Random Vibration

and Spectral Analysis

by

ANDR PREUMONT
UniversitLibrede Bruxelles, Belgium

KLUWER ACADEMIC PUBLISHERS

DORDRECHT / BOSTON / LONDON

TABLE OF CONTENTS
Preface

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

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Random Variables
2.1 Axioms of probability theory
2.1.1 Bernoulli's law of large numbers
2.1.2 Alternative interpretation
2.1.3 Axioms
2.2 Theorems and definitions
2.3 Random variable
2.3.1 Discrete random variable
2.3.2 Continuous random variable
2.4 Jointly distributed random variables
2.5 Conditional distribution
2.6 Functions of Random variables
2.6.1 Function of one random variable
2.6.2 Function of two random variables
2.6.3 The sum of two independent random variables
2.6.4 Rayleigh distribution
2.6.5 functions of random variables
2.7 Moments

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Random Vibration and Spectral Analysis

2.7.1 Expected value
2.7.2 Moments
2.7.3 Schwarz inequality
2.7.4 Chebyshev's inequality
2.8 Characterstic function, Cumulants
2.8.1 Single random variable
2.8.2 Jointly distributed random variables
2.9 References
2.10 Problems

3 Random Processes
3.1 Introduction
3.2 Specification of a random process
3.2.1 Probability density functions
3.2.2 Characteristic function
3.2.3 Moment functions
3.2.4 Cumulant functions
3.2.5 Characteristic functional
3.3 Stationary random process
3.4 Properties of the correlation functions
3.5 Differentiation
3.5.1 Convergence
3.5.2 Continuity
3.5.3 Stochastic differentiation
3.6 Stochastic integrale, Ergodicity
3.6.1 Integration
3.6.2 Temporal mean
3.6.3 Ergodicity theorem
3.7 Spectral decomposition
3.7.1 Fourier transform
3.7.2 Power spectral density
3.8 Examples
3.8.1 White noise
3.8.2 Ideal low-pass process
3.8.3 Process with exponential correlation
3.8.4 Construction of a random process with specified power spectral density
3.9 Cross power spectral density
3.10 Periodic process
3.11 References
3.12 Problems

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Contents

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Gaussian Process, Poisson Process

4.1 Gaussian random variable
4.2 The central limit theorem
4.2.1 Example 1
4.2.2 Example 2: Binomial distribution
4.3 Jointly Gaussian random variables
4.3.1 Remark
4.4 Gaussian random vector
4.5 Gaussian random process
4.6 Poisson process
4.6.1 Counting process
4.6.2 Uniform Poisson process
4.6.3 Non-uniform Poisson process
4.7 Random pulses
4.8 Shot noise
4.9 References
4.10 Problems

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Random Response of a Single Degree of Freedom Oscillator

5.1 Response of a linear system
5.2 Single degree of freedom oscillator
5.3 Stationary response of a linear system
5.4 Stationary response of the linear oscillator. White noise approximation
5.5 Transient response
5.5.1 Excitation applied from t = 0
5.5.2 Stationary excitation
5.6 Spectral moments
5.6.1 Definition
5.6.2 Computation for the linear oscillator
5.6.3 Rice formulae
5.7 Envelope of a narrow band process
5.7.1 Crandall & Mark's definition
5.7.2 Joint distribution of X and X
5.7.3 Probability distribution of the envelope
5.8 References
5.9 Problems

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Random Vibration and Spectral Analysis

R a n d o m Response of Multi Degree of Freedom Systems
6.1 Some concepts of structural dynamics
6.1.1 Equation of motion
6.1.2 Input-output relationship
6.1.3 Modal decomposition
6.1.4 State variable form
6.1.5 Structural and hereditary damping
6.1.6 Remarks
6.2 Seismic excitation
6.2.1 Equation of motion
6.2.2 Effective modal mass
6.2.3 Input-Output relationships in the frequency domain
6.3 Response to a stationary excitation
6.4 Role of the cross-correlation
6.5 Response to a stationary seismic excitation
6.6 Continuous structures
6.6.1 Input-Output relationship
6.6.2 Structure with normal modes
6.7 Co-spectrum
6.8 Example: Boundary layer noise
6.9 Discretization of the excitation
6.10 Along-wind response of a tall building
6.10.1 Along-wind aerodynamic forces
6.10.2 Mean wind
6.10.3 Spectrum at a point
6.10.4 Davenport spectrum
6.10.5 Example
6.11 Earthquake
6.11.1 Response spectrum
6.11.2 Cascade analysis
6.12 Remark on sound pressure level
6.13 References
6.14 Problems

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Input-Output Relationship for Physical Systems

7.1 Estimation of frequency response functions
7.2 Coherence function
7.3 Effect of measurement noise
7.4 Example
7.5 Remark
7.6 References

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Contents
8

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Spectral Description of Non-stationary Random Processesl42

8.1 Introduction
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8.1.1 Stationary random process
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8.1.2 Non-stationary random process
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8.1.3 Objectives of a spectral description
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8.2 Instantaneous power spectrum
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8.3 Mark's Physical Spectrum
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8.3.1 Definition and properties
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8.3.2 Duality, uncertainty principle
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8.3.3 Relation to the PSD of a stationary process
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8.3.4 Example: Structural response to a sweep sine . . . . 151
8.4 Priestley's Evolutionary Spectrum
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8.4.1 Generalized harmonic analysis
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8.4.2 Evolutionary spectrum
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8.4.3 Vector process
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8.4.4 Input-output relationship
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8.4.5 State variable form
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8.4.6 Remarks
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8.5 Applications
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8.5.1 Structural response to a sweep sine
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8.5.2 Transient response of an oscillator
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8.5.3 Earthquake records
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8.6 Summary
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8.7 References
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8.8 Problems
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9 Markov Process
9.1 Conditional piobability
9.2 Classification of random processes
9.3 Smoluchoweki equation
9.4 Process with independent increments
9.4.1 Random Walk
9.4.2 Wiener process
9.5 Markov process and state variables
9.6 Gaussian Markov process
9.6.1 Covariance matrix
9.6.2 Wide sense Markov process
9.6.3 Power spectral density matrix
9.7 Random walk and diffusion equation
9.7.1 Random walk of a free particle
9.7.2 Random walk of an elastically bound particle . . . .
9.8 One-dimensional Fokker-Planck equation

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Random Vibration and Spectral Analysis

9.9
9.10
9.11

9.12
9.13

9.8.1 Derivation of the Fokker-Planck equation

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9.8.2 Kolmogorov equation
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Multi-dimensional Fokker-Planck equation
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The Brownian motion of an oscillator
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Replacement of an actual process by a Markov process . . . 184
9.11.1 One-dimensional process
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9.11.2 Stochastically equivalent systems
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9.11.3 Multi-dimensional process
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References
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Problems
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10 Threshold Crossings, Maxima, Envelope and Peak Factor

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

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Contents

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11 Random fatigue
11.1 Introduction
11.2 Uniaxial loading with zero mean
11.3 Biaxial loading with zero mean
11.4 Finite element formulation
11.5 Fluctuating stresses
11.6 Recommended procedure
11.7 Example
11.8 References
11.9 Problems

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12 T h e Discrete Fourier Transform

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

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Bibliography

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Index

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