Prob.EngngMech.Vol. 12, No. 2, pp.

105-113, 1997
© 1997ElsevierScienceLtd. All rights re~rved
Printed in Great Britain.
ELSEVIER Pll: S0266-8920(96)00039-2 0266-8920/97 $17.00+ 0.00

On the simulation of stochastic processes by

spectral representation
B. Hu & W. Schiehlen?
Institute B of Mechanics, Universityof Stuttgart, Pfaffenwaldring9, 70550 Stuttgart, Germany

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
the convergence is of the order 1/N 4 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. © 1997 Elsevier Science Ltd. All
rights reserved.

1 INTRODUCTION Since the accuracy of the autocorrelation function for

ITI ~< To/2~r plays a more important role than the one
The generation of sample functions of stochastic for H > To/2~r, the modified simulation formula is
processes plays an important role in Monte Carlo recommended.
simulations. The method that appears most amenable
for generating such sample functions is the spectral
representation method presented by Shinozuka. l'z A 2 SIMULATION FORMULA
detailed review and description of this method is given
by Shinozuka and Deodatis 3'4 where it was shown that Consider a one-dimensional stationary process fo(t)
the simulated stochastic process is ergodic in the mean with mean value equal to zero, autocorrelation func-
and in correlation. The ensemble mean value and the tion Rfo(r ) and two-sided power spectral function
temporal mean value, averaged over the whole simula- Sfo(w). It is assumed, as usual, that there exists an
tion time, are identical to the corresponding target mean upper cut-off frequency Wu beyond which the spectral
value. If the sample functions are synthesized with N function Sfo(w) is zero for either mathematical or
frequencies, the ensemble and temporal autocorrelation physical reasons, i.e.
function for fixed values of the time lag 7- converge to
their corresponding target autocorrelation function as Sfo(~d) = 0 for I~1 (1)
N ~ c~; the rate of this convergence is of the order 1IN.
The goal of this paper is to show that, with a small In applications, the following criterion:
modification in the original simulation formula, the rate
of convergence can be of the order 1IN 4. Meanwhile, I~" Sfo(w)dw = ( 1 - e) Io Xfo(w)d~ (2)
the computation time remains almost the same.
However, it should be pointed out that for the whole presented in Shinozuka and Deodatis, 3 can be used for
simulation time To, the convergences of the autocorrela- the determination of wu, where e << 1 (e.g. e = 0.01,
tion functions are not uniform for the time lag 7- 0.001). The coefficient e is termed 'admissible relative
throughout the range 0 to To/2. It turns out that the error'. The target autocorrelation function of the
proposed modified simulation formula is preferable for simulated process is, in fact
the time lag [T[~ To/2zr and the original simulation
formula is preferable for the time lag To/27r < IT[<~To~2. R;°(T)* = Iwu
- = u Sfo (w)eiWrd w = j~u 2Sfo (w)cos o3Td~

tAuthor to whom correspondence should be addressed. (3)

105
106
instead of
Rfo (7-) = I°~ooSfo (w)eiWr d w = Io 2Sfo (w) cos wr dw
where i is the imaginary unit. The difference between
both functions
e~o('r): = Rfo('r ) - R~o('r) =
I) 2Sfo(W)
u
cosw'rdw
is unavoidable simulation error due to the truncation of
the spectral density function for [w[ > wu; it is later
termed the 'truncation error'. It yields, for the trunca-
tion error
I<}o(T)l
Jlu
2S,.o(W)dw = 2<
J: SSo(W)dw = :R,.o(O )
The quantity of eRf0(0 ) is the admissible error. In
addition, it is assumed that the power spectral function
Sfo (w) has a bounded continuous fourth derivative with
respect to w.
The simulation formula developed by Shinozuka
reads
N-1
f(t) = x/2 y ~ A, cos(w,/+ qOn)
n=0
where ~o,(n = 0, 1 , . . . , N - 1) are independent random
phase angles uniformly distributed in the range [0, 27r];
the frequencies are set to
Wn: =nAw: = n ~ for n = 0, 1 , . . . , N -
lV
and the coefficients A, are defined as follows
Ao = O, A, = v/2Sfo(w,)Aw for
n = 1,2,...,N- 1 (9)
The coefficient A0 is chosen as zero such that the
temporal mean value averaged over the whole simula-
tion time To = 27r/Aw of the generated stochastic
process f(t) remains zero.
It is shown by Shinozuka and Deodatis 3 that the
simulated stochastic process f(t) is asymptotically
Gaussian as N ~ oo and ergodic in the mean and in
correlation. Its ensemble mean value and the temporal
mean value averaged over the whole simulation time To
are identical to the corresponding target zero. The
ensemble autocorrelation function and the temporal
correlation function averaged over the whole simulation
time TOare identical and converge to the corresponding
target Rfo(r ) linearly as N ~ c~. For the discussion
about the rate of the convergence, one needs only to
discuss the ensemble autocorrelation function. Defining
the error es as the difference between the ensemble
B. Hu, W. Schiehlen
autocorrelation function Rf(r) and the target autocor-
relation function R)o (r), i.e.
e/(r): = Rf(r) - R~o(r ) (10)
(4) it is also given in Shinozuka and Deodatis 3 that
es(r) - 2N (si0(w) cos(w _)) ] (11)
(5) where the symbol [.]~, denotes evaluation of the
derivative inside the brackets at w = w* with 0 ~<w* ~<Wu.
To improve the rate of convergence of the auto-
correlation Rf(r) to R}o(r), a modification in the
coefficients Ax and A 2 of the simulation formula is
proposed. The coefficients A1 and A2 are now chosen as
follows:
fll = ~/(2Sfo(Aw ) + ~Sfo(0))Aw (12)
(6)
The other coefficients remain the same, i.e.
An=A n for n E {0,3,4,...,N- 1} (14)
It should be pointed out that for a too large frequency
step Aw, the quantity 2Sfo(2Aw ) - 1/3Sso(O) appearing
(7) in eqn (13) may be occasionally smaller than zero. On
this occasion, the computation of the coefficient A2 is
not meaningful and one should reduce the frequency
step size Aw. The simulated stochastic process after this
modification is denoted by f(t), i.e.
N-I
1
/ ( t) = X/~ Z "4n COS(Wnt-1- ~On) (15)
n=0
(8)
Compared with the original formula, it is noted that
for Sfo(O) = 0, both simulation formulae are the same.
For Sfo(O) ~ O, only the coefficients A1 and A 2 in eqn (9)
are changed. The fast Fourier transformation (FFT)
technique can still be used and the algorithm does not
need changing. It can be proved in the same way that
after this modification, the simulated stochastic process
f(t) is still asymptotically Gaussian as N ~ oo and
ergodic in the mean and in correlation. Its ensemble
mean value and the temporal mean value are identical to
the corresponding target zero. The ensemble autoeorre-
lation function and the temporal correlation function
averaged over the whole simulation time To are identical
and converge to the corresponding target R~o(r) as
N --+ c~. However, the modification considerably
improves the rate of convergence of the ensemble, and
temporal autocorrelation function to the target auto-
correlation function R)o (r). It will be shown in the next
section that with this small modification in the
coefficients A l and A2, the rate of convergence of
the ensemble autocorrelation function R/(-r) can be of
the order 1/N 4 instead of 1/N for the autocorrelation
function Rf(r).
 Simulation of stochastic processes 107

3 RATE OF C O N V E R G E N C E OF T H E where ~ E (0, Wu) (see Davis and Rabinowitz 5 or Stoer 6)

AUTOCORRELATION FUNCTION It can be proved that

As an abbreviation, for a fixed ~-, a function of w g'(0) = 0 (23)

g(w) = 2Sfo(w) cos(wr) (16) and g'(Wu) is negligible; therefore, the end correction
vanishes. The trapezoidal rule with end correction for
is introduced. Thus, it yields for the derivative of g(w) the integral (20) is equivalent to the classical trapezoidal
with respect to w rule; however, the result remains of order 1/N 4.
g'(a;): = dg(w) Moreover, the value g(wu) is also negligible. The main
- 2S~0(w) cos(wr) - 2rSfo (w) sin(wr) difference between Rf(r) and R~0(r) is the quantity g(0)
dw
Aw/2. However, this quantity can be approximately
(17)
compensated for by modifying the coefficients A1 and A2.
According to the derivation in Shinozuka and The following mathematical explanation shows that
Deodatis, 3 the ensemble autocorrelation function Rf(r) using the modified simulation formula, the autocorrela-
of the simulated stochastic processf(t) reads as follows: tion function R/(r) for a fixed time lag r converges to
N-I N-I the target autocorrelation function R~o(r) with order
Ri(~) = E A.~c°s(~.~) = ~ g(nZX~)A~ (18) 1/N 4. It yields for the difference between the ensemble
n=0 n=l autocorrelation function R/(r) and the target auto-
correlation function R~0(r)
Similarly, it remains that the ensemble autocorrelation
function Ry(r) of the simulated stochastic process/(t) el(r): = R/(T) - R~o(r) (24)
using eqns (12) and (13) is
4
N-I : - ~ [g(0) + g(cou)lAw + ~ Sfo(0)cos(Awr)~w
R/(,) = ~ A.~cos(~.~) -- sfo(0) cos(Zx~7)~x~
n=0 1
3 sfo (0) cos(ZA~7)~
N-1
1 Sfo (0) COs(2Awr)Aw + E g(nAw)Aw 1
3 n=l 12 (Aw)Z[g'(0) -g'(Wu)] - ~ (Aw)4g(4)(~)

(19) (25)
On the other hand, it is valid for the target autocorrela- Since the spectral function Sfo (w) is an even function, i.e.
tion function from eqn (16)
Sfo (w) = Sfo (-w) (26)
R~o(r) = g(w)dw (20)
differentiating the two sides of this equation at w = 0
According to eqns (18) and (20), in addition to yields
S(wu) = 0g i.e. g(Wu) = 0 (21) S)0 (0) = 0 (27)
it can be seen that the autocorrelation function Rf(r) From eqns (17) and (27), it can be seen that eqn (23)
corresponds to the approximate value of the integral holds true. Furthermore, according to the assumption of
(20) computed with the rectangular rule. It converges to eqn (1), the spectral function Sfo(w) and its derivative
the target autocorrelation function R~0(r) with the order S'fo(W) at w = Wu can be also assumed to be zero, i.e.
1/N. The error ef(7) is given in eqn (11).
The idea of the proposed modification is explained as Sfo(wu) = 0, S)0(Wu)= 0 (28)
follows. Due to some characteristics of the spectral
density function Rfo (r), it is found that for the integral The reason for this assumption is
(20) the trapezoidal rule with end correction may be lim Sfo(~o) = 0 and lira s)0(~)
' = 0 (29)
used instead of the rectangular rule, while the simulation ~d ---~ fX) a ) -'-* fX)

formula suitable for F F T remains almost the same. which can be proved with Barbalat's Theorem (see
According to the trapezoidal rule with end correction Slotine and Li 7) Therefore, for a large upper cut-off
for the numerical integration yields frequency w~, the values of Sfo(Wu) and 5}0(% ) are, in
general, very small and their contribution to the
R~o(T) = g(O) + Z g(nAw) + ~g(w u Aw autocorrelation function can be neglected as can the
n=l admissible error, eRfo(O).
Furthermore, from eqns (16), (17) and (28), it follows
+ ~ ( ~ ) 2 [g,(0) - g' (~.)] + ~ ( Ato)4g(4) (~) directly that:
iz
(22) g(wu) = 0 and g'(Wu) = 0 (30)
108 B. Hu, W. Schiehlen

Hence, eqn (25) becomes least with the order 1IN 4 as N ~ ~ . It can be seen that
for Sfo (0) = 0, the rate of convergence of autocorrelation
e](r)=-Sfo(O)Aw[1 - ~cos(Awr)4 + ~cos(2Awr)]l Rf(7-) to R~o(T) for the original simulation formula is in
fact of order 1/N 4. For Sfo (0) # 0 the small modification
~2u0 (A6°)4g (4) (4) (31) in the coefficients A1 and A2 improves the rate of
convergence of autocorrelation function greatly.
Now, defining a function
4 1
e0(x): = 1 - gcos x + ~cos 2x (32) 4 ACCURACY OF THE S I M U L A T I O N
FORMULAE
(see Fig. 1) yields for the derivatives of eo(x) at x = 0
It should be pointed out that the convergences with both
e0(0 ) = 0 , e~(0):0, eg(0)=0, e~3)(0):0
simulation formulae are not uniform for all time lags 7-.
(33) Using the spectral representation method to simulate a
stationary stochastic process, one can in fact only rely
and for the fourth derivative
on the autocorrelation function Rf(-c) or Rf(7-) for 17-1<
le~4)(x)l = -4~cos x + ~ c o s 2x ~< ~ (34) To~2 since the sample functions f(t) and f(t) are
periodical functions with the period To. However, no
matter how large the sampling number N is, both
Moreover, according to the Euler-Maclaurin series, one
autocorrelation functions Rf(7-) and Rf(T) do not
gets
converge to R}0(r ) uniformly for all N<<,To/2. Since
for a very large time lag, T >> 1 S, the fourth derivative
eo(Awr ) = e0")(717-)' (A~T) 4 (35)
g(4)(() is approximately proportional to 7-4, the error
4!
where r/E (0, Aw). It follows from eqns (34) and (35) el(7-) depends on the quantity (Awr) 4. In the applica-
that: tion of the modified simulation formula, for the purpose
of high accuracy, it is suggested that the autocorrelation
leo(Aw¢)[<< 20 (AwT-)4 _ 5 (AwT)4 (36) function Rf(7-) is only used for 17-1~<l/A~=
3 24 18 To/27-: = 7-max. Moreover, since for a small time lag
Furthermore, from 7- << 1 s, the error e/(7-) is approximately proportional to
(Aw) 4, it is also suggested that in the simulation the
e]('r) = -Sfo(O)Aweo(AwT ) - ~ 0 (Aw)4g(4)(~) (37) frequency step Aw should be chosen no larger than one
radian per second, i.e. Aw~< 1 rad s -1.
In addition, it is noted that in the modified simulation
le/(7-)l Sfo(O)Awleo(/X )l + (mw)4Ig(4)(4) 1 formula, the principal part -Sf0(0)Aw in the error ef(T)
~5 Sfo(O)7-4o35.~_~ o 2 5 (38)
is changed to -Sfo (O)Aweo(AWT-) so that the error el(T)
converges to zero with order Aw 4. From Fig. 1, it can be
seen that this modification is meaningful only for
follows, where Mg denotes max~e[0,~.l Ig(4)(w)l and is
IAwT-I~<l, i.e. [7-[~<7-max" For [Awr I > 1.8, the main
dependent on r. Therefore, for fixed values of the time
error -Sfo (O)Aweo(AwT-) in el(7-) is even worse than the
lag 7-, it has been proved that the ensemble correlation
original -Sf0(0)Aw. Moreover, since the coefficients A0
function R](T) of the simulated stochastic process f(t)
and A0 are chosen as zero in both simulation formulae
converges to the target correlation function R~0(7-) at such that their temporal mean values averaged over the
3.0 whole simulation time To remain zero, it follows that
integrations of the autocorrelation functions Rf(7-) and
.Rf(7-) over the region 17-1~ To~2 are also equal to zero,
I.e.
2.0

"6 7" 7"= 7" 7"=0 (39)

r~
.o
4~
O

1.0
From eqns (10) and (39), it follows directly that:

0.0
0.0 2.0 4.0 6.0 = - [J-%
~ Rfo(T)dr "~ -27rSf0 (0) (40)
x

Fig. 1. The function eo(x) for x from 0 to 27r. Therefore, the average errors of both simulation
 Simulation of stochasticprocesses 109

formulae over the whole region [~-1~<To~2 are equal and Therefore, the values of spectral lines
approximate to -27rSf0(0). The modified simulation
formula is preferable for the region IT[ ~ To/2Zc and the [Sfo(Wl) 4-~ Sfo(O)]A~v and [Sfo(~2) - l Sfo(O)JAoJ
original simulation formula is preferable for the region
To/21r < 17-l~T0/2. Since the accuracy of the auto- of S/(w) at 03 = wi and ~ = ~v2 do not correspond more
correlation function for [~'[~<T0/27r plays a more closely to their counterparts Sfo(~l) and S~(032).
important role than the one for [7-[ > T0/2zr, the However, in the time domain, this modification often
modified simulation formula is recommended. provides a better approximation.
Moreover, from eqns (18) and (19), it can be seen that
the temporal spectral density functions of the sample
functions f(t) and f(t) over the whole simulation time 5 N U M E R I C A L C O M P A R I S O N AND
To or their ensemble spectral density functions Sf(,;) DISCUSSION
and S/(03) are composed of discrete spectral lines at
= ~ for n = 1 , 2 , . . . , N - 1. It yields Two examples are used to compare the difference of the
rate of convergence of autocorrelation functions of the
N-I 2 simulated stochastic processes generated by the original
si( ) = Z 2-2--nnn[6(03 -~- 03n) -~- 6(03 -- OJn)] (41) formula and the modified formula. The algorithm for
n:0
generating sample functions using the F F T technique
N-1 presented in Shinozuka and Deodatis 3 is used here. The
Z Sfo(~°")Ao316(03+w")+6(w-~")] (421 algorithm reads:
n=]

and f(mAt) = Re Bnei(nA~)(m~'t) for

kn=0 )
N-1 ^2
Z i6(03+ 6(03- 03./1 (43) m = 0, 1 , . . . , M - 1 (46)
n:0
where Re indicates the real part of a complex and B,
stands for
n n = V/-2An ei~p. for n = 0, I , . . . , N - 1 (47)
and
+ Esi0( 1 ]
2) - g s i 0 ( 0 ) + Bn =- 0, qOn : 0 for n= N,N + I , . . . , M - 1
+ - (48)
N-I In order to avoid aliasing, the sampling number M
+ ~ Sfo(~.)A~o[6(w+ OJn) 7l- 6(03 -- 03n) ] must not be less than 2N, since, according to the
n=3 sampling theorem, the time step At has to obey the
condition
(441
7l"
Ate< - - (49)
where 6(a;) is the Dirac function with 03u

and it remains for the time step

I ~ 6(a;)&v
--OO
1 and 6(03)--0 for aJ # 0
At To 27r 2 N . __Tr (50)
(45) =M=MA~v- M ~vu
The idea in the simulation is to approximate the The first example deals with the simulation of a broad
continuous spectrum Sfo(w) with the discrete spectrum band stationary stochastic process j~0(t) with the mean
Sf(~d) o r S/(w). In the original simulation formula, the value equal to zero, autocorrelation function Rf~° given by
contribution of the component Sfo(O)Aw6(w) is simply Rji ° (r) = e -al~l (51)
neglected, and the values Sfo(wn)Aw of the spectral lines
of the discrete spectrum Sf(~v) correspond to the exact and the corresponding two-sided power spectral density
values Sfo (~vn) of the continuous spectrum Sfo(w) except function Sf~o(w) given by
for w = 0. While, in the modified simulation formula, 1 2a
the contribution Sfo(O)Awr(w) is approximated with ST,° (a~) - 27r w 2 + a 2 (52)

si0(0)/x [6(03 + + 6(03 - 03111 The parameter a is set to one per second, i.e. a = 1 s -1.
Figures 2 and 3 show the autocorrelation function
1 Re. (7-) and the power spectral density function Sr~o(w),
6 Sfo(O)A0316(03+ 032) + 6(03- 032)]
re~s]~ectively. The upper cut-off frequency Wu of the
110 B. Hu, W. Schiehlen

1.2 10 ~

1.0
10-4

0.8

~) A
0.5 10-s

0.2
10`8
0.0

10:1o
°%.o ' o'.o ' - 5.0 -5 0
Time x Time 1:

Fig. 2. The autocorrelation functions of the stochastic Fig. 4. The absolute truncation error e~t° (r) with logarithmic
processes fl0, fl and fl. scale.

spectral density function S f , o (w) is determined from eqn and R/~ (z) are also shown in Fig. 2. It can be seen that
(2) with the admissible relative error e = 0-001. It yields the correlation function R/~ (T) is much closer to the
~u = 636.6192 rad s -1. The absolute truncation error given correlation function R A (7-). For a different
[e~0(T)I is shown in Fig. 4. It can be seen that only in the parameter, N, Table 1 shows th~ absolute errors of the
neighbourhood of 7- = 0 is the truncation error relatively correlation functions
large. The value of the spectral density function SA (w),
. . . !
and its denvatwe S]~° (w), at w = Wu are as follows:
0 ef, (T): = Rf, (T) -- R~,° (T) and

Sfl ° ( O J u ) -~- 0.7854 x 10-6 el, (T): = Rf, (T) -- R~ ° (r) (54)

and S~0 (Wu) = -0.2467 x 10-8
It turns out that these values are very small and,
compared with the admissible error eRAo(O), their
contribution to the autocorrelation function RZ (T) can
be neglected.
Now, we compare the autocorrelation functions of the
generated stochastic processes fl(t) from the original
simulation formula and J~(t) from the modified
simulation formula. The time step At is fixed and
chosen as 0.002 s, i.e. At = 0.002s. For the sampling
number N = 1661, and the simulation time To = M x
At -----8192 × 0.002s = 16.384s, Fig. 5 shows the differ-
ence of two sample functions of the stochastic processes
fl(t) and j~(t). Their autocorrelation functions RfI(T)
0.4
(53) at r = 0S and r = 1 s. It shows that for Aw > 1 rads -],
the correlation function R~ (r) is worse than R A (T). The
reason is that the error e]~(T) is approximately
proportional to moJ4 in contrast to Aw for efj(T).
However, for Aw < 1 rads -1, the modified simulation
formula is much better than the original simulation
formula. The correlation function RA (~-) converges to the
target correlation function R~ (z) more quickly than the
correlation function Rfl (r). It°appears also that the error
eA (T) converges to zero linearly with parameter N.
The computational efficiency of both simulation
formulae is shown in Fig. 6 with a logarithmic scale.
The computing time is measured as the runtime of the
corresponding F O R T R A N program in an HP-work-
station Apollo 9000 series 700. The abscissa is the

S~lo(o,) t, (t)
0.3 .... fi(t)

.o
0.2 ,9.

0.1

0020 .1o ~ lo 20 -'

0 10 20
Frequency m [1/s I Time t

Fig. 3. The spectral density function of the broad band Fig. 5. Two sample functions of the stochastic processes fl
stochastic process rio" and fl.
 Simulation of stochastic processes 1! 1

Table 1. Comparison of the absolute errors [efl (~-)[ and [e/~(~-)[ 3 ~ • , • , ,-- ,

for two simulation formulae

M N m~ ley~(0)[ lefl(0)l lef~(1)( lef,(1)l 2[ Rf2°(x)
1024 208 3.0680 0.6804 1-2728 0.5195 2.4673
2048 416 1.5340 0.4544 0-5211 0.4361 0.4001
4096 831
8192 1661
0.7670
0.3835
0.2436
0.1221
0.0006
0.0000
0.2433
0.1221
0.0119
0"0004
i'
16384 3321 0.1917 0.0610 0.0000 0.0610 0"0000
~ o

variance error, which is the difference between the target

-1
variance R~0(0 ) and the variance of a generated
stochastic process, i.e. the error left (0)J or left (0)[. This
quantity characterizes the accuracy of the simulation. -2
-40 -30 -20 -I0 0 10 20 30 40
For the reason of saving computing time of FFT, the Time 17

sampling number M remains a power of two. Figure 6 Fig. 7. The autocorrelation function of the narrow band
shows clearly that for the same variance error, the stochastic process f20.
computing program using the modified simulation
formula takes much less time than the program using and the corresponding two-sided power spectral density
the original simulation formula. For the variance error function SAo (w) given by
equal to the admissible error c = 0.001, it needs only
1 1
0.14s for the program using the modified simulation
Sf2° (~v) = 2--~ (o,r~ - ~0) 2 + 4(2J0 w2 (56)
formula, while the program using the original simula-
tion formula takes 57"8 s to run, the latter being 412 (see Figs 7 and 8). It describes the stationary response of
times slower than the former. In addition, the comput- a vibrating system with one degree of freedom excited by
ing program using the modified simulation formula also the white noise. The natural frequency and the damping
saves a lot of computer storage space. For the variance coefficient of the system are set as follows:
error equal to the admissible error e = 0"001, one needs
only to compute 4096 points F F T by the modified w 0 = l r a d s -1, if--0.1 (57)
simulation formula. However, using the original simula- The upper cut-off frequency wu of the spectral density
tion formula, one must compute over one million points function Sj5 (w) is now determined from eqn (2) with the
FFT, taking about 250 times more storage space. admissible-~elative error e = 0.0001. One obtains
The second example deals with the simulation of a
narrow band stationary stochastic process f2o(t) with ~vu = 7.5668rads -1, Sf20 (O3u) = 0"5025 x 10 -4
mean value equal to zero, autocorrelation function Rf~°
and S)2° (Wu) = -0.2703 × 10 -4 (58)
given by
e-~l~l It turns out again that for A~v < 1 rad s -1, the contribu-
RAo (~-) - 4 ~ 3 tion o f S A (Wu) and S)2 (Wu) in the sum o f e q n (22) to the
autocorre'~ation function Rfzp (r) can be neglected since it
is smaller than the admissible error eR .(0). The
[cos ( V / ~ - ~a~0"r)+ (sin ( V / 1 - (2o;0[rl)] (55) f2u_

unavoidable truncation error is shown in Fig. 9.

100

Sf2o(tO)
4

~= 10

== I
tJ
1

0.1
0.1 0.01
Variance error
0.001 0.0001
oS -2 0
Frequency ,~ [l/s]
1 2

Fig. 6. Comparison of the computing time with the variance Fig. 8. The spectral density function of the narrow band
error for two simulation formulae. stochastic process f20.
112 B. Hu, I4I. Schiehlen

0,04

0.03
t;*.('=) - - %(~)
104 0.02 ..... %('0

0.01
E

104 Z. 0.~

-0.01

10~ -0.02

-0.03

10"10 -0.04 [
-40 -20 0 20 40 20 ~max 40 1; 60
Time 1; Time

Fig. 9. The absolute truncation error e~2° (r) with logarithmic Fig. 11. The error functions ee (r) and ef2 ('r) for N = 247 and
scale. To ~2204"8.

In the simulation, the time step At is also fixed and
chosen as At = 0.2 s which satisfies the inequality (49).
For the sample number N = 124 and the simulation
time To = M x At = 512 x 0-2s = 102.4s, Fig. 10 shows
the error functions of their ensemble autocorrelation
functions
eA (7-): = RA (7-) - R~2° (r) and
e~ (7-): --- Rf2(7-) - R~2o(7-)
It can be seen that for 17-["--<7-max = 16.3 s, the correlation
function R/~ (r) is much closer to the target correlation
function R* !20 (r) than the correlation function Rf2(7-).
However, for large 7- approaching To~2, both correla-
tion functions have large errors and the correlation
function Rj:(7-) is worse than the correlation function
Rf2(7-). The reason is that for large r with AwT- > 1.8, the
modification in the simulation formula makes the
accuracy of the correlation function worse. But, if we
increase the simulation time To, i.e. the sampling
number N, the errors of both autocorrelation func-
tions B/2(7-) and Rf:(r) for M,.<51-2s become smaller.
Figure I 1 shows the error functions ef2(r ) and ef2(r )
for the sampling number N = 247 and To = 204-8 s. It
0.04
0.03
eh(=)
0.02
0.01
0.00
. . . . . . ,,
-0.01
" \-'
-0.02
-0.03
I Leipholz. University of Waterloo Press, Waterloo,
-0.04
1;max 20 4'0
Time
Fig. 10. T h e error functions e~ (r) a n d eA(r ) for N = 124 and
T0 ~2102.4.
can be also seen that for IT[ ~<51.2 s, the error of the
autocorrelation function RA (7-) is smaller than the error
. . 2
of autocorrelatlon function RA(7-). In addition, it turns
out once more that for 17-[~<7-max= 32"6s, the error of
the autocorrelation function Rf: (7-) is negligible.
Two examples show that for a given admissible
relative error e, the values of Sfo(~ ) and S}0(~) at the
cut-off frequency w = Wu are very small and their
(59) contribution to the autocorrelation function Rf(r),
just as the admissible error eRfo(O), can also be
neglected. For a small frequency step Aw < 1 rads -1
and a not very large time lag 7- < 1/A~ = To/27r, the
modified simulation formula is preferable to the original
simulation formula. Since the autocorrelation function
R~0(r) converges to the target autocorrelation function
(r) with order 1/N 4 instead of 1/N for the
autocorrelation function Rf(r), the modified simulation
formula has much higher computational efficiency. It
not only saves computation time but also computer
storage space. However, for very large r with Awlr] > 1,
both autocorrelation functions Rf(r) and R.(r) have
7
large errors. The autocorrelation functions Rf(r)
becomes worse than Rf(r) for Awl7-I > 1.8. When the
autocorrelation function for the range /X~lr I > 1 also
plays an important role, both simulation formulae are
not recommended.
REFERENCES
1. Shinozuka, M., Monte Carlo solution of structural
dynamics. Computers and Structures, 1972, 2, 855-
:"il 874.
2. Shinozuka, M., Digital simulation of random
i I
processes in engineering mechanics with the aid of
F F T technique. In Stochastic Problems in
Mechanics, ed. S. T. Ariaratnam and H. H. E.
60 Canada, 1974, pp. 277-286.
3. Shinozuka, M. and Deodatis, G., Simulation of
stochastic processes by spectral representation.
Applied Mechanics Review, 1991, 44, 191-204.
 Simulation of stochastic processes 113

4. Shinozuka, M. and Deodatis, G., Simulation of
multi-dimensional Gaussian stochastic fields by
spectral representation. Applied Mechanics Review,
1996, 49, 29-53.
5. Davis, P. J. and Rabinowitz, P., Methods of
Numerical Integration. Academic Press, New York,
1984, p. 132.
6. Stoer, J., Numerische Mathematik, Springer, Berlin,
1994, p. 143.
7. Slotine, J.-J. E. and Li, W., Applied Nonlinear
Control. Prentice-Hall, Englewood Cliffs, NJ, 1991,
pp. 125-126.