Structural Safety, 3 (1986) 167-194 167

Elsevier Science Publishers B.V., Amsterdam - Printed in The Netherlands

METHODS OF STOCHASTIC STRUCTURAL DYNAMICS

Y.K. Lin .i, F. Kozin 2, Y.K. Wen a, F. Casciati 4, G.I. SchuOller s, A. Der Kiureghian e,
O. Ditlevsen 7 and E.H. Vanmarcke a

1 Florida Atlantic University (U.S.A.), 2 Polytechnic Institute of New York (U.S.A.),

University of Illinois, Urbana (U.S.A.), 4 University of Pavia (Italy), 5 University of Innsbruck (Austria),
6 University of California, Berkeley (U.S.A.), 7 Technical University of Denmark, Lyngby (Denmark),
8 Princeton University (U.S.A.)

ABSTRACT

A concise review is given of the analytical non-parametric excitations appear as inho-

methods of stochastic structural dynamics which
deals with structural systems under time-vary-
ing random excitation. Included in the review
are both linear and nonlinear structures and
both parametric and non-parametric random
excitations. Mathematically, parametric exci-
tations appear in the coefficients for the un-
knowns in the equations of motion, whereas
mogeneous terms on the right hand side. Physi-
cally, random parametric excitations represent
the variation of structural properties with time,"
therefore, they can affect the stability of struct-
ural response. Approximate methods are de-
scribed for those cases for which exact solutions
are presently not available.

2.1. INTRODUCTION bles have been discretized using a suitable

Stochastic structural dynamics is con-
cerned with the solution of equations of the
following type
d Xj(t)=f/(X, t ) + g + k ( X , t)Fk(t )"
dt
j = 1, 2 . . . . . N; k = 1, 2 , . . . , M
where t represents time, Fk(t ) are M random
excitations, Xj(t) are components of and N-
dimensional response state vector X(t), and a
repeated index indicates a summation. It is
assumed that the spatial independent varia-
* Chairman of Subcommittee on Methods of Stochastic
Structural Dynamics.
scheme, for example, the Galerkin or a finite
element scheme. Equations (1.1) are first order
differential equations; however, this is not a
restriction since a higher order differential
equation or a differential-integral equation
can be converted equivalently to set of first
order differential equations.
(2.1.1)
Clearly, the functional form of each g j+, in
Eqns. (2.1.1) provides a clue as how the ran-
d o m force F~ interacts with the system. For
ease of discussion, let us re-write this last
term as follows:
g+k(x, t)r (t) =
+gjt,2(t)Ft(t) (2.1.2)
168
Fk(t) gj k,2 It) Fk(t)
(a)
Fig. 1. Linear time-invariant structure under (a) sta-
tionary random excitation, (b) uniformly modulated
random excitation.
indicating that two types of gjk function are
possible: the first type, gjk.l(X), is autono-
mous (dependent on the response X but not
explicitly on t), whereas the second type
gj/.2(t) depends only on t. The roles played
by the random excitations, Fk(t ) and Et(t ),
are f u n d a m e n t a l l y d i f f e r e n t . T h r o u g h
gjk.~(X), random excitations Fk(t ) appear in
the coefficients of the unknowns in the
governing equations; thus, they are capable of
changing the characteristics of the dynamic
system randomly with time. In particular, they
can make an originally stable system unstable
or vice versa. On the other hand, random
excitations F~(t), being associated with
gjt,2(t), appear only in the inhomogeneous
terms, and they cannot affect the systems
stability. Due to their distinctive roles, the
random excitations in the first group, Fk(t ),
are called the parametric excitations, and
those in the second group, F~(t), the non-
parametric excitations, although they are also
known by other names in different areas of
applications. Intuitively, the parametric exci-
tations are more "intimately" related to the
structural response than non-parametric exci-
tations.
In the present paper, a state-of-art review
will be given of the general field of stochastic
structural dynamics. We shall begin with the
simplest case of linear time-invariant systems
under purely non-parametric excitations, for
which the elementary spectral analysis or its
generalized version is applicable. The case of
nonlinear structures will be discussed next,
followed by parametrically excited systems.
2.2. LINEAR TIME-INVARIANT STRUC-
TURES UNDER NON-PARAMETRIC RAN-
DOM EXCITATIONS
Many random vibration problems are
solved using the elementary spectral analysis
of one form or another. This method is an
extension of the well-known operational
calculus, applicable only to linear time-in-
variant systems. A time-invariant system can
be represented by differential equations with
constant coefficients; therefore, the method is
not applicable to the case of parametric exci-
tation. Further restriction to linearity is due
to the fact that the principle of superposition
is used in the analysis.
Referring to (2.1.1), functions fj must now
be linear and functions gjk must not be func-
tions of the unknown response. More specifi-
cally, the governing equations may be written
as follows:
d
- ~ Xj = ajk X k + gjk.2( t ) Fa ( t )"
j = 1, 2 . . . . . N; k = 1, 2 . . . . . M (2.2.1)
in which ajk a r e now constants. Two cases
will be considered. In one case, the gjk.2 func-
tions are constants (all are equal to unity),
and Fk(t ) are stationary random processes.
In another, the gjk,2 functions do vary with t,
but Fk(t) remain to be stationary processes.
The general idea may be outlined with the
help of Figs. 2.2.1a and b. We may assume,
without loss of generality, that the ensemble
average of every random excitation is zero.
Then the ensemble average of every response
variable, Xj(t), of a linear system is also zero.
The effect of non-zero means of the excita-
tion processes, if they exist, can be evaluated
separately in a deterministic analysis, and the
results superimposed on the zero-mean solu-
tions.
In Fig. 2.2.1a, an arbitrary linear structure
is excited by a number of stationary random
processes, typically Fk(t ) at location k. The
immediate objective is to obtain certain star-

istical properties of a response quantity Xj(t)
(treated as a component of a suitable re-
sponse vector) when the response also reaches
statistical stationarity. Since Fk(t) and Xj(t)
are stationary random processes, they have
the Fourier-Stieljes integral representations:
OG
Fk(t ) = f]oc
e i'°t d/g'k(*0)
oo
X,(t) = f£ e i~' dXj(*0)
oo
in which Fk(*0) and A'j(*0) are random
processes with orthogonal increments, having
the property
E [dFk(*0,)d F/* (.02)]
0, .01 4:.0=
x d*0, *0, = ,02 = .0
E [d2j(*0,) dX*(*0=)]
0, *0, • *02 = .0
= ~ff~g,Xm(~,l)) d*0, *0, = *o2 = *0
in which E[. ] denotes an ensemble average,
an asterick indicates the complex conjugate,
and • represents a spectral density or a
cross-spectral density of the random processes
identified in the subscripts.
Equation (2.2.2) shows that F k and Xj are
composed of infinitely many infinitesmal
sinusoidal components. Then from the princi-
ple of linear superposition,
d)~'j(*0) = Hjk(*0 ) d•(*0)
in which each Hjk (.0) has the physical mean-
ing of the complex amplitude of a response
variable at location j if the excitation is a
unit sinusoid at location k alone. The Hjk
functions are called the frequency response
functions; their determination often con-
sumes the major portion of time and effort in
an analysis.
It follows from the orthogonal increment
property, eqn. (2.2.3), that
d~x,x,,(w ) = H)k(*0)H*I(*0)dPF~F,(*0)
169
The cross-spectral density Oxx of the re-
sponse variables Xj(t) and X,,(t~ can be used
to compute the cross-correlation function:
--OO
X (I)F~F~(.0) ei'°" d*0 (2.2.6)
(2.2.2)
which is a function of the time-difference ~-.
When j - - m , a cross-correlation becomes an
auto-correlation whose value at the zero
time-difference, ~-= 0, is the mean-square
value of the response quantity in question.
The interpretation of a typical excitation
Fk(t ) and a typical response variable Xj(t)
can, of course, be generalized. In particular,
when classical normal modes of vibration of a
linear time-invariant system exist and can
easily be found, it is usually more convenient
(2.2.3) to formulate the problem such that Xj(t)
represents the generalized displacement in the
j th mode, and Fk(t) the generalized force in
the k th mode. Even when classical normal
modes do not exist, a set of assumed modes
may, sometimes, be selected, in which case
the results obtained will be mathematically
approximate in the sense of Galerkin.
The case of non-constant gjk,2 functions is
shown in Fig. 2.2.1b. The products gjk,Z(t)
Fk(t) play the role of excitations. These prod-
ucts are non-stationary random processes,
(2.2.4) even though Fk(t ) are stationary. These prod-
ucts are known as uniformly modulated ran-
dom processes, a class of non-stationary ran-
dom processes which has found important
practical applications. Under non-stationary
excitations, the response quantities are also
non-stationary, and the cross-correlation of
two response quantities is a function of two
different times, instead of the time difference.
Without giving the details, it suffices to note
that eqn. (2.2.6) must now be replaced by
(2.2.5) (OXjxm(ll, 12)=E [ X j ( t l ) X r n ( t 2 ) ]
170
= f* M:.(t,,
- DC
×e
in which
a4,k(t, _
×
fo'gjk,l(r) e -i(v-~)t d r
(no summation on j nor k)
When the modulation functions gs~,2 are of
the exponential, sinusoidal or polynomial
type, or their combinations, eqn. (2.2.8) may
sometimes be evaluated in closed form; fre-
quently, it must be computed numerically.
It is of interest to note that Eqns. (2.2.7)
and (2.2.8) can also be used to compute corre-
lation functions for transient non-stationary
response for a system which is initially
quiescent and is exposed to stationary excita-
tions at t =0. This is recognized to be a
special case in which
1, t> 0
gJk'2(t) = O, t<0
This formulation is especially useful in
modeling the 'zero-start' conditions char-
acterizing earthquake excitation. Nonsta-
tionary statistics of the response to suddenly
applied and modulated random excitation
may be found e.g. in [95] through [100].
Thus far, our discussion has been restricted
to the second order statistical properties
(either spectral densities or correlations) of
the excitation and response processes, the
mean functions of these processes being as-
sumed to be zero. If the excitation processes
are Gaussian distributed, then the response
processes of a linear system are also Gaussian
distributed, and they are completely char-
acterized by the first and second order statis-
tical properties. For non-Gaussian excitations
and responses, the relationship between cor-
responding higher order statistical properties
are required, and they can be expressed most
conveniently in terms of the impulse response
functions. For example, if the structure is
(2.2.7)
initially quiescent, the third moment relation-
ship is given by
u[x,(,,)xk(,2)x,(,,)]
=£
×(t2-
(2.2.8)
×E[Fp(r,)Fq('r2)F,('r3) ] d% (2.2.10)
where each impulse response function, say
hjp(U), is related to the corresponding
frequency response function H/p(o:) as fol-
lows:
h j e ( u ) = - ~ _1 f~ Hse(~0) e~'~"do: (2.2.11)
Other higher moments of the response
processes can be similarly formulated. If the
excitation processes are jointly stationary and
if moments of response processes int he sta-
tionary state are required, then the lower limits
in the multi-fold integration should be re-
(2.2.9) placed by - m, and the result is independent
of the choice of time origin for the t 's. Higher
order spectra (e.g. bi-spectrum, tri-spectrum)
may be defined as Fourier transforms of the
higher (3rd, 4th) moments of the stationary
response, and they are related to the respec-
tive spectra of the excitation analogously to
eqn. (2.2.5). The probability density of the
response may then be approximated by series
expansions utilizing these higher statistical
moments, e.g. Ref. [80].
The literature pertaining to the subject of
linear time-invariant systems under random
non-parametric excitation is enormously rich.
Yet, for this elementary and well-established
portion of stochastic structural dynamics, it
appears adequate to list only several text
books as references, for example, [1-9]. Al-
though spectral representation is often the
same basic tool for the analysis of such sys-

terns, it is refreshing to find occasionally novel
applications such as [10] and [11]. In the
particular area of earthquake engineering,
proposals to modify the commonly used re-
sponse spectrum approach incorporating con-
cepts of stochastic structural dynamics were
made in [12] and [101].
2.3. NON-LINEAR STRUCTURES UNDER
NON-PARAMETRIC RANDOM EXCITA-
TIONS
2.3.1 Statement of the Problem
Consider the following equations of mo-
tion:
mijX j + gi(X, X ) = F/(t);
i, j --- 1, 2 .... , N (2.3.1)
where rnij are constants and g,;(X, X) are
nonlinear functions of X and X. Equations
(2.3.1) may represent a structural model for a
building, an offshore platform, an aircraft or
a ship, and the nonlinearity may arise from
large deflection or inherent nonlinear material
property, or both. Although the system is
nonlinear, its dynamic properties are still
time-invariant and the excitations are non-
parametric. The objective is to solve for the
response processes X i and k i given the prob-
abilistic or statistical information about the
random excitations F, (t).
2.3.2. Some exact solutions
When the excitation processes can be mod-
eled as Gaussian white noises, exact solutions
are sometimes possible. In the case of single
degree of freedom, we have
X+ g(X, J()= W(t) (2.3.2)
Let Y I = X and Y2=X, eqn. (2.3.2) is re-
placed by two first order equations
J', = II2 (2.3.3a)
J~2 = -g(Y1, Y2)+ W(t) (2.3.3b)
171
Under Gaussian white noise excitation, the
response state vector Y(t) = (Yl(t), (Y2(t)} is
a Markov vector. The joint probability den-
sity of Yl(t) and Y2(t) conditional on Yl(to)
=Ylo and Y2(to)=Y20 is governed by a
parabolic partial differential equation, called
the Fokker-Planck equation which, for the
present case, is given by
8p Op 8 ,s 8 2p
8--7 +Y2 8y2 8y2[Pg(Yl,
Y2)]- 'rr/x~-~- = 0
8Y2
(2.3.4)
where K is the spectral density of the excita-
tion white noise. The unknown p is called the
transition probability density of the Markov
vector Y(t). Equation (2.3.4) is solved with an
initial condition
P(Yl, Y2, t0lYl0, Y20, to)
= 8(y, - y,0) 8(y2 - Y20)- (2.3.5)
A general solution for eqn. (2.3.4) is not
known for second order nonlinear systems.
However, some exact solutions are known for
the following reduced equation,
8p* 8 8 2 -*
Y2 8y 1 8yz[P*g(Ya, Y2]-~rK 8Y2 - 0
(2.3.6)
obtained by setting the time-derivative term
in eqn. (2.3.4) to zero. The unknown p* in
eqn. (2.3.6) represents the unconditional joint
probability density for Yl(t) and Y2(t) when
t - t o is sufficiently long so that the effect of
the initial condition is negligible, and these
response processes have reached statistical
stationarity. In particular [13,5] if
g(Yl, Y2)=Y2gz(H)+g1(Yl) (2.3.7)
where
H= ½y~ + foV'ga(u) du (2.3.8)
and g2 satisfies rather general conditions to
ensure the existence of stationary response,
172
then
p* = C exp - ~ J 0 g2(v/) d-q (2.3.9)
The coefficient C is determined from the
condition that the total probability is unity.
For practical purposes the conditions re-
quired of function g2 are satisfied if it is a
positive function.
Equation (2.3.7) includes an important spe-
cial case
g(Yl, Y2) = flY2 + gl(Yl) (2.3.10)
for which
(2.3.11)
This special case restricts nonlinearity in the
displacement alone, in which case the velocity
II2(t) is a Gaussian random variable at every
t and is independent of the non-Gaussian
displacement Y](t) at the same t. Clearly,
Yz(t) is not a Gaussian random process.
The stationary solution, eqn. (2.3.9), has
been generalized [13] for multi-degree-of-free-
dom systems, governed by
X, + ~,g2(H) 2, + 3U(X)/3X,= W,(t);
no sum in i; i = 1, 2 . . . . . N (2.3.12)
in which U is a potential function, and Wi(t )
are uncorrelated Gaussian white noises of
spectral densities Kj. If the following ratios
p,/Kj =V are all equal, independent of j,
then the solution to the reduced Fokker-
Planck equation for the stationary joint prob-
ability density is given by
p* = C e x p l - ;y f0/4g2(T/)d~] (4.3.13)
where
N
H = ½• Xi2 + U ( X ) (4.3.14)
i=l
A sufficient condition of the existance of the
above solution is that Yg2 be a positive func-
tion.
In closing the discussion on exact solu-
tions, it should be pointed out that white
noise processes, which are delta correlated or
have constant spectral densities, are idealiza-
tions. Therefore, the solutions presented in
this section are mathematically exact, but they
are physically approximate in the sence that
physically realistic random excitations have
been replaced by ideal white noises. The re-
placement is justified provided that the corre-
lation times of the actual excitation processes
are short compared with the relaxation time
of the dynamic system. In such a case the net
area under a correlation curve, be it an auto-
correlation or a cross-correlation, may be
lumped at the origin, effectively changing the
physical processes by white noises. If para-
metric excitations are also present, then the
replacement cannot be so simply accom-
plished, but it can still be done using a well-
established procedure, known as the stochas-
tic averaging method of Stratonovich [t5] and
Khasminskii [16].
2.3.3 Approximate Methods
Since exact solutions are not always ob-
tainable for nonlinear systems under random
excitations, even when the excitations are
idealized white noises, a number of approxi-
mation techniques have been developed [14].
Some of these techniques will be briefly dis-
cussed below.
I. Iterative Solution for the Fokker-Planck
equation [13]
If the nonlinearity is small, then the transi-
tion probability density is expected to be
close to that of the linear case. Consider, for
example, the following equation of motion.
X+ flJ(+cooX+eg(X, 2 ) = W(t) (2.3.15)
Where I ~ l i s a small constant. An approxi-
mate solution for the Fokker-Planck equa-

tion associated with this nonlinear system may
be obtained as the sum of the solution for a
linear system and a correction attributable to
the nonlinear term ~g(X, X) in the equation
of motion; namely
p ( y , t l Y0) =P0(Y, t l Y0)
-,fo'dtfg( )p(L yo)
× ~~Po(Y, t-~l~) d~
(2.3.16)
where P0 is the transition probability density
if e = 0. eqn. (2.3.16) may be solved itera-
tively. Convergence can be expected when the
nonlinearity is small.
II. Cumulant Closure
If we are interested only in some statistical
moments of structural response to Gaussian
white noise excitations, then a solution to the
associated Fokker-Planck equation may not
be required. The equations for moments can
be derived from the Fokker-Planck equation
(e.g. [17]), but they can also be derived more
conveniently from the It8 type stochastic dif-
ferential equations [18] for the system.
Let the physical equations and the corre-
sponding It8 equations be, respectively,
d xj(~)-~-fj(X, t)-[-gjk(X, t)Wk(t )
dt
(2.3.17)
and
dXj(t) = rnj(X, t)dt + Ojk(X , t) dBk(t )
(2.3.18)
where Bk(t) are independent unite Wiener
processes, satisfying
E[Bk(t,)B,(t2) ] =8k, min(t,, t2) (2.3.19)
It can be shown [19] that
a advantage of being applicable to large nonlin-
rag(X, t) = ~ ( X , t) +qTKkr-~rgjk(X , l)
X g,, ( X, t ) (2.3.20)
173
OjlOk,= 2rrKrsgjr(X , t)gks(X, t) (2.3.21)
where K,s is the cross-spectral density of
Wr(t ) and Ws(t). When r = s, a cross-spectral
density becomes a spectral density. Without
parametric excitations, the second term on
the right hand side of (2.3.20) will be zero.
The conversions rules, (2.3.20) and (2.3.21)
are general; they are applicable even when
parametric excitations are present.
Equation (2.3.18) can be used to obtain an
It#) equation for an arbitrary scalar function
~ ( X ) of X [20]:
dq~ = --~ + mJ-~ii + ~oJ,Ok, OXjOXk dt
• a~
+ qgk~-~j dBk(t) (2.3.22)
The equation for E[~(X)] follows from en-
semble averaging:
d
a~ 1 02~ ]
=E m-~j + ~OjlOkla~j~ Xk
J
(2.3.23)
where ~ is known as the backward diffusion
operator of the Markov process. Equations
for the statistical moments are obtained by
letting q~(X) be Xj, XjXk, XjXkXt, etc.
Unfortunately, the equations for the statis-
tical moments for the response of a nonlinear
system form an infinite hierarchy, in the sense
that an equation derived for an n th moment
generally contains moments of both higher
order and lower order than n. Therefore, a
suitable closure scheme must be employed to
obtain approximate solutions. One such
scheme is cumulant closure which has the
ear systems, including those under both para-
metric and non-parametric excitations.
The statistical moments are related to
174
cumulants as follows [5,15]:
E[x,]
E[ x xk] : xj, xk] +
E[ X, XkX,] Xj, Xk, X,]
+ 3{ ~,[ xj]~2[ x~., x,] },
E[xjx x,x,.]
÷ 3( K2[ Xj, Xk]K2[ XI, Xml } s
+4( ~[ xjl~[ x~, x,. x.,] },
+ 6 ( Ka[ Xj] K, [ Xk]K2[ X~, X,, I },
(...) (2.3.24)
where Kj [ ] denotes a j t h cumulant, and ( }s
indicates a symmetrizing operation with re-
sl~ect to all its arguments; namely, taking the
arithmetic mean of different permuted terms
similar to the one within the braces.
The simplest cumulant closure is the
cumulant-neglect closure [21] in which all the
cumulants higher than a given order N are set
to zero. The statistical moments of an order
higher than N can then be expressed in terms
of lower moments using relations (2.3.24).
Very accurate results have been obtained using
this scheme [21]. It is of interest to note that
for a r a n d o m process defined on ( - o o , ~ ) ,
neglecting K, for n > 2 is equivalent to the
so-called Gaussian closure; namely, ap-
proximating this r a n d o m process by a Oaus-
sian process.
III. P e r t u r b a t i o n m e t h o d
The approximation methods outlined in I
an II are applicable when excitation processes
are white noises or can be replaced by white
noises. When the white noise assumption is
not appropriate, more general approaches are
necessary. The perturbation method, e.g. [22],
is one such approach.
Consider, for example, a single-degree-of-
freedom system,
LX+cg(X, )() = F ( t ) (2.3.25)
where L is a linear operator and F(t) is a
weakly stationary excitation. It is assumed
that ¢ is sufficiently small and the solution
for eqn. (2.3.25) can be expanded as a power
series,
x(t) = Xo(t) + ¢x,(t) + ~2x2(t) +...
(2.3.26)
Substituting (2.3.26) into (2.3.25) and equating
like powers of ~, we obtain
LXo=r(t )
LX, = - g ( X 0 , X0) (2.3.27)
(...)
Equations (2.3.27) are linear and can be solved
using standard methods given in Section 2.2.
In particular, if the system is time-invariant,
the spectral density of the stationary re-
sponse, calculated to order ¢, is given by
O x x ( ~O) = O XoXo( ~o) + 2c Re[ qbXoXl(¢0)]
(2.3.28)
where Re denotes the real part, and Ox,,x,(¢o)
is the cross-spectral density of Xo(t) and
Xl(t).
IV. Equivalent linearization technique
This particular approximation method is
quite versatile when applied to practical
multi-degree-of-freedom systems. It was first
developed for r a n d o m vibration analysis by
Booton [23] and Caughey [24], and has since
been extended for more complex systems with
varied nonlinear restoring forces, including
hysteretic forces. The basic idea is to replace
a nonlinear system by an equivalent linear
one, such that the mean square difference
between the two systems (comparing the
equations of motion) is minimized. Recent

works by Iwan and Spanos [25,26] have laid
further theoretical foundation for this method
for stationary as well as nonstationary cases.
The coefficients so obtained for the lin-
earized system are generally functions of sta-
tistics of the response variables. They may be
in implicit forms which could hamper the
solution procedure, especially for multi-de-
gree-or-freedom systems.
Let the equation of motion of a general
multi-degree-of-freedom nonlinear system be
given by
g(~', ,i', X)=F(t) (2.3.29)
in which g is a vector function representing
the total internal force acting on the system,
each component being a single valued and
odd function of its arguments, and F is zero-
mean Gaussian vector process. Equation
(2.3.29) is replaced by a linear system with
the following equation of motion
Mr( + CX + KX= F(t) (2.3.30)
in which the elements in the mass, damping
and stiffness matrices are determined by the
requirements that the mean square error
E[~-T~.] is minimized, where
¢ = g - Mr( - CX - KX (2.3.31)
The conditions that the partial derivative of
E[iT~] with respect to each undetermined
coefficient vanishes and that response
processes of a Gaussian excited linear system
are Gaussian lead to the following results:
mi/ [8XjJ
[ ag, 1
(2.3.32)
For most nonlinear systems these coefficients
can be expressed explicitly in terms of the
response statistics. Since M, C and K are
functions of the response statistics, a iterative
solution procedure is generally required. In
this regard, the solution to the corresponding
175
linear system may be used to start the itera-
tion. Alternatively, a set of ordinary differen-
tial equations of the response variances and
covariances may be obtained, which can be
solved iteratively for a stationary solution and
integrated numerically for a nonstationary
solution. The extension of the method to the
case involving excitations with non-zero
means can be found in [27] where a separate
set of differential equations are obtained for
the mean responses.
The kinds of nonlinear systems that are
amenable to equivalent linearization are re-
ally quite diverse. I n most applications, the
restoring forces may be modeled as algebraic
functions of displacement and velocity, but
nonlinearity associated with the inertial forces
as well as self-oscillatory systems have also
been considered [28,29]. The restriction that
the restoring forces are anti-symmetric (odd)
functions of their arguments has also been
relaxed [30].
A special class of nonlinear systems, of
particular interest in the study of the perfor-
mance of a structure under severe loads, is
that of inelastic systems. Most structures be-
come inelastic before damage occurs. How-
ever, a major difficulty in treating such sys-
tems lies in the hereditary nature of the re-
storing force, i.e., it depends on the response
time history. Invoking the Krylov-Bogoliu-
bov (K-B) assumption of slowly varying
parameters, Caughey [31] obtained the lin-
earized system for a hysteresis system, with
coefficients expressed in integral form. How-
ever, the K-B assumption is tantamount to
that of the system being narrow banded, which
is valid only for slightly to moderately inelas-
tic behavior [32].
A recent approach to modeling hysteretic
behavior by a nonlinear differential equation
appears to be very versatile. It is capable of
modeling system deterioration and biaxial in-
teraction, and is adaptable to the equivalent
linearization method in that the coefficients
for the equivalent linear system can be ob-
176
tained in closed form without resort to the
K-B assumption [33,34]. This method of mod-
eling and solution procedure have been suc-
cessfully applied to response and damage pre-
diction of a variety of structural systems un-
der seismic excitation [35,36].
Comparison of results from equivalent lin-
earization, from exact solutions if available
(e.g., from the Fokker-Planck equation) and
from Monte Carlo simulations indicates that
the accuracy of the equivalent linearization
method is generally very good. An error in
the range of 0-20% is representative. Further-
more, unlike some other approximation meth-
ods, the accuracy of this method is quite
independent of the level of nonlinearity; be it
of a geometric origin or material origin. How-
ever, experience seems to indicate that the
errors tend to be on the unconservative side;
e.g., the statistical moments of the response
are usually underestimated. It must also be
noted that since linearization is based on
minimization of the mean square error, the
prediction of the response statistics other than
the second moments, such as auto correlation
function, extreme value, etc. may not be as
reliable. For example, by comparing the exact
probability density of the response of a Duff-
ing oscillator under Gaussian white noise ex-
citation with the approximate result obtained
from equivalent linearization [81], the tail re-
gions of the two probability densities are
found to be greatly different. The two com-
puted probabilities for x > 30 may differ by a
factor as large as 250. Thus the prediction of
crossing statistics by equivalent linearization
may be seriously wrong for high threshold
levels. It has also been shown that for nonlin-
early damped systems, the first excursion
probability obtained from the equivalent lin-
ear system may be in error by several orders
of magnitude [82,83].
V. Slepian process approximation
In the application of this approximation,
we shall assume that a nonlinear system is
governed by a linear differential equation
while the response is within a given domain D
in the response space, and by another dif-
ferential equation, linear or nonlinear, while
the response is in the complement of D. Then
given that the excitation is stationary, ergodic
and Gaussian and that the excursions of the
response process out of D are rare and of
short duration, it may be possible to obtain
an approximate probabilistic description of
the samples of these response excursions in
the vicinities of the out-crossing times by
using an almost deterministic representation
for the excitation. This description which is
valid for smooth stationary and ergodic
Gaussian response processes, is given as the
linear regression of the excitation on the value
of the response and its derivative at the out-
crossing point plus a nonstationary residual
Gaussian process. Modeling the derivative of
the response process at an out-crossing point
as a random variable with a distribution which
can be obtained by sampling various realiza-
tions at out-crossing points, the linear regres-
sion plus the residual process is known as a
Slepian process which is now the model for
the excitation before and after an arbitrary
out-crossing of the response.
If the previous excursion is far back in
time, the response behaves like a stationary
and ergodic Gaussian process prior to the
next excursion. Thus the Slepian model for
the excitation may be used in the differential
equation which governs the system behavior
in the complement of D. For certain types of
problems the residual process in the Slepian
model starts up with a vanishing or small
variance as compared to both the variance of
the original stationary excitation and the vari-
ance of the linear regression part of the model.
Thus an essential part of the response may be
obtained as the solution corresponding to this
linear regression part of the excitation alone.
When the response leaves the complement of
D after a very short time duration, the vari-
ance of the residual portion of the Slepian

process may not have grown significantly dur-
ing that time. U p o n re-entering to domain D,
the response becomes a Gaussian process
conditional on the random entrance values at
the boundary of D. Since the excursions out
of D are rare, the response process will under
suitable conditions have time to become
nearly a stationary and ergodic process again,
making the Slepian model applicable once
more at the next out-crossing.
Several papers using this Slepian model
technique have been published by Lindgren.
Applications to random vibration problems
are demonstrated in [84] and [85].
A very similar method of analysis has been
used to estimate response statistics for
elasto-plastic and bilinear hysteretic systems
in Refs. [102] and [103]; use is made of the
work of Karnopp and Scharton [104] who
obtained an estimate for the average rate of
energy dissipation due to isolated excursions
above high yield levels. The inelastic system
response is approximated as the sum of an
inelastic displacement (i.e., the effect of an
accumulation of plastic excursions) and an
oscillatory component. The latter is the re-
sponse of an associated linear system with the
same initial hysteretic system. Further exten-
sions permit inclusion of the effect of gravity
on a yielding structure [106] and prediction of
the random response of multi-degree elasto-
plastic shear beam structures [107].
2.4 RANDOM PARAMETRIC EXCITA-
TIONS
As we have seen in eqn. (2.1.1) the general
equation for structural dynamics includes the
possibility of randomly fluctuating parame-
ters. Typically such terms arise when the
properties of a structure are varying due to
internal or external causes. There may be
ageing in the system, which would lead to
changes in the structure, there may be ther-
mal gradients, or large excitations that take
177
the structure out of the elastic range, thereby
changing the system parameters, finally there
may be end loadings such as on a beam or a
plate, that lead to randomly varying coeffi-
cients.
For the general linear structure, we may
write the system equations as
d X ( t ) / d t = A ( t ) X ( t ) = ( A o + Aa(t))X(t)
(2.4.1)
exclusive of non-homogeneous forcing terms,
where the matrix A 0 denotes fixed nominal
parameters, and the matrix Al(t ) contains
elements which are random processes.
There are two classes of questions that are
of concern to us relative to these simple linear
random systems. We are concerned, quantita-
tively, with the statistical properties of the
response vector X(t). That is, we want to
know the joint densities, moments, correla-
tions, first passage time statistics, etc., etc. We
are also concerned with qualitative properties
of the response, in particular the stability of
the equilibrium solution X - O.
It is an interesting fact that we can say
more about the qualitative properties than we
can say about the quantitative properties. In a
sense, this reflects the same situation as in the
case of deterministic linear systems, where we
may not be able to solve (2.4.1) for a given
time varying matrix A(t), but we can in
m a n y cases obtain the stability boundaries for
various classes of functions aij(t ), which are
the elements of A(t).
The basic reason that makes it difficult to
determine, for example, the moments of the
response vector X(t), is that we cannot in
general separate the statistics of the A(t)
matrix process from the X-process. Thus,
upon simply taking the expected values of
(2.4.1), we have,
dE(X(t)}
-E{A(t)X(t)}, (2.4.2)
dt
where the right hand side of (2.4.2), cannot be
obtained directly, in general. We note, how-
178
ever, that if we can write
E(A(t)X(t)}=E{.4(t)}E{X(t)),
then it follows that (2.4.2) simply remains as
a linear system with coefficient matrix
E{.4(t)}
If, further, the .4(t) matrix contains ele-
ments which are stationary processes, if fol-
lows that E ( A ( t ) ) is a constant matrix which
allows exact solution of (2.4.2), given that
(2.4.3) holds. Higher moments can also be
obtained. However, a problem still exists in
the random coefficient case, even in the sim-
plest examples. It may happen that the mo-
ments do not exist, as the following simple
example shows.
Example 4-1
Consider the scalar equation
d X ( t ) _ aZX(t) ' X(0) = 1
dt
where a is a gaussian random variable with
zero man, and unit variance. The sample solu-
tions for this process are the family of in-
creasing exponentials
X ( t ) = e a2',
which are very well behaved.
We cannot find the moments from (2.4.4),
but since we have the sample solution form
(2.4.5), we know that
E{Xk(t)}=E{ek~'}
OC
__ 1 f e (kt-+ '/2)a2 da
VI2q7 -o¢
It is obvious that he integral is divergent for
t > 1/2k. Hence, all moments cease to exist
for t > 1/2.
Therefore, we see that even though this
stochastic linear equation is very simple, with
well behaved sample solutions, the statistical
properties may be quite singular.
For the linear system, there are only two
general classes of stochastic systems for which
(2.4.3)
one can determine the moment properties ex-
plicitly.
These are the cases for which the system
(2.4.1) may be written as
dX(t)dt - [ A ° + i ~ l ~ A i f i ( t ) l X ( t ) (2.4.7a)
or
dX(t)=AoX(t) dt + ~-'.AiX(t) dBi(t )
i=1
(2.4.7b)
In the case of (2.4.7a), if the constant matrices
(.4, . 4 1 , " ' , .4m) generate what is known as a
solvable Lie algebra, then for the vector of
Gaussian processes
[L(t), f2(t) ....
(2.4.4) the p t h m o m e n t of the components of the
solution vector X(t) can be obtained ex-
plicitly. A comprehensive discussion of this
class of system can be found in references
[52-551.
Unfortunately, the linear system of equa-
tions that are of most interest to structural
(2.4.5) engineers do not generate solvable Lie alge-
bras. Therefore, the available results in this
case do not appear at this time to be of
practical significance for structural vibrations
problems.
The linear system (2.4.7b) is the general
linear homogeneous Ito equation, in which
each dBi(t ) denotes the differential of a
Brownian motion. This is, of course, a special
case of eqn. (2.3.18) when the system is linear
(2.4.6) and the random excitations are purely para-
metric.
In the linear case, indeed one can obtain a
closed set of equations for the p t h moments,
E { X P , Xp2 . . . Xpm } ,
where
P, + P2 + ... + p . , = p
 179

Recently, the general equations for the ar- that yields

bitrary pth order moments have been pre- ytpl = A [PlxtP] (2.4.10)
sented. These results are due mainly to Broc-
kett and his co-workers [70,71]. Motivated by Finally, for linear systems
the algebraic theory of linear differential X(t) = A ( t ) X ( t ) (2.4.11)
equations, one can define for a given n-vector
the differential equality
X and a given positive integer p, the associ-
ated vector X [p] whose components are X(t + h)= (I + hA(t))X(t) + O(h z)
[(pP)(P ;Pa)-.. holds, yielding from the definition (2.4.10)
X[Pl(t + h ) = (I + hA(t))IP]xtpI(t) + O(h 2)
(2.4.12)
x pp
Upon defining the limit
X~IX;2... X•, (2.4.8) 1
lim -~((I + hA(t)) [p]- l[pl)) = Atp](t),
for h J,0
n
we determine the associated differential equa-
Pi = P , P, > 0. tion for X [°l,
i=1
The components of X [pl a r e ordered lexico- XtP]( t ) = AEp]( t )XtP]( t ) (2.4.13)
graphically. For example, for n = p = 3, the
components of X [3], for In order to relate these ideas back to the
original eqn. (2.4.7b) one can apply the It6
calculus directly or study the Stratonovich
X= X2 equivalent to obtain the It6 differential equa-
X3 tion for X[ pl as
are, in order, m
+ ) - - 2Ar[pl
]
d~'tP](t) = A - ½ A
x¢ [Pl r=l

x?x2 × x [ P l ( t ) dt
rn
+ Y'~ ArI,IXIpI(t) dBr(t)
r=l
~/-6XIX2X3
(2.4.14)
X [3]= vl3Xl X2 (2.4.9)

x2 where the Br-processes are independent

~t3X2X3 standard Brownian motions.
Applying expectations to eqn. (2.4.14) im-
mediately yields the linear differential equa-
tion for the pth order moments as
The vector X [p] satisfies [[ X [pl [[ = [[ X [[P,
where [[ X[[ z = (X, X) and more generally,
( X , Y ) P = ( X [pl, Y[P]). Furthermore, this
concept extends to matrices through the defi- = A - 1 A + A r[pl
nition Y = A X , defining A[p], o r that matrix r=l [p]
180
xE{
= KpE{ XIeJ(t) } (2.4.15)
Although, in principle, the equations for the
p t h moments for linear homogeneous It6 dif-
ferential equations have been known for m a n y
years, the general form (2.4.15) can be quite
useful. These ideas extend quite simply to the
non-homogeneous case as well.
Except for special cases, in general, all
other stochastic systems with randomly vary-
ing coefficients require approximations such
as perturbation expansions, closure tech-
niques, etc., to determine the moments, corre-
lations and approximations to the desired
probability densities.
For qualitative properties, such as stability,
an extensive literature as well as many results
do exist as we see in the next section.
2.5. STOCHASTIC STABILITY
2.5.1 Introductory remarks
We shall discuss a few problems related to
r a n d o m parametric excitation that have oc-
curred to many in the field for which results
are available, but complete answers have not
as yet been forthcoming. As pointed out in
the Introduction, parametric excitation affect
the system stability. Surveys of the topic of
stability for stochastic systems can be found
in [37,38 and 39].
We concentrate mainly on linear systems.
Although certain results are available for the
non-linear stochastic systems, the results do
not contain as large a body of stability condi-
tions as are known for the linear case.
Non-linear systems have been studied by
many researchers, for example, Kliemann [40],
as well as Sunahara and his co-workers [41].
However, more remains to be developed for
the stability properties of the non-linear sto-
chastic system.
Our objective is to state certain results that
are available, and certain problems that re-
main. We hope that the interested reader will
look further into these questions, and, per-
haps, provide the needed answers.
2.5.2 Stability properties for stochastic
equations with physical noise coefficients
The general linear homogeneous stochastic
differential equation with physical noise coef-
ficients may be written as
d X ( t ) _ [(A + F ( t ) ] X ( t ) , (2.5.1)
dt
where X(t) is an n-vector, A is a constant
n X n matrix and F ( t ) is an n X n matrix
whose non-identically zero elements C / ( t ) are
zero-mean stochastic processes.
The problem of stability has generally been
concerned with the asymptotic properties of
the equilibrium solution X ( t ) - 0.
Although stability of the solutions of sto-
chastic differential equations may be defined
in a n u m b e r of modes corresponding to the
various forms of convergence of probability
theory, the most often studied stability con-
cepts are stability of the mean, in particular,
asymptotic stability of the second moments,
and almost sure sample asymptotic stability.
For asymptotic stability of the second mo-
ments, one requires
lim E(Ir X(t)]12 ) = 0. (2.5.2)
tt~
If the second m o m e n t s approach zero ex-
ponentially, then the second m o m e n t s are said
to possess exponential stability.
For almost sure sample asymptotic stabil-
ity, one requires
lim II X(t)II = 0 (2.5.3)
t~'~
with probability one (almost surely).
We should note that (2.5.3) implies stabil-
ity (Lyapunov) for linear systems. For non-
linear systems, we also require
lim sup ]t X ( t : t o , Xo)]l = 0 (2.5.4)
]IX'oil {0 t > t o

with probability one, where x 0 denotes the
initial value of X(t) at t = t 0.
In general, conditions for stability of the
second moments cannot be obtained exactly
for systems subjected to physical noise excita-
tions. The basic reason for this is that the
exact moments cannot, in general, be ob-
tained.
The fact that for the system (2.5.1) the
vector X(t) is correlated with the stochastic
coefficient F(t) does not allow us to obtain
an exact equation satisfied by the moments of
X(t). That is, we cannot write
E{F(t)X(t)}=E(F(t)}E(X(t)) (2.5.5)
for the linear system (2.5.1), where the matrix
F(t) contains components which are physical
random processes.
The major approaches that are available
presently to study the moment behavior of
systems with physical random coefficients are
approximate methods. These are based upon
the fact that the coefficient process is a small
perturbation, the coefficient process is nar-
rowband or, finally, that the process is wide-
band so that the Markov diffusion approxi-
mations may be applied via ideas of Stra-
tonovich [42], Wong-Zakai [43] or Khaz-
minskii [44], in which the original physical
coefficient equation may be substituted by an
associated white noise coefficient equation,
whose moments can be studied exactly in the
linear case, but still require approximations in
the general non-linear case.
In particular, if the random excitations are
wideband physical noises, the conversion
rules, (2.3.20) and (2.3.21), can be used to
obtain the equivalent It6 differential equa-
tions.
These ideas have been recently applied by
Lin [45] and Ariaratnam [46]. In [47] the
approach was used for the first time to study
the stability of 2nd order linear systems. Ex-
act results were obtained there.
For the linear case, the associated It6 equa-
tion is also linear, and thus all moments can
181
be obtained, thereby allowing moment stabil-
ity properties to be studied in the wideband
case.
For the small perturbation problem, early
works of Stratonovich [15], Weidenhammer
[48], and more recently by Ariaratnam [49]
and Wedig [50] find mean square stability
conditions in terms of the values of the spec-
tral density at twice the undamped natural
frequency of the linear oscillator when para-
metric random excitations occur in the spring
terms. For the slowly varying case, Samuels
[51] obtained early results.
There is, however, another relatively recent
direction for studying the m o m e n t (as well as
the sample) properties of linear systems with
arbitrary physical noise coefficients. This ap-
proach involves the ideas of Lie Algebras,
first motivated by Brockett [52], and studied
by Willems [53], Willsky et al [54], as well as
Kistner [55].
Let us now turn to sample properties and
conditions that will guarantee asymptotic sta-
bility almost surely. Consider the system
(2.5:1) written as the general linear homoge-
neous differential equation
d X ( t ) / d t = A(t) X(t). (2.5.6)
It can easily be shown that for the norm
II.g lip = x T p x , ~v = p, p positive definite
the equality
log II S'(t) lip - log II .g(0) lip
t
1 as
=TJo
(2.5.7)
holds, where " T " denotes transpose.
If the quotient on the left hand side of
(2.5.7) remains negative as t approaches infin-
ity, it must follow that
lim II x(t)lip = 0.
t]'oo
Therefore, the system will be asymptotically
182
stable. Thus, the time average of the quotient
within the integral if it exists, must determine
the asymptotic properties of X(t).
We notice that the transformation
X(t) = X(t)/ll X(t)lip
transforms the trajectories onto the surface of
an ellipse, since P is positive definite.
From the properties of pencils of quadratic
forms, it is known that in terms of X(t) the
quotient in the integral of (2.5.7) satisfies
,o(s)< XT(s)[AT(s)e+ eA(s)]X(s)
where o~(s), ~2(s) are, the smallest and largest
characteristic values, respectively, of the ma-
trix
[AX(s)e + PA(s)]P -1.
Clearly, these are real functions since the
matrix is symmetric.
Thus, it will follow that if the elements
aq(t) of the A-matrix are stationary, ergodic
r a n d o m processes, then we can write from
(2.5.1), with probability one,
E{~o(.)} = lim (s) ds
t'~
log 1[X ( t ) l i p - log II ~(0)
< lim
tl"~ t and the sufficient condition obtained again
< lim
tl"oo
fo'a(s)ds= E{ f~ (s)}.
Thus, we obtain a sufficient condition for
almost sure sample stability, as
E{~2(.)} < 0
The condition in this form for physical noise
processes was first obtained by Infante [56].
I n particular, for the classical second order
oscillator with zero mean, stationary ergodic
physical noise coefficient, F(t),
X(t) = 0
X ( t ) + 2~o0J((t) + [o~2 + F ( t ) ]
he found for w = 1,
o~_=l£{F2(t)} < 4 ~ 2 (2.5.14)
as the sufficient condition extending the re-
sults in [57] and [58]. These results are based
(2.5.8)
only upon knowledge of the second m o m e n t
properties of the F-process.
Later, in 1972 Kozin and Wu [59], based
u p o n the Infante approach, presented an ex-
tension to allow use of the properties of the
probability density for the F-process, again
applied to second order oscillators. Indeed, if
we define Pt = Prob ( F ( t ) > l }, one can show
(2.5.9) that the sufficient condition becomes.
[/(1- 2P,)+ 2f~f dP(f)]D < 2~,
(2.5.15)
(2.5.10) where D = (l + I - ~.,2)1/2.
As in Infante's procedure, l must be cho-
sen to maximize the sufficiency region.
Numerical procedures must be applied to ob-
tain the region. However, the region of suf-
ficiency is greatly increased.
A similar result holds for the randomly
d a m p e d second order oscillator
)((t) + [ 2 ~ + g ( t ) ] )((t) + o.}2X(/) = 0
lip (2.5.16)
leads to a greatly increased region of suf-
ficiency, for almost sure sample asymptotic
(2.5.11) stability.
In an interesting paper [60], Blankenship
introduced a more general norm into this
problem. If the norm of a matrix is denoted
(2.5.12) by "ll II", then the measure of a matrix A,
denoted as/~A) is defined as
I,(A)=lim[ III+OAII-1 ] (2.5.17)
0+0 0
Thus for example, in the simple case,
l l x , = ( E &- 2''j2
) , II A II max •i(ATA),
=
i
(2.5.13) where ~ i ( M ) denotes the ith eigenvalue of

the matrix M, one finds that
~(A) = ½max X,(A +AT).
i difficulties for determining sample behavior
The basic result is the following lemma,
LEMMA (Coppel [61]).
If ~ ' ( t ) = A ( t ) X ( t ) , then
exp(
<llxollexPftS.[A(s)] ds (2.5.18)
Blankenship shows that the Kozin-Wu ap-
proach is an application of Copper's lemma.
Thus, it may be possible through this general
measure /~, to extend the sufficiency condi-
tion of [59] further for systems of the form
(2.5.6).
Almost sure sample stability problems re-
main to be studied further for applications in
the physical noise parameter case.
For exact stability boundaries in general, if
we denote the integrand in the right hand
integral of (2.5.7) as Q(s), then if suitable
ergodic properties hold, it follows from the
discussion related to (2.5.7) that we will have
lira lfo'Q(s ) ds{ < 0, stability (2.5.19)
t t o~ > 0, instability
Therefore, evaluation of this integral is the
key factor in determining the stability proper-
ties for linear systems with random coeffi-
cients. This approach was taken in [62] to
attempt to establish it as a viable approach
for studying stability properties statistically
and numerically. However, many statistical
questions remain relative to the convergence
rate and asymptotic variance of the limit in
(2.5.19).
This numerical approach was studied later
by Arnold and his co-workers. In particular
in [63], rather smooth boundaries are pre-
sented for the case of the second order oscil-
lator (2.5.13) where F(t) is the Ornstein-
Uhlenbeck Gaussian process. We have no
details, however, on how such a smooth
183
boundary was achieved by simulation. Our
past experience has always led to numerical
near the stability boundary.
Of course, we know that the limit in (2.5.19)
is much smoother than the sample behavior.
However, further clarification of the result in
[63] would certainly be desirable.
It has been known at least since 1971 [64]
that if the random spring parameter is Gaus-
sian white noise, then the undamped second
order oscillator is unstable with probability
one.
In a recent paper Kotani has shown that if
the randomly varying spring term is sta-
tionary, ergodic and bounded (in general the
range of values belong to a compact state
space), then the solution is unstable almost
surely. Again, in this problem the unbounded
(for example, Gaussian) case is still of inter-
est.
Although much of the theory for sample
stability is for arbitrary n th order coupled
linear systems, the sample stability regions
have not been easily obtained for higher order
systems. In a certain sense this has been due
to the complexity of obtaining useful ap-
proximations and numerical studies of the
sufficient conditions.
However, in [65] an extension of the results
of [59] was obtained and applied to coupled
systems of the form
21 "1-~21 "[-(C1 --]-FI(t))X 1
+(c2 + F2(t))X2=O
22 + 822 + (c2 + 6 ( t ) ) x , (2.5.20)
+(c3 + F,(t))X2=O
where Fl(t), F2(t) are independent Gaussian
processes.
A sufficient condition of the form
-fl + [( K11)a/2+ ( K22)a/2]
[(l, + 12) + 2 [ W , ( E , - ll)
× w 2 ( e 2 - t2)]] < - ¢
(2.5.21)
184
was obtained, where
KI1, K22 are functions of (c 1, c 2, O, fi, 11, 12)
Wi = Prob{ F , ( t ) > / i}, i= 1,2 i
E,=E{F,(t)IF,(t)>li}, i 1, 2 f
(2.5.22)
and the region of sufficiency is maximized by
choosing the constants 11, 12 optimally.
The problem was motivated by study of
the stability of moving elastic strips in the
presence of in-plane loads. Another approach
to such problems with physical noise coeffi-
cients can be found in the dissertation by Ly
[66], written under the direction of Professor
Ariaratnam.
2.5.3 Stability properties for stochastic
differential equations with Gaussian white
noise coefficients--It6 equations
The linear It6 equation is certainly the
most widely studied and understood, due
basically to the m a n y analytical tools that are
available for determining the properties of its
solutions.
The general linear homogeneous It6 equa-
tion may be written as,
/
d X ( t ) = A X ( t ) d t + y" C X ( t ) dB~(t),
r=l
(2.5.23)
where X is an n-vector, A, Cr, r = 1 . . . . . l,
are constant n × n matrices, and the Br(t),
r = 1 . . . . . l are independent Wiener processes.
That is, they are zero mean stationary, inde-
pendent increment processes with E{ B 2(t) }
=ozt. The increments dBr(t) are rigorous
interpretations of the so-called ideal Gaussian
white noise. The solution processes of (2.5.23)
are Markov diffusion processes and thus there
is quite a large body of analyses available to
study them. As in the case of the physical
noise coefficient system we are concerned with
asymptotic properties of the moments, for
example,
lim E { X V ( t ) X ( t ) }
or, generally, (2.5.24)
lim E { I I X ( t ) H pp}
tT~
where
t1
U x(t)Ill = xf(t), p > o.
i--I
Of course for p = 2, this is the second mo-
ment stability problem, studied for many years
by [67], [68], [69], [17] as well as many others
from many countries.
The important difference between the
physical noise case discussed in Section II
and the white noise case is that for integer p,
the p th moments of the process generated by
the linear equation (2.5.23) can be obtained
explicitly. This is due to the fact that the
following relation holds,
d
d-~E [4~(X)] = E[5'~x(~(X)] (2.5.25)
where ~ is the backward diffusion operator
which has been defined previously in eqn.
(2.3.23). It is a second order operator on the
components of the X-vector. Indeed for in-
tegral powers of the components of the vector
X, the right hand side will also yield the same
integral powers which lead to a closed set of
equations for solution of the moments. This
idea was applied at least as early as 1962 in
[17], and has been used many times since
then.
In particular for the second order oscillator
with white noise spring term,
X(t)+2~J(+(w2+oB)X=O, (2.5.26)
(Here B denotes a unit ideal Gaussian white
noise), we can write it in It6 linear system
form as
d Xl = X2 dt
d X 2 = - (2~X2 + oa2Xl) dt+Xlo dB
(2.5.27)
 185

In this case the backward diffusion operator Khasminskii's approach very simply by look-
(also referred to as the generator of the solu- ing at ordinary differential equations.
tion process) is of the form We have already seen from equations (2.5.7)
and (2.5.8) that for the Q function defined in
~ x = X2 ~_~l _ (Z;X2 + w2X1 ) a (2.5.19) the exact stability boundaries may be
- aX2
obtained in theory. The point is, however,
02 22 that the limit in (2.5.19) must be evaluated.
+ -~- X 2 3X 2 (2.5.28) For the general physical noise parameter case
this is, as yet, not possible analytically. How-
Thus, for qffX) given respectively by )(12, ever, for the ideal Gaussian white noise (It6)
X1X2, X 2 we find the second moment equa- case, this is possible as first noted by Khaz-
tions as minskii.
[ E(X 2 } 0 2 0 Let us consider the linear It6 system. With
A = (aij), C, = (ci'j), and E(Bi(tl)Bj(t2) } =
d El{XIX2}I = -w 2 -2; 1
dt I 3,j min(t 1, t2), we can write the backward
/ E{ X 2 } o2 --2ta 2 -4; operator as
O O2
e(x}} £ P = a i ; X J - ~ i + ½cq(X) 3XiOXj , (2.5.31)
X E{ XlX2} (2.5.29)
E(x } where
= c;kc;,.XkX,.;
and whose solution can easily be seen to be
asymptotically stable (that is, mean square r = 1 , 2 .... ,/; k = 1 , 2 . . . . . n; m = l , 2 ..... n
stability) if [17] and we define C( X) = ( cij( X)).
4~2; > 02 (2.5.30) Making the change in variables

These ideas extend to higher order mo- X(t) = X(t)/[I X(t)[I, (2.5.32)
ments as well, [70,71]. In [53], for example, where ]l" II denotes Euclidean norm, Khaz-
Willems notes that if the eigenvalues of the minskii recognized that the Markov process
matrices C, are not all imaginary, then there generated by (2.5.32) is mapped onto the
is no value of the noise intensity that would surface of the n-dimensional unit sphere and
yield exponentially stable p t h moments, for is a Markov process, satisfying an It6 dif-
all p. ferential equation. Furthermore, if we define
Indeed, if C, has an eigenvalue with non- p = l o g tlXII, the It6 differential formula
zero real part, then there are unstable p-mo- yields
ments, for p large enough. He considers other
examples as well.
do = Q(]k ) dt + ]kfc,]k dBr, (4.5.33)
The explicit determination of the asymp- where
totic behavior of the sample solutions of
Q(k) = ~.TA ]K + ½trC(k) - •Tc(k),
(2.5.23) in the It6 case was studied by Khas-
minskii [72], who derived the fundamental (4.5.34)
result which can yield a necessary and suffi-
where tr denotes trace.
cient condition for sample stability. This al-
Indicating the dependence of the k ( t ) pro-
lows, in principle, the determination of the
cess on its initial condition X 0, by
exact boundary of the region of stability for
the linear It6 equation. We can motivate xx°(t) = x °(t)/ll II,
186

where hold. Upon setting

Xo = x0/ll x0 II, )`1 = cos 4,, )`2 = sin 4',
we have
the backward operator for the 4' process is of
Theorem (Khasminskii [72]).
the form
If there exist n linearly independent vec-
tors X, . . . . . k , in E, such that with prob- d2 d
ability one ½a2(4') -d4'
- +2m ( 4 ' ) d4' (2.5.38)

limt-lfotO(kX'(r))dr<O (2.5.35)
l ---~ oO
for i = 1. . . . . n, then the system (2.5.1) is al-
most surely asymptotically sample stable. If,
however, for any )% in E,
lim t 1
I - - * OO
f'o
"0
( XXo( • )) d r > 0 (2.5.36)
then the system (2.5.1) is unstable in the sense
P { l i m t ~ [I X*°(t) 11 = oo) = 1.
In general, (2.5.35) and (2.5.36) are quite
difficult to apply without an ergodic property
to enable their evaluation. However, as can be
shown by examples, they are very useful in
specific instances. It should be pointed out
that (2.5.35) provides a method for comput-
ing the sample stability boundaries for linear
stochastic differential equations of order
higher than two. One procedure would be to
generate solutions X(t) on a digital computer
for a linearly independent set of k i and con-
struct the time averages indicated in (2.5.35)
for each ki, then statistically test the signs of
these time averages for large t. This was ini-
tially done in [62].
These results have been applied in [47] and
[64] to determine the exact sample stability
boundaries for the general second order linear
It6 differential equation,
{ d X~ = X2 dt
d X 2 = -[G02 d t + a l d B l ( t ) ] X 1 (2.5.37)
[2~o~ at + 02 dB2(t)] X 2
From diffusion process theory, [73], we have
Definition
A singular point of the ~process is any
point satisfying 02(4')= 0.
If a2(4')= 0, m(4')~: 0, then 4' is called a
shunt.
If a2(4')--0, m ( 4 ' ) = 0, then 4' is called a
trap.
At a shunt, the process can only pass
through in one direction. At a trap the pro-
cess will remain there forever.
For the second order linear equation, it can
be shown that there are at most four singular
points.
The ergodic properties of the @process are
completely determined by the properties of
these singular points. For example, for the
second order oscillator
dXl(t)= X2(t) dt
dX2(t ) = - [2~'wX2(t ) + ~2Xl(t)] dt
-Xl(t ) dB(t) (2.5.39)
the only singular points are shunts located at
__+~'/2 [47,64].
The 4'-process moves in a clockwise direc-
tion around the unit circle and is an ergodic
(recurrent) process on the unit circle. Hence,
the entire circle is essentially the only ergodic
component for the 4'-process. For o~ = 1, the
oscillator (2.5.39) yields

For the second order equations (2.5.37) the E{ Q()`(4'))}

),-process is a one dimensional diffusion de-
fined on the boundary of the unit circle. = E { TCOS24'
°2 COS 24' -- 2~" sin24' }
Indeed for any second order system this will

= 2f~;zQ(X(¢))
x I s ( - 2 ) - S(~p)] dM(q~) (2.5.40)
where
dS(~) 1 2
exp ~5oztan ¢
d~ cos2q~
× (3 + 3~'tan q~+ tan2¢)]
dM(q~) 2 [2
exp - -~02 tan q~
dq5 o 2 cos2q5
X (3 + 3~'tan ~ + tan2~)]
(2.5.41)
The functions S, M are the so-called speed
and scale measures of the diffusion process.
Upon evaluating the integral (2.5.40) where
S, M are given by (2.5.41) the exact sample
stability region for (2.5.40)can be obtained.
For the undamped oscillator,
dXl(t)= X2(t) dt
dX2(t ) = -W2Xl(t) d t - Xl(t ) d B ( t )
(2.5.42)
we find that the evaluation of (2.5.40) for
(2.5.41) with ~"= 0 yields E{ Q(X(¢))) > 0 for
any o 2 > 0. Hence, the undamped oscillator
with white noise coefficients is always unsta-
ble.
Many examples with the exact stability
boundaries are contained in [47]. A study of
the general second order system case can be
found in [74]. A recent study for random
telegraphic coefficient processes using this ap-
proach appears in [75].
One point of importance is related to the
results in [47]. The idea was to study the
stability of second order linear oscillators with
wide band excitations in the coefficients.
Hence, the Wong-Zakai [19], or Stratonovich
[15] correction terms were included in the
study of the It6 equivalent equations (2.3.18).
187
The interesting point is that the It6
equivalent equations are of exactly the same
form as the original physical noise equations
for systems (2.5.42). That is, the correction
terms are zero. Thus, the stability boundaries
for the wide band Gaussian coefficient pro-
cess in (2.5.42) will be the same as for the
Gaussian white noise (It6) case. In fact it can
be shown that there are non-zero corrections
only when the random noise coefficient multi-
plies terms of order one less than the order of
the differential equation.
What about higher order linear It6 equa-
tions. In theory the technique that we have
described can be used to obtain exact stabil-
ity boundaries for the higher order case.
Unfortunately, there exist basic problems
in applying this approach. Again noting that
the X-process defined by (2.5.32) is a unit
norm vector defined on the surface of the
n - 1 dimensional unit sphere, we must study
the expected value of Q(X) on the sphere.
However, for higher dimensional spherical
surfaces, we cannot classify the singularities
sufficiently well to determine the associated
ergodic properties of the diffusion process.
The singularities on the n-dimensional spheri-
cal surface are whole curves or boundaries
instead of simple points. Also the diffusion
can behave in many different ways near these
boundaries.
More study will have to be made of the
singularities and ergodic properties of diffu-
sions defined on general manifolds, in order
for us to be able to apply the above tech-
niques.
Of course if the diffusion has no singulari-
ties on the surface of the unit n-sphere, then
we know that the process is ergodic. How-
ever, most physical systems of interest gener-
ate diffusion processes that have singularities.
Therefore, the question of exact stability re-
gions for higher order linear It6 equations
remains an important open question for ap-
plications.
The connection between the asymptotic
188
properties of moments and of samples of the
solution processes to stochastic differential
equations has been of interest for many years.
A partial answer to this problem was estab-
lished quite recently [76] for linear It6 sto-
chastic differential equations.
We shall motivate the results by studying
the simple first order stochastic differential
equation with a white noise coefficient.
We consider the first order It6 equation
dX(t)+adt+oX(t)dB(t)=O, (2.5.43)
where a and o are constants and B(t) repre-
sents a unit Brownian Motion process with
zero mean and variance t.
It is well known that the solution process
of (2.5.43) is
X( t ) = X o e x p ( - ( a + o2/2)t - oB( t ) ).
(2.5.44)
Again, it is well known that since B(t) grows
like ~t log log t with probability one, then the
stability properties of the sample solutions
are determined by the deterministic term in
the exponent of (2.5.44) Hence, the region of
sample stability is clearly given by a + o 2 / 2
> 0 , i.e.
O2 > -2a. (2.5.45)
We now consider the m o m e n t s of the solu-
tion process (2.5.44) The absolute p t h mo-
ment is simply found to be
E { I X ( t ) I p} = Ix0l p e x p ( - p ( a + o Z / z ) t )
×E{exp(-poB(t))}
=Ix01 p exp 7 [ ( p - 1)o 2 - 2a]
(2.5.46)
where X(0) = x o with probability one.
The region of stability for the integer mo-
ment p = n( > 1) as given by (2.5.46) is
o 2 < 2 a / ( n - 1). (2.5.47)
F r o m (2.5.27) it is obvious that the constant a
must be greater than zero for stability of the
n th moment. This is not necessary for sample
stability as given by the region (2.5.45). As n
increases, the stability region decreases and
lies below the line 02 = 2 a / ( n - l), (a > 0) in
the (a, o 2) plane.
This illustrates the known facts about sta-
bility for the first order It6 differential equa-
tion. The regions of stability for higher in-
teger moments are included in the regions of
stability of lower integer moments, and all
integer m o m e n t stability regions are included
in the region of sample stability.
Going back to (2.5.46) we notice that the
equality hold for all p > 0. Therefore, let us
break away from traditional studies of integer
moments and considered the vase 0 < p < l.
For this range of values of p, the stability
region obtained from (2.5.46) is
o2>2a/(p-1),(O<p<l). (2.5.48)
A rather curious and interesting result fol-
lows from (2.5.48). We see that as p ap-
proaches zero, the half line that bounds the
stability region for the p t h m o m e n t (the other
boundary is the positive a-axis) rotates coun-
terclockwise and approaches the half line that
bounds the region of sample stability. It ap-
pears, at least for the simple stochastic equa-
tion (2.5.43), that the region of sample stabil-
ity can be characterized as the union of all
p t h m o m e n t stability regions for p > 0. The
next obvious question is, does this property
hold more generally?
For the linear It6 system, the answer is yes,
as shown in [76].
Very recently, Arnold [77], has extended
the results in [76] to include linear systems of
the form
X( t) = A ( t ) X ( t ) , (2.5.49)
where the stochastic elements of the matrix
A(t) are stationary ergodic processes.
Unfortunately, this explicit connection does
not lead us directly to the sample stability
boundary, since the limiting m o m e n t stability
boundaries are not directly obtainable as p $ 0

for higher order systems. In any case the
exact connection between moment stability
and sample stability does exist and may
ultimately lead to a means of determining the
exact stability boundaries or, at least, good
approximations to the exact boundaries. These
questions are still open for study.
2.6 STRUCTURAL FAILURE UNDER RAN-
DOM EXCITATIONS
2.6.1 Types of failure
A structure may fail when its response to
random excitation crosses out, for the first
time, a safe domain or its strength continues
to deteriorate to eventual fracture. These two
modes of failure are known as first passage
and fatigue, respectively. Analyses related to
structural failures include the statistics of level
crossings [86], the distribution of peak magni-
tude given the occurrence of a peak [5] etc.
The deterioration of material strength has
been quantified as cumulative damage [93],
and more recently as fatigue crack propa-
gation.
2.6.2 Level crossings and peak statistics
If the joint probability density
Px, r (x, y, t) of the response X(t) and its
time derivative Y(t) is known, the expected
number of crossings over a threshold 4 from
below, N+(4, t) is found to be [86]
N+(4, t ) = L y ' P x ' r ( 4 ' Y, t) d x d y
(2.6.1)
The distribution of peak height p.-- (4, t)
conditional on the occurrence of a peak re-
quires the knowledge of the joint probability
density of the response X(t) and its first and
second derivatives Y(t), Z(t) respectively.
189
Then [5]
J_ooZPXrz(4, O, z, t) dz
p(4, t)=ff oo dx f_o p yz(x,O, z, t)
(2.6.2)
For the case of a narrow band process, eqn.
(2.6.1) may be approximated by
d oO
d4 I YPx, r(4, Y) dy
P(4, t ) - - -o N+(4, t) (2.6.3)
so that only the joint probability density of X
and Y is required.
2.6.3 Envelope processes, excursion
probability
Several definitions have been proposed for
the envelope of a stationary random process
[86,108,109]. The concept has also been ex-
tended to nonstationary processes [110,111].
Of special interest to the first excursion prob-
lem is the discretized form of the envelope, in
which the realizations of the envelope process
a i are sampled at the peaks of the process
X(t). The excursion probability P E of a nar-
row band process x may then be approxi-
mated by the probability that at least one
single realization of the discrete envelope pro-
cess exceeds the threshold level. Thus [87]
PE = 1 -- P(a a < 4 ) P ( a 2 < 4[a I < 4 ) . . -
× . P ( a , < 4 l a l < 4 A ... A a , _ l < 4 )
(2.6.4)
in which n is the expected number of zero
crossings. The conditional probabilities in eqn.
(2.6.4) are usually approximated. The sim-
plest approximation is the assumption of in-
dependence between successive crossings,
[87,88]. In that case
PE = 1 -- P(al < 4)P(a2 < 4)... P ( a , < 4)
(2.6.5)
190
in which P ( a i < ~ ) may easily be derived
from eqn. (2.6.3). In general this assumption
leads to conservative results, especially for
lightly damped systems. Since successive
crossings are not expected to be independent,
an improved approximation is to assume
Markovian ("one-step-memory") property.
Then
PE = 1 - P ( a , < ~ ) P ( a 2 < ~ ] a 1 < ~ ) . . .
×P(a, < ~ I a,,_, < ~)
The conditional probabilities in eqn (2.6.6)
may be found for both linearly and nonlin-
early damped systems [87,89]. Further im-
provement may be obtained by considering a
"two-step-memory" process, as shown for lin-
early and nonlinearly damped systems [83].
The dependence between subsequent peaks
may also be taken into account in terms of
the average clump size, i.e. the average num-
ber of successive peaks in each group above
threshold [5,90]. Since the excursion probabil-
it,y satisfies the Kolmogorov backward equa-
tion, several methods utilizing this fact are
available [112]. In general the moments of
first passage time can be evaluated [89] and
the probability density of first passage time
ap-
proximated (e.g. using maximum entropy
criteria) [113]. It should also be mentioned
that numerical (Finite Element) solutions of
the backward equation are available for linear
and nonlinear single-degree-of-freedom sys-
tems in stationary and non-stationary cases
[91,92]. Also, approaches to the first passage
problem for non-stationary response processes
are treated in [114] and are reviewed in [105].
2.6.4 Cumulative damage
Applying the well-known Palmgren-Miner
hypothesis [93] cumulative damage for varia-
ble amplitude loading may be assessed. Al-
though this hypothesis does not agree very
well with experimental data, more com-
plicated theories do not provide consistently
better results [94]. For more detailed analysis
of the physical background to cumulative
damage we refer to the report of Subcommit-
tee Nr. 4. The mean and variance of the
damage D in one cycle may be obtained from
the probability density function of the peaks,
Pz (~) utilizing
D = a~ k (2.6.7)
in which a, k are material parameters. Tak-
(2.6.6) ing into account the fact that failure is in
general caused by a large number of load
cycles, the central limit theorem may be in-
voked to obtain the PDF of total damage in
lifetime. Thus the probability of fatigue is
obtained by a cumulative Gaussian distribu-
tion [88,83]. This probability is, of course,
conditional on particular realizations of the
material parameters a, k (which are in gen-
eral random variables) and on the fact that
excursion failure does not occur.
2.7 CONCLUDING REMARKS
The review of the general field of stochastic
structural dynamics presented in the fore-
going ranges from the very elementary to the
very advanced, and in several occasions it
touches upon some very recent research topics.
Due to the space and resource limitations, not
only must the discussions be brief on the
subjects we do cover, but omissions entirely
of other subjects are deemed unavoidable. We
have, attempted at a compromise in the
coverage so that in conjunction with compa-
nion reviews from other sub-committees, the
entire package can be useful to as large a
readership as possible. It should be emphati-
cally pointed out that many subjects not
covered in this review are by no means unim-
portant from the viewpoint of stochastic
structural dynamics.
One conspicious omission is the publica-
tion on simulation techniques, known collec-
tively as the Monte Carlo method. For non-

linear p r o b l e m s w h i c h are too c o m p l i c a t e d to
a t t e m p t a n a n a l y t i c a l solution or w h e n the
a c c u r a c y of a n a p p r o x i m a t e solution is b e i n g
q u e s t i o n e d , s i m u l a t e d s a m p l e results m i g h t b e
the o n l y a v a i l a b l e recourse. A r e p r e s e n t a t i v e
r e f e r e n c e in this a r e a is a p a p e r b y Vaicaitis,
S h i n o z u k a a n d T a k e n o [78]. In o r d e r to o b -
tain m e a n i n g f u l averages b y simulation, a
large n u m b e r of s a m p l e s m u s t b e g e n e r a t e d ;
thus, the c o m p u t a t i o n a l cost c a n b e quite
high. This cost c a n be r e d u c e d using a p r o c e -
dure, called the r e s p o n s e surface m e t h o d , as
s h o w n b y V e n e z i a n o , Casciati a n d Faravelli
[79], in a p a p e r on seismic p e r f o r m a n c e
evaluation.
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