Professional Documents
Culture Documents
PÄR J OHANNESSON
ISBN 91-628-3784-2
LUTFMS-1012-1999
Preface ix
1 Introduction 1
1.1 Random Fatigue . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.2 Loads, Rainflow Cycles and Damage . . . . . . . . . . . . . . . . 4
1.3 Random Loads and Rainflow Cycles . . . . . . . . . . . . . . . . 8
1.4 Switching Random Loads . . . . . . . . . . . . . . . . . . . . . . 10
1.5 Overview of the Thesis . . . . . . . . . . . . . . . . . . . . . . . . 10
v
5 Asymmetric Rainflow Matrix for a Switching Markov Chain of Turn-
ing Points 65
5.1 Asymmetric Rainflow Cycles . . . . . . . . . . . . . . . . . . . . 65
5.2 Double-Ended Markov Chain of Turning Points . . . . . . . . . 68
5.3 Markov Chain of Turning Points Case . . . . . . . . . . . . . . . 69
5.4 Switching Markov Chain of Turning Points Case . . . . . . . . . 77
5.5 Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
5.6 Appendix: Elementary Events . . . . . . . . . . . . . . . . . . . . 85
6 Examples 89
6.1 Rainflow Matrix for Switching Processes . . . . . . . . . . . . . . 90
6.2 Modelling of Measured Loads . . . . . . . . . . . . . . . . . . . . 97
Bibliography 169
vi
A Statistical Preliminaries 179
A.1 Markov Chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
A.2 Multinomial Distribution . . . . . . . . . . . . . . . . . . . . . . 180
vii
viii
Preface
By a coincidence I wrote my Master’s thesis in mathematical statistics,
which inevitably lead me into starting my PhD-studies. At that time I did
not know which area to work in. When Georg told me with great enthusi-
asm about the ITM-project Load and Fatigue Analysis, I decided it was worth
a try. I am now glad for having caught this opportunity, and would like to
thank all persons involved in the project, and thank ITM and the industrial
partners, SCANIA, the Swedish National Rail Administration, Volvo Cars and
Volvo Trucks for their kind financial support. Special thanks to Anders Forsén,
Christer Olsson, Rob van Veggel, Magnus Larsson, and Jan Köhler for visits
to the companies and for supplying me with data.
I wish to thank to my supervisor Igor Rychlik for his patience, encourage-
ment and valuable comments, and Georg Lindgren for his support throughout
my PhD-studies. It would not have been possible to write this thesis with-
out the open and warm atmosphere at the department, especially among the
PhD-students. A Special thank to Jesper for reading the manuscript. Further,
I am grateful to James watching over the computer system. Also, thanks to
Lennart Bondesson whose seminar on football coupons gave inspiration to
write Chapter 9.
Also people outside the scientific community have been invaluable, espe-
cially my bridge friends, the members of “Kutargänget”, and my dear friends
Stefan and Niklas. Further, I am indebt to my parents Karin and Kjell for
their never-ending support, and to my sister Marie. Last but not least, I thank
Ulrika for love and understanding.
Pär Johannesson
ix
Chapter 1
Introduction
1
2 Chapter 1. Introduction
load sequences for fatigue testing. The methods presented in this thesis and
its connection to fatigue life evaluation is summarized in Figure 1.1.
Measured Load
Time signal
or
Rainflow matrix
simulate invert
compute
7
3 4 5
9 Expected
Generated Load
Rainflow Matrix
Figure 1.1: Overview of the thesis and its connection to fatigue life evaluation. The numbers
indicate in which chapter the information can be found.
Dimension Randomness
Material Randomness
It is well known that components of the same kind have a large scatter in fa-
tigue life, even if they experience exactly the same loading conditions. An
example of this is a controlled experiment by Virkler et al. [101], where 68
polished specimens, all from the same batch, were subjected to constant am-
plitude loading. The crack growth was monitored, with initial crack size of
9 mm, as a function of the number of cycles, with result as shown in Fig-
ure 1.2. Also others have conducted similar experiments with the same kind
of result, see e.g. Ghonem & Dore [31]. For the modelling of random fatigue
phenomena, such as crack growth, we refer to the monograph by Sobczyk &
Spencer, Jr. [94].
Load Randomness
Vehicles are used in different ways by different customers and therefore ex-
perience different loading conditions. The same vehicle experiences different
kinds of roads, and could also be used for different missions. For example,
a truck may be used both for construction work and highway driving, and a
car may be used for both driving in the city, on the highway, and on mountain
roads. Prior to the actual usage of the vehicle it is not possible to tell exactly
4 Chapter 1. Introduction
50
45
40
35
Crack size / mm
30
25
20
15
10
0
0 0.5 1 1.5 2 2.5 3 3.5
Time / Number of cycles 5
x 10
Figure 1.2: The Virkler et al. [101] experiment. The crack length is plotted versus the number
of cycles for 68 identical specimens.
The simplest kind of loading condition is constant amplitude loading, see Fig-
ure 1.3a. A common model for the fatigue damage is the SN-curve, also called
1.2. Loads, Rainflow Cycles and Damage 5
Wöhler curve
KS ; S > S
N ?1 = f
0; S Sf (1.1)
where N is the number of cycles to fatigue failure, and S is the stress am-
plitude of the applied load. The material parameters are: K , describing the
fatigue strength of the material; , the damage exponent; and Sf , the fatigue
limit (or endurance limit).
0.5
1
Load
Load
0 0
−1
−0.5
−2
−1 −3
0 10 20 30 40 0 10 20 30 40
Time Time
2 3
2
1
1
Load
Load
0
0
−1
−1
−2 −2
−3 −3
0 50 100 150 200 0 50 100 150 200
Time Time
Figure 1.3: Different kinds of loadings. (a) Constant amplitude loading, (b) Block loading, (c)
Variable amplitude loading, narrow band, (d) Variable amplitude loading, wide band.
From experiments one can see that there is a vast scatter in the life time,
see e.g. Figure 1.2. Therefore, some or all of the parameters should be mod-
elled as random variables, see e.g. Svensson & de Maré [98] and Beretta &
Murakami [7] for some recent work on random models for the fatigue limit
6 Chapter 1. Introduction
Sf , and see e.g. Lindgren & Rychlik [55] for random models of the material
parameters K , , and Sf .
Block Loading
The loads that a vehicle experiences are seldom constant amplitude loads or
block loads. In Figures 1.3c,d two variable amplitude loads are shown, the first
is a narrow band load and the second is a wide band load. For an example
of a real load, see Figure 6.6 that shows a measured service load of a truck
for 100 minutes. There we can observe changes of the mean level as well
as changes of the standard deviation of the load. The changes of the mean
level originate from a loaded and an unloaded truck while the changes of the
standard deviation comes from different road quality.
One way to deal with varying amplitude loads is to form equivalent load
cycles and then use damage accumulation methods. The equivalent load cy-
cles are formed by pairing the local maxima with the local minima, and there
are many definitions of cycle counting procedures in literature, see Collins [13].
The rainflow cycle (RFC) method was first introduced by Endo in 1967, in a
series of papers Endo et al. [25, 26] and Matsuishi & Endo [58]. It has since
then become the most commonly used cycle counting method in engineering.
Some historical background can found in Socie [95], and in the conference
proceedings Murakami [65] there is a re-print of Endo’s original papers. The
validity of the rainflow cycle method has been studied by e.g. Dowling [18],
where the accuracy of fatigue life predictors, that were based on eight com-
monly used cycle counting methods, where investigated. The conclusion of
Dowling’s confirmation experiment was:
1.2. Loads, Rainflow Cycles and Damage 7
(The range pair method was independently developed in 1969 by de Jong [15],
and the two methods give the same stress amplitudes.) The rainflow method
was designed to catch both slow and rapid variations of the load by forming
cycles that pairs high maxima with low minima even if they are separated
by intermediate extremes. The original definition by Endo is a complicated
recursive algorithm. Since then, several equivalent algorithms for counting
rainflow cycles have been presented, see e.g. Dowling & Socie [20] and Amza-
llag et al. [1]. A local definition of rainflow cycles was given by Rychlik [79],
and is illustrated in Figure 1.4. A more precise definition of rainflow cycles is
given in Definition 2.1. From this definition it is possible to formulate events
for stochastic processes, that represents the forming of rainflow cycles, and
are suitable for probabilistical computations. Especially, the number of cross-
ings of the interval [u; v ] is exactly equal to the number of rainflow cycles with
minimum less than u and maximum greater than v .
Mk
m?k = mrfc
k
m+k
Figure 1.4: Definition of the rainflow cycle, as given by Rychlik [79]. From each local maxi-
mum Mk one shall try to reach above the same level, in the backward(left) and forward(right)
directions, with an as small downward excursion as possible. The minimum, of m? k and mk ,
+
which represents the smallest deviation from the maximum Mk is defined as the corresponding
rainflow minimum mrfc k . The k:th rainflow cycle is defined as (mk ; Mk ).
rfc
8 Chapter 1. Introduction
In the same way as for block loading, the linear damage accumulation hy-
pothesis due to Palmgren [71] and Miner [64] can be used. The fatigue damage
caused by a variable amplitude load with stress amplitudes fSk g, Sk being the
amplitude of the k :th cycle, is given by
X 1
D(T ) = (1.3)
tk T NSk
where the sum is extended over all cycles completed at time T . The cycle life
NS is obtained from S-N data tests with the constant amplitude S . The k:th
cycle uses a fraction 1=NSk of the total life, and hence fatigue failure occurs
when D(T ) exceeds one.
Other damage accumulation rules have been suggested, see the survey
by Fatemi & Yang [27], however the Palmgren-Miner rule is still the most
commonly used. The assumptions imposed by using the rainflow method
together with a linear damage rule have been discussed by Krenk in Johan-
nesson et al. [45], and in Svensson & de Maré [97].
The conclusion is that the rainflow cycle method, combined with Palmgren-
Miner linear damage accumulation rule, often gives accurate predictions of
the actual fatigue life time, see Dowling [18]. Therefore, an important topic is
to compute the intensity of rainflow cycles, which can be summarized in the
expected rainflow matrix, for a random load. The expected damage according
to the rainflow method can then be calculated, and fatigue life predictions can
be made.
switching Markov chains, and for switching Markov chains of turning points,
have been developed by the author, see Chapters 3-5 or Johannesson [41, 42].
A law of large numbers for upcrossing and rainflow measures is shown in
Scheutzow [90] for a very broad class of ergodic processes. Scheutzow [90]
also extends the definition of rainflow cycles to more irregular functions, and
gives formulas for the rainflow intensity for Markov chains and diffusions,
with the Ornstein-Uhlenbeck process as an example.
For ergodic and smooth processes that are not Markov, the local definition
of rainflow cycles, by Rychlik [79], enables formulas to be written for rainflow
intensities by using generalized Rice’s formula (or Slepian model processes).
The so called Slepian model process describes the distributional properties of
a process after a level upcrossing and consists of one regression term and one
residual process. Detailed information about marked crossings and Slepian
model processes can be found in Leadbetter et al. [51], Lindgren & Rychlik [56]
and Lindgren & Rootzén [54]. Ditlevsen [17] gives a review of different engi-
neering applications of Slepian model processes.
The generalized Rice’s formulas for the rainflow intensities are infinite-
dimensional integrals that have to be solved numerically. However for large
cycles asymptotic theory for marked crossings can be used to get accurate and
simple approximations. For cycles with small amplitudes the rainflow inten-
sities can be approximated by a finite-dimensional integral, where the dimen-
sion represents the degree of approximation. However, the multi-dimensional
integral can often not be evaluated explicitly but has to be calculated numer-
ically. For Gaussian processes the Slepian model process takes a particularly
simple form, see e.g. Rychlik [82, 84] and Lindgren & Rychlik [55]. Rychlik [84]
also gives results for 2 - and Morrison-loads. The extension to a transformed
Gaussian process is treated in Rychlik et al. [87] for application to ocean waves,
and Johannesson et al. [44] for rainflow modelling of the truck load in Exam-
ple 6.2.
Another general approach to find the rainflow intensity is to approximate
the sequence of local extremes in the process by an m-step Markov chain, and
then use the results on rainflow intensities for Markov chains. The transition
probabilities can be computed by using approximations in Slepian models, see
Rychlik [80, 81]. As m tends to infinity one obtains the distribution of rainflow
cycles. However, very good approximations are usually found for m = 1. For
a general continuous state Markov chain the calculations of rainflow inten-
sities lead to integral equations that often have to be solved numerically, see
10 Chapter 1. Introduction
Rychlik [80].
For a narrow band Gaussian process the distribution of the rainflow am-
plitudes is approximately Rayleigh distributed, see Example 2.1 for an illus-
tration of this property. Some researchers have tried to fit more general dis-
tributions to the rainflow amplitudes. Zhao & Baker [103] and Nagode &
Fajdiga [66] suggests a mixture of Weibull distributions as an approximation
of the distribution of rainflow amplitudes for a stationary process.
1
X(t)
−1
−2
−3
−4
−5
2
Z(t)
1
0 50 100 150 200 250 300 350 400
time, t
Figure 1.5: Example of a switching load consisting of two subloads with different mean.
(Switching AR(1)-process of Example 3.1.) Only the switching load X (t) (upper graph) can
be observed. The regime process Z (t) (lower graph) controls the state of the system, but can not
be observed.
The expected rainflow matrix for different Markov and switching Markov
loads are derived, which leads to explicit matrix formulas. The expected rain-
flow matrix can be used for fatigue evaluation of materials by using some
damage model, e.g. Eq. (1.3).
In Chapter 3 Markov chains and switching Markov chains, i.e. the process
is switching between a set of possible transition matrices, are considered. Ex-
amples 3.1-3.2 demonstrates the algorithm by computing approximations of
the rainflow intensity for switching AR(1)-processes with Markov regime, by
using switching Markov chains as approximations.
In Chapters 4 and 5 Markov chains of turning points and switching Markov
chains of turning points are considered, where in Chapter 4 the expected rain-
flow matrix is computed. In Chapter 5 the expected asymmetric rainflow ma-
trix, that distinguishes between rainflow cycles formed on an up-going and
an down-going hysteresis arm, is computed. In the introductory Examples 4.1
and 4.2 specified models for switching loads demonstrate the computation of
the expected rainflow matrix. In Example 5.1 the asymmetric expected rain-
flow matrix are computed for a time-irreversible MCTP. Further examples are
collected in Chapter 6. We present a scheme for approximating a given switch-
ing process by a SMCTP. This enables us to compute an approximation of
12 Chapter 1. Introduction
the expected rainflow matrix, which are demonstrated for a mixture of two
Gaussian ARMA-processes, see Example 6.1. Then, measurements of loads
are modelled by switching Markov chains of turning points. The estimated
model can be used to calculate the expected rainflow matrix or to simulate
loads, e.g. for fatigue testing. In Examples 6.2 and 6.3 measurements of truck
loads are modelled, and in Example 6.4 a time-irreversible measured load is
modelled by a MCTP.
In Chapter 9 we will derive the exact distribution (in the form of the proba-
bility generating function) of the number of crossings of the interval [i; j ] for a
Markov chain observed for times k = 0; 1; : : : ; K . The derivation is based on
results for Markov chains on the distribution of transition counts with a finite
time horizon.
Numerical Calculations
and 4, are found in the “Matlab Toolbox: Rainflow Cycles for Switching Pro-
cesses, V. 1.0”, see Johannesson [40]. This toolbox will be updated to also cover
the other material presented in the thesis. Also the “WAVE Analysis Toolbox”,
see Rychlik & Lindgren [88], have been used.
14 Chapter 1. Introduction
Chapter 2
In this chapter we will give the basic definitions and properties of cycles, cross-
ings and damage for load processes that will be needed in the subsequent
chapters.
TP (fXtg) = fXt ; Xt ; Xt ; Xt ; Xt ; Xt ; : : :g
1 2 3 4 5 6
= fm0; M0 ; m1 ; M1 ; m2 ; M2; : : :g
where mk denotes a minimum and Mk a maximum, see Figure 2.1.
15
16 Chapter 2. Rainflow Cycles, Crossings and Damage
M2 M M4
3
M5 M8 M9
v M1
M0 m5
m3 M7
m2 M6
u m1
m8
m0 m7 m9
m4
m6
Figure 2.1: A function where the turning points are marked by dots ( ). The beginning and
end of upcrossings of the interval [u; v ] are marked by circles ( ).
stress
standing
hanging
strain
Mk
m?k = mrfc
k
m+k
t?k tk t+k
Figure 2.3: The definition of the rainflow cycle. For each maximum Mk , find the left and the
right minima, m? k and mk , respectively. The rainflow minimum corresponding to maximum
+
Mk is the minimum, of m?k and m+k , that deviates the least from Mk , here mrfc ?
k = mk . The
rainflow cycle is defined as (mk ; Mk ).
rfc
18 Chapter 2. Rainflow Cycles, Crossings and Damage
It is also possible to divide the set of rainflow cycles into two groups de-
pending on whether the rainflow minimum occurs before or after the maxi-
mum. The two different kinds of cycles occur on an up-going or a down-going
hysteresis arm, and are called hanging and standing rainflow cycles, respec-
tively, see Figure 2.2. We call these asymmetric rainflow cycles, and define
the standing cycles as (mrfck ; Mk ) when the minimum occurs before the max-
imum, and the hanging cycles as (Mk ; mrfc k ) when the minimum occurs after
the maximum, see Definition 5.1 for a more precise definition.
Another common rainflow counting algorithm is the so called “4-point” or
“push-pop” algorithm, which is suitable for on-line counting and where the
connection to hysteresis loops is easy to see. The turning points are pushed,
one by one, into the residual, and a cycle is poped from the residual, when
a closed hysteresis loop is found. Thus, the algorithm acts on the last four
points of the residual, below called res. Here is a summary of the algorithm,
following Dressler et al. [22].
repeat
repeat
if (resk?2 ; resk?1 ) is inside (resk?3 ; resk ) then
Add loop to rainflow matrix
Delete loop from residual
until no loop found or less that four points in residual
Take next turning point and add it to the residual
until there are no more turning points
maximum
amplitude
mean range
amplitude
minimum
Figure 2.4: The definition of the amplitude, the range and the mean of a cycle.
is a difficult problem that will be addressed later on. Here, for illustration, we
consider a narrow-band Gaussian process.
From a simulation of such a process, the rainflow amplitudes have been cal-
culated. In Figure 2.5a their histogram is compared with the Rayleigh approx-
imation, and in Figure 2.5b the survival function 1 ? FS (s) is compared with
the cumulative frequencies of the observed amplitudes. 2
Besides the rainflow cycles we will also need another simpler definition
of cycles, namely the min-max cycles. From the turning points it is easy to
extract the min-max cycles, also called Peak-Trough or Peak-Valley cycle.
Definition 2.2 (min-max and max-min cycle) Let X (t), 0 t T , be a func-
tion with finitely many local maxima of height Mk occurring at times tk . Then the
k:th min-max cycle is defined as (mk ; Mk ), where mk is the minimum preceding Mk ,
and the k :th max-min cycle is defined as (Mk ; mk+1 ), where mk+1 is the minimum
succeeding Mk . 2
The observed cycles can be visualized as a cloud of points in the min-max
plane, see e.g. Figure 3.3b. Thus, the cycles can be seen as a point process in
20 Chapter 2. Rainflow Cycles, Crossings and Damage
S
3
50
amplitude, s
2.5
40 2
30 1.5
20 1
10 0.5
0 0 0 1 2 3
0 1 2 3 4 10 10 10 10
amplitude, s Cumulative frequency, N(1−F (s))
S
Figure 2.5: The distribution of rainflow amplitudes is compared with the Rayleigh approxima-
tion. (a) Histogram compared with density. (b) Cumulative frequencies compared with survival
?
function N (1 FS (s)), where N is the number of cycles.
the plane with intensity, say, (u; v ). Let X (t), 0 t T , be a process with
a finite set of cycles f(mk ; Mk )gtk 2[0;T ] with mk < Mk , e.g. it can be rainflow
cycles with mk = mrfc
k , or min-max cycles with mk = mk . Now define the
counting distribution
where #fg denotes the number of elements in the set fg; the counting inten-
sity
(u; v) = Tlim T (u; v) with T (u; v) = E[NT (u; v)] (2.3)
!1 T
assuming the limit exists; and the intensity
@ 2 (u; v);
(u; v) = ? @u@v and also
@ 2 T (u; v):
T (u; v) = ? @u@v (2.4)
group (see Beste et al. [8], which makes a reference to Carmine et al. [12], and
see also Scheutzow [90]). In order to have a rainflow cycle with minimum less
than u and maximum bigger than v , the process has to come from below level
u into the interval [u; v], and reach above level v without in between leaving
the interval [u; v ]. This is exactly the event of upcrossing the closed interval
[u; v], and thus we have the relation
upcrossings of the closed
NTrfc (u; v) = # interval [u; v ] for X (t), t 2 [0; T ]
: (2.6)
3
500
2
Number of crossings
400
1
level, u
300 0
−1
200
−2
100
−3
0 −4 0 1 2 3
−4 −2 0 2 4 10 10 10 10
level, u Number of crossings
Figure 2.6: Upcrossing spectrum compared with the upcrossing intensity. (a) lin-scale. (b)
log-scale.
that the load (or the sequence of turning points) is discretized by the levels
u1 < u2 < : : : < un . The result shall be a discrete-valued sequence of turning
points
The aim of the pre-processing is to remove data points that are not important
to the fatigue damage.
Turning Points. First the turning points of the load signal is extracted.
Rainflow Filter. All turning points corresponding to rainflow cycles with am-
plitudes less than a threshold, say h, are discarded. This operation re-
moves small oscillations, which are non-damaging, from the load. Typ-
ically the threshold is chosen to be the discretization step. The rainflow
filter is also called hysteresis filter.
The advantage of the first method is that the discretization errors are
smaller, and thus give a smaller error in the calculated damage. The
advantage of the second method is that the crossing properties of the
discrete levels are preserved, and that it gives a conservative damage
estimate, as all amplitudes in the discretized load are larger than in the
original load.
Rainflow Matrix
From the discretized turning points we can extract the cycles in the load, e.g.
rainflow cycles or min-max cycles. The cycle count can then be summarized
in a 2-dimensional histogram and be represented by a matrix. Define for rain-
F
flow cycles the rainflow matrix, rfc , for min-max cycles the min-max matrix, , F
and for max-min cycles the max-min matrix, ^ , F
F rfc = (fijrfc)ni;j =1 ; fijrfc = #fmrfc
k = ui ; Mk = uj g; (2.11)
F = (fij )ni;j =1 ; fij = #fmk = ui ; Mk = uj g; (2.12)
F^ = (f^ij )ni;j =1 ; f^ij = #fMk = ui ; mk+1 = uj g: (2.13)
F F F
In Figure 2.7 the matrices rfc , and ^ are illustrated for a discrete load. In
the same way it is possible to define the asymmetric rainflow matrix arfc by F
putting the standing cycles above the diagonal and the hanging cycles below
the diagonal, see Section 5.1 and Figure 5.3. Since F
only has values above
^ F
the diagonal and only has values below the diagonal, it is possible to store
F F F
them as one matrix 0 = + ^ , which is often called the from-to matrix. If
one assumes that the rainflow cycles describe all important fatigue properties,
that there are no sequential effects, and neglects the discretization errors, then
the rainflow matrix contains the same amount of information about the fatigue
properties as is contained in the original load signal.
The matrices rfc ,F F F
and ^ can be obtained from their respective count-
ing distribution. Take for example the rainflow matrix rfc , and define the F
rainflow counting distribution matrix
see Eq. (2.2) for the definition of NTrfc (ui ; uj ). Now we can define the matrix
operation r
8 F rfc
7 1 4 8
6 1 2
1
5 1
2 1
4 min 4 1
3 1
2 8
1 max
F F^
1 4 8 1 4 8
1 1 1
1 1
j 1
1 1 1
i
min 4 1 max 4 1
i 1 j 2
1 1 1
8 8 1 1
min Max max max min min
Figure 2.7: Part of a discrete load process where the turning points are marked with . The
scale to the left is the discrete levels. The min-max, F , max-min, F^ and rainflow, F rfc matrices
for the load are shown, where the figures are the number of observed cycles and the grey areas
are by definition always zero.
where rfc (ui ; uj ) is defined by Eq. (2.3). The expected min-max matrix G and
G
the expected max-min matrix ^ is defined in the same manner.
26 Chapter 2. Rainflow Cycles, Crossings and Damage
2.4 Damage
The Palmgren-Miner [71, 64] damage hypothesis will be used together with
the commonly used S-N curve
NS?k1 = KSk with Sk = Mk ? mrfc
k =2 (2.19)
where K and (the damage exponent) are material parameters. In the numer-
ical examples we will assume that the material parameters K and are fixed
constants. For a fixed T > 0, let D (Xt ) denote the damage from an observed
load Xt with 0 t T . From Eq. (1.3) we get
X X
D (Xt ) = NS?k1 = KSk : (2.20)
tk T tk T
The damage obtained from a rainflow matrix F rfc is denoted by D (F rfc) and
is given by
X
n
D (F rfc ) = fijrfc KSij with Sij = (uj ? ui )=2 (2.21)
i;j =1
and the expected damage (per time unit) obtained from an expected rainflow
G G
matrix rfc is D ( rfc ), defined as in Eq. (2.21). We will also define the (rain-
flow) damage matrix
u ? u
D rfc
= (dij )ni;j=1
rfc
; dij = fij K j 2 i
rfc rfc
(2.22)
which shows how the damage is distributed among the different kinds of cy-
cles.
The formulas for the damage and the damage matrix can be written in ma-
trix form, which can be more suitable for computer implementation. Define
the matrix S
uj ? ui
S = (sij )ni;j
=1 ; s ij = K 2 (2.23)
where sij is the damage of a cycle with minimum ui and maximum uj . The
damage matrix can be expressed as
X
n
D (F ) =
rfc
ij = 1 D 1
drfc T rfc
(2.25)
i;j =1
where 1 is a column vector of ones. Eq. (2.24) can also be expressed by using
N
the counting distribution rfc
and hence the damage D (F rfc ) can be computed directly from the counting
distribution N rfc .
28 Chapter 2. Rainflow Cycles, Crossings and Damage
Chapter 3
The rainflow counting intensity for a Markov chain will first be derived. This
result will then be extended to cover also a switching Markov chain with
Markov regime. For the definition and some properties of Markov chains, see
Appendix A, or consult a basic textbook on stochastic processes, e.g. Grim-
mett & Stirzaker [34]. In the forthcoming we will assume that all Markov
chains are stationary and ergodic.
29
30 Chapter 3. Rainflow Matrix for a Switching Markov Chain
C = (qml ); 1 m i ? 1; i l j (3.2)
Xn
q = (qm); qm = P(Xk > j j Xk? = m) = 1 qml (3.3)
l=j +1
containing the conditional probabilities that a value Xk?1 = m is followed by
a value Xk > j . Define the column vectors
d = ? q q : : : qi? T ; (3.4)
e = ? qi qi : : : qj T
1 2 1
+1 (3.5)
d
where describes a direct transition from 1; : : : ; i ? 1 to a value above j and e
a transition from i; : : : ; j to above j .
With the above notation, the rainflow counting intensity can be derived
using the same ideas as in Frendahl & Rychlik [28].
X !
CAk e = ~ ?d + C (I ? A)?1 e
1
(i; j ) = ~ d +
rfc
(3.6)
k=0
?
where the row vector is ~ = 1 2 : : : i?1 , the column vectors and are d e
A C
defined by Eqs. (3.4,3.5), and the submatrices and are defined by Eqs. (3.1,3.2).
Proof: Since fXk g is stationary and ergodic we can use the formulation of
the rainflow counting intensity described by Eq. (B.2) and condition on X0 .
Further, by observing that the events of upcrossing directly over [i; j ], with
one visit in [i; j ], with two visits in [i; j ], and so on, are disjoint, the rainflow
counting intensity can be written as
i?
X
rfc (i; j ) =
1
X i, fXk g1
k X0 = l P(X0 = l)
1 upcrosses
=0
P
l=1 j before it downcrosses i
3.2. Switching Markov Chain Case 31
X
i? 1
[ !
Fk X
1
= P 0 =l P(X0 = l)
l k
X
i? X1
=1
1
!=0
= p~k (l) l
l=1 k=0
where
F0 = fX1 > j g;
Fk = fXk+1 > j; i Xs j for all s = 1; : : : ; kg;
p~0 (l) = P(F0 j X0 = l) = d;
p~k (l) = P(Fk j X0 = l) = CAk?1 e:
The conditional probability p~0 (l) describes a transition from a value l < i di-
rectly to a value above j ; p~1 (l) a transition from l < i into the interval [i; j ] and
then above j ; p~k (l) a transition from l < i into the interval [i; j ] and then k ? 1
transitions from [i; j ] to [i; j ] and finally above j . Adding the probabilities and
P1
using that k=0 Ak = (I ? A)?1 , yields the theorem. 2
Xk? = fX ; : : : ; Xk g;
0 Zk = fZk ; Zk ; : : :g
+
+1 +1 (3.7)
+2
We call the process fXk g a switching Markov chain (with Markov regime).
Note that the process fXk g does not satisfy the Markov property, except in
some degenerated cases, i.e.
with
0q p (1)
qij(1) p12 : : : qij(1) p1r
1
ij
B 11
CC
B qij p qij(2) p22 : : : qij(2) p2r CC = diag qij ; : : : ; qijr P
(2)
Qij = B
B
21 (1) ( )
@ ... ..
.
..
.
..
. A
qijr pr1
( )
qijr pr2
( )
: : : qij(r)prr
where diag(d1 ; d2 ; : : : ; dr ) denotes the r r diagonal matrix with d1 ; d2 ; : : : ; dr
on the diagonal, since
X !
1 ?
(i; j ) = ~ d + CAk e = ~ d + C (I ? A)? e
rfc
1
(3.17)
k =0
where
?
~ = : : : i . The column vectors d and e and the submatrices
1 2
A and C are defined as before by Eqs. (3.4,3.5) and Eqs. (3.1,3.2), respectively, with
q from Eq. (3.14) and qij changed to the matrix Qij defined by Eq. (3.12).
Proof: As the joint Markov chain is stationary and ergodic, Theorem 3.1 is
applicable with the changes described above. The only difference in the proof
is that the conditioning on X0 is replaced by condition on (X0 ; Z1 ). 2
Remark 3.1 (Discretized Markov Process)
Suppose that we have a discrete time Markov process fYk g, then it can be
approximated by a Markov chain in order to calculate its rainflow counting
intensity. Assume that the Markov process is discretized by the levels ?1 =
u1 < u2 < : : : < uN ?1 < uN = 1, then the Markov chain is defined by the
Q
transition matrix = (qij )ni;j =1 , n = N ? 1, with
qij = P(uj < Yk < uj+1 j ui < Yk?1 < ui+1 ): (3.18)
3.3 Examples
In this section we will give three examples of switching AR(1)-processes, which
are discrete-time Markov processes. A single AR(1)-process (Auto Regressive)
is described by the system equation
Xk = ?a1Xk?1 + m + ek ; ek 2 N (0; 1) (3.21)
where a1 , m and are parameters and ek is white noise. The mean of the
process is determined by m and the power spectrum by a1 and . Suppose
(z )
that we have a mixture of r AR(1)-processes, with parameters a1 , m(z) and
(z )
, z = 1; : : : ; r, and that the switching is controlled by the regime process
Zk , taking values 1; : : : ; r, which is a Markov chain with transition matrix P .
The switching AR(1)-process is then governed by the system equation
Xk = ?a(1Zk ) Xk?1 + m(Zk ) + (Zk ) ek ; ek 2 N (0; 1) (3.22)
where the innovation process ek is white noise.
The AR(1)-processes are a special cases of a discrete-time Markov pro-
cesses. Remark 3.1 is therefore applicable, i.e. discretizing each AR(1)-process
and thus approximating it by a Markov chain, and enables us to compute the
rainflow intensity for our switching process. The transition probabilities of the
Markov chain have been computed according to Eq. (3.18) through numerical
integration.
We will study three parameter settings for the switching AR(1)-process; the
first, two processes with same variance but different mean and power spec-
trum; the second, two processes with zero mean but different power spectrum
(and variance) and the third, a mixture of three processes.
3.3. Examples 35
In the examples we will calculate the expected rainflow matrix for different
models and use the damage as a measure of how good the results are. The
damage from an observed load fXk g with T sample points is denoted D (Xk ),
T (u; v ),
as introduced in Section 2.4. When calculating the rainflow intensity rfc
or the expected rainflow matrix rfc G
T , for a load with a finite time horizon,
fXtg, t 2 [0; T ], we will use the approximation
T (u; v ) T (u; v )
rfc rfc
=) GrfcT = T Grfc: (3.23)
The expected damage obtained from an expected rainflow matrix rfc G
T is de-
G
noted D ( rfc
T ). Simulation methods will be used to find the distribution of
the damage for a given model. Quantiles will be presented for the relative
difference of damages (D ( rfcG G
T ) ? D (Xk ))=D ( T ) whose mean is positive
rfc
A typical sample path can be seen in Figure 3.1, where both the process Xk
and the regime process Zk are shown. The change in the process is clearly seen
when the regime process switches. The power spectra of the two processes are
shown in Figure 3.2 and the first (a, regime 1) contains mainly low frequencies
while the second (b, regime 2) mostly contains high frequencies.
36 Chapter 3. Rainflow Matrix for a Switching Markov Chain
10
X(k)
0
−2
−4
−6
−8
−10
2
Z(k)
1
0 50 100 150 200 250 300 350 400 450 500
time, k
Figure 3.1: A sample path of the switching AR(1)-process in Example 3.1. The upper graph
shows the process Xk and the lower the regime process Zk .
3 3 3
2 2 2
1 1 1
0 0 0
0 0.1 0.2 0.3 0.4 0.5 0 0.1 0.2 0.3 0.4 0.5 0 0.1 0.2 0.3 0.4 0.5
Figure 3.2: Power spectra for AR(1)-processes. The power spectra are plotted as a functions of
the frequency.
Figure 3.3a,b show the calculated rainflow intensity, where in Figure 3.3b
the iso-lines are compared with the rainflow cycles found in a simulated switch-
ing AR(1)-process (T = 10 000), showing good agreement. Note that the high-
est maxima from process 2 are combined with the lowest minima from process
1 resulting in a small “hill” in the upper left corner of Figure 3.3b.
The upcrossing intensity is obtained from the rainflow counting distribu-
tion and is compared with the observed upcrossing spectrum, see Figure 3.3c.
Note that the variance of the upcrossing spectrum is quite large, due to the
switching. Figure 3.3d shows the individual upcrossing intensities weighted
by the stationary distribution, 1 (1) (u) and 2 (2) (u), together with its sum,
1 (1) (u) + 2 (2) (u), and the upcrossing intensity for the switching process.
Observe that, as expected, the switching gives rise to more zero upcrossings
3.3. Examples 37
6
0.08
4
0.06 2
Max
0.04 0
Level curves at:
0.5
0.02 −2 1
2.5
5
10
0 −4 25
50
100
5 250
−5 −6 500
0
0
−5 5 −8
−5 0 5
min Max min
0.2 0.2
0.15 0.15
mu(u)
mu(u)
0.1 0.1
0.05 0.05
0 0
−10 −5 0 5 10 −10 −5 0 5 10
level, u level, u
Figure 3.3: Example 3.1. (a) 3D-plot of the rainflow intensity, (u; v ). (b) Iso-lines of the
rainflow intensity, T (u; v ), together with rainflow cycles found in a simulated load, T =
?
10 000. (c) Level upcrossing intensity, (u) ( ), compared with observed upcrossing spectrum
??
( ?
). (d) Level upcrossing intensity, (u) ( ), compared with the weighted individual ones,
?
1 (1) (u) and 2 (2) (u) ( ), and the weighted sum of the individual ones 1 (1) (u) +
2 (2) (u) ( ). ??
38 Chapter 3. Rainflow Matrix for a Switching Markov Chain
A typical sample path can be seen in Figure 3.4, where both the process
Xk and the regime process Zk are drawn. In this example the change in the
process is not as clearly seen as in the previous example, but we can still distin-
guish between a process (regime 1) with larger and low frequencies (power
spectrum, Figure 3.2a) and a process (regime 2) with smaller and more high
frequencies (power spectrum, Figure 3.2b).
10
2
X(k)
−2
−4
−6
−8
−10
2
Z(k)
1
0 50 100 150 200 250 300 350 400 450 500
time, k
Figure 3.4: A sample path of the switching AR(1)-process in Example 3.2. The upper graph
shows the process Xk and the lower the regime process Zk .
with a narrow and sharp peak, due to small standard deviation (regime 2).
The mixture of the two processes is not seen at all in the upcrossing intensity,
see Figure 3.5c. In Figure 3.5b the rainflow intensity T (u; v ) is compared with
cycles found in a simulated load, T = 10 000, and the agreement seems to be
very good. 2
(a) Rainflow intensity, (u; v ) (b) Rainflow intensity, T (u; v )
10
0.04
5
0.03
Max
0.02 0
Level curves at:
0.01 0.5
1
2.5
5
10
0 −5 25
10 50
100
−10 250
500
0 −5
0
5 −10
−10 10 −10 −5 0 5 10
min Max min
0.2 0.2
0.15 0.15
mu(u)
mu(u)
0.1 0.1
0.05 0.05
0 0
−10 −5 0 5 10 −10 −5 0 5 10
level, u level, u
Figure 3.5: Example 3.2. (a) 3D-plot of the rainflow intensity, (u; v ). (b) Iso-lines of the
rainflow intensity, T (u; v ), together with rainflow cycles found in a simulated load, T =
?
10 000. (c) Level upcrossing intensity, (u) ( ), compared with observed upcrossing spectrum
??
( ?
). (d) Level upcrossing intensity, (u) ( ), compared with the weighted individual ones,
?
1 (1) (u) and 2 (2) (u) ( ), and the weighted sum of the individual ones 1 (1) (u) +
2 (2) (u) ( ). ??
40 Chapter 3. Rainflow Matrix for a Switching Markov Chain
A typical sample path can be seen in Figure 3.6, where both the process Xk
and the regime process Zk are drawn. Note that the changes in the process Xk
can be observed as changes in the mean.
2
X(k)
−1
−2
−3
−4
3
Z(k)
2
1
0 50 100 150 200 250 300 350 400 450 500
time, k
Figure 3.6: A sample path of the switching AR(1)-process in Example 3.3. The upper graph
shows the process Xk and the lower the regime process Zk .
The calculated rainflow intensity, see Figure 3.7a,b, clearly reveals the three
components of the load as three “hills”. Note that there is a small “hill” for
3.3. Examples 41
large maxima and low minima originating from, as in Example 3.1, the prop-
erty of rainflow cycles that low minima is combined with large maxima. Al-
though the three components are clearly seen in the rainflow intensity, they
are not seen at all in the upcrossing intensity in Figure 3.7c. Also here the
agreement between the calculated rainflow intensity T (u; v ) and the cycles
found in a simulated load, T = 10 000, is good, see Figure 3.7b. 2
(a) Rainflow intensity, (u; v ) (b) Rainflow intensity, T (u; v )
8
6
0.03
4
0.02 2
Max
0
Level curves at:
0.01 0.5
−2 1
2.5
5
10
0 −4 25
50
100
5 250
−5 −6 500
0
0
−5 5 −8
−5 0 5
min Max min
0.12 0.12
0.1 0.1
0.08 0.08
mu(u)
mu(u)
0.06 0.06
0.04 0.04
0.02 0.02
0 0
−10 −5 0 5 10 −10 −5 0 5 10
level, u level, u
Figure 3.7: Example 3.3. (a) 3D-plot of the rainflow intensity, (u; v ). (b) Iso-lines of the
rainflow intensity, T (u; v ), together with rainflow cycles found in a simulated load, T =
?
10 000. (c) Level upcrossing intensity, (u) ( ), compared with observed upcrossing spectrum
??
( ?
). (d) Level upcrossing intensity, (u) ( ), compared with the weighted individual ones
?
1 (1) (u), 2 (2) (u) and 3 (3) (u) ( ), and the sum of the individual ones 1 (1) (u) +
2 (2) (u) + 3 (3) (u) ( ). ??
42 Chapter 3. Rainflow Matrix for a Switching Markov Chain
Damage
For each example the distribution of the damage has been obtained by ap-
proximating it by the empirical distribution obtained from 500 simulations of
the AR(1)-process. The relative differences (D ( rfc
T ) ? D (Xk ))=D ( T ) of
rfc
G G
the expected damage and the simulated damages have been computed, see
Figure 3.8. For all three examples there is very good agreement between the
calculated damage and the damage found in the simulated loads, even for
large values of .
0 0 0
The algorithms in Chapter 3 are applicable to loads that are Markov processes.
This class of processes is somewhat limited, and in most applications a richer
class of load processes is needed, and thus another approach has to be taken.
When analysing the cycle properties of a load, only the local extremes are of
interest and need to be modelled. Here the sequence of turning points will be
modelled by a Markov chain, and we will call the model a Markov chain of
turning points (MCTP). It should be noted that the turning points of a MC, as
in Chapter 3, is included in the class of MCTP. However, the class of MCTP
covers also other processes and thus is a larger class of processes than the
class of turning points of MCs. In Frendahl & Rychlik [28] it was shown how
to compute the expected rainflow matrix for a MCTP model, resulting in an
explicit matrix formula. For a switching process where each subprocess is de-
scribed by a Markov chain of turning points we will derive an explicit formula
for the expected rainflow matrix, by using the techniques from Section 3.2 and
Frendahl & Rychlik [28].
The approach of modelling only the turning points of a load is natural for
fatigue and rainflow analysis, and Markov models for the sequence of turning
points have been used in e.g. Rychlik [80, 81], Lindgren & Rychlik [55], and
43
44 Chapter 4. Rainflow Matrix for a Switching MCTP
Frendahl & Rychlik [28], for deriving the expected rainflow matrix, see also
Olagnon [70]. See Bishop & Sherrat [10] and Krenk & Gluver [48], for deriving
the distribution of the rainflow amplitudes using Markov models.
Following Frendahl & Rychlik [28] the algorithm for computing the rain-
flow counting intensity for a MCTP will be presented in Section 4.1, with slight
changes in notation. In Section 4.2, this algorithm will be modified in order to
cover also a switching Markov chain of turning points (SMCTP), i.e. a switch-
ing process which has a MCTP within each regime. Recall that the expected
rainflow matrix is easily obtained from the rainflow counting intensity, see
Eqs. (2.15,2.18). Some remarks on time-reversibility and phase type switching
will be presented in Section 4.3, and two examples demonstrating the algo-
rithms are found in Section 4.4. Further examples will be given in Chapter 6.
To simplify notation, especially the notation of the regime process, the se-
quence of turning points will also be denoted by fXk g1 k=0 , so that
fm ; M ; m ; M ; m ; M ; : : :g = fX ; X ; X ; X ; X ; X ; : : :g
0 0 1 1 2 2 0 1 2 3 4 5
Q = (qij )ni;j =1
and Q^ = (^qij )ni;j :
=1
(4.3)
We call this a Markov chain of turning points. We will say that a MCTP is
stationary and ergodic if the pairs (X2k ; X2k+1 ) = (mk ; Mk ), k = 0; 1; 2; : : :,
form a stationary and ergodic sequence. From here on all MCTP models are
assumed to stationary and ergodic.
4.1. Markov Chain of Turning Points Case 45
The aim is to compute the expected rainflow matrix, i.e. the intensity of
cycles with minimum i and maximum j . According to Eq. (B.3) the rainflow
counting intensity is related to upcrossings of intervals [i; j ] with i = 2; : : : ; n
and j = i ? 1; : : :; n ? 1. (Here the upcrossing of [i; i ? 1] should be understood
as mk < i and Mk i.) Define the following submatrices of and ^ , Q Q
A = (qml ); i m j ? 1; i + 1 l j; (4.4)
A^ = (^qml ); i + 1 m j; i l j ? 1; (4.5)
C = (qml ); 1 m i ? 1; i + 1 l j (4.6)
for i = 2; : : : ; n ? 2 and j = i + 1; : : : ; n ? 1. (For j = i ? 1 and j = i we
define A A C C
= 0, ^ = 0 and = 0.) The submatrix contains the conditional
A
probabilities of transitions from mk 2 [1; i?1] to Mk 2 [i+1; j ], of transitions
A
from mk 2 [i; j ? 1] to Mk 2 [i + 1; j ], and ^ of transitions from Mk 2 [i + 1; j ]
to mk+1 2 [i; j ? 1].
Further, define the column vector , q
X
n
q = (qm); qm = P(Mk > j j mk = m) = qml (4.7)
l=j +1
containing the conditional probabilities that mk = m is followed by Mk > j .
Now define the column vectors
d = ? q q : : : qi? T ; (4.8)
e = ? qi qi : : : qj? T
1 2 1
+1 1 (4.9)
d
where describes a transition from mk 2 [1; i ? 1] to Mk > j and describes e
a transition from mk 2 [i; j ? 1] to Mk > j .
The transitions from minimum to next minimum follow a Markov chain
defined by the transition matrix ~ = Q QQ ^ with stationary distribution =
n
(i )i=1 given by Eq. (A.2).
Using the above notation, the rainflow counting intensity can be stated in
the following theorem.
Theorem 4.1 For fixed i and j (i = 2; : : : ; n, j = i ? 1; : : : ; n ? 1), the rainflow
counting intensity for a Markov chain of turning points is given by
X
1 !
(i; j ) = ~ d +
rfc
C A^(AA^)k e (4.10)
k=0
= ~ d + C A^(I ? AA^)? e 1
46 Chapter 4. Rainflow Matrix for a Switching MCTP
where ~ =
? d e
1 2 : : : i?1 , the column vectors and are defined by
AA C
Eqs. (4.8,4.9), and the matrices , ^, and are defined by Eqs. (4.4-4.6).
Proof: The proof is omitted as it can be found in Frendahl & Rychlik [28] with
some minor changes in notation. The proof of Theorem 4.2 follows the same
guidelines. 2
d e AA C
where the vectors ~ , and and the matrices , ^ and will be larger. How-
ever, they will have the same structure and interpretation, as in Theorem 4.1.
The Model
Now suppose that the process changes properties according to an underlying
regime process taking values 1; : : : ; r and that within each regime the process
has a Markov chain of turning points. The regime process fZk g1 k=0 is assumed
P
to be a Markov chain with transition matrix = (pij )ri;j =1 with the property
that the future regime and the past turning points are conditionally indepen-
dent given the past regime. More precisely it means that
Zk = fZk ; Zk ; : : :g;
+
+1 +1 +2 Xk? = fX ; : : : ; Xk g
and 0 (4.12)
given Zk? , see Appendix C for the proof. The transition probabilities of the
+1
joint Markov chain f(Xk ; Zk )g will be defined by the min-max and max-
+1
min transition matrices Q and Q^, respectively,
Q = Qij ni;j ; Qij = (Qij (z; w))rz;w ;
? (4.17)
n =1 =1
with
0q p (1)
qij(1) p12 : : : qij(1) p1r
1
ij
B 11
CC
B qij p qij(2) p22 : : : qij(2) p2r CC = diag qij ; : : : ; qijr P ;
(2)
Qij = B
B
21 (1) ( )
@ ... ..
.
..
.
..
. A
qij(r) pr1 qij(r) pr2 : : : qij(r)prr
0 q^ij(1) p11 q^ij(1) p12 : : : q^ij(1) p1r
1
B CC
Q^ij = B
B
B
q^ij(2) p21 q^ij(2) p22 : : : q^ij(2) p2r CC = diag q^ij ; : : : ; q^ijr P ;
(1) ( )
@ ..
.
..
.
..
.
..
. A
q^ij(r) pr1 q^ij(r) pr2 : : : q^ij(r)prr
48 Chapter 4. Rainflow Matrix for a Switching MCTP
Q Q
The r r matrices ij and ^ ij describe transitions from level i to level j ,
allowing the regime process to switch state.
d
where describes a transition from mk 2 [1; i ? 1] to Mk > j , and describes e
d
a transition from mk 2 [i; j ? 1] to Mk > j . Note that and can be obtained e
from Eqs. (4.8,4.9) by exchanging qm with the vector m . q
The sequence of minima (jointly with the regime process) is a Markov
Q QQ
chain with transition matrix ~ = ^ , that has stationary distribution
X
1 !
(i; j ) = ~ d +
rfc
C A^(AA^)k e (4.27)
k=0
= ~ d + C A^(I ? AA^)? e 1
F0 = fM0 > j g
8 Mk > j; 9
< =
Fk = : i ms < j; s = 1; : : : ; k ; for k = 1; 2; 3; : : :
i < Mt j; t = 0; : : : ; k ? 1
p~k (l; z ) = P(Fk j m0 = l; Z1 = z )
d; k=0
= C A^(AA^)k?1 e; k = 1; 2; 3; : : :
The conditional probability p~0 (l; z ) describes a transition from m0 2 [1; i ? 1]
to M0 > j , p~1 (l; z ) describes a transition from m0 2 [1; i ? 1] to M0 2 [i + 1; j ],
next to m1 2 [i; j ? 1], and then above j , p~k (l; z ) describes a transition from
m0 2 [1; i ? 1], then k oscillations in [i; j ], and lastly above j , see also Figure 4.1.
Note that the regime process fZk g may switch state at any time. Adding the
probabilities leads to the matrix formula
X
1 !
rfc (i; j ) = ~ d + C A^(AA^)k e
k=0
P Ak = (I ? A)?
and using that 1 1
2
k =0 yields the theorem.
4.2. Switching Markov Chain of Turning Points Case 51
n
j +1
j
i
i?1
1 F0 F1 F2 F3
Figure 4.1: Crossings of the interval [i; j ], and description of the events F0 , F1 , : : :.
for i = 2; : : : ; n do
for j = i ? 1; : : : ; n ? 1 do
AA C
Define the matrices , ^, and according to Eqs. (4.21-4.23).
d? e
Define the column vectors and according to Eq. (4.25).
Define the row vector ~ = 1 2 : : : i?1 , see Eq. (4.26).
Compute the rainflow counting intensity for element (i; j )
ij =
rfc ~ d + C A^(I ? AA^)?1 e
where I is the identity matrix.
end
end
for i = 1; : : : ; n ? 1 do
for j = i + 1; : : : ; n do
i+1;j ?1 ? i;j ?1 ? i+1;j + i;j
gijrfc = rfc rfc rfc rfc
end
end
(This is called a double-ended MCTP, see Section 5.2.) Let = (i )ni=1 be the
QQ
stationary distribution of ^ for minima, and ^ = (^
j )nj=1 be the stationary
QQ
distribution of ^ for maxima. Note that for any k , independent of its sign,
P(X2k = i) = P(mk = i) = i and P(X2k+1 = j ) = P(Mk = j ) = ^j .
The time-reversed MCTP fYk g is defined by
Proof: The transition probabilities qijr and q^r for the time-reversed MCTP
ij
fYk g can be expressed in quantities of fXk g
P(Yl = i j Yl?1 = j ) [reverse time, Eq.(4.29)]
= P(X?l = i j X?l+1 = j ) [Put ? l = k]
= P(Xk = i j Xk+1 = j )
= P(Xk+1 = j j Xk = i) PP(X(Xk ==i)j ) :
k+1
For odd l (and k ) and for even l (and k ) we get
and this implies that the expected max-min matrix can be obtained from the
expected min-max matrix through ^ = T . G G
When investigating the time-reversibility for a SMCTP we have to consider
the joint MC fXk ; Zk+1 g. This joint Markov chain fXk ; Zk+1 g is usually not
time-reversible, even if the subprocesses are all time-reversible.
Lemma 4.2 The joint Markov chain fXk ; Zk+1 g is time-reversible if and only if
Proof: From Lemma 4.1 we get that fXk ; Zk+1 g is time-reversible if and only
if
iz Qij (z; w) = ^jw Q^ ji (w; z )
and by using Eqs. (4.19,4.20) we get the result. 2
According to Lemma 4.1, the MCTP model for subload z is time-reversible
(z ) (z )
if and only if i qij = ^j(z) q^ji(z) , where i(z) and ^j(z) are the stationary distri-
bution for minima and maxima, respectively, for submodel z . In most cases
the subloads have different stationary distributions. In these cases, when the
regime process switches state, then the next subload does not start from its
own stationary distribution, and hence there will be a transient until it ap-
proaches the stationary distribution of that subload. This is one reason that
the SMCTP will not be time-reversible even if all the subprocesses are time-
reversible.
Now consider the somewhat artificial case when all the subloads are time-
reversible and also have the same stationary distribution. Even for this case,
the SMCTP model is still usually not time-reversible.
Q Qz
Lemma 4.3 If the subprocesses defined by ( (z) ; ^ ) are all time-reversible and
( )
qij(z) pzw = qij(w) pwz and q^ji(z) pzw = q^ji(w) pwz : (4.34)
54 Chapter 4. Rainflow Matrix for a Switching MCTP
Proof: The result is obtained from Lemma 4.2 by using that iz = i and the
(z )
^j q^ji(z) . From the time-reversibility
time-reversibility of the subloads i qij =
of the subloads we get
iz qij(z) pzw = i ^j q^ji(z) pzw = ^j q^ji(z) pzw (4.35)
i
(w )
^jw q^ji pwz ; = ^j ^ i qij(z) pwz = i qij(z) pwz : (4.36)
j
z
From Eqs. (4.33,4.35) we get q^ji pzw
( )
= q^ji(w)pwz , and from Eqs. (4.33,4.36) we
(z ) (w )
get qij pzw = qij pwz . 2
S I S
where is a m m substochastic matrix, such that ? is non-singular. The
initial probability vector is ( ; m+1 ). The phase type distribution is the dis-
tribution of the time until absorption in state m + 1, and hence has probability
function
p(k) = m+1 ;
S S
k?1 0 ;
for k = 0
for k 1:
(4.38)
fore, by using Theorem 4.2. However, the dimensionality of the problem may
increase considerably, since the number of states in the joint Markov chain
fXk ; Zk+1 g increases. Note that, since the one-point distribution is a special
case of the phase type distribution, we can obtain a SMCTP that have constant
occupation-times for the regime process. However, the number of states in the
extended regime process becomes equal to the length of sum of the different
occupation times.
A simple example of a phase type distribution is a sum of m geometric
times
X
m
T (m) = Ti(m)
i=1
m (m)
where Ti is geometrically distributed with parameter pi , see Appendix A.
) (
are shown in Figure 4.2. In the figure we can observe that the variance of
56 Chapter 4. Rainflow Matrix for a Switching MCTP
T (m) decreases, with larger m, and also that the distribution becomes more
symmetrical. (Note that T (1) is geometrically distributed.)
0.1
Geometric, k=1
0.09 Phase−type, k=2
Phase−type, k=5
0.08 Phase−type, k=10
0.06
0.05
0.04
0.03
0.02
0.01
0
0 10 20 30 40 50 60 70 80
x
Figure 4.2: Probability functions for a geometric distribution and three phase type distribu-
tions, which are the sum of 2, 5 and 10, respectively, geometric variables. All distributions have
common mean 20.
4.4 Examples
In this section the algorithm for computation of the expected rainflow matrix
for switching Markov chains of turning points will be demonstrated. In Ex-
ample 4.1 we consider a SMCTP where the two subloads have different mean
levels, and in Example 4.2 we consider a SMCTP where the two subloads have
the same mean level but different correlation structure.
They will serve as examples to see that the proposed calculation of the ex-
pected rainflow matrix works, before entering more complex problems. Fur-
ther examples are presented in Chapter 6, where we in Section 6.1 demon-
strate how to approximate a switching load by a SMCTP, and use a switching
ARMA-process as example. In Section 6.2 we show how one can fit a mea-
surement of a load signal to a SMCTP. This is exemplified by two measured
truck loads.
When calculating the expected rainflow matrix rfc G
T , for a load fXt g with
a finite time horizons, t 2 [0; T ], we will use the approximation
For the calculation of the expected rainflow matrix we specify the two
Q Q
subloads via their min-max transition matrices, (1) and (2) , respectively,
and their max-min transition matrices, Q
^ (1) and Q^ (2) , respectively. They all
have dimension n n, where n = 32 is the number of discrete levels, which
are equally spaced between ?1 and +1. Each subload is modelled as a time-
reversible MCTP. The exact form of the transition matrices are found in Ta-
ble 4.1.
Model A Model B
subload z x1z x2z sz z x1z x2z sz z
1 -0.4 -0.3 0.15 1.0 -0.1 0.1 0.28 0.5
2 0.3 0.4 0.15 1.0 0.0 0.0 0.12 2.0
Table 4.1: Parameters for the subloads of models A and B. The min-max matrix G for each
subload is given by the templates describes in Chapter 8, see Figure 8.1 and Eqs. (8.15,8.16).
The subloads are assumed to be time-reversible, and hence the max-min matrix is G^ = GT .
0.8
0.6
0.4
0.2
X(k)
0
−0.2
−0.4
−0.6
−0.8
−1
2
Z(k)
1
0 50 100 150 200 250 300
time, k
Figure 4.3: A sample path of the SMCTP in Example 4.1. The upper graph shows the turning
points Xk and the lower the regime process Zk .
0.04 0.04
0.03 0.03
0.02 0.02
0.01 0.01
0 0
1 1
−1 −1
0 0
0 0
−1 1 −1 1
min Max min Max
0.04 0.04
0.03 0.03
0.02 0.02
0.01 0.01
0 0
1 1
−1 −1
0 0
0 0
−1 1 −1 1
min Max min Max
−3 −3
x 10 x 10
6 6
4 4
2 2
0 0
1 1
−1 −1
0 0
0 0
−1 1 −1 1
min Max min Max
Figure 4.4: Example 4.1. 3D-plots of the rainflow matrices (a) regime 2, 2 Grfc 2 , (b) regime 1,
1 Grfc
1 , (c) switching process, G rfc
, and (d) sum of regime 1 and 2, G rfc
sum = 1 1 + 2 G2 .
Grfc rfc
3D-plots of the expected rainflow damage matrices for (e) the switching process, D , and (f)
rfc
points which means N = 10 000 cycles. Quantiles for the empirical distribu-
tion of the relative difference of damage (D ( rfc
T ) ? D (Xk ))=D ( T ) are
rfc
G G
shown in Figure 4.5b, which shows that the expected damage is correct. 2
(a) Crossing intensity (b) Damage
Quantiles: 0.1, 0.3, 0.5, 0.7, 0.9
0.4 10
0.35
0.25
mu(u) 0.2 0
0.15
0.1 −5
0.05
0 −10
−1 −0.5 0 0.5 1 3 4 5 6 7 8 9 10
level, u beta
Figure 4.5: Example 4.1. (a) The level upcrossing intensity, (u) ( ), compared with the ?
?
weighted individual ones, 1 (1) (u) and 2 (2) (u) ( ), and the weighted sum of the individ-
ual ones sum (u) = 1 (1) (u)+ 2 (2) (u) ( ?? ). (b) The empirical distribution of the relative
D
difference of damage ( (GrfcT ) ?D
( Xk ))=D (GT ), the mean ( ), the median (
rfc
), and ? ?
the dashed lines ( ??
) are the quantiles 0.1, 0.3, 0.7, 0.9.
4.4. Examples 61
0.8
0.6
0.4
0.2
X(k)
−0.2
−0.4
−0.6
−0.8
−1
2
Z(k)
1
0 50 100 150 200 250 300
time, k
Figure 4.6: A sample path of the SMCTP in Example 4.2. The upper graph shows the turning
points Xk and the lower the regime process Zk .
The calculated expected rainflow matrices for each regime and for the
switching process are shown in Figures 4.7a,b,c. Here it is not easy to see that
G
the mixed rainflow matrix rfc consists of two parts, since the two subloads
now have the same mean level. In this case the naive way of superimposing
the rainflow matrices for the two subloads
G
will work fine, and rfc and rfc G
sum will be almost identical. However, to draw
this conclusion it is necessary to compute the mixed expected rainflow ma-
G
trix rfc and compare it with rfc G
sum . In fact, in this case, it will be subload 1
that dominates the damage, and the damage coming from subload 2 is almost
negligible compared to the damage coming from subload 1. The expected
62 Chapter 4. Rainflow Matrix for a Switching MCTP
0.04 0.04
0.03 0.03
0.02 0.02
0.01 0.01
0 0
1 1
−1 −1
0 0
0 0
−1 1 −1 1
min Max min Max
−3
x 10
0.04 2
0.03 1.5
0.02 1
0.01 0.5
0 0
1 1
−1 −1
0 0
0 0
−1 1 −1 1
min Max min Max
Figure 4.7: Example 4.2. 3D-plots of the expected rainflow matrices (a) regime 2, 2 Grfc 2 , (b)
regime 1, 1 Grfc
1 , and (c) switching process, G rfc
. (d) Expected rainflow damage matrix D rfc
computed from G . rfc
0.35
0.2 0
0.15
−10
0.1
−20
0.05
0 −30
−1 −0.5 0 0.5 1 3 4 5 6 7 8 9 10
level, u beta
Figure 4.8: Example 4.2. (a) The level upcrossing intensity, (u) ( ), compared with the ?
?
weighted individual ones, 1 (1) (u) and 2 (2) (u) ( ), and the weighted sum of the individ-
ual ones sum (u) = 1 (1) (u)+ 2 (2) (u) ( ?? ). (b) The empirical distribution of the relative
difference of damage ( (GrfcTD) k
( ?D
X )) =D (Grfc
T ), the mean ( ), the median ( ), and ? ?
the dashed lines ( ??
) are the quantiles 0.1, 0.3, 0.7, 0.9.
We conclude that these two examples show that the algorithm in Theo-
rem 4.2 works well. Especially one can note that the expected rainflow dam-
ages are correct.
64 Chapter 4. Rainflow Matrix for a Switching MCTP
Chapter 5
In some fatigue applications, in order to take some sequential effects into ac-
count, one wants to treat hanging and standing rainflow cycles differently.
The hanging cycles are formed in an up-going hysteresis arm, while the stand-
ing cycles are formed in an down-going arm, see Figure 5.1. The standing cy-
cles often have higher mean strain, than the hanging cycles, even though they,
as in Figure 5.1, have the same mean stress. Since the mean strains of a stand-
ing and a hanging cycle with same mean stress can be different, they may also
cause different damage.
65
66 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
stress
standing 1
1 2
hanging 2
strain
Figure 5.1: Hysteresis loops in the stress-strain plane. The two smaller rainflow cycles have
the same minimum and maximum, however the left one is a hanging cycle while the right one
is a standing cycle.
defined by
= k i k j
k = uj g; i > j
#f“Hanging”; Mk = ui ; mrfc (5.4)
which have values on both sides of the diagonal, with the standing cycles
above the diagonal, and the hanging cycles below the diagonal. In Figure 5.3
F
the asymmetric rainflow matrix arfc is shown for a discrete load process;
compare with Figure 2.7. Remember that the (symmetric) rainflow matrix
only have values above the diagonal. The connection between the symmet-
F
ric rainflow matrix rfc and the asymmetric rainflow matrix arfc is F
f
ij + fji ; if i < j
arfc arfc
fijrfc = 0; otherwise:
(5.5)
68 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
8 F arfc
7 1 4 8
6 1 2
1
5 1
4 1 1
4 min
3 1 1
1
2 8
1 max
Figure 5.3: Part of a discrete load process where the turning points are marked with . The
scale to the left is the discrete levels. The asymmetric rainflow matrix F arfc for the load is
shown, where the figures are the number of observed cycles and the grey areas are by definition
always zero.
fX ; X ; X ; X ; X ; X ; : : :g = fm ; M ; m ; M ; m ; M ; : : :g
0 1 2 3 4 5 0 0 1 1 2 2
Q = (qij )ni;j =1
and Q^ = (^qij )ni;j :
=1
(5.8)
We will assume that the MCTP is stationary and ergodic, i.e. that the sequence
f(mk ; Mk )g1k=0 is stationary and ergodic. Hence, X0 is distributed according
to the stationary distribution of minima.
Now we will define the chain fXk g for k < 0 by reversing the time. Define
the time-reversed MCTP by the backward transition probabilities
Qr = ?qijr ni;j =1
and Q^r = ?q^ijr ni;j : =1
(5.11)
Since fXk g1
k=0 is stationary and ergodic we have
qijr = ^j q^ji ; q^ijr = ^j qji (5.12)
i i
where = (i )ni=1 and ^ = (^
i )ni=1 are the stationary distributions for min-
ima and maxima, respectively, obtained from the transition matrices ^ and QQ
QQ
^ , respectively. Now we have a double-ended stationary and ergodic MCTP
fXk g1
k ?1
=
f: : : ; X? ; X? ; X ; X ; X ; : : :g = f: : : ; m? ; M? ; m ; M ; m ; : : :g
2 1 0 1 2 1 1 0 0 1
so that X = mk ;
2k
X2k+1 = Mk for ?1 < k < 1: (5.13)
All MCTP models in this chapter are assumed to be stationary and ergodic.
where
PSij = Tlim 1 X T
E 1Sij (k; T ) ; (5.15)
!1 T k=?T
PHij = Tlim 1 X T
E 1Hij (k; T )
(5.16)
!1 T k=?T
70 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
The exact expressions for the two events Sij (1; 1) and Hij (0; 1) are given in
Eqs. (5.19) and (5.25), respectively, which are valid for any (discrete-valued)
sequence of turning points. Observe that for a MCTP fXk g, the intensity local
P
minima is 12 , and hence we have in Eqs. (5.15,5.16) the normalization T1 , and
n
not 21T , in order to get i;j =1 gij
arfc
= 1. Further, for even k, E[1Sij (k; T )] = 0,
while for odd k , E[1Hij (k; T )] = 0, and hence for a stationary MCTP we have
PSij = Tlim
E 1 (1; T ) = P(Sij (1; 1))
!1 Sij
PHij = Tlim E 1Hij (0; T ) = P(Hij (0; 1))
!1
when the limits exists.
S2 = fXs = ig;
2 S3 = fXs ig:
3
5.3. Markov Chain of Turning Points Case 71
S0 condition
j
i
S1 S2 S3
s1 s2 1 s3 time
1
Figure 5.4: The event Sij (1; ), which describes the forming of a standing rainflow cycle
with minimum i and maximum j , is equivalent to the simultaneous occurrence of the events
S0 , S1 , S2 , and S3 . The minimum and the maximum of the formed rainflow cycle are marked
with circles. If the process is allowed to touch the barrier, then the line is thick, otherwise the
line is thin.
PS = P(S ) = P(S0 ; S1 ; S2 ; S3 )
= P(S0 ; S1 ; S2 ) P(S3 j S0 ; S1 ; S2 )
= P(S0 ; S2 ) P(S1 j S0 ; S2 ) P(S3 j S0 ) (5.20)
= P(S0 ) P(S2 j S0 ) P(S1 j S2 ) P(S3 j S0 )
= PS PS PS PS
0 2 1 3
where we have used the strong Markov property, since s2 is a stopping time.
We have now split up the problem into computing three conditional probabil-
ities.
72 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
PS 1 = P(S1 j S2 )
= “Conditional probability of reaching, in the backward direction,
a maximum above level j , without in between reaching outside
[i; j ], given starting from a minimum at level i.”
PS 2 = P(S2 j S0 )
= “Conditional probability of reaching, in the backward direction,
a minimum at level i, without in between reaching outside [i +
1; j ], given starting from a maximum at level j .”
PS 3 = P(S3 j S0 )
= “Conditional probability of reaching, in the forward direction, a
minimum below level i+1, without in between reaching outside
[i + 1; j ? 1], given starting from a maximum at level j .”
The three conditional probabilities PS1 , PS2 , and PS3 can be described as ab-
sorption probabilities. For a MCTP they can be computed from the transition
r
QQQ Q
matrices , ^ , r , and ^ , by using the same technique as for the absorption
probability in the proof of Theorem 4.2.
Here, we will give an alternative approach, and calculate PS1 , PS2 , and
PS3 , by using the elementary events described in Figure 5.5. This will lead
to a computationally more efficient algorithm, since it involves less matrix
inversions. The formula for PS (and PH , defined later on) only depends on
the transition probabilities within the interval [i; j ]. By using the elementary
events it is easy to isolate the transitions qij and q^ji from smaller transitions
within the interval [i; j ]. This is of great importance for the rainflow inversion
algorithm described in Chapter 7.
The elementary events described in Figure 5.5 are defined more precisely
in the forthcoming text. In Appendix 5.6 the conditional probabilities of the
elementary events are computed, in terms of the transition probabilities for
the MCTP. The calculations are made by using the same technique as for the
absorption probability in the proof of Theorem 4.2.
The derivation of the formulas is relatively easy, however, quite lengthy.
We begin with PS0 , which is simply the probability of a maximum of height j
PS = ^j :
0 (5.21)
More complicated is the computation of PS , where we start from level i and
1
PS = ES + RS PS =) PS = 1 ?ESR
1 1 1
S
5.3. Markov Chain of Turning Points Case 73
E C D R E3
j
i
backward forward
i
E^ C^ D^ R^ E^3
Figure 5.5: Description of the elementary events, where E , C , D, R, and E3 denote the
?
conditional probabilities of reaching , visiting only states [i + 1; j 1], given starting from a
minimum i marked , and E ^, C^, D
^, R
^ , and E
^ 3 denote the conditional probabilities of reaching
?
, visiting only states [i + 1; j 1], given starting from a maximum j marked .
ES = E + CAS ^ S =) AS = D^
AS = D^ + RA
1 ? R^
with
where E represents starting from i and exiting above j , visiting only states
[i + 1; j ? 1], C represents starting from i and hitting j , visiting only states
[i + 1; j ? 1], AS represents starting from j and exiting above j , visiting only
^ represents starting from j and exiting above j , visiting only
states [i + 1; j ], D
states [i + 1; j ? 1], and R ^ represents starting from j returning to j , visiting
74 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
RS = R + CBS ; ^ S =) BS = C^
BS = C^ + RB
1 ? R^
with
1?R
The conditional probability PS is given by
2
^ S =) PS = C^
PS = C^ + RP
1 ? R^
2 2 2 (5.23)
with C^ and R
^ as above. And finally, the conditional probability PS 3 is given
by
PS = E^3
3 (5.24)
representing starting from j and exiting below i + 1, visiting only states [i +
1; j ? 1].
and note that 0 is the time of the minimum m0 = X0 . Now we can formulate
the event Hij (0; 1) describing the forming of a hanging rainflow cycle
H2 = fXh = j g;
2 H3 = fX j g: 3
backward forward
H1 H2 H3
j
i
H0 condition
1
Figure 5.6: The event Hij (0; ), which describes the forming of a hanging rainflow cycle
with minimum i and maximum j , is equivalent to the simultaneous occurrence of the events
H0 , H1 , H2 , and H3 . The minimum and the maximum of the formed rainflow cycle are marked
with circles. If the process is allowed to touch the barrier, then the line is thick, otherwise the
line is thin.
PH = P(H ) = P(H0 ; H1 ; H2 ; H3 )
= P(H0 ; H1 ; H2 ) P(H3 j H0 ; H1 ; H2 )
= P(H0 ; H2 ) P(H1 j H0 ; H2 ) P(H3 j H0 ) (5.26)
76 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
where we have used the strong Markov property. We have now split up the
problem into computing three conditional probabilities.
The three conditional probabilities PH1 , PH2 and PH3 can be described as
PH 1 = P(H1 j H2 )
= “Conditional probability of reaching, in the backward direction,
a mimimum below level i, without in between reaching outside
[i; j ], given starting from a maximum at level j .”
PH 2 = P(H2 j H0 )
= “Conditional probability of reaching, in the backward direction,
a maximum at level j , without in between reaching outside
[i; j ? 1], given starting from a minimum at level i.”
PH 3 = P(H3 j H0 )
= “Conditional probability of reaching, in the forward direction,
a maximum above level j ? 1, without in between reaching out-
side [i + 1; j ? 1], given starting from a minimum at level i.”
The same kinds of calculations as for the standing cycle, by using the ele-
mentary events described in Figure 5.5, lead to
PH = i ;
0 (5.27)
E^ + C^ 1 ?D R E^ (1 ? R) + CD
^
PH = = ^ ;
1 ? R^ ? C^ 1 ?C R (1 ? R^ )(1 ? R) ? CC
1 (5.28)
PH = 1 ?C R ;
2 (5.29)
PH = E 3 :
3 (5.30)
the definition of asymmetric rainflow cycles (see Definition 5.1), we can see
that a rainflow cycle with min = 1 (lowest level) will always be standing, since
when m? ? ?
k = mk , then mk = X (tk ) = mk . A rainflow cycle with max? = n
+ rfc
(highest level) will be hanging, except when min = 1, since in this case tk = 0
and hence asymptotically m? k = 1, which gives mk = X (tk ) = mk . This will
rfc + +
rainflow cycle with min = 1 and max = n, which is always standing, have to
be treated separately
which can be calculated by using Theorem 4.1. In the notation of this chapter
we have
2;n?1 = 1 E3 =
rfc ^n E^3 (5.32)
where E3 and E^3 are computed for the interval [1; n], see Figure 5.5.
Now we can summarize the results.
with
8P;
< S if i 6= 1; j 6= n
PSij = : 0; ; if i 6= 1; j = n (5.34)
i = 1; j = n
P ;n; ?
rfc
2 1 if
PHij = H if i 6= 1; j 6= n (5.35)
0; if i=1
where PS , PH , and rfc
2;n?1 are defined by Eqs. (5.20-5.24), (5.26-5.30), and (5.31,5.32),
respectively. 2
MCTP. We will use the same kind of notation as in the MCTP case (for the con-
ditional probabilities), however now they will denote matrices of conditional
probabilities. The formulas will not be written explicitly in all detail. It will
only be sketched how they are obtained. The explicit formulas can be found in
the MATLAB implementation, which can be obtained from the author upon
request.
The switching MCTP is defined as in Section 4.2, where we concluded that
the joint process f(Xk ; Zk+1 )g1
k=?1 is a Markov chain with min-max transi-
Q Q
tion matrix , and max-min transition matrix ^ , see Eqs. (4.17-4.20). The
stationary distribution for minima
= (i )ni ?
; i = i1 i2 : : : ir
(5.36)
=1
is obtained from the min-to-min transition matrix QQ^, and the stationary dis-
tribution of maxima
PS(u;z;w;v
ij
)
= P(Sij(u;z;w;v)(1; 1))
= P(S1(u) ; S2(z) ; S0(w); S3(v) )
= P(S0(w)) P(S2(z) j S0(w)) P(S1(u) j S2(z) ) P(S3(v) j S0(w) )
= PS(w) PS(w;z) PS(z;u) PS(w;v)
0 2 1 3
(5.39)
where we have used the strong Markov property. As for the MCTP case, we
have now split up the problem into computing three conditional probabilities,
which can be computed for the SMCTP.
5.4. Switching Markov Chain of Turning Points Case 79
X
r
PS = PS(w) PS(w;z) PS(z;u) PS(w;v)
0 2 1 3
(5.40)
u;v;z;w=1
w z;u)
Now we shall compute PS0 , PS1 , PS2 and PS3 in the same manner
( ) ( w;z)
( ( w;v)
as for the MCTP case, by using the elementary events described in Figure 5.5.
ECDRE ECDR
The notation , , , , 3 , ^ , ^ , ^ , ^ , and ^ 3 are now r r matrices E
containing conditional probabilities, keeping track of the regime process at
the beginning (marked ) and at the end (marked ).
Define the matrices
r r
P S = PSz z ;
( )
P S = PSz;w z;w ; ( )
0
r 0
=1 1
r 1
=1
(5.41)
P S = PSz;w z;w ;
2
(
2
)
=1
P S = PSz;w z;w :
3
(
3
)
=1
P
We will now calculate the row vector S0 , and the r r matrices S1 , S2 P P
P
and S3 , all containing conditional probabilities. The identity matrix will be
I P
denoted . We begin with the row vector S0 which is given by
P S = ^ j : 0 (5.42)
We will now compute the matrix P S , where we start from level i and can
1
P S = E S + RS P S
1 1 =) P S = (I ? RS )? E S
1
1
E
where S is the conditional probability of starting from minimum i and exit-
ing above level j , without returning to i, and S is the conditional probabilityR
of starting from minimum i and returning to i, and thus starting from level i
again. The exit probability S is E
E S = E + CAS with AS = D^ + RA ^ S =) AS = (I ? R^ )? D ^ 1
where R
represents returning to i without hitting j , represents hitting j , C
B
and S represents starting from j and returning to i. We now have
E S = E + C (I ? R^)? D^ 1
and RS = R + C (I ? R^)? C^ 1
giving
P S = (I ? R ? C (I ? R^)? C^)? E + C (I ? R^)? D^ :
1
1 1 1
(5.43)
The matrix P S is given by
2
P S = C^ + RP
2
^ S =) P S = (I ? R^ )? C^ :
2 2
1
(5.44)
3 3 (5.45)
PH(u;z;w;v
ij
)
= P(Hij(u;z;w;v) (0; 1))
= P(H1(u) ; H2(z) ; H0(w); H3(v) )
= P(H0(w) ) P(H2(z) j H0(w)) P(H1(u) j H2(z) ) P(H3(v) j H0(w) )
= PH(w) PH(w;z) PH(z;u) PH(w;v)
0 2 1 3
(5.47)
where we have used the strong Markov property. We have now split up the
problem into computing three conditional probabilities.
The probability of a hanging cycle with minimum i and maximum j is then
obtained by summing over u, z , w and v
X
r
PH = PH(w) PH(w;z) PH(z;u) PH(w;v)
0 2 1 3
(5.48)
u;v;z;w=1
5.4. Switching Markov Chain of Turning Points Case 81
w z;u)
Now we shall compute PH0 , PH1 , PH2 and PH3 , by using the ele-
( ) ( (w;z) w;v)
(
0
r 0
=1 1
r 1
=1
(5.49)
P H = PHz;w z;w ;
2
(
2
)
=1
P H = PHz;w z;w :
3
(
3
)
=1
The same kinds of calculations as for the standing cycle, by using the elemen-
tary events described in Figure 5.5, lead to
PH 0 = i (5.50)
PH 1 = (I ? R^ ? C^ (I ? R)?1 C )?1 E^ + C^ (I ? R)?1 D (5.51)
PH 2 = (I ? R)?1 C (5.52)
PH 3 = E3 (5.53)
which can be calculated by using Theorem 4.2. In the notation of this chapter
we have r
2rfc;n;(?z1) z=1 = 1 E 3 = ^ n E^ 3 (5.55)
which gives
X
r
rfc
2;n?1 = 2rfc;n;(?z1) (5.56)
z=1
E E
where 3 and ^ 3 are computed for the interval [1; n], see Figure 5.5.
Now we can summarize the results.
with
8 PS ;
< if i 6= 1; j 6= n
PSij = : 0; ; if i 6= 1; j = n (5.58)
i = 1; j = n
P ;n; ?
rfc
2 1 if
PHij = H if i 6= 1; j 6= n (5.59)
0; if i=1
where PS , PH , and rfc
2;n?1 are defined by Eqs. (5.39-5.45), (5.47-5.53), and (5.54-
5.56), respectively. 2
5.5 Example
Example 5.1 (Time-irreversible load)
In this example we will illustrate a time-irreversible load and calculate its ex-
pected asymmetric rainflow matrix. The time-irreversible MCTP model has
been constructed with inspiration from a measured load of a vehicle hitting
an obstacle, e.g. a pothole. The construction is a narrow-band load that have
the property that the successive load amplitudes are stochastically decreasing.
When the load is near zero there is the possibility that a minimum is followed
by a high maximum. This makes the load look like a decaying transient until
it reaches the region near zero, and then have small oscillations until it makes
a jump to a high value followed by a transient, and so on. The exact form of
the transition matrices are found in Table 4.1. See Figure 5.7 for a simulation
of the load.
min-max max-min
x1 x2 s x1 x2 s
-0.25 0.20 0.2 0.25 -0.20 0.25 0.2 0.25
Table 5.1: Parameters for the MCTP model. The min-max and max-min matrices for the
load are constructed according to the templates described in Chapter 8, see Figure 8.1 and
Eqs. (8.15,8.16).
The decaying transient results in that most of the large cycles are hanging,
since the minimum m+k to the right of a high maximum Mk is most of the time
higher than the minimum m? k to the left, see the load in Figure 5.7.+ Hence,
the rainflow minimum mrfc
k will most of the time be the minimum mk , so the
5.5. Example 83
0.8
0.6
0.4
0.2
X(k)
−0.2
−0.4
−0.6
−0.8
−1
0 20 40 60 80 100 120
time, k
formed cycle will be a hanging rainflow cycle, (Mk ; mrfc k ). This is verified in
the expected asymmetric rainflow matrix, see Figure 5.8a. It becomes even
more evident if one examines the amplitude distribution, where we distin-
guish between hanging and standing cycles, see Figure 5.8b. Further, from the
expected asymmetric rainflow matrix, we get that for cycles with amplitude
larger than 0:25, 16 % of the cycles are standing and 84 % are hanging, while
for cycles with amplitude less than 0:25, 44 % of the cycles are standing and
56 % are hanging.
By using a time-irreversible MCTP one can obtain a load that models a de-
caying transient. At a first glance one might think that these kinds of loads are
not stationary, however as seen here they can be. The point is that if we look
at a time-irreversible load in the forward and in the backward time directions,
then the load can have very different characteristics. Take for example the
load signal in Figure 5.7 and look at it from the right to the left, then the load
has larger and larger amplitudes until it suddenly returns to small oscillations
near the zero level.
Further examples of time-irreversible loads will be given in Chapters 6
and 7, where we will model a measured load from a truck driving over pot-
holes, resulting in a load with similar characteristics as the load in this exam-
ple. In Example 6.4 the measured load will be modelled by using the time
signal, and in Example 7.1 it will be modelled from an observation of the
asymmetric rainflow matrix, by using rainflow inversion. 2
84 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
0.006
From
0
0.004
0.5
0.002
Hanging
1 0
−1 −0.5 0 0.5 1
To
(b) Rainflow amplitude distribution
0.05
Total
Standing
0.04 Hanging
Probability function
0.03
0.02
0.01
0
0 0.2 0.4 0.6 0.8 1
Amplitude
Figure 5.8: Example 5.1. (a) 3D-plot of the expected asymmetric rainflow matrix, Garfc . (b)
Rainflow amplitude distribution, distinguishing between hanging and standing cycles.
5.6. Appendix: Elementary Events 85
e = (rmlr ); i + 1 m j ? 2; l = j;
e^ = (^rml
r ); i + 2 m j ? 1; l = i;
with
r =
rml P(Mk > l j mk+1 = m) = 1 ? P(Mk l j mk+1 = m)
86 Chapter 5. Asymmetric Rainflow Matrix for a Switching MCTP
Xl r
= 1? qmn
n=m+1
r =
r^ml P(mk < l j Mk = m) = 1 ? P(mk l j Mk = m)
mX
?1
= 1? r
q^mn
n=l
where e contains the conditional probabilities of transitions from mk+1 2 [i +
1; j ? 2] to Mk > j ; and e^ transitions from Mk 2 [i + 2; j ? 1] to mk < i.
Further, define the following submatrices of Q and Q ^,
A 3 = (qml ); i + 1 m j ? 2; i + 2 l j ? 1;
A^ qml ); i + 2 m j ? 1;
3 = (^ i + 1 l j ? 2;
a3 = (qml ); m=i i + 2 l j ? 1;
a^ qml );
3 = (^ m=j i + 1 l j ? 2:
The matrices contain conditional probabilities:
A 3 of transitions from mk 2 [i + 1; j ? 2] to Mk 2 [i + 2; j ? 1];
A^3 of transitions from Mk 2 [i + 2; j ? 1] to mk+1 2 [i + 1; j ? 2];
a 3 of transitions from mk = i to Mk 2 [i + 2; j ? 1];
a
^3 of transitions from Mk = j to mk+1 2 [i + 1; j ? 2].
Define
e = (rml ); i + 1 m j ? 2; l = j;
3
e^ = (^rml ); i + 2 m j ? 1; l = i;
3
with
AAA A
Note that all the defined matrices , ^, 3 , ^3 , and the vectors , ^ , , ^,aabb
eea a e e
, ^, 3 , ^3 , 3 , ^3 do not depend on x and y . They only depend on smaller
transitions in the interval [i; j ]. We will now calculate the probabilities of the
elementary events in Figure 5.5 as functions of x, y , and smaller oscillations in
the interval [i; j ].
There are three cases depending on the distance between i and j .
1. For j = i + 1:
R = 0 R^ = 0
C = y=Min C^ = x=Max
D = 0 D^ = 0
E = 1 ? y=Min E^ = 1 ? x=Max
E3 = 1 ^
E3 = 1
2. For j = i + 2:
R = r1 R^ = r^1
C = y=Min C^ = x=Max
D = d1 D^ = d^1
E = 1 ? d0 ? y=Min E^ = 1 ? d^0 ? x=Max
E3 = d3 ^
E3 = d^3
3. For j i + 3:
R = r1 + a^b + aAA
^ ^b + aAA ^ AA ^ ^b + : : :
= r1 + a(I ? AA) b
^ ?1^
^
E = 1 ? d^0 ? x=Max + a^Ae^ + a^AAA ^ e^ + : : :
= 1 ? d0 ? x=Max + a^(I ? AA) 1 Ae^
^ ^ ?
E^3 = 1 ? d^3 + a^3 A3 e^+ a^3 A3 A^3 A3 e^3 + : : :
= 1 ? d^3 + a^3 (I ? A3 A^3 )?1 A3 e^3
where I denotes the identity matrix, and
r1 r q^r
= qi;i r^1 r qr
= q^j;j
+1 i+1;i ?1 j?1;j
d1 r (1 ? q^r )
= qPi;i+1 i+1;i d^1 = qPr (1 ? q r )
^j;j ?1 j ?1;j
d0 = Pjm?=1i+1 qi;m
r d^0 = Pjm?=1i+1 q^j;m
r
d3 = jm?=1i+1 qi;m d^3 = jm?=1i+1 q^j;m :
In the calculations we have used that
X
1
I + AA^ + (AA^) + : : : = (AA^)k = (I ? AA^)?
2 1
k=0
and that
^ )?1 = P1
(I ? AA k=0 (AA
^ )k = I + AA
^ + (AA
^ )2 + : : :
= I + A(I + AA + (AA) + : : :)A = I + A(I ? AA^)?1 A:
^ ^ ^ 2 ^
Hence, we only need to compute one of the matrix inversions (I ? ^)?1 and AA
AA
(I ? ^ )?1 . This we have used for the computation of . D
Note that only C , C^ , E and E
^ depend on x and y, and we can write
C = c 0 + c1 y C^ = c^0 + c^1 x
E = e0 + e1 y E^ = e^0 + e^1 x: (5.60)
Chapter 6
Examples
The examples will demonstrate the algorithms for computation of the ex-
pected rainflow matrix for different Markov models, and especially the switch-
ing Markov chains of turning points. First, we will discuss how to approxi-
mate a given model of a switching process by a SMCTP model, which en-
ables us to compute an approximation of its expected rainflow matrix. The
methodology is summarized in a flow chart, see Figure 6.1. In Example 6.1 it
is demonstrated for a mixture of two Gaussian ARMA-processes. Then, we
will present a procedure for modelling measurements of load sequences by
a switching Markov chain of turning points. The estimated model can then
be used for computation of the expected rainflow matrix, or for simulation,
in order to generate load sequences for fatigue testing. The methodology is
summarized in a flow chart, see Figure 6.5. In Examples 6.2 and 6.3 we model
measurements of truck loads by a SMCTP. A measurement of a load sequence
is modelled by a time-irreversible MCTP in Example 6.4. Additional exam-
ples for switching Markov chains can be found in Section 3.3. Introductory
examples for SMCTP can be found in Section 4.4, and an example for a time-
irreversible MCTP can be found in Section 5.5.
In the examples we will calculate the expected rainflow matrix for differ-
ent models and use the damage as a measure of how good the results are. As
in Section 2.4, the damage from an observed load fXk g, for k = 0; 1; : : :; T , is
denoted D (Xk ). The expected damage due to a load fXk gTk=0 is D ( rfc GT ),
G
where rfc T is the expected rainflow matrix for fX gT
k k=0 . Throughout this
89
90 Chapter 6. Examples
chapter we will use, for MCTP and SMCTP models, the approximation
where N = T2 is the number of cycles in the load. The distribution of the dam-
age for a given load model will be approximated by its empirical distribution,
which is obtained through simulation of the given model. Quantiles will be
G
T )?D (Xk ))=D ( T ),
presented for the relative difference of damages (D ( rfc rfc
G
whose mean is positive for overestimation and negative for underestimation
of the expected damage D ( rfcGT ).
Model
SMCTP
Model
Approximate Q ; Q^ Compute
Grfc
for
Q ; Q^ P expected
1 1
with
switching 2 2 rainflow
SMCTP
process
Qr ; Q^r matrix
Figure 6.1: Flow chart for the computation of an approximation of the expected rainflow
matrix for a model of a switching process.
where cm is the intensity of local minima for the switching process fX ~k g and
(i; j ) is the rainflow counting intensity for the SMCTP, which can be com-
rfc
puted according to Theorem 4.2. Further, we also need to decide on the dis-
cretization, and choose the discrete levels u1 ; u2 ; : : : ; un . A denser grid gives
less discretization errors, but more computational work.
The transformation from the switching process to the switching Markov chain
of turning points involves a (nonlinear) time transformation. Therefore, the
P
regime process of the SMCTP, with transition matrix , is not the same as
P ~ k g.
the regime process, with transition matrix ~ , for the switching process fX
P
However, the transition matrix can be calculated approximately from ~ P
pii 1 ? 1 ?(pi~)ii ; (6.3)
2cm
p
~
pij ij(i) ; i 6= j (6.4)
2cm
i
where cm is the intensity of local minima for subprocess i, which can be calcu-
( )
lated through Eq. (6.6), or be obtained through simulation. Now we will give
some motivations for the approximations in Eqs. (6.3,6.4). The mean occupa-
tion time of state i in fZ~k g is ~i = 1=(1 ? p~ii ). The mean number of turning
(i)
points for a visit to state i in fZk g is approximately i 2cm ~i , and hence we
(i)
get Eq. (6.3) from i = 1=(1 ? pii ) 2cm =(1 ? p~ii ). Eq. (6.4) is obtained by
assuming that pij = ki p~ij , where ki is a constant that makes the conditional
probabilities of row i sum to one.
The intensity of local minima cm for the switching process fX ~ k g is given
by
cm = P(X~0 ? X~ 1 > 0; X~2 ? X~1 > 0): (6.5)
which seldom is possible to compute explicitly. Therefore, one often has to
rely on numerical approximations, e.g. numerical integration or the formula
presented below.
6.1. Rainflow Matrix for Switching Processes 93
(z )
obtained through some kind approximation. Note that cm is easier to com-
pute that cm . The intensity of local minima cm for the switching process is
approximately
X
r
cm ~z c(mz) (6.7)
z=1
where ~ = (~ ; ~ ; : : : ; ~r ) is the stationary distribution of the regime process
1 2
fZ~k g.
Approximating the Expected Rainflow Matrix
Now when all the inputs to the formula in Theorem 4.2 are known, an approx-
~ k g can be
imation of the expected rainflow matrix for the switching process fX
computed. This is illustrated in the following example.
is controlled by the regime process Z~k , which is a Markov chain with transition
P
matrix ~ , then the switching ARMA(p,q)-process is governed by the system
equation
X p X q
X~k = ?a(iZ~k ) X~ k?i + c(iZ~k ) (m(Z~k ) + (Z~k ) ek?i ) (6.9)
i=1 i=0
94 Chapter 6. Examples
where the innovation process ek 2 N (0; 1) is white noise. Now we shall use
the approximation strategy of Figure 6.1, to compute an approximation of the
expected rainflow matrix for the switching ARMA-process.
In this numerical example we have chosen a mixture of two ARMA(4,2)-
processes with the parameters presented in Table 6.1, also showing some statis-
tics:
m(X~z) = E[X~k j Z~k = z ], the conditional mean of X~k given Z~k = z ,
X(~z) = D[X~k j Z~k = z ], the conditional standard deviation of X~ k j Z~k = z ,
~z = P(Z~k = z ), the proportion of time spent in regime state z , and
~z = 1=(1 ? p~zz ), the mean length of a visit to regime state z .
0.8
0.6
0.4
0.2
X(k)
−0.2
−0.4
−0.6
−0.8
−1
2
Z(k)
1
0 200 400 600 800 1000 1200 1400 1600 1800 2000
time, k
Figure 6.2: A sample path of a switching ARMA(4,2)-process with 2 regime states and param-
eters as in Table 6.1. The upper graph shows the process X
~ k and the lower the regime process
Z~k .
Grfc
process observed for times k =; 0; 1; : : :; T is then approximately ~ T T ~ . Grfc
We have simulated a switching ARMA-process with T = 10 000, in order
Grfc
to compare with the calulations of ~ T . The expected rainflow matrix and
the upcrossing intensity are shown in Figure 6.3. The calculated rainflow ma-
Grfc
trix ~ T seems to agree well with the observed cycles in the simulated load.
The upcrossing intensity also agrees quite well with the observed upcrossing
spectrum.
The damage distribution has been approximated by the empirical distri-
bution obtained from 500 simulations of the true model of the load, i.e. the
switching ARMA-process with parameters as in Table 6.1. The relative dif-
Grfc Grfc
ferences (D ( ~ T ) ?D (Xk ))=D ( ~ T ) of the expected damage and the simu-
lated damages have been computed showing good agreement, see Figure 6.4a.
Figure 6.4b shows the relative differences of the damage, where the simulated
loads have been discretized by the levels u1 ; : : : ; un , and thus eliminating the
discretization effect in the comparison, also showing good agreement. We can
see that the discretization increases the damage, since all rainflow amplitudes
are larger than the corresponding ones in the original load, due to the choice
of discretization method 2.
When evaluating the results, we should keep in mind that in the calcula-
tions many approximations have been made: the calculation of the min-max
and max-min transition matrices; the calculation of the transition matrix P
96 Chapter 6. Examples
50 1
40
0.5
30
Max
20 Level curves at:
0
0.1
10 0.25
0.5
1
2.5
0 −0.5 5
10
25
1 50
−1 100
−0.5 250
0 0 −1
0.5
−1 1
1.5 −1 −0.5 0 0.5 1 1.5
min Max min
0.03 0.03
0.025 0.025
0.02 0.02
mu(u)
mu(u)
0.015 0.015
0.01 0.01
0.005 0.005
0 0
−1 −0.5 0 0.5 1 1.5 −1 −0.5 0 0.5 1
level, u level, u
load, T = 10 000. (c) Level upcrossing intensity, (u), compared with observed upcrossing
?
spectrum. (d) Level upcrossing intensity, (u) ( ), compared with the weighted individual
?
ones ( ), and the sum of the individual ones ( ). ??
6.2. Modelling of Measured Loads 97
for the regime process; approximation with a Markov chain of turning points;
discretizing the turning points to the levels u1 ; : : : ; un . Together with the fact
that a small error in the rainflow matrix can give rise to a large error in the
damage, especially for large , the results should be considered very good.
Note that the error made when discretizing the turning points is represented
by difference between Figure 6.4a and 6.4b. 2
(a) Damage (b) Damage
Quantiles: 0.1, 0.3, 0.5, 0.7, 0.9 Quantiles: 0.1, 0.3, 0.5, 0.7, 0.9
40 40
20 20
(D(G)−D(X)) / D(G) [Unit: %]
−20 −20
−40 −40
−60 −60
−80 −80
−100 −100
−120 −120
3 4 5 6 7 8 9 10 3 4 5 6 7 8 9 10
beta beta
Figure 6.4: Example 6.1: The graphs show the relative difference of damages ( D (G~ rfc
T )?
D (Xk ))=D (G~ T ); the median (?), the dashed lines (? ?) are the quantiles 0.1, 0.3, 0.7,
rfc
0.9, obtained from 500 simulations of the switching ARMA-model, (a) is for the measured load,
and (b) is for the discretized measured load.
Estimate
Model
SMCTP
Calc. Grfc
Measure- SMCTP Q ; Q^
Q ; Q^ P
1 1
ments
subprocesses 2 2
of a and
load regime process
Qr ; Q^r Sim. fXk g
Now assume that the subloads are time-reversible, which from Section 4.3.1
implies that their expected max-min matrices can be obtained from their re-
G G
spective expected min-max matrix through ^ = T . For each subload we
need to calculate the min-max and max-min transition matrices and ^ , re- Q Q
spectively. This can be done in the following three steps:
F
1. Calculation of min-max matrix . This is no problem if we have a measure-
F
ment of . If instead we have measured the rainflow matrix rfc , it can F
F
be inverted to find the min-max matrix , see Chapter 7. If the subloads
have been measured as time series it is straightforward to calculate the
F
min-max matrix (and max-min matrix ^ ). F
G
2. Estimate through smoothing. To obtain an estimate of the expected min-
G F
max matrix , the min-max matrix is smoothed using a 2-dimensional
kernel smoother, see Appendix D. (Here we can improve the estimates,
F
if the max-min matrix ^ is also used, by smoothing the sum F + F^T ,
instead of smoothing only .) F
3. Normalizing. The min-max and max-min transition matrices and ^ , Q Q
respectively, are obtained from the expected min-max and max-min ma-
tricesG G G
and ^ = T , respectively, by normalizing each row sum to
1.
For modelling loads that are not time-reversible the min-max transition
Q F
matrix is obtained from the min-max matrix , and the max-min transition
Q F
matrix ^ is obtained from the max-min matrix ^ . This can be done in the
same way as described above.
6.2. Modelling of Measured Loads 99
We also assume that we have knowledge about the regime process in some
form. The regime process normally represents the usage of a vehicle. Possible
sources of information could be some kind of a priori information, or mea-
surements of the usage. The a priori knowledge of the regime process can be
previous experience, or some kind of assumed usage of the vehicle. Then the
switching frequencies must be specified, which in turn gives the proportion
of the subloads.
Now assume that we have measurements of the number of cycles in each
regime state and the number of switches between the different regime states.
P
Then the Maximum Likelihood (ML) estimate of the transition matrix , P
see Appendix A.1, for the regime process is
pij = 2NNij ; i 6= j;
iX
pii = 1 ? pij (6.10)
j 6=i
where Nij is the number of switches from regime state i to state j and Ni is the
total number of cycles in regime state i (2Ni is the total number of extremes in
regime state i).
Ni =Ti where Ni is the total number of minima in state i and Ti is the total time
spent in state i. The intensity of local minima cm for the switching process can
then be calculated as in Eq. (6.7).
Theorem 4.2 can now be used to compute the expected rainflow matrix for
our estimated SMCTP model.
30
25
20
15
Load
10
−5
−10
0 1000 2000 3000 4000 5000 6000
time / s
Figure 6.6: A real load measured at the rear axle of a truck travelling between two locations,
loading and unloading gravel.
The load will be modelled by a switching process with two regime states.
Each subload will be modelled as a time-reversible Markov chain of turning
points. The two regime states represent the two duty cycles, unloaded (regime
1, low mean) and loaded (regime 2, high mean). In this example we can of
course calculate the rainflow matrix directly from data, but we will consider
the case when only the min-max matrices are measured and compare the re-
sults of the computations with the measured load.
Therefore, suppose that the min-max matrix for each duty cycle has been
measured separately and that we have knowledge about the switching fre-
quency, i.e. knowledge about the regime process. Then Theorem 4.2 can be
used to calculate the rainflow matrix for the mixture.
To see how this works, the above procedure was tried on the measured
load. First we did some pre-processing of the load signal so that small oscil-
lations, which either come from measurement noise, or are irrelevant to the
fatigue damage, were removed. This was done by using rainflow filtering,
and all rainflow cycles with range smaller than 0:5 were removed from the
load. This reduced the number of cycles from 114 981 to 27 349. By looking
at the time signal, we identified the two duty cycles in the load (ignoring the
parts when the truck stands still). For each subload (duty cycle) we calculated
the min-max and the max-min matrices, where we used n = 64 discretiza-
tion levels, ranging from u1 = ?10 to un = 35. (The discretization was made
according to method 2 on page 23.) The min-max and max-min transition
6.2. Modelling of Measured Loads 101
where
p12 = #fJumps2from
N1
1 to 2g
= 2N4 = 1:34 10?4; (6.12)
1
p21 = #fJumps from 2 to 1g 4
= 2N = 1:67 10?4: (6.13)
2N2 2
of damage is also presented for the measured load (*) and for the discretized
measured load (2). The observed damage agrees quite well with the calcu-
lated one, and agrees better when the measured load is discretized. In both
cases the expected damage is larger than the measured damages.
For the measured load in this example, the switching is quite regular, so
the Markov model for the switching is clearly not correct in this case. Al-
though, the estimated SMCTP model, based on Markov switching, still gives
acceptable results. 2
102 Chapter 6. Examples
Max
10 Level curves at:
0.05 0.1
0.25
5 1
2.5
5
0 0 10
25
50
30 100
20 −10 −5 250
0 500
10 10
0 20 −10
−10 30 −10 0 10 20 30
min Max min
1 0
−20
0.5
−40
0 −60
−10 0 10 20 30 3 4 5 6 7 8 9 10
level, u beta
Figure 6.7: Example 6.2. (a) 3D-plot of the expected rainflow matrix, Grfc . (b) Iso-lines
of the expected rainflow matrix, GrfcT , together with rainflow cycles found in the load. (c)
Level upcrossing intensity, (u), compared with observed upcrossing spectrum. (d) Relative
difference of damages, ( (Grfc
T ) D
(Xk ))= (Grfc ?D D
T ); the mean ( ), the median ( ), the ? ?
dashed lines ( ??
) are the quantiles 0.1, 0.3, 0.7, 0.9, obtained from 200 simulations of the
estimated SMCTP model, the *-line is the measured load, and the 2-line is the discretized
measured load.
6.2. Modelling of Measured Loads 103
0.8
0.6
0.4
0.2
Load
−0.2
−0.4
−0.6
−0.8
−1
0 50 100 150 200 250 300 350 400
time / s
Figure 6.8: A measured truck load consisting of curves and straight parts. Rainflow cycles
with range smaller than the discretization step, 0:0429, have been removed.
149 cycles from straights, and N2 = 247 cycles from curves. The P -matrix for
the regime process was obtained through ML-estimation
P = 1 ?pp 1 ?p p
12 12
(6.14)
21 21
where
p12 = #fJumps2from
N1
1 to 2g
= 4 = 0:0134;
2N1 (6.15)
From the estimated SMCTP model we have calculated the expected rain-
flow matrix which is shown in Figures 6.9a,b. The notation is the same as in
Example 6.2. In Figure 6.9b one can see that the agreement with the observed
cycles in the load is good. The upcrossing intensity is presented in Figure 6.9c
also showing quite good agreement.
The empirical distribution of the damage was obtained through 500 sim-
ulations of the estimated SMCTP model. In Figure 6.9d empirical quantiles
G
for the relative difference of damages (D ( rfc G
T ) ?D (Xk ))=D ( T ) is shown
rfc
together with the relative difference of damage for the measured load (*), and
for the discretized measured load (2). The expected damage from the esti-
mated SMCTP model is larger than the damage in the original load signal,
with better agreement for smaller values of . However, the agreement is still
quite good. Note also that the difference in damage between the load signal
and the discretized load signal is very small; compare *-line with 2-line in
Figure 6.9d. The reason for this is that in this example the values of the load
were discretized to the closest discrete level. In Examples 6.1 and 6.2 a mini-
mum was discretized to a lower level and a maximum to a higher level, giving
some difference between the damages, see Figures 6.4a,b and 6.7.
We conclude that Examples 6.2 and 6.3 have shown that it is possible to
accurately model measured switching loads with SMCTP models. 2
6.2. Modelling of Measured Loads 105
0.015
0.5
0.01
Max
0 Level curves at:
0.005 0.01
0.1
0.25
0.5
0 −0.5 1
2.5
5
10
1
−1
0 0 −1
−1 1 −1 −0.5 0 0.5 1 1.5
min Max min
0.2 40
0.15 20
mu(u)
0.1 0
0.05 −20
0 −40
−1 −0.5 0 0.5 1 1.5 3 4 5 6 7 8 9 10
level, u beta
Figure 6.9: Example 6.3. (a) 3D-plot of the expected rainflow matrix, Grfc . (b) Iso-lines
of the expected rainflow matrix, GrfcT , together with rainflow cycles found in the load. (c)
Level upcrossing intensity, (u), compared with observed upcrossing spectrum. (d) Relative
difference of damages, ( (Grfc
T) D ?D
(Xk ))= (Grfc D
T ); the mean ( ), the median ( ), the ? ?
dashed lines ( ??
) are the quantiles 0.1, 0.3, 0.7, 0.9, obtained from 500 simulations of the
estimated SMCTP model, the *-line is the measured load, and the 2-line is the discretized
measured load.
106 Chapter 6. Examples
0.5
Original Load
−0.5
−1
86 87 88 89 90 91 92 93 94 95
time / s
1
Discretized Load
0.5
−0.5
−1
86 87 88 89 90 91 92 93 94 95
time / s
Figure 6.10: Above: Part of a measured load from a truck driving on a road with potholes.
Below: The discretized load, where all rainflow cycles with range less than the discretization
step 0:0317 have been removed. (The dots indicate the local minima and maxima.)
F
in Figure 6.10. The min-max matrix and the max-min matrix ^ have been F
obtained from the discretized time signal. These have then been smoothed
G G
to obtain estimates of the expected ones, and ^ , respectively, that through
Q Q
normalization gives and ^ for the estimated MCTP model.
From the estimated MCTP model we have computed the expected asym-
metric rainflow matrix, and compared it with the observed cycles in the load,
see Figure 6.11, which shows good agreement. From Figure 6.11 one can
see that there are some differences between the intensities of hanging and
standing cycles. This confirms that the load should be modelled by a time-
irreversible MCTP. 2
−1
Standing
−0.5
From
0.5
Hanging
1
−1 −0.5 0 0.5 1
To
Figure 6.11: Example 6.4. Iso-lines of the expected asymmetric rainflow matrix, Grfc , together
with the rainflow cycles found in the load.
108 Chapter 6. Examples
Chapter 7
Inversion of a Rainflow
Matrix
109
110 Chapter 7. Inversion of a Rainflow Matrix
tensity of interval crossings is correct, and hence also the intensity of level
crossings will be correct.
rfc
ij = ij + ij
mM
(7.1)
with
ij =
mM ~ d; and ij = ~ C A^(I ? AA^)?1 e (7.2)
where mMij is the min-max counting intensity and ij is the correction fac-
tor to get the rainflow counting intensity rfc ij . Now by using the matrix op-
erator r?1 , see Eq. (2.16), together with notation rfc = (rfc ij )i;j =1 ,
n mM
=
(ij )i;j=1 , and = (ij )i;j=1 , we get
mM n n
valued function of G. Hence, we can use a fixed point algorithm for solving
the rainflow inversion, given an expected rainflow matrix
Gn = F(Gn) ? Grfc:
+1 (7.4)
The system above can also be solved element by element, by starting with the
smallest transitions and then solving for successively larger and larger transi-
tions (in the order as will be described in the forthcoming). Rychlik has also
derived an explicit algorithm for the rainflow inversion, i.e. an explicit algo-
rithm for solving Eq. (7.3). The elements in the min-max matrix are traversed
with successively larger transitions, and for each element a quadratic equation
has to be solved.
Here, we will give an explicit algorithm for rainflow inversion of an ex-
pected asymmetric rainflow matrix, giving a stationary MCTP, where there
are no limitation on time-reversibility.
112 Chapter 7. Inversion of a Rainflow Matrix
What we now shall find is the inverse of the function F , and hence we shall
G G
calculate and ^ from arfc G
(G; G^ ) = F ?1 (Garfc ): (7.6)
We will use the fact that (gij ; gji ) only depend on (gij ; g^ji ), and smaller
arfc arfc
transitions in the interval [i; j ], see Section 5.6. Hence, we can start the inver-
sion for the smallest transitions, and then invert for successively larger and
larger transitions.
Consider the first subdiagonals with j ? i = 1, where we for each (i; j )
can compute (gij ; g^ji ) from (gij ; gji ). Once we have solved this, we know
arfc arfc
all smaller transitions in the intervals with distance j ? i = 2. Hence, for the
second subdiagonals with j ? i = 2, we can for each (i; j ) compute (gij ; g^ji )
from (gij ; gji ) and the smaller transitions (gi;i+1 ; gj?1;j ; g^j;j?1 ; g^i+1;i ), which
arfc arfc
we know. We can continue this procedure for the third subdiagonals with
j ? i = 3, and so on for the other subdiagonals, until we have computed all
G
the elements of and ^ . G
Now we turn to the details on how to calculate gij and g^ji from (gij ; gji )
arfc arfc
and smaller transitions in the interval [i; j ]. For fixed levels i and j , denote
x = gij , y = g^ji , PS = gijarfc , and PH = gjiarfc . From Theorem 5.1 and Eq. (5.60)
we get, after some trivial calculations, that
PS = pp1 ((x; y)
x; y) and PH = pp3 ((x; y)
x; y) (7.7)
2 4
a + a x + a y + a xy = 0
=) 0 1 2 3
b0 + b1 x + b2 y + b3 xy = 0 (7.9)
2 z 2 + 1 z + 0 = 0 (7.11)
with
0 = a0 b1 ? a1 b0
1 = a0 b3 ? a1 b2 + a2 b1 ? a3 b0
2 = a2 b3 ? a3 b2 :
Empirically we have found that one should choose the solution corresponding
to the smallest value of the two roots z1 and z2 . If one chooses the largest
P P
root, then it may result in that the equations for the higher subdiagonals give
contradicting results, that lead to gij > 1 and g^ij > 1. This is clearly
impossible, since we know that the probabilities shall sum to one. We have no
proof showing that one should consequently choose the smallest of the two
roots z1 and z2 , but for the examples we tried it worked good. In the examples
we specified a MCTP model, and calculated its expected asymmetric rainflow
matrix, which was then the input to the inversion, which gave the specified
MCTP model back as result.
for k = 1; : : : ; n ? 1 do
for i = 1; : : : ; n ? k do
Set j = i + k.
Calculate the coefficients a , a , a , a , b , b , b , and b , see Appendix 7.3.
0 1 2 3 0 1 2 3
Calculate the roots z and z from Eq. (7.11).
1 2
Choose the solution, z = min(z ; z ). 1 2
Calculate x = ?(b + b z )=(b + b z ) and y = z , according to Eq. (7.10).
0 2 1 3
Set gij = x and g^ji = y.
end
end
7.2 Example
Example 7.1 (Time-irreversible load)
In this example we will use the rainflow inversion algorithm for reconstruc-
tion of the load from its asymmetric rainflow matrix. The measurement comes
from a truck driving over potholes, giving a time signal like the one in Exam-
ple 6.4, see Figure 6.10.
The observed asymmetric rainflow matrix, arfc , which has been obtained F
through rainflow counting of the discretized measured load, is shown in Fig-
ure 7.1a. The average asymmetric rainflow matrix arfc , which is an estimate G
of the expected asymmetric rainflow matrix, has been obtained by using ker-
nel smoothing, see Figure 7.1b.
G
This average asymmetric rainflow matrix arfc was the input to the rain-
flow inversion algorithm, which gave an estimated MCTP model for the mea-
sured load. From this estimated MCTP model we have simulated load se-
quences. The discretized turning points of the original load, and two random
reconstructions are shown in Figure 7.2. One can see that the original load
sequence has a more systematic behaviour due to the consecuative measure-
ments of hitting a pothole, e.g. one of the pothole measurements starts at time
80 and ends at time 120. Exactly this kind of systematic behaviour is not ob-
served in the reconstructed load sequences. In addition, the smoothing may
add some cycles that were not observed in the original load sequence.
7.2. Example 115
(a) Expected Rainflow matrix, Garfc (b) Expected Rainflow matrix, Garfc
5 5
−1 −1
4.5 4.5
4 4
−0.5 −0.5
3.5 3.5
3 3
From
From
0 2.5 0 2.5
2 2
1.5 1.5
0.5 0.5
1 1
0.5 0.5
1 0 1 0
−1 −0.5 0 0.5 1 −1 −0.5 0 0.5 1
To To
Figure 7.1: Example 7.1. (a) The observed asymmetric rainflow matrix, F arfc . (b) The average
asymmetric rainflow matrix, an estimate of the expected asymmetric rainflow matrix Garfc .
Original Load
0
−1
0 20 40 60 80 100 120 140 160 180 200
1
Gen. Load
−1
0 20 40 60 80 100 120 140 160 180 200
1
Gen. Load
−1
0 20 40 60 80 100 120 140 160 180 200
time / s
Figure 7.2: Example 7.1. The upper graph is a part of the measured load from a truck driving
on a road with potholes. The two lower graphs show two random reconstructions of the load,
which have been generated from the observed asymmetric rainflow matrix through rainflow
inversion.
7.3. Appendix: Coefficients 117
Decomposition of a Mixed
Rainflow Matrix
When a vehicle, for example a car or a truck, is in operation, the intensity of the
fatigue damage is fluctuating due to variable loading conditions. The loading
conditions depend on the type of road, e.g. highway, city, or mountain roads.
Also manoeuvres by the driver, like turning, braking, accelerating, and so on,
drastically change the loading conditions. A vehicle may also have different
dynamics when it is loaded and unloaded, especially trucks, as their static
load often vary much. For some periods of time the loads vary in a stationary
manner. Thus we can define a number of different stationary load types that
have their own characteristic rainflow matrices. The stationary periods can be
shorter or longer, but sooner or later there will be a change to another load
type. Therefore a switching load seems to be an appropriate model.
When collecting a load history, in the form of a rainflow matrix, all the
cycles of the switching load are stored in one mixed rainflow matrix. Hence,
there is a need to interpret the mixed rainflow matrix, and e.g. tell how much
of the different load types the vehicle has experienced.
We assume that the load can be accurately modelled as a SMCTP. In this
chapter we present methods for decomposition of a mixed rainflow matrix, i.e.
methods for estimation of a SMCTP model given a measurement of a mixed
rainflow matrix. Hence, the task is to estimate the characteristics of the differ-
ent subloads as well as the characteristics of the switching between the differ-
ent subloads. The fact that we are able to calculate the mixed expected rain-
119
120 Chapter 8. Decomposition of a Mixed Rainflow Matrix
flow matrix for a SMCTP model makes this estimation possible. The principle
of the decomposition is to find the best fit between the measured rainflow
matrix and the theoretically computed one, i.e. the expected rainflow matrix.
One problem is to decide what to mean by “best fit”. The maximum likeli-
hood (ML) method is often the best method and finds the model that is the
most probable one. We will propose an approximate ML estimator. There is
also the possibility to minimize the distance between the measured and the
theoretical rainflow matrix. We will propose three such distances, namely the
chi-square, the Hellinger, and the Kullback-Leibler distances.
By including side-information in the decomposition, the accuracy of the
estimates can be improved. In Section 8.5 it is discussed how to define the
side-information and how to include it in the decomposition procedure.
Examples are given for the cases when the models for the subloads are
known, when they are linear transformations of known ones, and also when
the models for the subloads are simple parametric models. In Example 8.1 a
measured truck load is analyzed.
Q ;:::;Q r
(1) ( )
and Q^ ; : : : ; Q^ r
(1) ( )
P
respectively, and the transition matrix for the regime process. For simplicity
of notation, all the parameters are collected in
= (P ; Q) ; Q = ( Q ; : : : ; Qr ) ;
1 Qz = Q z ; Q^ z ;
( ) ( )
(8.1)
Q
where z contains the parameters for the subprocess z .
Obviously, one would like to estimate the whole model, i.e. all parameters
in . However, this is not possible, since the number of parameters in the
SMCTP model is larger than the number of observations, i.e. the number of
elements in the rainflow matrix. Therefore, one needs to impose some addi-
tional structure on the model in order to get fewer parameters to estimate. The
parameter vector will be denoted = (1 ; : : : ; n ). We will assume that the
parameters for the SMCTP model can be calculated from , i.e. = ( ). h
The task is now to find estimates of the parameters in the vector .
8.1. Model and Estimation 121
Sometimes the transition matrices of the subprocesses are known (or can
Q
be considered known) and thus the parameters of are given. Hence, in this
P
case, only the transition matrix needs to be estimated. For a SMCTP with
two regime states we have a model with the parameters
1?p p1
P= p2
1
1 ? p2 ; Q ; Q ; Q ; Q
(1) ^ (1) (2) ^ (2)
and when the models of the subloads are known, then only the parameters
h
= (p1 ; p2 ) need to be estimated. The function ( ) contains the a priori
knowledge of Q (1)
; Q^ (1) ; Q(2) ; Q^ (2) . One such case is when the measured rain-
flow matrix is believed to be a mixture of known standard rainflow matrices,
which could e.g. reflect different parts of a testing track. The goal is then to
find the proportion and the switching frequency of the different subprocesses.
All this information is contained in the matrix. P
Another setup is to model the subprocesses by using well-established mod-
els like ARMA-processes or harmonic oscillators, and then approximate each
subprocess by a MCTP model. Hence, we have for each subprocess z the pa-
rameter vector z , and we want to estimate some or all of the parameters of
P
1 ; : : : ; r and .
One can consider measurements of different types
2. A rainflow matrix.
z
process, = (z0 ; : : : ; zN ?1 ), i.e. an observation of the process fZk g, would be
a complete observation of one sample of the switching process. However, the
regime process can not be observed. A feasible way to treat problems with
unobserved data is using the EM-algorithm, which is an iterative method for
finding the maximum likelihood estimate, where each iteration consists of two
steps, the E-step and the M-step. See Dempster et al. [16] or McLachlan & Kr-
ishnan [60] for a description of the EM-algorithm, Baum et al. [5], and Lind-
gren [53] for Markov chain mixtures, and Titterington et al. [100] for a general
treatment of mixture distributions. In the framework of the EM-algorithm,
x xz
is the incomplete data and ( ; ) is the complete data. The EM-algorithm
works as follows
We start by summarizing the notation. Suppose that for the switching pro-
cess, we have an observation of the rainflow matrix, which will be denoted by
F (for simplicity of notation we have dropped the superscript rfc )
X
F = (fij )ni;j ;
=1
N= fij (8.2)
i;j
containing N observed rainflow cycles. The element fij thus denotes the num-
ber of rainflow cycles with minimum i and maximum j .
Further, denote by
the expected rainflow matrix (assuming the limit to exist). For a given model
described by we can calculate the expected rainflow matrix, as described in
Chapter 4, and we have
Chi-square Distance
Hellinger Distance
Kullback-Leibler Distance
G
Lemma 8.1 Let true = gij
?
true
n
i;j =1 be the expected rainflow matrix for the true
model. Suppose that, in the class of models described by , there exists a model with
G
expected rainflow matrix true , so that
1 a:s: true
N fij ?! gij ; N ! 1: (8.12)
Proof: The AML estimate is given by the value that maximizes Eq. (8.11).
Denote
X1
aN (G()) = N fij log gij (); G(N ) = arg max aN (G())
X
ij G()
a(G()) = gij log gij ();
true
G( ) = arg max a(G()):
ij G()
Obviously, the value of the expected rainflow matrix G( ) that maximizes
aN (G()) is by definition G(N ) = (gij;N
)n . The value of G() that maxi-
i;j =1
mizes a(G( )) is the true rainflow matrix Gtrue , i.e. G( ) = Gtrue , which can
P g = 1. Further, as a consequence of Eq. (8.12),
be shown by using the method of Lagrange multipliers with the constraint
ij
a:s: a(G( ))
aN (G()) ?! as N !1
126 Chapter 8. Decomposition of a Mixed Rainflow Matrix
for every . To conclude the proof we need to prove that gij ( N ) a:s:
! gij ( ).
Under our assumptions we have
Model Specification
We will consider a SMCTP model with two regime states. The model is param-
etrized by the transition matrix P
and the min-max and max-min transition
matrices Q Q Q Q
, ^ ,
(1) (1)
, ^ for the two subloads. The transition matrix
(2) (2)
P
for the regime process has the form
1?p p1
P= p2
1
1 ? p2 (8.14)
8.3. Examples with Two Subloads 127
and thus contains only two parameters p1 and p2 . We will propose a paramet-
ric model for the min-max matrices which will serve as templates for the tran-
Q Qz
sition matrices (z) and ^ for each regime z . By assuming time-reversibil-
( )
ity of the subloads, both the min-max and max-min transition matrices can be
obtained from the min-max template matrix, see Section 4.3.1 on time-reversi-
bility.
For each subload z the min-max matrix will be specified using a parametric
model with parameters x1z ; x2z ; sz > 0; z > 0, with z = 1; 2 indicating which
subload is considered. The min-max matrices have contour lines of the form
of ellipsoids, see Figure 8.1 for examples, given by the normal density function
of the form
K exp ?? (x ? x )S ? (x ? x )T ;
1 1
if i < j
fij = 2 z z 0 z 0
(8.15)
0; otherwise
with +1 ?1
Sz = s22z
2 2
z z ;
? 1 z? + 1
x = ui uj ; x z = x z x z
? 2 2
z (8.16)
0 1 2
max
max
max
0 0 0
Level curves at: Level curves at: Level curves at:
−1 −1 −1
−1 −0.5 0 0.5 1 −1 −0.5 0 0.5 1 −1 −0.5 0 0.5 1
min min min
Figure 8.1: Examples of templates of min-max matrices, with parameters (a) x0z =
(?0:2 0:2), sz = 0:2, z = 1, (b) x z = (0:2 0:4), sz = 0:2, z = 0:5, (c) 0
x z = (?0:2 ? 0:2), sz = 0:15, z = 2. The plus (+) marks the point x z in the min-max
0 0
plane.
letter A/B and a number 1/2/3, e.g. model B1 means submodels B and regime
model 1.
Model A Model B
z x1z x2z sz z x1z x2z sz z
1 -0.3 -0.2 0.10 1.0 0.0 0.0 0.12 2.0
2 0.2 0.3 0.10 1.0 -0.1 0.1 0.18 0.5
Three Scenarios
We will use three ways of specifying the parameter vector , that we want
to estimate, depending on how much knowledge we have on the min-max
matrices.
Regime model p1 p2 1 2
1 0.100 0.0500 1/3 2/3
2 0.010 0.0050 1/3 2/3
3 0.001 0.0005 1/3 2/3
Table 8.2: Parameters p1 and p2 of the regime models, together with the stationary distribution
= (1 ; 2 ) of the models.
model.
= (p ; p )
1 2
2. Here the min-max matrix for each subload z is specified, but we al-
low a translation m ~ z and a scaling s~z , which are used as parameters
for the subloads. The translation m ~ z corresponds to a change of the
mean level and the scaling s~z corresponds to a change in the variance for
~ (z)(t) + m~ z ,
the subload, i.e. a transformation of the form X (z) (t) = s~z X
where X ~ (t) is the process according to the specified min-max matrix.
(z )
3. Here we will use, for each subload, the parametric model described by
Eq. (8.15,8.16) with four parameters. In total this gives ten parameters to
estimate,
= (p1 ; p2 ; x11 ; x21 ; s1 ; 1 ; x12 ; x22 ; s2 ; 2 ).
If the regime process fZk g itself is observed, then one has as much information
about the switching that one can possibly get. The ML estimates of p1 and p2
z
can easily be obtained from the observed regime process, = fzk gTk=0 , see
Appendix A.1. This estimator will be denoted ML-z, and will serve as our
reference estimator, as no other estimator can perform better than ML-z, by
means of bias and variance. We will be happy if the performance of some
other method is almost as good as ML-z.
First we will have a quick look at the functions we want to maximize (or min-
imize), see Figure 8.2 for the AML estimator for models A1 and B1. All func-
tions have the same kind of shape with ellipse-like contour lines. The fact that
the ellipses are oriented along the line from origin through the point (p1 ; p2 ),
indicates that the estimates of p1 and p2 will have a positive correlation. This,
in turn, implies that the quotient q = p2 =p1 can be estimated more accurately
than p1 and p2 themselves. Now the stationary distribution = (1 ; 2 ) (note
that of the 1 + 2 = 1) of the regime process is given by
= P = (
P = 1: = p2 =p1 1 = p p+p = 1+q q
2
) 1 2
1 + 2 = 1 ) 2 = p p+p = 1+1 q
1 2
i i
1
1 2
and only depend on the quotient q = p2 =p1 . Therefore the stationary distribu-
tion can be estimated more accurately than p1 and p2 individually.
Simulation Scheme
0.1 0.1
2
2
p
p
0.05 0.05
0 0
0 0.05 0.1 0.15 0.2 0.25 0.3 0 0.05 0.1 0.15 0.2 0.25 0.3
p1 p1
Figure 8.2: Plots of the functions we want to maximize, the log-likelihood function,
log L(p1 ; p2 ).
The star (?) is the true parameter values (p1 ; p2 ) = (0:1; 0:05), and the plus
(+) is the estimated parameter values. The dashed line is a straight line from the origin through
the point marked (+). (a) Model A1. (b) Model B1.
We have chosen to investigate the behaviour of the estimators for two dif-
ferent lengths of the simulated process, namely Tsim = 104 and Tsim = 105
number of turning points. From the true model we simulate a load sequence
which gives an observed rainflow matrix. This observation of the rainflow
matrix is the input to the decomposition. Four methods for estimation will be
used: 1) AML (approximate maximum likelihood); 2) 2 (chi-square distance);
3) HD (Hellinger distance); and 4) KL (Kullback-Leibler distance).
Further, by method 5 we will mean ML-z, which is the ML estimator based
on an observation of the regime process. This will serve as our reference esti-
mator, as no other estimator can perform better than ML-z, by means of bias
and variance. We will be happy if some other method 1-4 is almost as good as
ML-z.
i , are
Bias = E[i ? i ] = E[i ] ? i
V ar = V[i ]
q
Std = D[i ] = V[i ]
q p
RMS = E[(i ? i )2 ] = Bias2 + V ar
where i is the true value. For each estimator the mean, the standard devia-
tion, and the RMS has been estimated by using
XM
Meani = M1 i;k
v k=1
u
u X M
Stdi = t M1 (i;k
? Meani )2
k=1
4 4 5 5
A1) p , T = 10 A1) p , T = 10 A1) p , T = 10 A1) p , T = 10
1 sim 2 sim 1 sim 2 sim
0.105 0.052 0.102 0.051
0.051 0.101
0.0505
0.1 0.05 0.1
0.05
0.049 0.099
6 5.2
0.01 0.01
5 5
7
0.02
0.05 1 6
0.01
5
0 0 0.5 4
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 5
B1) p , T = 10 B1) p , T = 10 B1) p , T = 10 B1) p , T = 10
1 sim 2 sim 1 sim 2 sim
0.2 0.1 0.12 0.06
0.15
0.1 0.05
0.1 0.05
0.08 0.04
0.05
0 0 0.06 0.03
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
B2) p , T = 104 B2) p , T = 104 B2) p , T = 105 B2) p , T = 105
1 sim 2 sim 1 sim 2 sim
0.1 0.04 0.02 0.01
0.03 0.015
0.01 0.005
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 −3 5
B3) p , T = 10 B3) p , T = 10 B3) p , T = 10 xB3)
10 p2 , Tsim = 10
1 sim 2 sim 1 sim
0.1 0.03 0.01 4
3
0.02
0.05 0.005 2
0.01
1
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
Figure 8.3: Models A1-B3. Estimated means, with 90 % confidence intervals, for the estimates
of the parameters p1 and p2 . The dashed lines are the true values, the stars are the estimated
mean values, and the error bars are the 90 % confidence intervals. Note that in the first two
columns Tsim = 104 and in the last two Tsim = 105 . The numbers on the x-axis indicate the
estimation method: 1=AML, 2=2 , 3=HD, 4=KL, 5=ML-z.
134 Chapter 8. Decomposition of a Mixed Rainflow Matrix
4 4 −3 5 −3 5
A1) p , T = 10 A1) p , T = 10 xA1)
10 p1 , Tsim = 10 xA1)
10 p2 , Tsim = 10
1 sim 2 sim
0.015 0.01 4 3
3 bias
0.01 2 std
0.005 2 rms
0.005 1
1
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
−3 4 −3 4 −3 5 −4 5
xA2)
10 p1 , Tsim = 10 xA2)
10 p2 , Tsim = 10 xA2)
10 p1 , Tsim = 10 xA2)
10 p2 , Tsim = 10
6 3 1 6
4 2 4
0.5
2 1 2
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 −4 5 −4 5
A3) p1 , Tsim = 10 A3) p2 , Tsim = 10 xA3)
10 p1 , Tsim = 10 xA3)
10 p2 , Tsim = 10
0.2 0.03 6 3
0.15
0.02 4 2
0.1
0.01 2 1
0.05
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 5
B1) p , T = 10 B1) p , T = 10 B1) p , T = 10 B1) p , T = 10
1 sim 2 sim 1 sim 2 sim
0.1 0.1 0.06 0.03
bias
0.04 0.02 std
0.05 0.05 rms
0.02 0.01
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
B2) p , T = 104 B2) p , T = 104 B2) p , T = 105 xB2)
−3
10 p2 , Tsim = 10
5
1 sim 2 sim 1 sim
0.1 0.1 0.01 6
4
0.05 0.05 0.005
2
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 −3 5
B3) p , T = 10 B3) p , T = 10 B3) p , T = 10 xB3)
10 p2 , Tsim = 10
1 sim 2 sim 1 sim
0.2 0.06 0.01 4
0.15 3
0.04
0.1 0.005 2
0.02
0.05 1
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
Figure 8.4: Models A1-B3. Estimated Bias, Std and RMS for the estimates of the param-
eters p1 and p2 . In the first two columns Tsim = 104 and in the last two Tsim = 105 . The
numbers on the x-axis indicate the estimation method: 1=AML, 2=2 , 3=HD, 4=KL, 5=ML-z.
8.3. Examples with Two Subloads 135
4 5 4 5
A1) ρ , T = 10 A1) ρ , T = 10 B1) ρ , T = 10 B1) ρ , T = 10
1 sim 1 sim 1 sim 1 sim
0.34 0.336 0.38 0.36
0.335 0.335
0.36 0.35
0.33 0.334
0.34 0.34
0.325 0.333
0.45
0.36 0.34 0.34
0.4
0.34 0.33 0.33
0.35
bias
0.04 0.04 std
0.005 0.05 rms
0.02 0.02
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
A2) ρ , T = 104 A2) ρ , T = 105 B2) ρ , T = 104 B2) ρ , T = 105
1 sim 1 sim 1 sim 1 sim
0.1 0.02 0.2 0.04
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 5 4 5
A3) ρ , T = 10 A3) ρ , T = 10 B3) ρ , T = 10 B3) ρ , T = 10
1 sim 1 sim 1 sim 1 sim
0.2 0.06 0.2 0.1
0.15 0.15
0.04
0.1 0.1 0.05
0.02
0.05 0.05
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
Figure 8.5: Models A1-B3. Upper graphs: Estimated means, with 90 % confidence intervals,
for the estimates of the stationary distribution 1 . The dashed lines are the true values, the stars
are the estimated means, and the error bars are the 90 % confidence intervals. Lower graphs:
Estimated Bias, Std and RMS for the estimates of 1 . The numbers on the x-axis indicate
the estimation method: 1=AML, 2=2 , 3=HD, 4=KL, 5=ML-z.
136 Chapter 8. Decomposition of a Mixed Rainflow Matrix
4 4 5 5
A1) T = 10 , β = 3 A1) T = 10 , β = 6 A1) T = 10 , β = 3 A1) T = 10 , β = 6
sim sim sim sim
1.02 1.02 1.005 1.005
1.01 1.01
1 1 1 1
0.99 0.99
1.05 1.1
1.01
1 1 1
1
0.95 0.9
1.01
2 1.1
5 1
1 1
0.99
0 0 0.98 0.9
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
1.01 1.01
1 1 1 1
0.99 0.99
1.01
1
1 1 1
0.995
0.99
1.05
1.02 1.01
1 1
1 1
0.95
Figure 8.6: Models A1-B3. Estimated means, with 90 % confidence intervals, for the expected
damages of the estimated models, = 3 and = 6. The dashed lines are the true values, the
stars are the estimated mean values, and the error bars are the 90 % confidence intervals. Note
that in the first two columns Tsim = 104 and in the last two Tsim = 105 . The numbers on the
x-axis indicate the estimation method: 1=AML, 2=2 , 3=HD, 4=KL, 5=ML-z.
8.3. Examples with Two Subloads 137
4 4 5 5
A1) T = 10 , β = 3 A1) T = 10 , β = 6 A1) T = 10 , β = 3 A1) T = 10 , β = 6
sim sim sim sim
0.1 0.1 0.02 0.02
bias
0.015 0.015
std
0.05 0.05 0.01 0.01
rms
0.005 0.005
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
A2) T = 104, β = 3 A2) T = 104, β = 6 A2) T = 105, β = 3 A2) T = 105, β = 6
sim sim sim sim
0.1 0.4 0.02 0.06
0.3 0.015
0.04
0.05 0.2 0.01
0.02
0.1 0.005
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 5
A3) Tsim = 10 , β = 3 A3) Tsim = 10 , β = 6 A3) Tsim = 10 , β = 3 A3) Tsim = 10 , β = 6
1.5 6 0.02 0.2
0.015 0.15
1 4
0.01 0.1
0.5 2
0.005 0.05
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 5
B1) Tsim = 10 , β = 3 B1) Tsim = 10 , β = 6 B1) Tsim = 10 , β = 3 B1) Tsim = 10 , β = 6
0.1 0.03 0.06 0.02
0.015 bias
0.02 0.04 std
0.05 0.01 rms
0.01 0.02
0.005
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
B2) T = 104, β = 3 B2) T = 104, β = 6 B2) T = 105, β = 3 B2) T = 105, β = 6
sim sim sim sim
0.1 0.04 0.03 0.015
0.03
0.02 0.01
0.05 0.02
0.01 0.005
0.01
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
4 4 5 5
B3) Tsim = 10 , β = 3 B3) Tsim = 10 , β = 6 B3) Tsim = 10 , β = 3 B3) Tsim = 10 , β = 6
0.2 0.06 0.1 0.03
0.15
0.04 0.02
0.1 0.05
0.02 0.01
0.05
0 0 0 0
1 2 3 4 5 1 2 3 4 5 1 2 3 4 5 1 2 3 4 5
Figure 8.7: Models A1-B3. Estimated Bias, Std and RMS for the expected damages of
the estimated models with damage exponent, = 3 and = 6. In the first two columns
Tsim = 104 and in the last two Tsim = 105 . The numbers on the x-axis indicate the estimation
method: 1=AML, 2=2 , 3=HD, 4=KL, 5=ML-z. Models B1–B3.
138 Chapter 8. Decomposition of a Mixed Rainflow Matrix
Concluding Comments
These empirical studies strongly indicates that the AML estimator has supe-
rior performance compared to the other three estimators (KL, HD, and 2 ),
and that the 2 -estimator shows poor performance.
8.3. Examples with Two Subloads 139
Even though the estimates of the parameters in the regime process may be
biased, its stationary distribution shows no bias. The reason for this is (for the
case of two regime states) that the estimates of p1 and p2 have a strong positive
correlation.
The decomposition becomes more accurate when the two subloads have
separated mean levels, compared to when they have similar mean levels. How-
ever, in the latter case, it is maybe not of as much importance do the decom-
position, as in the former case.
damage seems to be about the same. Hence, for this model A2, one does not
seem to lose very much, in terms of more uncertainty in the expected dam-
age, when one includes more parameters to be estimated. For all scenarios 1-3
P
the estimated -matrix for the regime process showed almost identical dis-
tributions. The conclusion is that, in this case, if one also has to estimate the
parameters of the subloads, one still obtains the same quality of the estimates
for the regime process.
1.15
1.1
true
Relative damage: D / D
1.05
k
0.95
0.9
0 5 10 15 20 25 30 35 40 45 50
Case / Damage exponent, β
Figure 8.8: Model A2. Relative damage, Dk =Dtrue , as function of the damage exponent
3 for simulated loads, for scenarios 1-3, and from the regime process. Dtrue is
8,
the expected damage for the true model A2. Dk is a damage from simulation number k. For
’Sim’, Dk is the observed damage in the simulated load sequence. For scenarios 1-3, Dk is the
expected damage of the estimated SMCTP model. For ’from-z’, Dk is the expected damage of
the estimated SMCTP model, with true models for the subloads, and the P -matrix estimated
from an observation of the regime process.
P
The result of the estimated -matrix is shown in Table 8.5. We can observe
that even though the estimates of the parameters differs, the estimates of the
stationary distribution is almost the same.
Table 8.5: Estimates of the parameters p1 and p2 of the transition matrix for the regime process,
which also gives estimates of its stationary distribution (1 ; 2 ) . The estimation methods are
from the observed switching frequencies (ML-z), and decomposition from scenarios 1 and 3.
For each estimated SMCTP model we have computed its expected damage
(as function of the damage exponent ), with results shown in Figure 8.9. We
can observe that, in terms of the damage, the estimate from scenario 1 is as
good as the estimate from the observed switching frequency. For scenario 3,
the result for the expected damage is acceptable with better agreement for
small values of the damage exponent . 2
142 Chapter 8. Decomposition of a Mixed Rainflow Matrix
50 Calc
Case 1
Case 3
40
20
10
−10
3 4 5 6 7 8
Damage exponent, β
Load signal
i
min, mark=0
1
Side-information
0
Figure 8.10: The principle of how to connect the side-information to the load signal when
making the rainflow cycle count. One can mark the minimum and the maximum of the cycle
with the side-information, or one can mark the cycle with the side-information when the cycle
is counted.
The decomposition follows the same principles as for the case with no side-
information, i.e. the problem is to find the expected rainflow matrices that best
fits the measured ones. The expected rainflow matrices marked with the side-
information can be calculated by using results from Chapter 5. Hence, we will
use asymmetric rainflow matrices. First we will derive the expected rainflow
matrix marked with the regime process. From these we will then derive the
expected rainflow matrix marked with the side-information, by assuming a
correlation structure between the side-information and the regime process.
the minimum of the cycle. In this notation the asymmetric rainflow cycle is
ARFC = (X (s? k ); X (sk )). Hence we can define the asymmetric rainflow ma-
+
with
fijZ (z;w) = #fXs?k = i; Xsk = j; Zs?k +1 = z; Zsk +1 = wg:
+ + (8.19)
We define the expected rainflow matrices marked with the regime process
n
GZ z;w = gijZ z;w i;j ;
( ) ( )
=1
z; w = 1; : : : ; r (8.20)
1 E hf Z (z;w) i
with
gijZ (z;w) = Nlim
!1 N ij (8.21)
assuming the limit exists.
By using the results in Section 5.4 we can calculate GZ z;w . For the case of
( )
For the case of a hanging cycle, i > j , we get the results from Eqs. (5.46,5.47).
In the same way it is also straightforward to obtain the results for the ex-
pected rainflow matrix marked with the regime process when the cycle is
counted. For the case of a standing cycle we have from Eqs. (5.38,5.39)
X
r
PS(vij) = PS(u;z;w;v
ij
)
(8.24)
u;z;w=1
and the results for the hanging cycle is obtained from Eqs. (5.46,5.47).
with
fijY (u;v) = #fXs?k = i; Xsk = j; Ys?k +1 = u; Ysk +1 = vg
+ (8.26)
+
each matrix containing N Y (u;v) observed rainflow cycles, and in total N cycles
X X
N Y (u;v) = fijY (u;v) ; u; v = 1; : : : ; m; N= N Y (u;v) : (8.27)
i;j u;v
Further, define the expected rainflow matrices
n
GY u;v = gijY u;v i;j ;
( ) ( )
=1
u; v = 1; : : : ; m (8.28)
1 E hf Y (u;v) i
with
gijY (u;v) = Nlim
!1 N ij (8.29)
with the regime, fZk g, and thus imposing a special structure on the side-
information. Denote
Xij = fXs? = i; Xs = j g +
Zzw = fZs? = z; Zs = wg
+1 +
+1
Yuv = fYs? = u; Ys = vg
+1 +
+1
= P(Ys? +1 = u j Zs? +1 = z; Zs +1 = w) +
P(Ys +1 = v j Zs? +1 = z; Zs +1 = w)
+ +
= szu swv :
Hence, we have defined the side-information by independently scrambling
the regime process, by using the conditional probabilities szu defined as
Estimation
We have the same setting for the estimation as before, see Section 8.1, which
will here be summarize. The model is parametrized by the min-max and the
Q Q Q
max-min transition matrices (1) ; : : : ; (r) and ^ ; : : : ; ^ , respectively,
(1)
Qr( )
Suppose that for the switching process, we have an observation of the rain-
flow matrices marked with the side-information
n
F Y u;v = fijY u;v i;j ;
( ) ( )
=1
u; v = 1; : : : ; m (8.34)
L(F ; ) = p (F ) (8.35)
m Y g Y u;v f
Y
Y (u;v)
( ) ij
= N! ij (8.36)
u;v=1 i;j fijY (u;v) !
giving the log-likelihood
m X
X
log L(F ; ) = log N ! + fijY (u;v) log gijY (u;v) ? log fijY (u;v) ! : (8.37)
u;v=1 i;j
Hence, the AML-estimate (F ) is the value = (F ) that maximizes
m X
X n
Y u;v Y u;v
fij ( )
log gij ( )
(8.38)
u;v=1 i;j =1
Y (u;v) is a function of .
where gij
probabilities pij we know that 0 pij 1, and they were transformed onto
the real line, (?1; +1), by using the log-odds transformation
So far, this thesis has dealt with computing the rainflow counting intensity,
i.e. the (asymptotic) mean for the number of upcrossings of an interval, which
then gives the expected rainflow matrix, i.e. the (asymptotic) mean of the
number of rainflow cycles. The rainflow counting intensity gives the impor-
tant information about the expected damage of the applied load, see Eqs. (2.24-
2.26). However, also the variance of the damage is of importance, and hence
the variances and the covariances of the number of interval crossings need
to be computed. In this chapter we will present a method for computing the
exact marginal distribution of the number of interval crossings for a Markov
model in a fixed time interval. The results will be given for a Markov chain.
However, the same results are easily extended to a Markov chain of turning
points and also to a switching MC and a switching MCTP. Only the complex-
ity of the formulas increases, not the level of difficulty of the problem.
Let NK (i; j ) be the number of crossings of the interval [i; j ] by a MC fXk g
in time t = 0; 1; : : : ; K . We will derive the exact marginal distribution of
NK (i; j ), in the form of its probability generating function (PGF). The mo-
ment generating function (MGF) is easily obtained from the PGF, and from
the MGF, the asymptotic properties of NK (i; j ) may be investigated, which
results in a normal distribution.
151
152 Chapter 9. Distribution of the Number of Interval Crossings
The results are directly based on Bartlett [4] and Whittle [102], who treat
the distribution of the frequency of transitions in a Markov sequence. How-
ever, these results do not seem to be very well known.
Further, let N = (Nij )ni;j=1 , where the random variable Nij denotes the num-
ber of transitions by fXk g, k = 0; 1; : : : ; K , from state i to state j . We will
review results on the joint distribution of fNij g.
GN (t) = p (R(t))K 1
0 (9.3)
9.1. Distribution of the Number of Transitions by a Markov Chain 153
p =? p
where
0 p02 : : : p0n
01 (9.4)
is the distribution of X0 , i.e. p0i = P(X0 = i),
0 q11 t11 q12t12 : : : q1nt1n 1
B q21 t21 q22t22 : : : q2nt2n CC
R(t) = B B@ .. .. .. .. CA ; (9.5)
. . . .
qn1 tn1 qn2 tn2 : : : qnn tnn
and 1 is a column vector of ones of length n.
Then the PGF G(t1 ; t2 ; : : : ; tm ) for (N1 ; N2 ; : : : ; Nm ) is obtained from Theorem 9.1
by setting
tij = 1tk; ; ifif ((i;i; jj )) 22 SSk:; k 6= 0
0
1 2 3 0 21 1 22 2 23 3
q31 t1 q32 t2 q33 t3
154 Chapter 9. Distribution of the Number of Interval Crossings
The PGF for the number of transitions from state 1 to state 3 is obtained by
setting S1 = f(1; 3)g, and S0 = S n S1 , and by Corollary 9.1 we get the PGF
0q q12 q13 t1 1K
G(t ) = p @ q q22 q23 A 1:
11
1 0 21
q31 q32 q33
2
Probability Function
Now, consider a sequence that starts in X0 = s and ends in XK = r and denote
X X
nj = nij and ni = nij : (9.6)
i j
The number of transitions n = (nij )ni;j =1 can not assume arbitrary values and
one can verify that
ni ? ni = ir ? is ; i = 1; 2; : : : ; n (9.7)
where ij equals 1 if i = j , and 0 otherwise. Further,
X X
ni = nj = K: (9.8)
i j
Theorem 9.2 (Probability function) The probability function of N and that the
sequence ends in XK = s, given that the chain starts in X0 = r, is
pN (n; s) = N = n0; XK = s j X 1= r)
P( 0 (9.9)
Y Y qn ij
= Ts (n) @ni ! nij ! A (9.10)
i ij j
ifn obeys Eqs. (9.7,9.8), and is zero otherwise. The factor Ts ( n) is the (s; r):th
cofactor of the matrix
t
where e = (etij )ni;j =1 . Now the next corollary for the MGF follows directly
from Theorem 9.1.
where
p =? p
0 01 p02 : : : p0n
(9.13)
B@ .. 21
.. ..
.
.. CA ; (9.14)
. . .
qn1 etn qn2 etn : : : qnn etnn
1 2
The moment generating function can be used for investigation of the asymp-
N Q
totic properties of , see e.g. Bartlett [4]. If has no eigenvalues on the unit
circle except the simple value 1 = 1, then fNij g are asymptotically jointly
normally distributed. Further, the cumulant generating function K ( ) = Nt
Nt t
log M ( ) has, for small , the asymptotical form
KN (t) K log 1 (t)
t
where 1 ( ) is the eigenvalue such that 1 (0) = 1. Thus, the explicit form
of the asymptotic distribution will be determined by the Taylor expansion of
t
log 1 ( ) up to the second degree in tij .
156 Chapter 9. Distribution of the Number of Interval Crossings
n
j+1
j
i
i?1
1 Up Down Up Down Up Down Up
Figure 9.1: A sample path where the crossings of the interval [i; j ] is marked with dotted
ellipsoids.
The state space of the Markov chain can be divided into the following three
groups:
21 Q 22 23 (9.15)
Q 31 Q 32 Q 33
Q
where ml contains transition probabilities of transitions from group m to
group l.
At time k = 0 the MC may be in either of the groups S1 , S2 , and S3 . If
X0 2 S1 then fXk g is in the process of upcrossing [i; j ], if X0 2 S3 then fXk g
is in the process of downcrossing [i; j ], and if X0 2 S2 then fXk g is neither in
9.2. Distribution of the Number of Crossings of an Interval 157
R = ? Q R = Q ; R = ? 0 Q
?
11 13
21 22 23
21 21 0 ; 22 22 23 23
R = QQ
31
21 0 ;
0 R = QQ QQ : 33
22 23
31 32 33
Figure 9.2 describes the matrices above and the transitions representing the
up- and down-crossings of the interval [i; j ].
n
In progress R 13
R 23
j+1 of upcrossing R 33
j R 22
i R
i?1 11
In progress
of downcrossing R 31 R 21
1
Upcrossing!! Downcrossing!! Starting
[ ]
inside i; j
Figure 9.2: Description of the Markov chain representing up- and down-crossings of the
interval [i; j ].
GK (t) = r0 RK 1 (9.16)
r =? r 0 r 0 r
where
0 1 2 3
21 R 22 23 (9.17)
tR 31 0 R 33
158 Chapter 9. Distribution of the Number of Interval Crossings
Proof:
Besides fXk g, consider a side-information process fYk g taking values ?1,
0, and +1, according to
8 +1
< if fXk g is in process of upcrossing [i; j ];
Yk = : ?1 if fXk g is in process of downcrossing [i; j ]; (9.18)
0 otherwise:
(Note that state 0 for fYk g is a transient state.) The process f(Xk ; Yk )g is jointly
a MC with state space
f(1; +1); (2; +1); : : :; (j; +1); (i; 0); : : : ; (j; 0); (i; ?1); : : : ; (n; ?1)g
and with transition matrix given by
0R 0 R 1
R=@ R R A:
11 13
21 R 22 23
R 31 0 R33
Obviously
8 +1
< if X0 2 S1 ;
Y = : ?1
0 if X0 2 S3 ;
0 otherwise (X0 2S ) 2
p
and hence if X0 has distribution 0 then (X0 ; Y0 ) has distribution 0 . Now r
the result follows from Corollary 9.1 (and Theorem 9.1) by defining the two
sets S10 and S00 of transitions for f(Xk ; Yk )g. Let S10 = S up [ S down denote
the set of transitions representing crossings of the interval [i; j ], and let S00
denote the other transitions of f(Xk ; Yk )g. The sets of transitions representing
upcrossings and downcrossings of the interval [i; j ] are
Corollary 9.3 The probability of m crossings by fXk g of the interval [i; j ] in time
k = 0; 1; 2; : : :; K is
P(NK (i; j ) = m) = r R(K; m) 1
0 (9.19)
R(1; 0) = R ; 0 R(1; 1) = R 1
0R 0 0 1 0 0 0 R 1
R = @ R R R A; R = @ 0 0 0 A:
11 13
0 21 22 23 1 (9.21)
0 0 R 33 R 0 0 31
XK
RK = (R + tR )K = R(K; m)tm:
0 1 (9.22)
m=0
R
The matrices (K; m) can be calculated through the recursion in Eq. (9.20).
The recursion can be found by observing that
X
k kX
? 1
Xk
= (R R(k ? 1; m) + R R(k ? 1; m ? 1))tm :
0 1
m=0
By using the expansion in Eq. (9.22) we can write the PGF as
X
1 X
1
GK (t) = P(NK (i; j ) = m) tm = r R(K; m) 1 tm
0 (9.23)
m=0 m=0
where the first expression is the definition of the PGF, and this completes the
proof. 2
160 Chapter 9. Distribution of the Number of Interval Crossings
21 22 23 (9.24)
R 0 R 31 33
9.3 Example
Example 9.2 (Markov chain with 4 state)
Consider a MC fXk g1
k=0 with 4 states and transition matrix
0 0:1 0:2 0:3 0:4 1
Q=B
B@ 0:3 0:1 0:4 0:2 CCA
0:2 0:4 0:1 0:3
0:2 0:3 0:4 0:1
and suppose that the chain starts from its stationary distribution . Hence,
fXk g is a stationary and ergodic MC. By using Corollary 9.3, with 0 = , p
together with the modifications described in Remark 9.1, we will calculate the
probability function for NK (i; j ), denoting the number of upcrossings of the
up
From the probability function we can compute the mean and the standard
deviation of NK (i; j ), denoted by mK (i; j ) and K (i; j ), respectively. Since
up
In Figure 9.3 the means mK (i; j ) are compared with the asymptotic means
Krfc(i; j ). Further, the quantities K ?1mK (i; j ) are plotted as functions of K ,
see Figure 9.4, and are compared with the asymptotical results rfc (i; j ). Ac-
cording to theoretical results, see Section 9.1, we also know that NK (i; j ) will
asymptotically be normally distributed, so
NK (i; j ) ? mK (i; j )
K ?1=2 K (i; j )
should converge to N (0; 1). The quantities K ?1=2 K (i; j ) are plotted as func-
tions of K , see Figure 9.4. Here we do not have any asymptotic expressions
for standard deviations K ?1=2 K (i; j ), however the asymptotic expressions
would be possible to compute by using the method sketched in Section 9.1.
For this Markov chain both the normalized mean K ?1 mK (i; j ) and the nor-
malized standard deviation K ?1=2 K (i; j ) are stabilizing after about 100–200
observations. 2
162 Chapter 9. Distribution of the Number of Interval Crossings
i=2
0.2 0.2 0.2
0 0 0
0 1 2 3 4 5 0 1 2 3 4 5 0 1 2 3 4 5
0.6 0.6
0.4 0.4
i=3
0.2 0.2
0 0
0 1 2 3 4 5 0 1 2 3 4 5
0.6
Probability
function of 0.4
i=4
Nup
K
(i,j) 0.2
for K=10
0
0 1 2 3 4 5
0 0 0
0 20 40 0 20 40 0 20 40
0.2 0.2
i=3
0.1 0.1
0 0
0 20 40 0 20 40
0.2
Probability
function of
i=4
0.1
Nup
K
(i,j)
for K=100
0
0 20 40
Figure 9.3: The distribution of the number of upcrossings of the intervals [i; j ], i = 2; 3; 4, j =
i ? 1; : : : ; 3, for K = 10 and K = 100. The means mK (i; j ), marked *, of the distributions
are compared with the asymptotic means Krfc (i; j ), marked .
9.3. Example 163
0.16 0.1
i=2
0.14 0.08
0.1875
0.12 0.06
0.1 0.04
0 100 200 0 100 200 0 100 200
0.2792 0.18
0.16
i=3
0.14
0.2792
0.12
0.1
0 100 200 0 100 200
Normalized mean
i=4
−1
K mK(i,j)
as function of K 0.1875
0 100 200
0.3 0.24
i=2
0.3 0.28
0.22
0.26
0.3
i=3
0.3 0.28
0.26
0.2 0.24
0 100 200 0 100 200
0.4
Normalized
standard deviation
i=4
0.3
K−1/2 σK(i,j)
as function of K
0.2
0 100 200
Figure 9.4: Above: The normalized means K ?1 mK (i; j ), ( ), of the number of upcrossings ?
?
of the intervals [i; j ], i = 2; 3; 4, j = i 1; : : : ; 3, as functions of K , compared with the asymp-
totic means rfc (i; j ), ( ). Below: The normalized standard deviations K ?1=2 K (i; j ), ( ),
?? ?
?
of the number of upcrossings of the intervals [i; j ], i = 2; 3; 4, j = i 1; : : : ; 3, as functions of
K.
164 Chapter 9. Distribution of the Number of Interval Crossings
Mainly two problems have been addressed in this thesis. The first is how to
compute the expected rainflow matrix for a given load model. The second
is how to compute or estimate a load model, given a rainflow matrix. The
most innovating feature of this thesis is the use of switching random loads
as models for fatigue loads in connection with rainflow analysis. A switch-
ing random load changes its stochastic properties according to an underlying
random regime process. The switchings are seen as changes of the parameter
values of the load process. The idea is that the regime process should reflect
the current loading condition. For a vehicle this could be related to the road
quality, the manoeuvres by the driver, or the current weight of the vehicle.
Loads having Markov structure have been successfully employed. The
first approach was to model the load signal as a Markov model, where Markov
chains (MC) and switching Markov chains (SMC) were considered as mod-
els for the load. These classes of Markov models are in most applications
not versatile enough to model real loads. A more useful approach in prac-
tice is to model the turning points of a load by a Markov chain. Therefore,
two such Markov models were studied, namely the Markov chain of turn-
ing points (MCTP) model, and the switching Markov chain of turning points
(SMCTP) model. For many random processes the correlation structure of its
turning points can be accurately approximated by a MCTP or a SMCTP model,
e.g. Gaussian processes defined through their power spectrum, and switching
ARMA-processes.
For all the Markov models described above (MC, SMC, MCTP, and SM-
CTP), explicit matrix formulas for computing its expected rainflow matrix,
165
166 Chapter 10. Conclusions and Comments
were presented. They have also been programmed in the form of a MATLAB
toolbox, that can be obtained via Internet, see Appendix E for the address. The
toolbox will soon also include the other parts of this thesis. For the switch-
ing Markov loads, the computations are extensions of the results for the non-
switching case. The resulting matrix formula have the same structure, but the
dimension of the matrices increases proportionally to the number of subloads.
Several examples have been presented in order to illustrate the applicability
of the Markov approach.
The MC and the SMC models were treated in Chapter 3, where in Exam-
ples 3.1-3.3 accurate approximations of the rainflow cycle intensity for switch-
ing AR(1)-processes were computed. In Chapter 4 the MCTP and the SMCTP
models were regarded, with introductory Examples 4.1 and 4.2. In Chap-
ter 6 a methodology for approximating a switching random process by SM-
CTP model was presented, which was exemplified by a switching Gaussian
ARMA-process, see Example 6.1. Further, a strategy for modelling measured
switching loads by a SMCTP was suggested. For two measurements of switch-
ing loads, SMCTP models were estimated, see Examples 6.2 and 6.3, where the
measurements and the estimated models agreed well, in terms of rainflow cy-
cles and damage.
In the rainflow counting method it is possible to distinguish between hang-
ing and standing rainflow cycles, which gives a so called asymmetric rainflow
matrix. We have presented an algorithm for computing the expected asym-
metric rainflow matrix for MCTP and SMCTP models. (Using the same tech-
nique it is also possible to obtain the expected asymmetric rainflow matrix
for MC and SMC models, however the exact formulas have not been worked
out in detail.) The use of asymmetric rainflow cycles allow us to model time-
irreversible loads in the rainflow domain. In Example 5.1 we have constructed
a time-irreversible load that models consecutive decaying transients, like the
ones caused by hitting an obstacle.
The problem of rainflow inversion was addressed in Chapter 7. There a
MCTP model was calculated from an expected asymmetric rainflow matrix.
From the MCTP model it is then straightforward to simulate a load sequence,
that can be used for fatigue testing under random loading. A measurement
from a truck driving over potholes was modelled by a time-irreversible MCTP,
see Examples 6.4 and 7.1. The estimation of the MCTP model was made both
through the time signal, and through rainflow inversion, where the expected
asymmetric rainflow matrix was estimated through smoothing.
10.1. Further Research 167
When making rainflow count of a switching load, all the cycles are col-
lected in one rainflow matrix, making it impossible to tell exactly from which
subload a certain cycle origins. From such a mixed rainflow matrix it is of
great interest to estimate the properties of the switching load, e.g. the switch-
ing frequencies and the proportions of the different subloads. Methods for
doing this decomposition of a mixed rainflow matrix were presented in Chap-
ter 8. The simplest, but still very important, case of the decomposition is when
the models for the subloads are known, and hence only the parameters for the
regime process need to be estimated. In the examples three scenarios for the
models for the subloads were studied. In the first scenario they were fully
known, in the second they were linear transformations of known ones. In the
third third case the models for the subloads had a simple parametric form.
A method was suggested for how to incorporate additional side-informa-
tion, which is a signal that is correlated with the regime process, in the decom-
position. By including side-information it is possible to improve the precision
of the estimates.
The exact distribution of the number of interval crossings by a MC ob-
served for a finite time horizon [0; K ], was computed in Chapter 9. Since there
is a connection between rainflow cycles and crossings of intervals, this gives
the exact mean of the rainflow damage due to a Markov chain observed for
times [0; K ]. It should also be noted that the methods for Markov chains in
Chapter 9 can easily be extended to switching Markov chains, and also to
MCTP and SMCTP models. This was sketched in Remarks 9.2 and 9.3.
not been fully solved. As have been noted in Chapter 7 (and Rychlik [86]), not
all expected rainflow matrices can be obtained from a MCTP model. Hence,
one should examine how rich the class of expected rainflow matrices is for
the MCTP model. This will give a hint of how versatile the MCTP model is
for modelling loads. When the rainflow inversion is possible (the expected
rainflow matrix is a valid one), then there is the question of uniqueness. In
the rainflow inversion algorithm, Eq. (7.9) gives two roots as solution for each
pair (i; j ) of minimum and maximum. Empirical studies show that one should
choose the smaller roots as the solution. However, this has not been proved.
In the decomposition of a mixed rainflow matrix it is not possible to esti-
mate the full SMCTP model, since it contains more parameters than the num-
ber of observations. Hence, one has to use some kind of parametric model for
the subloads in order to reduce the number of parameters. The model for the
subloads should be flexible enough to model real loads, and it should also be
computationally suitable, especially it should be easy to calculate its min-max
and max-min transition matrices. In the examples a simple parametric model
for the subloads have been used, however, more realistic and flexible families
of parametric models for the subloads are needed.
The properties of the methods for decomposing a mixed rainflow matrix
were to some extent studied in Chapter 8. However, the properties of the
decomposition need to be further investigated. One question is which mixed
rainflow matrices are possible to decompose. Also further studies are needed
of how to use and how one can benefit form using side-information in the
decomposition. The side-information may be used in order to improve the
estimates or to make the decomposition possible.
The distribution of the number of interval crossings by a Markov chain
was calculated in Chapter 9, which enables us to compute the exact expected
rainflow damage for a Markov chain in finite time [0; K ]. The next step would
be to compute the bivariate distribution of the number of crossings of two
different intervals by a Markov chain in time [0; K ]. This would enable us
to compute the exact variance of the rainflow damage, due to the finite time
Markov chain. There is also a need to find the exact asymptotic formulas
for the distribution of the number of interval crossings by a Markov chain,
especially for the bivariate distributions. In Chapter 3 the expected rainflow
matrix for a Markov chain was computed, which gives the asymptotic mean
of the damage. By further development of the methods in Chapter 9 it should
be possible to obtain results on the asymptotic variance of the damage.
Bibliography
[4] M. S. Bartlett. The frequency goodness of fit test for probability chains.
Proceedings of the Cambridge Philosophical Society, 47:86–95, 1951.
169
170 BIBLIOGRAPHY
[12] R. Carmine, K. Dressler, M. Scheutzow, et al. TecMath 1st and 2nd and
3rd internal report on multiaxial Rainflow. Kaiserslautern 1989, 1990,
1991.
[27] A. Fatemi and L. Yang. Cumulative fatigue damage and life prediction
theories: a survey of the state of the art for homogeneous materials.
International Journal of Fatigue, 20:9–34, 1998.
[32] I. J. Good. The frequency count of a Markov chain and the transition to
continuous time. Annals of Mathematical Statistics, 32:41–48, 1961.
172 BIBLIOGRAPHY
[38] T. Höglund. Central limit theorems and statistical inference for finite
Markov chains. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte
Gebiete, 29:123–151, 1974.
[41] P. Johannesson. Rainflow Cycles for Random Loads with Markov Regime.
Licentiate thesis TFMS–2003, Department of Mathematical Statistics,
Lund Institute of Technology, 1997.
[48] S. Krenk and H. Gluver. Markov models and range counting in random
fatigue. In Krätzig et al., editors, Structural Dynamics. Balkema, Rotter-
dam, 1990.
[54] G. Lindgren and H. Rootzén. Extreme values: theory and technical ap-
plications. Scandinavian Journal of Statistics, 13:241–279, 1987.
[55] G. Lindgren and I. Rychlik. Rain flow cycle distribution for fatigue life
prediction under Gaussian load processes. Fatigue & Fracture of Engi-
neering Materials & Structures, 10:251–260, 1987.
[57] I. L. MacDonald and W. Zucchini. Hidden Markov and Other Models for
Discrete-valued Time Series. Chapman & Hall, 1997.
[77] C. R. Rao. Linear Statistical Inference and Its Applications. John Wiley &
Sons, 2nd edition, 1973.
[78] I. Rychlik. Statistical Wave Analysis with Application to Fatigue. PhD thesis,
Department of Mathematical Statistics, Lund University, 1986.
[79] I. Rychlik. A new definition of the rainflow cycle counting method. In-
ternational Journal of Fatigue, 9:119–121, 1987.
[82] I. Rychlik. Rainflow cycles in Gaussian loads. Fatigue & Fracture of En-
gineering Materials & Structures, 15:57–72, 1992.
176 BIBLIOGRAPHY
[84] I. Rychlik. Note on cycle counts in irregular loads. Fatigue & Fracture of
Engineering Materials & Structures, 16:377–390, 1993.
[93] B. W. Silverman. Density estimation for statistics and data analysis. Chap-
man and Hall, 1986.
[94] K. Sobczyk and B. F. Spencer, Jr. Random Fatigue: From Data to Theory.
Academic Press, 1992.
[97] T. Svensson and J. de Maré. Conditions for the validity of damage accu-
mulation models. In X. R. Wu and Z. G. Wang, editors, Fatigue ’99, Pro-
ceedings of the Seventh International Fatigue Congress, Beijing, P. R. China.
EMAS, 1999.
[98] T. Svensson and J. de Maré. Random features of the fatigue limit. Ac-
cepted for publication in Extremes, 1999.
[102] P. Whittle. Some distribution and moment formulae for the Markov
chain. Journal of the Royal Statistical Society, Ser. B, 17:235–242, 1955.
Statistical Preliminaries
X
n
V[Yk ] = (ui ? E[Yk ])2 i : (A.4)
i=1
Occupation Time
The occupation time Tz of state z is defined as the length of a visit to state z
for the Markov chain. The time Tz is geometrically distributed
pTz (k) = P(Tz = k) = pzz k?1 (1 ? pzz ); k = 1; 2; : : :: (A.5)
The mean length of a visit to state z is
p
with parameters n and = (p1 ; : : : ; pk ).
The marginal distribution of Xi is binomial, Bin(n; pi ). Hence, the mean
and variance of Xi is
X can be written as
and thus the covariance matrix ? = (?ij )ki;j =1 for
The advantage of the non-recursive definition of rainflow cycles, see Def. 2.1,
is that it is easy to see that the rainflow counting intensity can be related to
the intensity of crossings of intervals. In Rychlik [84, Lemma 7] one can find
a mathematically rigorous motivation for this fact. Here, we will consider
upcrossings of the closed interval [u; v ], see Figure 2.1.
For an ergodic load process fXt gt0 we have
#fmrfc
i < u; Mi > v g[0;T ]
rfc (u; v) = Tlim (B.1)
!1
1
t isT an u-upcrossing by X ,
= Tlim t
# t : and fX g crosses v before
!1 T s s>t u ;T ]
[0
= P 0 1 k k=0 (B.2)
upcrosses v before it downcrosses u
183
184 Appendix B. Rainflow Cycles and Crossings of Intervals
lated as
8 mi < u, Mi > u and 9
< =
# : fMi k g1
+ k =0crosses v before
;
#fmi g[0;T ] fmi k g1 crosses u
+ k=1 ;T ]
rfc (u; v) = Tlim
!1 T #fmi g[0;T ]
[0
Here we will prove that the evolution of regime process takes place indepen-
dently of previous process values, i.e.
= P(Xk? = x?k j Zl = zl ; : : : ; Zk = zk )
P(Zk = zk j Zl = zl ; : : : ; Zk = zk )
+
+1
+
+1
where in the last step the Markov property for fZk g were used. (Formally the
event Zk = z k has probability zero, and to be correct the event should be
+
+1
+
+1
written as Zk 2 Fk where Fk (Zk ), however the calculations will
+
+1 +1 +1
+
+1
be exactly the same.)
Kernel Smoothing
XT
f^(x) = h12 K h1 (x ? xi ) (D.1)
i=1
x
where h is the smoothing parameter and = (x1 ; x2 ) = (m; M ) is the coor-
x
dinate. The so called kernel function K ( ) is a known function integrating to
one, i.e. satisfying
Z
K (x) dx = 1: (D.2)
R2
Here the two-dimensional standard normal density function
K (x) = 21 exp ? 21 (x21 + x22 ) (D.3)
will be used.
A standard way of choosing the smoothing parameter is
189
190 Appendix D. Kernel Smoothing
where 2 = (12 + 22 )=2 is the average of the marginal variances. The constant
x
A(K ) only depends on the kernel function K ( ), in our case A(K ) = 0:96.
x
This choice of h is optimal if the sample i , i = 1; : : : ; T comes from a nor-
mal distribution. Other methods for choosing the smoothing parameter h are
found in the references below.
For further reading about kernel smoothing the books by Silverman [93]
and by Scott [91] are recommended. A conference paper by Dressler et al. [21]
treats smoothing and extrapolation of rainflow matrices, where they use a nor-
mal kernel with one scale parameter h and one form parameter to be able to
catch the characteristic form of a rainflow matrix.
Appendix E
MATLAB Implementations
For the numerical calculations MATLAB has been used together with Wave
Analysis Tololbox (WAT), see Rychlik & Lindgren [88], and implementations of
MATLAB routines for the calculations in the thesis.
The author has written the MATLAB toolbox Rainflow Cycles for Switching
Processes, V. 1.0, with manual Johannesson [40], that covers the implementa-
tion of the results from Johannesson [41, 42], i.e. the results from Chapters 3
and 4. This toolbox will be updated, in order to cover also the implementation
of the results from the rest of the thesis.
Both toolboxes are free and can be obtained via Internet through the home
page of mathematical statistics, Lund University, with Web-address:
http://www.maths.lth.se/matstat/
191
192 Appendix E. MATLAB Implementations
smctp2rfm.m
function [F_rfc,mu_rfc] = smctp2rfm(P,QQ)
Q = zeros(n*r,n*r);
Qh = zeros(n*r,n*r);
for i = 1:n
for j = 1:n
for z = 1:r
for w = 1:r
Q(r*(i-1)+z,r*(j-1)+w) = QQ{z,1}(i,j)*P(z,w);
Qh(r*(i-1)+z,r*(j-1)+w) = QQ{z,2}(i,j)*P(z,w);
end
end
end
end
Qt = Q*Qh;
PP=Qt(1:r*(n-1),1:r*(n-1))’; % Minimum can’t reach the highest level
nn=length(PP);
M=[eye(nn-1) zeros(nn-1,1)];
PP=[PP(1:nn-1,:)-M; ones(1,nn)];
a=[zeros(nn-1,1); 1];
ro=PP\a; % Solve the equation system PP*ro=a
ro=ro’; % Convert from column vector to row vector
E.1. Calculating the Expected Rainflow Matrix 193
mu_rfc = zeros(n,n);
for i=2:n
for j=i-1:n-1
q = sum(Q(:,r*(j+1-1)+1:n*r),2);
A = Q(r*(i-1)+1:r*(j-1),r*(i+1-1)+1:r*j); % i:j-1, i+1:j
Ah = Qh(r*(i+1-1)+1:r*j,r*(i-1)+1:r*(j-1)); % i+1:j, i:j-1
C = Q(1:r*(i-1),r*(i+1-1)+1:r*j); % 1:i-1, i+1:j
I = eye(r*(j-i)); % Identity matrix
d = q(1:r*(i-1)); % 1:i-1
e = q(r*(i-1)+1:r*(j-1)); % i:j-1
Ro = ro(1:r*(i-1)); % 1:i-1
if j-i <= 0
mu_rfc(i,j) = Ro*d; % Theorem 4.2
else
mu_rfc(i,j) = Ro*(d+C*Ah*inv(I-A*Ah)*e); % Theorem 4.2
end
end
end
F_rfc = zeros(n,n);
for i= 1:n-1
for j= i+1:n
F_rfc(i,j) = mu_rfc(i+1,j-1) - mu_rfc(i,j-1) - ...
mu_rfc(i+1,j) + mu_rfc(i,j);
end
end
example.m
% Define transition matrices for subloads
Q1 = [0 0.5 0.3 0.1 0.1; 0 0 0.6 0.3 0.1; ...
0 0 0 0.8 0.2; 0 0 0 0 1; 0 0 0 0 0]
Qh1 = [0 0 0 0 0; 1 0 0 0 0; 0.8 0.2 0 0 0; ...
0.6 0.3 0.1 0 0; 0.5 0.3 0.1 0.1 0]
Q2 = [0 0.1 0.1 0.3 0.5; 0 0 0.1 0.3 0.6; ...
0 0 0 0.2 0.8; 0 0 0 0 1; 0 0 0 0 0]
Qh2 = [0 0 0 0 0; 1 0 0 0 0; 0.2 0.8 0 0 0; ...
0.1 0.3 0.6 0 0; 0.1 0.1 0.3 0.5 0]
Results of example.m
>> example
Q1 =
0 0.5000 0.3000 0.1000 0.1000
0 0 0.6000 0.3000 0.1000
0 0 0 0.8000 0.2000
0 0 0 0 1.0000
0 0 0 0 0
Qh1 =
0 0 0 0 0
1.0000 0 0 0 0
0.8000 0.2000 0 0 0
0.6000 0.3000 0.1000 0 0
0.5000 0.3000 0.1000 0.1000 0
Q2 =
0 0.1000 0.1000 0.3000 0.5000
0 0 0.1000 0.3000 0.6000
0 0 0 0.2000 0.8000
0 0 0 0 1.0000
0 0 0 0 0
Qh2 =
0 0 0 0 0
1.0000 0 0 0 0
0.2000 0.8000 0 0 0
0.1000 0.3000 0.6000 0 0
E.1. Calculating the Expected Rainflow Matrix 195
F_rfc1 =
0 0.4095 0.2233 0.0921 0.0940
0 0 0.1087 0.0302 0.0050
0 0 0 0.0234 0.0025
0 0 0 0 0.0113
0 0 0 0 0
F_rfc2 =
0 0.0113 0.0025 0.0050 0.0940
0 0 0.0234 0.0302 0.0921
0 0 0 0.1087 0.2233
0 0 0 0 0.4095
0 0 0 0 0
P =
0.9000 0.1000
0.0500 0.9500
F_rfc =
0 0.1275 0.0607 0.0302 0.1252
0 0 0.0661 0.0404 0.0602
0 0 0 0.0955 0.1340
0 0 0 0 0.2602
0 0 0 0 0
F_rfcSum =
0 0.1440 0.0761 0.0340 0.0940
0 0 0.0518 0.0302 0.0631
0 0 0 0.0803 0.1497
0 0 0 0 0.2767
0 0 0 0 0
In this example we have defined two subloads with different mean levels.
As noted previously in the thesis, in this case the switching gives rise to more
cycles with high amplitudes. Note especially, that if we compare F_rfc and
F_rfcSum for the cycle with the largest amplitude (min = 1 and max = 5),
that there is a large difference in the values , F_rfc(1,4)=0.1252 while
F_rfcSum(1,4)=0.0940.