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On the simulation of stochastic processes by spectral representation

✍ Scribed by B. Hu; W. Schiehlen

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
674 KB
Volume
12
Category
Article
ISSN
0266-8920

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✦ Synopsis

In this paper, a modification in the simulation formula for generating stationary stochastic processes, using the spectral representation method developed by Shinozuka, is presented. It is shown that with this modification, the ensemble and temporal autocorrelation function of the simulated stochastic process for fixed values of time lag r converge to their target autocorrelation function much more quickly. If the sample function is synthesized with N frequencies, then the rate of 4 the convergence is of the order 1/N instead of 1/N for the original simulation formula. However, for the whole simulation time To, the convergences of the autocorrelation functions are not uniform for the time lag ~-throughout the range from 0 to To~2. It turns out that the proposed modified simulation formula is preferable for the time lag Irl ~< To/2rr and the original simulation formula is preferable for the time lag To/27r < Irl ~< To~2.

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