Comparison between Karhunen–Loève expansion and translation-based simulation of non-Gaussian processes
- 作者：L.B. Li ; K.K. Phoon ; S.T. Quek
- 关键词：Compatibility ; Translation process ; Non-translation process ; Karhunen– ; Loè ; ve expansion ; Spectral representation ; Latin hypercube orthogonalization
- 刊名：Computers and Structures
- 出版年：2007
- 期刊代码：39_00457949
- 类别：cp
- 出版时间：March 2007
- 卷：85
- 期：5-6
- 页码：264-276
- 文件大小：325 K
摘要
The Karhunen–Loève (K–L) expansion has been successfully applied to the simulation of highly skewed non-Gaussian processes based on the prescribed covariance and marginal distribution functions. When the stationary random process is indexed over a domain that is much larger than the correlation distance, the K–L expansion will approach the spectral representation. The non-Gaussian K–L technique is applied in the popular spectral representation as a special case to facilitate comparison with translation-based spectral representation. Processes with both incompatible and compatible spectral density and marginal distribution functions are simulated numerically. It is demonstrated that K–L expansion can be used to address the situation with incompatible target functions where the commonly used translation approach may not be applicable. It is therefore a more robust method for simulation of non-Gaussian processes because it can generate different processes satisfying the same target spectral density function and the same target marginal distribution function regardless of their compatibility.