliability 212
10.7 Peak factor 213
10.7.1 Extreme value probability 213
10.7.2 Formulae for the peak factor 214
10.8 References 216
10.9 Problems 217
Contents xiii

11 Random fatigue 220

11.1 Introduction 220
11.2 Uniaxial loading with zero mean 221
11.3 Biaxial loading with zero mean 222
11.4 Finite element formulation 224
11.5 Fluctuating stresses 224
11.6 Recommended procedure 225
11.7 Example 226
11.8 References 227
11.9 Problems 228

12 T h e Discrete Fourier Transform 229

12.1 Introduction 229
12.2 Consequences of the convolution theorem 231
12.2.1 Periodic continuation 231
12.2.2 Sampling 232
12.3 Shannon's theorem, Aliasing 233
12.4 Fourier series 235
12.4.1 Orthogonal functions 235
12.4.2 Fourier series 236
12.4.3 Gibbs phenomenon 237
12.4.4 Relation to the Fourier transform 238
12.5 Graphical development of the DFT 239
12.6 Analytical development of the DFT 241
12.7 Definition and properties of the DFT 243
12.7.1 Definition of the DFT ma IDFT 243
12.7.2 Properties of the DFT 243
12.8 Leakage reduction 246
12.9 Power spectrum estimation 249
12.l0 Convolution and correlation via FFT 250
12.10.1 Periodic convolution and correlation 250
12.10.2 Approximation of the continuous convolution . . . . 252
12.10.3 Sectioning Overlap-save 254
12.10.4 Sectioning Overlap-add 254
12.11 FFT simulation of Gaussian processes with prescribed PSD 254
12.12 References 257
12.13Problems 258

Bibliography 261
Index 269