Probabilistic Engineering Mechanics 66 (2021) 103166

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Probabilistic Engineering Mechanics

journal homepage: www.elsevier.com/locate/probengmech

Static condensation based reduced order modelling of stochastically

parametered large ordered systems
Rahul Kumar a , Shaikh Faruque Ali a , Sayan Gupta a,b ,∗
a Department of Applied Mechanics, Indian Institute of Technology Madras, Chennai 600036, India
b
Complex Systems and Dynamics Group, Indian Institute of Technology Madras, Chennai 600036, India

ARTICLE INFO ABSTRACT

Keywords: A surrogate stochastic reduced order model is developed for the analysis of randomly parametered structural
Stochastic reduced order model systems with complex geometries. It is assumed that the mathematical model is available in terms of
Non-Gaussian random field large ordered finite element (FE) matrices. The structure material properties are assumed to have spatial
Polynomial chaos expansion
random inhomogeneities and are modelled as non-Gaussian random fields. A polynomial chaos expansion
Static condensation
(PCE) based framework is developed for modelling the random fields directly from measurements and for
Irregular geometry
uncertainty quantification of the response. Difficulties in implementing PCE due to geometrical complexities
are circumvented by adopting PCE on a geometrically regular domain that bounds the physical domain and are
shown to lead to mathematically equivalent representation. The static condensation technique is subsequently
extended for stochastic cases based on PCE formalism to obtain reduced order stochastic FE models. The
efficacy of the method is illustrated through two numerical examples.

1. Introduction Mathematical modelling of systems with uncertainties involve addi-

The performance of real life structural systems are often in vari-
ance with their designed intentions on account of uncertainties that
invariably exist in any mathematical model of the system used during
analysis and design stages. Uncertainties enter the mathematical model
on account of insufficient knowledge about the physics associated
with the system, in terms of loadings and material behaviour, sim-
plifying assumptions in building the mathematical model, unknown
errors in measurements, lack of knowledge of system parameters, in-
homogeneities in material properties, unknown tolerance errors in
manufacturing etc. These uncertainties are unavoidable and are known
to have significant impact on the performance of the system [1–3].
There is therefore a need to model the uncertainties and incorporate
them into the mathematical model and analysis, for more accurate
predictions about the system behaviour.
With the advent of high computational resources, high fidelity finite
element (FE) models are being adopted to develop mathematical mod-
els for structural systems, especially those with complex geometries. FE
modelling involves discretizing the structural system and representing
the displacement/stress fields in terms of vectors of displacement/stress
variables, which constitute the FE nodal variables. Thus, in the weak
form, the analysis of the FE discretized system involves the solution of a
set of coupled equations in terms of these variables. The computational
complexity of the solution is directly proportional to the dimension of
the vector of unknown displacement/stress variables in the problem.
tional complexities. Typically, the loading and the structural parame-
ters are assumed to have spatial and/or temporal uncertain variations
and are modelled as random fields. In order to incorporate the effects
of uncertainties with the FE model implies the need to develop weak
form representations of these random fields. This, in turn requires
representing the random fields through equivalent vectors of random
variables, represented by 𝝃, and which constitute the parameters for
the FE model. Methods for discretizing random fields and integrating
with finite elements for the development of a mathematical model is
generally referred to as the Stochastic Finite Element Method (SFEM)
in the literature [4–6]. Several methods for discretizing random fields
have been discussed in the literature; see [7–12] for reviews. The
challenge in accurate discretization of random field lies in the ability
to capture through the vector of correlated random variables obtained
from the discretization, the second order probabilistic characteristics of
the random field — the marginal probability density function (pdf) and
the correlation characteristics.
The weak form mathematical model for the randomly parametered
structural system, obtained using SFEM, constitutes a set of coupled
equations. Typically, the coefficients and the inhomogeneous terms
of these equations are functions of the vector of random variables
obtained from the weak form representation of the random fields,
denoted by 𝝃 and the displacement/stress variables being the un-
knowns. When the coupled governing equations are recast in matrix

∗ Corresponding author at: Department of Applied Mechanics, Indian Institute of Technology Madras, Chennai 600036, India.
E-mail address: sayan@iitm.ac.in (S. Gupta).

https://doi.org/10.1016/j.probengmech.2021.103166
Received 5 August 2021; Accepted 16 September 2021
Available online 21 September 2021
0266-8920/© 2021 Elsevier Ltd. All rights reserved.
R. Kumar, S.F. Ali and S. Gupta
form, the unknown variables are represented as vectors that need to
be estimated and the coefficients of these equations form matrices,
which are functions of 𝝃. Consequently, these unknowns are functions
of 𝝃 and are itself random. The dimensionality of the equations are
represented in terms of the number of unknown variables (which is
usually equal to the number of coupled equations) and represents the
physical dimension of the mathematical model. Additionally, there is
a stochastic dimension associated with the model, whose size depends
on the dimension of 𝝃.
A complete analysis of the system involves estimating the proba-
bilistic characteristics of the response quantities — the displacement/
stress variables. A direct approach to achieving this is to employ
Monte Carlo simulations (MCS). This involves digitally simulating an
ensemble of vector of random variables {𝝃 𝑖 }𝑁 𝑖=1
according to their joint
pdf and correlation characteristics, constructing the system matrices
for each realization of 𝝃 𝑖 , solving for the response quantities for all 𝑁
realizations of 𝝃 𝑖 , and finally statistically processing the ensemble of
the response quantities for estimating the probabilistic characteristics
of the response. MCS is straight forward and requires 𝑁 analyses of
the system, using the numerical algorithms available for deterministic
analysis. The computational cost is therefore 𝑁 times the cost associ-
ated with each execution of this algorithm. Unfortunately, for complex
systems, the cost of each execution of the algorithm depends on the
physical dimension of the mathematical model, which in turn depends
on the number of FE nodal variables and could be significant. This often
makes MCS infeasible for analyses of stochastic systems.
The exorbitant computational costs in MCS has led to interests in
developing alternative strategies that are computationally cheaper. A
major focus of these studies have been to develop surrogate stochastic
models that can be used for probabilistic characterization of the desired
response quantities. Studies in the literature have adopted response sur-
face based strategies [13–16], which involve fitting polynomial func-
tions that approximate the response surface in the sub-space spanned by
the stochastic variables 𝝃 associated with the problem. More computa-
tionally efficient strategies involve using polynomial chaos expansions
(PCE) [4,17–19] transforming the problem into a mathematical sub-
space spanned by random basis functions. It has been mathematically
shown that for specified accuracy thresholds, PCE enables representing
the problem with the lowest stochastic dimension [18].
The development of the PCE based surrogate model can be carried
out using either the stochastic Galerkin’s approximation or stochas-
tic collocation based approaches [20]. The former approach is an
extension of the Galerkin’s approach to stochastic problems, is an intru-
sive approach and requires the development of new problem specific
numerical codes [17,21]. On the other hand, stochastic collocation
based approaches [22,23] are non-intrusive and requires multiple ex-
ecutions of the deterministic codes. Unfortunately, unlike MCS, the
computational cost increases with an increase in the dimension of 𝝃.
A reduction in the computational cost can be achieved by reducing
the stochastic dimensionality associated with the problem, and this
can be most efficiently carried out by developing PCE based surrogate
models. Using stochastic collocation based approaches for this, requires
the multiple execution of the deterministic problem. Therefore, it is
of interest to reduce the computational cost associated with the deter-
ministic problem as well, which can be achieved by development of
reduced order models (ROM) with fewer physical state variables. The
focus of this study is to develop a methodology for the development of
a stochastic reduced order model which leads to a reduction in both the
physical and the stochastic dimensionality associated with the problem.
One of the primary challenges in the use of PCE for random field
discretization has been to apply this for systems with complicated
irregular geometries. While the application of PCE for random field dis-
cretization for regular geometrical domains has been widely used in the
literature, their application to irregular shaped domains is not straight-
forward. A recent study [24] has shown the mathematical equivalence
in the probabilistic characteristics for random field discretization of an
2
Probabilistic Engineering Mechanics 66 (2021) 103166
irregular domain and a regular bounding domain for Gaussian fields
using Karhunen–Loéve expansions. The present study extends these
formulations for discretization of a more general class of non-Gaussian
random fields within a PCE framework. The developments presented
in this paper are subsequently used for stochastic analysis of randomly
parametered large ordered systems with complex geometries.
This manuscript is organized as follows: a brief review of the static
condensation method is presented in Section 2. Next, a brief introduc-
tion of PC expansion and formulation for random field modelling using
discrete measured data is reported in Section 3. Section 4, presents
the formulation along with the mathematical proofs for considering a
bounding domain such that PCE can be invoked for a general class of
non-Gaussian random fields in irregular and complex domains. Sub-
sequently, Section 5 presents the framework for extending the static
condensation technique for the stochastic case using PCE formalisms.
The efficacy of the proposed framework is presented in Section 6
through two numerical examples. The salient outcomes emerging from
this study are presented in Section 7. An appendix is presented at the
end giving details on how the stochastic finite element matrices are
constructed.
2. Static condensation
Reduced order modelling based on static condensation [25] has
been developed with the objective of reducing the size of the system
matrices used in linear finite element (FE) analyses using the princi-
ples of linear algebra. The starting point of the analysis involves the
weak form of the governing equations represented as a set of coupled
differential equations, which when discretized using FE, are of the
form
𝐊𝐗 = 𝐔. (1)
Equation (1) represents a set of 𝑁 coupled algebraic equations, where,
𝐗 ∈ ℜ𝑁×1 is the 𝑁-dimensional vector of the unknown variables (also
referred to as the nodal variables), 𝐔 ∈ ℜ𝑁×1 is the 𝑁-dimensional
vector arising due to the non-homogeneous terms, representing the
forcing and 𝐊 ∈ ℜ𝑁×𝑁 is the 𝑁 × 𝑁 stiffness matrix comprising
of the coefficients of the set of FE discretized algebraic equations. A
reduction in the dimensionality associated with the problem can be
achieved by partitioning the nodal variables into two distinct classes —
active variables 𝐗𝑎 and their complementary set termed as the deleted
variables 𝐗𝑑 . The selection of 𝐗𝑎 is user defined and depends on the
problem. Eq. (1) can be rewritten in terms of 𝐗𝑎 and 𝐗𝑑 by accordingly
partitioning the matrices and can be expressed as
[ ][ ] [ ]
𝐊𝑎𝑎 𝐊𝑎𝑑 𝐗𝑎 𝐔𝑎
= , (2)
𝐊𝑑𝑎 𝐊𝑑𝑑 𝐗𝑑 𝐔𝑑
where, 𝐗𝑎 ∈ ℜ𝑎×1 and 𝐗𝑑 ∈ ℜ(𝑁−𝑎)×1 respectively denote the vectors of
active variables and deleted variables of dimensions 𝑎×1 and (𝑁 −𝑎)×1,
𝐔𝑎 and 𝐔𝑑 are the corresponding partitioned force vectors having
sizes equal to 𝐗𝑎 and 𝐗𝑑 and 𝐊𝑎𝑎 , 𝐊𝑎𝑑 , 𝐊𝑑𝑎 and 𝐊𝑑𝑑 represent the
corresponding partitioned stiffness matrices. Note that 𝐊𝑎𝑎 and 𝐊𝑑𝑑 are
square matrices of dimensions 𝑎 × 𝑎 and (𝑁 − 𝑎) × (𝑁 − 𝑎), while 𝐊𝑎𝑑
and 𝐊𝑑𝑎 are non-square matrices of dimensions 𝑎 × (𝑁 − 𝑎) and (𝑁 −
𝑎) × 𝑎 respectively. Usually, 𝐗𝑑 are selected such that the corresponding
forcing at these nodes are zero, i.e., 𝐔𝑑 = 𝟎. This assumption enables
expressing 𝐗𝑑 in terms of 𝐗𝑎 as
𝐗𝑑 = −𝐊−1
𝑑𝑑 𝐊𝑑𝑎 𝐗𝑎 . (3)
Substituting Eq. (3) into Eq. (2) leads to
[ ] [ ]
𝐗𝑎 𝐈
𝐗= = 𝐗𝑎 = 𝐓𝑠 𝐗𝑎 , (4)
𝐗𝑑 −𝐊−1 𝐊
𝑑𝑑 𝑑𝑎
where, 𝐓𝑠 is the 𝑁 × 𝑎 transformation matrix used to map the unknown
variables from the 𝑁-dimensional space spanned by the vector 𝐗 to
the reduced 𝑎-dimensional space spanned by 𝐗𝑎 and 𝐈 is 𝑎 × 𝑎 identity
R. Kumar, S.F. Ali and S. Gupta
matrix. Using the transformation matrix 𝐓𝑠 , Eq. (1) can be rewritten in
the reduced 𝑎-dimensional space as
𝐊𝑟 𝐗𝑎 (𝑡) = 𝐔𝑟 (𝑡),
where, 𝐊𝑟 = 𝐓𝑇𝑠 𝐊𝐓𝑠 is the 𝑎 × 𝑎 reduced order stiffness matrix and
𝐔𝑟 = 𝐓𝑇𝑠 𝐔 is the reduced order 𝑎 × 1 dimensional force vector. The
superscript 𝑇 denotes matrix transpose.
3. Polynomial chaos expansion (PCE)
3.1. Principle
The underlying principle in PCE involves projecting a random field
 (𝐱, 𝜔) onto an orthogonal basis subspace spanned by random basis
functions comprising of polynomials of a vector of uncorrelated random
variables, such that, the basis functions are orthogonal with respect to
probability measure [17,19]. Here, 𝐱 denotes the state space of the field
and the probability space is defined by the triplet (𝛺, , ). Polyno-
mial chaos expansion originally involved using Hermite polynomials
of standard Gaussian variables as the random basis functions but has
been later extended to include a family of non-Gaussian variables and
corresponding polynomial functions forming the Askey scheme [19].
This was subsequently formalized through the Cameron–Martin theo-
rem [26], and the resulting representation is expressed in the compact
form
∑ probabilistic characterization of any continuous field  (𝐱, 𝜔) is always
 (𝐱, 𝜔) = 𝐚𝒍 (𝐱)𝜳 𝒍 (𝝃(𝜔)), (6)
𝒍
where, 𝝃(𝜔) = {𝜉1 (𝜔), … , 𝜉𝑑 (𝜔)} ∈ ℜ𝑑 is a vector of random variables
with joint pdf 𝑝𝝃 , 𝒍 = {𝑙1 , … , 𝑙𝑑 } ∈ 𝑁 𝑑 , {𝜳 𝒍 (𝝃(𝜔))} are the stochastic ba-
sis functions and 𝐚𝒍 (𝐱) are the corresponding deterministic projections
along the basis functions. Henceforth in this paper, the notation 𝜔 is
omitted for sake of simplicity in exposition. It can be shown that [27]
𝜳 𝒍 (𝝃) = 1 if 𝒍 = 0,
( ∏𝑑 )1∕2 𝑑
𝑖=1 𝑝𝜉𝑖 (𝝃) ∏ coefficient (SRCC) between any two components, 𝐟𝑖 and 𝐟𝑗 , is estimated
= 𝜁𝑙𝑖 (𝜉𝑖 ), ∀ 𝒍 ≠ 0.
𝑝𝝃 (𝝃) 𝑖=1
Here, 𝜁𝑙𝑖 (𝜉𝑖 ) are orthogonal polynomials of order 𝛼𝑖 with respect to
probability measure and 𝑝𝝃 (𝝃) and 𝑝𝜉𝑖 (𝝃 𝑖 ) are joint and marginal proba-
bility density functions (pdf). This also ensures that 𝜳 𝑖 (𝝃) are mutually
orthogonal with respect to probability measure and is mathematically
expressed as
E[𝜳 𝑖 (𝝃)𝜳 𝑗 (𝝃)] = E[𝜳 2𝑖 (𝝃)]𝛿𝑖𝑗 ,
where 𝛿𝑖𝑗 is the Kronecker delta and E[⋅] is the expectation operator.
The distribution of 𝝃 is essentially a modelling decision; the orthogonal
functions to be used in conjunction with the pdf of 𝝃 for optimal
representation is as per the Askey scheme [19].
The condition that  (𝐱, 𝜔) is a second order random field implies
that E[ 2 (𝐱, 𝜔)] < ∞. For practical implementation, the infinite series
expansion in Eq. (6) is truncated after 𝑃𝑝𝑐 terms, such that
(𝑑 + 𝑝)!
𝑃𝑝𝑐 = − 1.
𝑑!𝑝!
Here, 𝑑 is the dimension of vector of random variables 𝝃 and 𝑝 denotes
the order of polynomial 𝜳 𝑖 (𝝃). The truncated series can be shown to
converge in 2 to  (𝐱, 𝜔). The key aspects of PC framework lies in the
evaluation of projections 𝐚𝑙 (𝐱) in Eq. (6), which, using the property of
orthogonality of the basis functions, can be expressed as
E[ (𝐱, 𝜔)𝜳 𝑙 (𝝃)]
𝐚𝑙 (𝐱) = . (10)
E[𝜳 2𝑙 (𝝃)]
Here, the expectation operator in Eq. (10) implies a multi-dimensional
integral of the form
∞ ∞
E[ (𝐱, 𝜔) 𝜳 𝑙 (𝝃)] = ...  (𝐱, 𝜔)𝜳 𝑙 (𝝃)𝑝𝝃 (𝝃)𝑑𝝃,
∫−∞ ∫−∞
evaluation of which can be computationally challenging for large di-
mensions of 𝝃.
Probabilistic Engineering Mechanics 66 (2021) 103166
3.2. Polynomial chaos representation obtained through discrete measured
data
(5)
As can be seen from Eqs. (10)–(11), the evaluation of the projections
of the PC expansion through the multidimensional integral in Eq. (11)
requires the knowledge of the second order probabilistic characteristics
of the random fields  (𝐱, 𝜔). This implies that a large number of
observation data about the random fields are available. In practical
situations, data is usually available from a limited locations in the
system domain. This problem can be somewhat mitigated by adopting
the procedure of constructing PC representations of the random field
directly from measurement data [28,29], the procedure of which is
discussed next.
Assume that the continuous random field  (𝐱, 𝜔) in the 𝑁-dimen-
sional Euclidean space is defined in terms of discrete variables using
𝑁-dimensional vector of random variables 𝐅 = [𝐟1 , … , 𝐟𝑁𝑟 ]𝑇 , where 𝐟𝑘
is the random variable corresponding to  (𝐱 = 𝐱𝑘 ). Assume that 𝑝𝐅 =
𝑝𝐟1 …𝐟𝑁 is the corresponding joint pdf of the discretized random field.
𝑟
Characterization of the random field  (𝐱, 𝜔) in discrete form requires
the prior information of 𝑝𝐅 as 𝑁𝑟 → ∞. However, practical considera-
tions limit the number of points at which data may be collected. Hence,
𝑁𝑟 is a small finite number and the selection of these observation points
are dictated by experimental and physical constraints. Therefore, the
an approximation.
The data collected from the measurements is assumed to be sample
realizations of 𝐅. The focus here is on obtaining a PC representation for
𝐅 using the measurement data, such that the joint pdf of  (𝐱, 𝜔) and 𝐅
are equivalent. As a first step, the marginal pdfs of the components of 𝐅,
denoted by 𝐟𝑘 , are estimated from the normalized histogram obtained
from the measurement data; the joint pdf 𝑝𝐅 is also similarly estimated
from the joint normalized histogram. The Spearman’s rank correlation
(7) from the expression
6𝛴𝑑𝑖2
𝜌𝑠 (𝐟𝑖 , 𝐟𝑗 ) = 1 − , (12)
𝑛(𝑛2 − 1)
where, 𝑑𝑖 = 𝑎𝑖 − 𝑏𝑖 , 𝑎𝑖 and 𝑏𝑖 are the ranks of the realizations of
random variables 𝐟𝑖 and 𝐟𝑗 , respectively when arranged in an ascending
order and 𝑛 is the number of experimentally observed data. Note that
(8) −1 ≤ 𝜌𝑠 (𝐟𝑖 , 𝐟𝑗 ) ≤ 1, is independent of the marginal pdfs 𝑝𝐟𝑘 , the matrix
is symmetric and is invariant under strictly monotone transformations
of 𝐟𝑖 and 𝐟𝑗 . The component vectors 𝐟𝑘 are random variables and can be
expressed in terms of polynomial chaos as
∑
𝐟𝑘 (𝜔) = 𝐚𝑗 𝜳 𝑗 (𝝃(𝜔)), (13)
𝑗
which is in the same form as in Eq. (6), with 𝐱 = 𝐱𝑘 . Here,
E[𝐟𝑘 𝜳 𝑗 (𝝃)]
(9) 𝐚𝑗 = . (14)
E[𝜳 2𝑗 (𝝃)]
The mapping of 𝜉 to each component 𝐟𝑘 is obtained using Nataf trans-
formations [30], given by
𝑓𝑘 (⋅) = 𝑃𝑘−1 𝑃𝜉𝑗 , (15)
where, 𝑃𝜉𝑗 is the marginal probability distribution function (PDF) of 𝜉𝑗
and 𝑃𝑘 is the marginal PDF of 𝑓𝑘 . Note that 𝑃𝑘 is obtained from the
normalized histogram obtained from measurement data. The mutual
correlation that exists between the components of 𝐅, and captured
through the SRCC matrix are ensured by simulating a vector of corre-
lated random variables 𝝃 = [𝜉1 , … , 𝜉𝑁𝑟 ]𝑇 , where the mutual dependence
(11)
satisfies the SRCC matrix. This enables developing a surrogate model
for  (𝐱, 𝜔) in terms of PC, from which realizations of the field can be
easily numerically simulated.
3
R. Kumar, S.F. Ali and S. Gupta Probabilistic Engineering Mechanics 66 (2021) 103166

3.3. PC in uncertainty propagation
The uncertainties in the system properties and in the excitations
propagate into the response. The uncertainties in the response can be
expressed in PC form, where the basis functions are taken to be the
tensorial product of the bases of the random fields used for character-
izing the uncertainties in the system properties and in the excitations.
Assume that the response can be expressed in the functional form
𝐲(𝐱, 𝜔) = 𝑔[ (𝐱, 𝜔)], where, 𝑔[⋅] represents the functional relationship
that relates the input uncertainties into the system and the response. If
the PC representation of the response is denoted in the same basis as
the random field  (𝐱, 𝜔), one can write
∑ by applying Karhunen–Loéve expansions on a bounding volume of
𝐲(𝐱, 𝜔) = 𝐜𝜶 (𝐱)𝜳 𝜶 (𝝃(𝜔)), (16)
𝜶
where, 𝐜𝜶 (𝐱) are the unknown projections that can be estimated as
[ ]
E 𝐲(𝐱, 𝜔)𝜳 𝜶 (𝝃)
𝐜𝜶 (𝐱) = [ ] (17)
E 𝜳 2𝜶 (𝝃)
Once these projections are estimated, the PC representation for the
response is available, and one can directly obtain sample realizations of
the response by simulating vectors of 𝝃 using Monte Carlo simulations.
This approach enables bypassing the potentially computationally costly
full scale analysis of the problem for each realization of the input
random fields.
It is worth emphasizing here that a key step in this approach lies
in evaluating the expectations in Eq. (17). This essentially involves
evaluating multidimensional integrals and can be computationally chal-
lenging when the dimension 𝑁𝑟 is large. Generally, this is accomplished
by using stochastic collocation [31,32] in conjunction with quadrature
schemes. This however does not address the so called ‘curse of dimen-
sionality’ [19–21,33], even if one uses sparse grid methods based on
Smolyak’s algorithm [34,35].
3.4. PCE based stochastic finite element method
the physical space 𝐱, 𝜳 𝑖 (𝝃) are the random basis functions and 𝑒𝑖 (𝐱)
are the deterministic projections. Discussions of the methodology for
constructing 𝐊(𝝃) for 2- and 3-dimensional systems are presented in the
Appendix.
4. PCE for complex irregular geometrical domains
As has been mentioned in the introduction, a drawback that has
prevented the widespread use of PCE for random field discretization
has been the difficulty in applying this method in systems with irregular
and complex geometries. A recent study [24] proved that Gaussian ran-
dom fields in structures with complicated geometries can be discretized
regular geometry, in which the structure in question is completely
engulfed, such that the statistical properties of the discretized field
incur no errors. This paper extends this formulation for the case of PCE
for discretization of random fields of arbitrary distributions.
Consider a mean square continuous random field  (𝐱, 𝜔) ∈ 2 (D ×
𝜔), defined in the domain D ⊂ ℜ𝑑 , with mean ̄ (𝐱). Here, the probabil-
ity space is defined as (𝛺, , ) and 2 (𝜔) is a space of square integrable
real valued random variables. Consider a bounding domain D′ ⊂ ℜ𝑑 ,
such that D ∩ D′ ≠ 𝜙 and define an identically distributed mean square
continuous random field  ′ (𝐱′ , 𝜔) ∈ 2 (D′ × 𝜔) with identical mean as
 (𝐱, 𝜔) for all (𝐱′ = 𝐱) ∈ D ∩ D′ . Mathematically, this implies that
̄ (𝐱) = E[ (𝐱, 𝜔)] = E[ ′ (𝐱, 𝜔)] = ̄ ′ (𝐱). (20)
The PCE representation of  (𝐱, 𝜔) and  ′ (𝐱, 𝜔) are given by
∑
∞
 (𝐱, 𝜔) = 𝐚𝛼 (𝐱)𝜳 𝛼 (𝝃),
𝛼=0
(21)
∑∞
′
 (𝐱, 𝜔) = 𝐚′𝛼 (𝐱)𝜳 𝛼 (𝝃),
𝛼=0
where, the deterministic projections 𝐚𝛼 and 𝐚′𝛼 are estimated as in
Eq. (17).

A key step in uncertainty propagation involves development of the 4.1. Mean

weak form of the governing equations for the system, using finite
elements (FE). The crux here lies in extending the FE formulations The mean of the processes can be calculated as,
available in the literature for deterministic systems, to problems in- ∑
∞
[ ]
volving random fields which are now represented in the PC form E[ (𝐱, 𝜔)] = 𝐚𝛼 (𝐱)E 𝜳 𝛼 (𝝃) , (22)
𝛼=0
discussed earlier in this section. This implies that the elements of the
FE matrices obtained from the weak formulation of the problem are ∑∞
[ ]
E[ ′ (𝐱, 𝜔)] = 𝐚′𝛼 (𝐱)E 𝜳 𝛼 (𝝃) . (23)
now functions of random variables 𝝃. The extension of FE method to a 𝛼=0
more wider class of problems involving stochastic fields is referred to
Since, the selection of orthogonal bases in PC expansion depends on the
as the stochastic finite element method (SFEM). For static problems,
distribution of random process which is same for both the domains,
mathematically, the weak form representation of the equations are
hence identical polynomial functions can be used as bases in the
given by
PC representation of  (𝐱, 𝜔) and  ′ (𝐱, 𝜔). Imposing the condition in
𝐊(𝝃)𝐗(𝝃) = 𝐔. (18) Eq. (20) on Eqs. (22)–(23), it follows that
∑
∞
[ ] ∑∞
[ ]
Here, 𝐊 ∈ ℜ𝑁×𝑁 is the global random stiffness matrix of the stochastic 𝐚𝛼 (𝐱)E 𝜳 𝛼 (𝝃) = 𝐚′𝛼 (𝐱)E 𝜳 𝛼 (𝝃) . (24)
system whose coefficients are function of 𝝃, 𝐗 ∈ ℜ𝑁×1 denotes the 𝛼=0 𝛼=0
vector of nodal displacements and 𝐔 ∈ ℜ𝑁×1 is the vector for the As has been mentioned earlier, for practical implementation the infinite
forcing. Here, for the sake of simplicity of exposition, 𝐔 is assumed to be series expansions in Eqs. (21) are usually truncated after 𝑃𝑝𝑐 terms (see
deterministic. Since the system properties are assumed to have spatial Eq. (9)), enabling Eq. (24) to be rewritten in a finite dimensional space
random inhomogeneities, modelled as random fields and represented as
in PC form, the elements of 𝐊 are functions of the random variables 𝝃. 𝑃
This implies that the response is also random and is a function of 𝝃. ∑
𝑝𝑐
[ ]
{𝐚𝛼 (𝐱) − 𝐚′𝛼 (𝐱)}E 𝜳 𝛼 (𝝃) = 0. (25)
For the numerical problems presented later in this paper, Young’s 𝛼=0
modulus of elasticity 𝐸 is modelled as a random field, the correspond-
Here, it must be emphasized that the basis dimensions are assumed
ing PC representation of which is
to be equal for both the truncated fields. This assumption is not
𝑛1
∑ unreasonable as the domains of interest are essentially in the region
𝐸(𝐱, 𝜔) = 𝑒𝑖 (𝐱)𝜳 𝑖 (𝝃). (19) of (D ∩ D′ ). An equivalent representation of Eq. (25) is
𝑖=0
𝑃
In the above expansion, the term corresponding to 𝑖 = 0 represents ∑
𝑝𝑐
𝝐 𝛼 (𝐱)𝜰 𝛼 = 0, (26)
the mean value about which the random spatial variations occur in
𝛼=0

4
R. Kumar, S.F. Ali and S. Gupta
Fig. 1. Schematic of a 1-D domain, where domain D consists of three disconnected
lines with length 𝐿1 , 𝐿2 and 𝐿3 while the modified bounding domain D′ has length
𝐿 such that 𝐿 > (𝐿1 + 𝐿2 + 𝐿3 ).
where, 𝝐 𝛼 (𝐱) = 𝐚𝛼 (𝐱)−𝐚′𝛼 (𝐱) is the
[ difference
] in the projection functions
𝐚𝛼 (𝐱) and 𝐚′𝛼 (𝐱) and[ 𝜰 𝛼 =] E 𝜳 𝛼 (𝝃) are constants. It is worthwhile
to point out that E 𝜳 𝛼 (𝝃) depends only on the distribution of 𝝃, is
independent of the domain of the field and are hence equal for both the
domains D and D′ . Eq. (26) can
[ be ]satisfied if 𝜰 𝛼 = 0, ∀𝛼. However,
in the general case, at least E 𝜳 0 (𝝃) ≠ 0. It follows that there are an
infinity of solutions for Eq. (26) including the one where 𝝐 𝛼 (𝐱) = 0 for
all 𝛼 and for 𝐱 ∈ (D ∩ D′ ). If 𝝐 𝛼 (𝐱) = 0 for all 𝛼, mathematically, this
implies that the following condition
𝐚𝛼 (𝐱) = 𝐚′𝛼 (𝐱), ∀ 𝛼,
is imposed. Imposing this additional condition ensures that Eq. (24)
is satisfied without loss of generality. The implication of imposing
this condition enables computing projection functions for the regular
bounding domain D′ , which are identical for the domain D for the
region (D∩D′ ). For very complex and irregular geometries, this implies
that 𝐚𝛼 (𝐱) could potentially be disjointed piecewise continuous func-
tions as will be illustrated in the following section through a couple of
numerical examples.
4.2. Numerical illustrations
This section considers two numerical examples with relatively sim-
ple geometrical domains D and D′ , to illustrate the implication of the
condition imposed in Eq. (27). The corresponding functions 𝐚𝛼 (𝐱) and
𝐚′𝛼 (𝐱) are numerically computed for D and D′ .
4.2.1. Example 1: 1-dimensional random field
For the sake of ease of exposition, first a one-dimensional random
field is considered. The domain D is assumed to comprise of three
disconnected lines denoted by 𝐿1 , 𝐿2 and 𝐿3 , each of length 10 units.
The bounding domain D′ is taken to be a single line 𝐿 of length 35
Fig. 2. Visualization of the projection functions for the 1-D random field for domains shown in Fig. 1 with (a) Gaussian distribution, (b) Uniform distribution. Full lines correspond
to 𝐚′𝛼 (𝐱), while the dashed lines correspond to 𝐚𝛼 (𝐱).
Probabilistic Engineering Mechanics 66 (2021) 103166
Fig. 3. Schematic of 2-D domain, where D consists of two disconnected rectangles
(unhatched region), while the modified bounding domain D′ is a much larger
rectangular domain (hatched region).
units. A schematic diagram of domains D and D′ are shown in Fig. 1.
The random field for D is assumed to be represented as  (𝐱, 𝜔), while
it is  ′ (𝐱, 𝜔) for D′ . The numerical calculations have been carried out
for a Gaussian random field and a Uniform random field. The first
two projection functions 𝐚𝛼 (𝐱) corresponding to D (denoted by full
lines) and for 𝐚′𝛼 (𝐱) corresponding to D′ (denoted by dashed lines) are
(27) shown in Figs. 2(a) and 2(b) respectively for the Gaussian and Uniform
distributed fields. As can be seen from these figures, while 𝐚′𝛼 (𝐱) are
continuous functions, the functions 𝐚𝛼 (𝐱) are disjointed and piecewise
continuous.
4.2.2. Example 2: 2-dimensional random field
This example considers a 2-D random field where the domain D
consists of two rectangular disconnected domains at an offset, while D′
is a much larger rectangular bounding domain; see Fig. 3. The random
field considered here is 2-D, defined in 𝐱 = (𝑥, 𝑦).  (𝑥, 𝑦, 𝜔) is the field
for D, while  ′ (𝑥, 𝑦, 𝜔) denotes the random field for D′ . Consequently,
the projection functions 𝐚𝛼 (𝐱) and 𝐚′𝛼 (𝐱) are 2-D and defined in the
𝑥 − 𝑦 space. The first two set of projection functions corresponding
to  (𝑥, 𝑦, 𝜔) and  ′ (𝑥, 𝑦, 𝜔) are computed for Gaussian fields as well
as Uniformly distributed fields. Fig. 4(a) shows 𝐚′1 (𝑥, 𝑦) for D′ , while
Fig. 4(b) shows the function 𝐚1 (𝑥, 𝑦) defined only in D, when the
fields are Gaussian distributed. The corresponding projection functions
𝐚2 (𝑥, 𝑦) and 𝐚′2 (𝑥, 𝑦) are shown in Fig. 5. Figs. 6–7 show the projection
functions for D and D′ , when the fields have uniform distribution. It is
clear from these figures that imposing the condition in Eq. (27) leads to
the projection functions being identical for all 𝐱 that lies in the domain
(D ∩ D′ ).
5
R. Kumar, S.F. Ali and S. Gupta Probabilistic Engineering Mechanics 66 (2021) 103166

Fig. 4. Projection functions for 2-D Gaussian random field for domains shown in Fig. 3; (a) 𝐚′1 (𝑥, 𝑦) defined in D′ , (b) 𝐚1 (𝑥, 𝑦) defined in D.

Fig. 5. Projection functions for 2-D Gaussian random field for domains shown in Fig. 3; (a) 𝐚′2 (𝑥, 𝑦) defined in D′ , (b) 𝐚2 (𝑥, 𝑦) defined in D.

Fig. 6. Projection functions for 2-D Uniformly distributed random field for domains shown in Fig. 3; (a) 𝐚′1 (𝑥, 𝑦) defined in D′ , (b) 𝐚1 (𝑥, 𝑦) defined in D.

4.3. Covariance Similarly, for domain D′ , Eq. (29) can be written as

∑
∞
[ ]
For domain D, the covariance function (𝐱1 , 𝐱2 ) is defined as E[ ′ (𝐱1 , 𝜔)  ′ (𝐱2 , 𝜔)] = 𝐚′𝛼 (𝐱1 )𝐚′𝛼 (𝐱2 ) E 𝜳 2𝛼 (𝝃) . (30)
[ ] 𝛼=0
(𝐱1 , 𝐱2 ) = E  (𝐱1 , 𝜔) (𝐱2 , 𝜔) − ̄ (𝐱1 )̄ (𝐱2 ), (28)
As has already been mentioned, for practical implementation the
where, the first term, using the orthogonality of the bases, can be
series representations in Eqs. (21) are truncated up to finite terms. The
expressed as
difference in the covariance
∑
∞
[ ]
E[ (𝐱1 , 𝜔)  (𝐱2 , 𝜔)] = 𝐚𝛼 (𝐱1 )𝐚𝛼 (𝐱2 ) E 𝜳 2𝛼 (𝝃) . (29)
E[ (𝐱1 , 𝜔)  (𝐱2 , 𝜔)] − E[ ′ (𝐱1 , 𝜔)  ′ (𝐱2 , 𝜔)] = 𝝐 𝑐 (𝐱1 , 𝐱2 ),
𝛼=0

6
R. Kumar, S.F. Ali and S. Gupta Probabilistic Engineering Mechanics 66 (2021) 103166

Fig. 7. Projection functions for 2-D Uniformly distributed random field for domains shown in Fig. 3; (a) 𝐚′2 (𝑥, 𝑦) defined in D′ , (b) 𝐚2 (𝑥, 𝑦) defined in D.

can be rewritten as From the condition imposed in Eq. (27), it follows that 𝐚𝑚 𝛼 (𝐱) =
𝑃
∑ 𝐚′𝑚 ′
𝛼 (𝐱) ∀𝐱 ∈ (D∩D ) and for all 𝑚 taking integer values. This implies that
𝑝𝑐
[ ]
[𝐚𝛼 (𝐱1 )𝐚𝛼 (𝐱2 ) − 𝐚′𝛼 (𝐱1 )𝐚′𝛼 (𝐱2 )] E 𝜳 2𝛼 (𝝃) = 𝝐 𝑐 (𝐱1 , 𝐱2 ). (31) E[ 𝑚 (𝐱, 𝜔)] = E[ ′𝑚 (𝐱, 𝜔)], which means that the higher order moments
𝛼=0 are equivalent for 𝐱 ∈ (D ∩ D)′ .
An equivalent representation of Eq. (31) in terms of vector space is
4.4.2. Proof for Condition 2
𝐁𝐳 = 𝝐 𝑐 . (32)
[ ] The expression for the higher order joint expectations as shown in
2
Here, 𝐳 is a vector, whose 𝑗-th element is given by E 𝜳 𝑗 (𝝃) and is a condition 2 can be expressed in terms of the bases and the projections
constant that is independent of the domains D, D′ and 𝐁𝑗 ≡ 𝐁𝑗 (𝐱1 , 𝐱2 ) = 𝐚𝛼 (𝐱) as
𝐚𝑖 (𝐱1 )𝐚𝑖 (𝐱2 )−𝐚′𝑖 (𝐱1 )𝐚′𝑖 (𝐱2 ). However, from the condition in Eq. (27), it can
E[ 𝑚 (𝐱1 , 𝜔)  𝑛 (𝐱2 , 𝜔)]
be ascertained that [ ]
∑
𝐚𝛼 (𝐱1 )𝐚𝛼 (𝐱2 ) = 𝐚′𝛼 (𝐱1 )𝐚′𝛼 (𝐱2 ), ∀ 𝐱1 , 𝐱2 ∈ (D ∩ D′ ), (33) =E 𝐚𝛼 (𝐱1 )𝐚𝛽 (𝐱2 )𝜳 𝛼 (𝝃)𝜳 𝛽 (𝝃)
𝛼
which implies that the right hand side of Eq. (32) is zero. It follows [
∑
∞ ∞ ∑
∑ ∞ ∑
∞
that E[ (𝐱1 , 𝜔)  (𝐱2 , 𝜔)] = E[ ′ (𝐱1 , 𝜔)  ′ (𝐱2 , 𝜔)], which establishes the =E ⋯ ⋯ 𝐚𝛼1 (𝐱1 ) ⋯ 𝐚𝛼𝑚 (𝐱1 )𝐚𝛽1 (𝐱2 )
equivalence in covariance function for all 𝐱1 , 𝐱2 ∈ (D ∩ D′ ). Since 𝛼1 =0 𝛼𝑚 =0 𝛽1 =0 𝛽𝑛 =0
]
the bounding domain is such that (D ∩ D′ ) = D, it follows that the
⋯ 𝐚𝛽𝑛 (𝐱2 )𝜳 𝛼1 (𝝃) ⋯ 𝜳 𝛼𝑚 (𝝃)𝜳 𝛽1 (𝝃) ⋯ 𝜳 𝛽𝑛 (𝝃) .
equivalence is valid throughout the domain D.
Using the property of orthogonality of the bases, the above ex-
4.4. Higher order moments pression can be simplified leading to the following expression for the
auto-covariance function
To ascertain the equivalence of the PC representation of  (𝐱, 𝜔) and [∞ ∞ ]
∑∑
 ′ (𝐱, 𝜔), one needs to show that their joint pdf to be equivalent. This E[ 𝑚 (𝐱1 , 𝜔)  𝑛 (𝐱2 , 𝜔)] = E 𝐚𝑚 (𝐱 )𝐚𝑛
(𝐱 )𝜳 𝑚
(𝝃)𝜳 𝑛
(𝝃)
𝛼 1 𝛽 2 𝛼 𝛽
is a strong condition that is difficult to ascertain mathematically. Note 𝛼=0 𝛽=0
that while it is sufficient to show equivalence of the first order joint [ ]
∑∞
moments for Gaussian processes, for general non-Gaussian processes =E 𝐚𝑚 (𝐱 )𝐚
𝛼 1 𝛼 2
𝑛
(𝐱 )𝜳 𝑚+𝑛
𝛼 (𝝃) (36)
this can be established only through the equivalence of higher order 𝛼=0
moments. Weaker conditions for equivalence are therefore given by the ∑
∞
[ 𝑚+𝑛 ]
following conditions: = 𝐚𝑚 𝑛
𝛼 (𝐱1 )𝐚𝛼 (𝐱2 ) E 𝜳 𝛼 (𝝃) .
𝛼=0
• Condition 1: Similarly, the expression for the auto-covariance function for  ′ (𝐱, 𝜔)
E[ 𝑚 (𝐱, 𝜔)] = E[ ′𝑚 (𝐱, 𝜔)], ∀ 𝐱 ∈ (D ∩ D′ ) and ∀ 𝑚 > 0. in the bounding domain D′ can be expressed as
• Condition 2:
E[ 𝑚 (𝐱1 , 𝜔) 𝑛 (𝐱2 , 𝜔)] = E[ ′𝑚 (𝐱1 , 𝜔) ′𝑛 (𝐱2 , 𝜔)], ∀ 𝐱1 , 𝐱2 ∈ (D ∩ D′ ) ∑
∞
[ 𝑚+𝑛 ]
E[ ′𝑚 (𝐱1 , 𝜔)  ′𝑛 (𝐱2 , 𝜔)] = 𝐚′𝑚 ′𝑛
𝛼 (𝐱1 )𝐚𝛼 (𝐱2 ) E 𝜳 𝛼 (𝝃(𝜔)) . (37)
and ∀ 𝑚, 𝑛 > 0. 𝛼=0

4.4.1. Proof for Condition 1 From Eq. (33), it follows that

Writing the PCE form for  (𝐱, 𝜔), and using the orthogonality of the 𝐚𝑚 𝑛 ′𝑚 ′𝑛
(38)
𝛼 (𝐱1 ) 𝐚𝛼 (𝐱2 ) = 𝐚𝛼 (𝐱1 ) 𝐚𝛼 (𝐱2 ),
bases, one gets
[ ∞ ] for all 𝑚, 𝑛 taking integer values. It follows therefore, E[ 𝑚 (𝐱1 , 𝜔)
∑ ∑
∞
E[ 𝑚 (𝐱, 𝜔)] = E ⋯ 𝐚𝛼1 (𝐱) ⋯ 𝐚𝛼𝑚 (𝐱)𝜳 𝛼1 (𝝃) ⋯ 𝜳 𝛼𝑚 (𝝃)  𝑛 (𝐱2 , 𝜔)] = E[ ′𝑚 (𝐱1 , 𝜔)  ′𝑛 (𝐱2 , 𝜔)] for all 𝐱1 , 𝐱2 ∈ (D ∩ D′ ) and for
𝛼1 =0 𝛼𝑚 =0 all 𝑚, 𝑛 > 0.
(34)
∑
∞
[ 𝑚 ]
= 𝐚𝑚
𝛼 (𝐱)E 𝜳 𝛼 (𝝃) . 4.5. Error bounds
𝛼=0
Similarly, it can be shown that
The domain independence property of the PC expansion has been
∑
∞
[ ] established for the complete series without any truncation. However,
′𝑚
E[ (𝐱, 𝜔)] = 𝐚′𝑚
𝛼 (𝐱) E 𝜳𝑚
𝛼 (𝝃) . (35)
in practice the series is truncated to finite number of terms. Therefore,
𝛼=0

7
R. Kumar, S.F. Ali and S. Gupta Probabilistic Engineering Mechanics 66 (2021) 103166

the effect of series truncation on the domain independence is discussed where, 𝐊𝑟 (𝜔) = 𝐓𝑇𝑠 (𝜔)𝐊(𝜔)𝐓𝑠 (𝜔) and 𝐔𝑟 (𝜔) = 𝐓𝑇𝑠 (𝜔)𝐔. It is pertinent to
here and error bounds are derived. note that even though the full ordered forcing vector is deterministic,
Let F(𝐱, 𝜔) and F′ (𝐱, 𝜔) be the truncated series representations of in the reduced order space it is stochastic. A solution to Eq. (50)
 (𝐱, 𝜔) and  ′ (𝐱, 𝜔), respectively. Let the truncation errors be repre- can be obtained by representing the solution 𝐗𝑎 (𝜔) in terms of PCE
sented as 𝜛 (𝐱, 𝜔) and 𝜛 ′ (𝐱, 𝜔), i.e., following the discussions presented in Section 3.3. The salient steps in
 (𝐱, 𝜔) − F(𝐱, 𝜔) = 𝜛 (𝐱, 𝜔), implementing the proposed framework are summarized as follow;
(39)
 ′ (𝐱, 𝜔) − F′ (𝐱, 𝜔) = 𝜛 ′ (𝐱, 𝜔).
1. The system is discretized using FE and represented in terms of
Then, 𝑛𝑒 elements.
( )
2. For discretizing the random fields, a bounding volume D′ is
‖ F(𝐱, 𝜔) − F′ (𝐱, 𝜔) ‖𝓁𝑝 (𝜔) ⩽ ‖ 𝜛 (𝐱, 𝜔) ‖𝓁𝑝 (𝜔) + ‖ 𝜛 ′ (𝐱, 𝜔) ‖𝓁𝑝 (𝜔) (40)
defined, such that (D ∩ D′ ) ≠ 𝜙.
where ‖ ⋅ ‖𝓁𝑝 (𝜔) denotes the 𝓁𝑝 (𝜔)-norm for a random variable and for 3. The system properties modelled as random fields are represented
a random variable 𝑄, this is defined as in PCE form in D′ and are functions of 𝑑-dimensional random
[ ] 1 variable vector 𝝃, which can be numerically simulated.
‖ 𝑄 ‖𝓁𝑝 = {E |𝑄|𝑝 } 𝑝 . (41)
4. The stochastic system matrices are constructed using the princi-
For brevity of exposition, the arguments 𝐱 and 𝜔 will not be used in ples outlined in the Appendix.
the subsequent expressions in this section. 5. The active dofs 𝐗𝑎 are identified and the problem is recast into
The objective here is to find the error bound for ‖ F − F′ ‖𝓁𝑝 (𝜔) . One the reduced order space as in Eq. (50).
can therefore write 6. The response is obtained as a PC expansion in Eq. (16); the
‖ F − F′ ‖𝓁𝑝 (𝜔) = ‖ F −  +  − F′ ‖𝓁𝑝 (𝜔) selection of the bases depends on the pdf of the random variables
⩽ ‖  − F ‖𝓁𝑝 (𝜔) + ‖  − F′ ‖𝓁𝑝 (𝜔) 𝝃; the coefficients of the PC expansion are determined using
(42) stochastic collocation as in Eq. (17).
(using triangle inequality) 7. For each realization of 𝝃, the reduced system of equations are
= ‖ 𝜛 ‖𝓁𝑝 (𝜔) + ‖  − F′ ‖𝓁𝑝 (𝜔) . solved to get the response vector 𝐗𝑎 . Subsequently, these can
A bound for the term ‖  − F′ ‖𝓁𝑝 (𝜔) in Eq. (42) can be evaluated as be used to compute other derived response quantities such as
follows: stresses.
8. Step 7 is repeated for all the realizations of 𝝃.
‖  − F′ ‖𝓁𝑝 (𝜔) = ‖  −  ′ +  ′ − F′ ‖𝓁𝑝 (𝜔)
9. Finally, probabilistic measures of the response quantities are es-
⩽ ‖  −  ′ ‖𝓁𝑝 (𝜔) + ‖  ′ − F′ ‖𝓁𝑝 (𝜔) (43) timated from statistical processing of the ensemble; estimates of
′ ′ the failure probability is obtained through the relative frequency
= ‖  −  ‖𝓁𝑝 (𝜔) + ‖ 𝜛 ‖𝓁𝑝 (𝜔) .
approach.
Since it has been established that  (𝐱, 𝜔) and  ′ (𝐱, 𝜔) are equivalent for
𝐱 ∈ (D ∩ D′ ) and since The proposed methodology is illustrated through two numerical exam-
∑
𝑙 ples presented in the next section.
lim
‖ (𝐱, 𝜔) − 𝐚𝛼 (𝐱)𝜳 𝛼 (𝝃)‖𝓁𝑝 (𝜔) → 0, (44)
𝑙→∞ 𝛼=1

therefore it follows that 6. Numerical examples

′
‖  −  ‖𝓁𝑝 (𝜔) = 0. (45)
In this section, two numerical examples are presented to demon-
By substituting Eq. (45) into Eq. (43), it follows that strate the efficacy of the proposed method. The first example considers
‖  − F′ ‖𝓁𝑝 (𝜔) ⩽ ‖ 𝜛 ′ ‖𝓁𝑝 (𝜔) . (46) a 2-D square plate having spatial inhomogeneities, having multiple
holes placed asymmetrically, and subjected to axial distributed loading.
Now, substituting Eq. (46) into Eq. (42), the bound The second example considers a three dimensional bladed disc sector
( )
‖ F − F′ ‖𝓁𝑝 (𝜔) ⩽ ‖ 𝜛 ‖𝓁𝑝 (𝜔) + ‖ 𝜛 ′ ‖𝓁𝑝 (𝜔) . (47) with a spatial material inhomogeneities. The numerical results are
compared by analysing the problem using the following two methods:
is obtained. The number of PC terms in the expansion can be varied
depending on the desired level of accuracy and the problem. • Method 1:The proposed method discussed in the paper. This
involves fitting a PC representation for the material property
5. PC expansion based static condensation random fields after defining a bounding domain D′ which com-
pletely engulfs the complex, geometrically irregular domain D
The static condensation technique discussed in Section 2 is now of the system, constructing the stochastic FE matrices and de-
extended for stochastic case where the discretized FE equations are
veloping a PCE based surrogate model for solving the reduced
given by Eq. (18)). Partitioning the displacement vector 𝐗(𝝃) in terms of
order stochastic system of equations. Probabilistic measures for
active and deleted dofs as 𝐗𝑎 (𝝃) and 𝐗𝑑 (𝝃), it follows from Eqs. (2)–(4)
the response quantities of interest are obtained through Monte
that
Carlo simulations using the surrogate model.
𝐗(𝜔) = 𝐓𝑠 (𝜔)𝐗𝑎 (𝜔), (48) • Method 2: This involves fitting a PC representation for the ma-
where, 𝐓𝑠 (𝜔) is the global transformation matrix which maps the full terial property random fields after defining a bounding domain
order system to the reduced subspace and is given by D′ which completely engulfs the complex, geometrically irregular
[ ] domain D of the system, constructing the full ordered stochastic
𝐼
𝐓𝑠 (𝜔) = −1 . (49) FE matrices which are functions of the random variables that
−𝐊𝑑𝑑 (𝜔)𝐊𝑑𝑎 (𝜔)
appear in the PC representation of the material properties. Subse-
The governing equations in the reduced space therefore can be written quently, the response quantities of interest are estimated from full
as scale Monte Carlo simulations, that involve numerical solution
𝐊𝑟 (𝜔)𝐗𝑎 (𝜔) = 𝐔𝑟 (𝜔), (50) using the large ordered FE matrices for each realization.

8
R. Kumar, S.F. Ali and S. Gupta
Fig. 8. Plan view of (a) finite element mesh of a square plate with multiple holes; red dots indicate the locations at which measurements are assumed to be available, (b) bounding
domain: a flat plate with same dimensions, but without the holes.
Fig. 9. (a) Convergence of series by adding more PC terms in the expansion for modelling the random field. (b) Effect of number of PC terms on the absolute relative error
because of modified domain D′ .
6.1. Plate with circular holes
A 2-D square plate of dimensions 1m × 1m, with six holes placed
asymmetrically, has been considered. The FE discretization of the plate
has been carried out using a commercial FE software; the corresponding
FE mesh is shown in Fig. 8(a). The plate is discretized with 1055 nodal
points using 1816 linear triangular elements having 2 dofs at each
node. The holes in the plate are of three distinct diameters and are
placed at locations as shown in Fig. 8(b). The holes identified as Type
1, 2 and 3 have diameters of 0.2 m, 0.16 m and 0.24 m respectively.
The coordinates (𝑥, 𝑦) of the centres of holes of type 1 are (0.2, 0.8),
(0.7, 0.55) and (0.8, 0.2), of type 2 are (0.8, 0.8) and (0.2, 0.2), and type 3 is
(0.35, 0.45). These holes being placed asymmetrically within the domain
make the system asymmetric. All the dofs at the left edge are arrested to
simulate fixed boundary conditions; the opposite side is subjected to the
uniform axial load of 15 kN in the positive X-direction to simulate the
distributed axial load. The density and Poisson ratio of the material are
assumed to be 7850 kg/m3 and 0.3, respectively. The elastic modulus
of the system is modelled as a log-normally distributed random field,
with mean 200 ( GPa and having)a correlation function of the form
(𝑥 −𝑥 )2 (𝑦 −𝑦 )2
𝐶𝑓 (𝑥, 𝑦) = exp − 1 𝛾 2 − 1 𝛾 2 , where 𝛾1 and 𝛾2 are the correlation
1 2
9
Probabilistic Engineering Mechanics 66 (2021) 103166
length along two orthogonal directions and (𝑥1 , 𝑦1 ) and (𝑥2 , 𝑦2 ) are two
distinct points in the domain of interest. Here, the correlation length is
assumed to be identical along both directions i.e., 𝛾1 = 𝛾2 = 𝛾.
The domain D of the system is irregular with complex geometries
making discretization of stochastic field difficult. To bypass this diffi-
culty, a bounding domain D′ is considered which encloses completely
D; thus D′ consists of the flat plate without the holes as shown in
Fig. 8(b). Note that the condition (D ∩ D′ ) ≠ 𝜙 is satisfied. As this is a
2-D problem, the thickness (𝑡𝑝 ) of the bounding domain is considered
to be zero. The PC representation for the random field is carried out
on the domain D′ , as mentioned in Section 3. The measurements for
the random field are assumed to be available for 𝑁 = 15 locations for
𝐱 ∈ (D∩D′ ) and are shown as red dots in Fig. 8(a); these measurements
are synthetically generated. A measure of the convergence of the PC
representation for the random field with respect to number of terms
is estimated using
[ ( the )]Kullback–Leibler entropy (KLE) measure given
𝑝
by Hkl = E log 𝑝𝑒 , where 𝑝𝑒 and 𝑝𝑡 are the estimated pdf and
𝑡
target pdf, respectively. Fig. 9(a) shows that no further improvement
is obtained by taking the number of terms greater than 4. Fig. 9(b)
shows the effect of PCE terms on the absolute relative error ‖𝜛 − 𝜛 ′ ‖
due to the estimation of random field over the modified domain. For
R. Kumar, S.F. Ali and S. Gupta
Fig. 10. Comparison of the pdf of Young’s modulus at a specific point (centre of plate)
within the domain for original and modified domain.
higher order PC terms, the relative error is also shown in log scale in
the inset; it is observed that the error is < (10−5 ). Based on these
results, the number of PC terms retained was 4. A comparison of the
target pdf of the field at a specified location and as obtained through PC
representation, as depicted in Fig. 10, shows a very good match. The
magnitude of the error in correlation is estimated using the measure
(|𝐶𝑡 (𝑥, 𝑦) − 𝐶𝑒 (𝑥, 𝑦)|), where 𝐶𝑡 (𝑥, 𝑦) is the target correlation which is
assumed to be known and 𝐶𝑒 (𝑥, 𝑦) denotes the correlation estimated
Fig. 11. Correlation error of the random field approximated using PC expansion and the target value for (a) 𝛾 = 0.05 (a) 𝛾 = 0.5 and (a) 𝛾 = 5.
Fig. 12. Comparison of the pdf of von Mises stress at the nodal location which (a) belongs to 𝐗𝑎 and (b) belongs to 𝐗𝑑 , when dimension of 𝐗𝑎 is 50.
10
Probabilistic Engineering Mechanics 66 (2021) 103166
through the measured data set. Fig. 11 shows the contour plots of
this error for three distinct values of 𝛾, which in turn, depends on the
correlation length of the field. It is observed that for higher correlation
lengths, the error reduces. This is expected as higher correlation lengths
imply the need for fewer terms in the PC representations for the same
accuracy levels – here, the same number of terms have been used for
all cases; for more discussions on error analysis on PC representation is
available in [36].
A uniformly distributed load of 15 kN is being applied at the
opposite edge of the fixed end of the plate and the corresponding von
Mises stress, given by
√
1[ 2 + 𝜎2 + 𝜎2 )
]
𝜎𝑣 = (𝜎11 − 𝜎22 )2 + (𝜎22 − 𝜎33 )2 + (𝜎33 − 𝜎11 )2 + 6(𝜎12 23 31
2
(51)
is estimated throughout the domain of the plate. Note that since this
is a plane stress problem, 𝜎33 = 𝜎23 = 𝜎31 = 0. The developed von
Mises stress is a random field on account of the Young’s modulus being
a random field. Estimates of the pdf of the von Mises stress at all nodal
locations on the plate are estimated using both Methods 1 and 2. Note
that in Method 1, the system of equations are solved in the reduced
order space and then the transformation matrix is used to approximate
the nodal displacements throughout the domain D. It is obvious that
this would induce errors in the estimates for nodes that do not belong
to 𝐗𝑎 . Fig. 12(a) shows a comparison of the estimated pdf of von Mises
stress at a node that belongs to 𝐗𝑎 using Methods 1 and 2; it is observed
that a very good match is obtained. On the other hand, Fig. 12(b) shows
a comparison of the pdf of von Mises stress at a nodal location that
belongs to 𝐗𝑑 ; as expected, there is significant error in the estimates.
R. Kumar, S.F. Ali and S. Gupta Probabilistic Engineering Mechanics 66 (2021) 103166

Table 1
Comparisons of error and computational costs of Method 1 vis-a-vis Method 2.
dimension (X𝑎 ) Hkl (node ∈ X𝑎 ) Hkl (node ∈ X𝑑 ) Time saved in %
10 8.5 × 10−2 0.302 97.3
50 1.1 × 10−2 0.158 94.5
100 4.2 × 10−3 5.3 × 10−2 90.3
150 7.9 × 10−6 1.6 × 10−3 86.8
185 0.8 × 10−6 0.6 × 10−4 82.6
250 0.7 × 10−7 0.2 × 10−4 75.3

An inspection of this figure reveals that when the dimension of 𝐗𝑎

is sufficiently large, the approximation of the von Mises stress even at
nodal points that do not belong to 𝐗𝑎 are negligible. This is clear from
Table 1 as well. Defining failure probability as

𝑃𝑓 = 1 − 𝑃 [𝜎𝑣 ≤ 𝜎𝑌 ], (52)

Fig. 13. Comparison of the pdf of von Mises stress at the nodal location which belongs
to 𝐗𝑑 when dimension of 𝐗𝑎 is 185.
where, 𝜎𝑌 is the yield stress, the failure probability is computed for all
the nodal locations, the contour plot of which is shown in Fig. 14. It
is to be emphasized here that the full ordered stochastic FE matrices
contain 2110 dofs; Method 2 requires the repeated solution of these
system of equations. On the other hand, Method 1 require the evalu-
ation of the surrogate model at only the collocation points. Note that
for the sake of simplicity, only one material property has been modelled
as a random field. As third order polynomials have been used for the
PCE representation, this implied that the reduced order system required
to be analysed only at 4 collocation points. The computational cost
in Method 1 is proportional to the dimension of 𝐗𝑎 and the number
of collocation points. Table 1 lists the comparative savings in the
computational costs in Method 1 with respect to Method 2.

6.2. Bladed disc sector

A three dimensional system comprising of a bladed disc sector of a

Fig. 14. Contour plot of the failure probability; 𝛾 = 0.05, 𝐗𝑎 is of dimension 185. The
location with the highest failure probability is marked as the critical region.
The error can be reduced by increasing the dimension of 𝐗𝑎 as can be
seen from Fig. 13.
conceptual rotor is considered; see Fig. 15(a). The sector subtends an
angle of 30◦ at the centre and consists of blade and a section of the disc.
The dimension of the blade is 30 × 4 × 10 cm; the thickness of 10 cm
is taken to be uniform throughout. Using a commercial finite element
software, the system is discretized using solid tetrahedral elements into
3444 elements with 1198 nodes, with each node having three dofs. The
FE discretized model is shown in Fig. 15(b). The dofs on the boundaries
of the sector are assumed to represent fixed conditions. A concentrated
load of 50 kN, along the Y- axis and normal to the blade, is applied at
the node marked in black. The density and Poisson ratio of the material
are assumed to be 7800 kg/m3 and 0.3, respectively. The Young’s mod-
ulus of elasticity 𝐸 is assumed to have spatial random inhomogeneities

Fig. 15. Isometric view of (a) bladed disc sector and, (b) Finite element model. Pink spots are the data collection points. Loading is applied at the black marked node.

11
R. Kumar, S.F. Ali and S. Gupta Probabilistic Engineering Mechanics 66 (2021) 103166

Fig. 16. Wireframe of the modified bounding domain: a cuboid. Sector is embedded
inside with thin lines.

and is modelled as a log-normally distributed random field having mean

200 GPa with 10% coefficient of variation. ( The random field is assumed )
(𝑥 −𝑥 )2 (𝑦 −𝑦 )2 (𝑧 −𝑧 )2
to be of the form 𝐶𝑓 (𝑥, 𝑦, 𝑧) = exp − 1 𝛾 2 − 1 𝛾 2 − 1 𝛾 2 , Fig. 18. Comparison of pdf of Young’s modulus obtained at the common location for
1 2 3
where (𝑥1 , 𝑦1 , 𝑧1 )&(𝑥2 , 𝑦2 , 𝑧2 ) are two distinct points in the domain D. both the domain.
The correlation parameters are assumed to be identical in all the
orthogonal directions i.e., 𝛾1 = 𝛾2 = 𝛾3 = 𝛾.
The random field is modelled using PC representation. The nodal
points in pink, shown in Fig. 15(b), correspond to the assumed locations
at which measurements are available, from which the PC representation
is built using the methodology outlined earlier. A total of 20 such
measurements are assumed to be available with 10 on each surface. The
complex and irregular geometry, D, poses difficulties in discretizing
the random field using PC. Therefore, a three dimensional modified
geometry D′ , a bounding cuboid, is taken as shown in Fig. 16 for
random field modelling of the elastic modulus.
Fig. 17(a) shows the convergence of PC expansion through the
Kullback–Leibler entropy measure with respect to the number of terms
in representing the random parameter. Fig. 17(b) shows the absolute
relative error in estimating the random field using the modified do-
main; the inset shows the effect of higher PC terms on log scale and is
observed to be lower than (10−5 ). Based on this error analysis, five PC
terms have been used in the calculations. Fig. 18 shows a comparison
of the target pdf and the pdf estimated from the PC representation
obtained for domain D′ for a location 𝐱 ∈ (D ∩ D′ ); an excellent match
Fig. 19. Von Mises stress distribution across the domain corresponding to the
is observed highlighting the efficacy of the proposed method.
deterministic case.
A deterministic analysis of the system corresponding to the mean
value of the elastic modulus has been first carried out using a com-
mercial FE software to estimate the von Mises stress throughout the

Fig. 17. (a) Convergence of series by adding PC terms in the expansion for modelling the random field. (b) Effect of number of PC terms on the absolute relative error because
of the modified domain D′ .

12
R. Kumar, S.F. Ali and S. Gupta
Fig. 20. pdf of von Mises stress at the node which (a) belongs to 𝐗𝑎 and (b) belongs to 𝐗𝑑 , when dimension of 𝐗𝑎 is 50.
Fig. 21. Comparison of pdf of von Mises stress at the node which belongs to 𝐗𝑑 when
dimension of 𝐗𝑎 = 194.
Fig. 22. Estimation of failure probability across the domain for 𝛾 = 0.05 when 𝐗𝑎 is
of dimension 194.
domain; Fig. 19 shows the variation of the von Mises stress over D
and the location of the most critical region is identified. As the elastic
13
Probabilistic Engineering Mechanics 66 (2021) 103166
Table 2
Comparison of error and computational costs of Method 1 vis-a-vis Method 2 (bladed
disc sector).
Active dofs (X𝑎 ) Hkl (node ∈ X𝑎 ) Hkl (node ∈ X𝑑 ) Time saved in %
20 6.3 × 10−2 0.246 97.6
50 1.8 × 10−2 0.103 95.3
100 2.3 × 10−3 3.8 × 10−2 90.7
150 5.7 × 10−6 4.0 × 10−3 85.3
194 0.2 × 10−6 2.1 × 10−4 78.5
500 0.4 × 10−8 0.7 × 10−5 67.4
modulus is modelled as a random field, the resulting von Mises stress
is also random field and has been calculated using Methods 1 and 2.
Note that in Method 1, the response throughout the domain is obtained
through the transformation matrix, even though the reduced system of
equations are solved only for the nodes belonging to 𝐗𝑎 . As a result,
the estimates for nodes belonging to 𝐗𝑑 have larger errors than those
belonging to 𝐗𝑎 . This is clear from a comparison of the pdf of von Mises
stress at a node belonging to 𝐗𝑎 (shown in Fig. 20(a)) and for a node
belonging to 𝐗𝑎 (shown in Fig. 20(b)); in either case, the benchmark
is taken to be the estimate obtained from Method 2. As shown in the
previous example, this error in pdf estimation at the nodal locations
belong to 𝐗𝑑 can be reduced by considering more number of active
dofs. For the same nodal location, Fig. 21 shows a very good agreement
in pdf of 𝜎𝑦 obtained through Methods 1 & 2 when dimension of 𝐗𝑎 is
increased to 194. Th effect of the dimension of vector 𝐗𝑎 on error is
reported in Table 2. The failure probability of all the nodal locations is
estimated as shown in Fig. 22. It should also be noticed here that the
full order stochastic system matrices will be of dimension 3594 × 3594
which need to be solved iteratively in Method 2. However, in Method
1, the reduced system of equations need to be evaluated only at 5
collocation points (i.e., as fourth order polynomials have been used
along with a 5th order Gauss quadrature scheme). The advantage in
computational cost obtained through the solution using Method 1 and
the corresponding error analysis have been reported in Table 2.
7. Conclusions
A surrogate PCE based SFEM is presented in current manuscript
for the static analysis of stochastic dynamical systems. In the proposed
approach, the PC representations of the vector of correlated random
variables of material properties are obtained from the measured data
set available at discrete locations across the domain. Along with that
domain independence property of PC expansion has been proposed
to deal with the complex geometry and further the random field
R. Kumar, S.F. Ali and S. Gupta
discretization has been carried out over the modified domain. Here,
PCE is used for optimizing the stochastic dimension which reflects
in the mathematical model. In addition to that, static condensation
is integrated with PCE to reduce the state space dimensions which
further reduces the computational complexities. Also, the proposed
approach for approximating the random field from limited data set is
able to capture the second order characteristics of the non-Gaussian
random field and capable to reduce the epistemic uncertainty. The
computational effort using the current methodology has been reduced
significantly without sacrificing the accuracy. The efficiency of the
proposed methodology has been demonstrated through the numerical
examples of asymmetric square plate and a bladed disc sector.
Declaration of competing interest
The authors declare that they have no known competing finan-
cial interests or personal relationships that could have appeared to
influence the work reported in this paper.
Acknowledgements
The authors would like to acknowledge the support provided by Gas
Turbine Research Establishment (GTRE-DRDO), Ministry of Defence,
Government of India for funding the studies reported in this paper. The
authors would also like to acknowledge the insightful discussions pro-
voked by the anonymous reviewer that enabled greater understanding
of the mathematical aspects of the problem and helped in arriving at a
mathematically correct proof.
Appendix A. 2-D system
Consider a flat plate, modelled as a 2-dimensional system and FE
discretized using linear triangular elements having three nodes, one
at each vertex. Each node 𝑖 has two dofs, 𝑢𝑖 and 𝑣𝑖 , the component
of displacement along 𝑋 and 𝑌 −axes, respectively. The form of shape
function used is, [𝑁𝑠 ] = [1 𝑥 𝑦]𝐴−1 , where 𝐴 is the area of element [37].
The strain energy 𝑒 is expressed as
1
𝑒 = ℎ{𝜒}𝑇 [𝐃𝟐𝐝 ]{𝜒}d𝐴,
2 ∫𝐴
where, [𝐃𝟐𝐝 ] is the constitutive relation matrix for an isotropic material,
given as
⎡1 𝜈 0 ⎤
𝐸 ⎢
𝐃2𝑑 = 𝜈 1 0 ⎥.
1 − 𝜈2 ⎢ 1−𝜈 ⎥
⎣0 0 2
⎦
Here, 𝜈 is the Poisson ratio, 𝐸 is the Young’s modulus of elasticity and
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣 𝑇
{𝜒} = [ 𝜕𝑥 , 𝜕𝑦 , 𝜕𝑦 + 𝜕𝑥 ] . After substituting the value of {𝜒} in Eq. (A.1),
strain energy in terms of elemental stiffness matrix can be written as
1 𝑇
𝑒 = 𝐪 𝐊𝐪, (A.3)
2 𝑒 𝑒 𝑒
where, 𝐪𝑒 is the elemental displacement vector of the dofs associated
with an element. 𝐊𝑒 denotes the elemental stiffness matrix which is
written as
𝐊𝑒 = ℎ𝐁𝑇 [𝐃𝟐𝐝 ](𝝃)𝐵d𝐴
∫𝐴
Here, 𝐁 is the strain displacement relation. It can be noted from the
Eq. (A.2) that these matrices are functions of Young’s modulus (𝐸).
Since the random fields of system parameters have been simulated
numerically, numerical techniques will be used for evaluating the
integrals in Eq. (A.4). In this case, the strain displacement matrix 𝐁
is constant and hence Eq. (A.4) will become
𝐊𝑒 = ℎ𝐴𝐁𝑇 [𝐃𝟐𝐝 ](𝜉)𝐁
Finally, after getting the displacement of each node of an element,
the stress component within an element will be calculated as 𝜎 =
Probabilistic Engineering Mechanics 66 (2021) 103166
[𝐃𝟐𝐝 ]𝜖 = [𝐃𝟐𝐝 ]𝐁𝐮𝑒 . Here, 𝐮𝑒 is the displacement vector for an element.
The expression for stress calculation depends on constitutive relation
and 𝐁 matrix, both of which are constant and hence the stresses are
constant within the element in this case.
Appendix B. 3-D system
In this case, a three dimensional cuboid is assumed as an example
and using tetrahedron element with four nodes in each element, FE
mesh is generated. Each node has three dofs, namely 𝑢, 𝑣 and 𝑤 which
is the component of displacement along 𝑋, 𝑌 and 𝑍−axes respectively.
In this case, the shape function is of the form 𝑁𝑗 = 81 (1+𝛼𝑗 𝛼)(1+𝛾𝑗 𝛾)(1+
𝛿𝑗 𝛿), where (𝛼𝑗 , 𝛾𝑗 , 𝛿𝑗 ) is the coordinate of 𝑗th node of the element. Here,
the elemental stiffness matrix is given by
𝐊𝑒 = 𝐁𝑇 [𝐃𝟑𝐝 ]𝐁d𝑉 (B.1)
∫𝑉𝑒
where, 𝑉𝑒 denotes the volume of an element over which the integration
need to be done. 𝐁 is the strain displacement relation matrix which is a
constant matrix [37]. Therefore, the after integration Eq. (B.1) will be
reduced to 𝐊𝑒 = 𝑉𝑒 𝐁𝑇 [𝐃𝟑𝐝 ](𝜉) 𝐁 as an element stiffness matrix. Here,
the matrix [𝐃𝟑𝐝 ] in Eq. (B.1) is the constitutive relation and for solid
isotropic material it will be given by
⎡1 − 𝜈 𝜈 𝜈 0 0 0 ⎤
⎢ 𝜈 1−𝜈 𝜈 0 0 0 ⎥
⎢ ⎥
𝐸 ⎢ 𝜈 𝜈 1−𝜈 0 0 0 ⎥
(1 + 𝜈)(1 − 2𝜈) ⎢⎢ 0 ⎥
𝐃3𝑑 = 0 0 1−2𝜈
0 0
2
1−2𝜈
⎥
⎢ 0 0 0 0 2
0 ⎥
⎢ 1−2𝜈 ⎥
⎣ 0 0 0 0 0 2 ⎦
(B.2)
Here, 𝐸 and 𝜈 are same as defined in Eq. (A.2). Having known values
of nodal displacement within an element, stresses will be given by
𝜎 = [𝐃𝟑𝐝 ]𝐁𝐮𝑒 , where 𝐮𝑒 is the displacement vector of the element. Since
𝐁 is a constant matrix, the stress distribution remains constant within
the element and is usually assigned at the centroid of the element.
(A.1)
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