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International Journal of Non-Linear Mechanics 38 (2003) 12691283
Monte Carlo simulation in the stochastic analysis of non-linear
systems under external stationary Poisson white noise input
G. Muscolino

, G. Ricciardi, P. Cacciola
Dipartimento di Costruzioni e Tecnologie Avanzate, University of Messina, Salita Sperone 31,
S. Agata, I-98166 Messina, Italy
Abstract
A method for the evaluation of the probability density function (p.d.f.) of the response process of non-linear systems under
external stationary Poisson white noise excitation is presented. The method takes advantage of the great accuracy of the
Monte Carlo simulation (MCS) in evaluating the rst two moments of the response process by considering just few samples.
The quasi-moment neglect closure is used to close the innite hierarchy of the moment dierential equations of the response
process. Moreover, in order to determine the higher order statistical moments of the response, the second-order probabilistic
information given by MCS in conjunction with the quasi-moment neglect closure leads to a set of linear dierential equations.
The quasi-moments up to a given order are used as partial probabilistic information on the response process in order to nd
the p.d.f. by means of the C-type GramCharlier series expansion.
? 2002 Elsevier Science Ltd. All rights reserved.
Keywords: Non-linear stochastic dynamics; Stationary Poisson process; Monte Carlo simulation; Non-Gaussian probability density
function; Quasi-moment neglect closure
1. Introduction
A broad class of random excitations on structures
can be modeled as Gaussian white noise or ltered
Gaussian white noise processes. Then both analytical
and numerical methods have been recently developed
to determine the response of structures driven by these
types of excitations.
However, when excitations are characterized by im-
pulsive loading, these representations may not be sat-
isfactory. Moving loads traveling on a bridge [1,2],
earthquake shake on structures [3] and wave action
on ships [4] are examples of this type of excitations.

Corresponding author. Tel.: +390-90-676-5620; fax: +390-

90-395022.
E-mail address: muscolin@ingegneria.unime.it
(G. Muscolino).
In these cases the Poisson white noise and the ltered
Poisson white noise processes are more realistic mod-
els [5].
Methods for the evaluation of the response of
linear and non-linear systems under non-Gaussian
delta-correlated processes have been recently pro-
posed by several authors. Some of these are based
on the theory of Markov processes and determine the
probability density function (p.d.f.) of the response
process as solution of the generalized Kolmogorov
equation [6]. Numerical methods have been devel-
oped to solve this dierential equation such as the
PetrovGalerkin method [7] and the path integral
method [8,9].
Recent works on this subject utilize the character-
istic function to describe the response process. These
methods require the solution of the partial dierential
equation for the characteristic function obtained by
0020-7462/03/$ - see front matter ? 2002 Elsevier Science Ltd. All rights reserved.
PII: S0020- 7462( 02) 00072- 0
1270 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
taking the Fourier transform of the generalized Kol-
mogorov equation [10] or starting by the generalized
It os dierential rule for Poisson white noise input
[11].
Several approaches based on the moment equation
method have been proposed [12,13]. Unfortunately,
these methods suer from the problem associated with
the approximation techniques used to close the innite
hierarchy of equations.
The Monte Carlo simulation (MCS) constitutes the
universal alternative method of solution when the sys-
tem under study is large and strongly non-linear. This
method requires the generation of samples of the input
process, the deterministic analysis for each of them
and the evaluation of the resultant response statistics,
which are used to develop estimates of various char-
acteristics of the response process. This approach can
provide accurate solutions for a large class of stochas-
tic problems [14].
Unfortunately, the disadvantages of MCS method
are that it is generally time-consuming, when the
statistics of higher order or the p.d.f. of the response
process are of interest. Moreover, the MCS is rather
inecient for estimating small probabilities such as
those in the tail of the response distribution, which
are particularly important for the reliability of struc-
tural systems. However, the great accuracy of MCS
in estimating lower order statistics of the response
has been recently exploited in stochastic dynamics of
non-linear systems [15,16].
Following this strategy, in this paper an alternative
approach to evaluate the stationary p.d.f. of non-linear
systems subjected to external stationary Poisson white
noise input is presented. The proposed approach takes
advantage of: (a) the great accuracy of the MCS in
evaluating the rst two moments of the response pro-
cess with a small number of input samples; (b) the
non-Gaussian closure (NGC) technique in conjunction
with the moment equation approach, which leads to a
set of dierential equations in which the non-linearity
is due to the presence of mean and variance of the
response process [17]. As a consequence of the eval-
uation of the mean and variance by MCS, the dier-
ential equations of moments of higher order than two
become a closed set of linear dierential equations. In
the stationary case, the set of linear dierential equa-
tions becomes an algebraic one. Once a good approx-
imation of the statistical moments up to a given order
is achieved, the p.d.f. of the response process can be
easily determined. In this paper the so-called C-type
GramCharlier (CGC) series expansion [18] is used,
whose coecients are determined as linear functions
of quasi-moments of the response process [19,20].
2. Preliminary considerations
2.1. One-dimensional systems
For claritys sake and in order to evidence the ad-
vantages of the proposed formulation, a non-linear
one-dimensional system is rst studied. Indeed, as it
will be shown later, the multi-dimensional case is for-
mally similar to the one-dimensional case if the Kro-
necker algebra is used.
Let us consider the dierential equation describing a
one-dimensional system subjected to a purely external
Poisson white noise process, given by

Z(t) = a[Z(t), t] + q(t)(t), (1)

where Z(t) is the response process, the dot means time
dierentiation, a[Z(t), t] is a deterministic non-linear
function of the response process Z(t) and q(t) is a
deterministic time-dependent function. In Eq. (1), (t)
is a scalar Poisson white noise process [21], that is
a sequence of impulses with random amplitude and
arriving at random times, given by
(t) =
N(t)

k=1
Y
k
o(t t
k
), (2)
the amplitudes {Y
k
} being a family of random vari-
ables, mutually independent and independent of the
time instants t
k
, with prescribed distribution
Y
(,),
o(t) the Diracs delta function, t
k
the random time ar-
rivals. In Eq. (2), N(t) is a counting Poisson process
with parameter z.
The probabilistic characterization of the Poisson
white noise process (t) can be given in terms of its
correlation functions [22]
C
r
[(t
1
), (t
2
), . . . , (t
r
)]
=zE[Y
r
]o(t
1
t
2
)o(t
1
t
3
) o(t
1
t
r
), (3)
where E[ ] means stochastic average. It follows that
(t) is a non-normal delta-correlated process, with
intensity coecients related to the probabilistic
G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283 1271
characterization of the random variables Y
k
and of the
counting Poisson process N(t).
The Poisson white noise process (t) is not mean
square Riemann integrable and, consequently, Eq. (1)
has no traditional mathematical meaning. The latter
can be considered to be formally equivalent to the
following generalized It o-type stochastic dierential
equation:
dZ(t) = a[Z(t), t] dt + q(t) d(t), (4)
where d(t) is an increment of the compound Poisson
process (t), dened by
(t) =
N(t)

k=1
Y
k
U(t t
k
), (5)
U(t) being the unit step function. The compound Pois-
son process is characterized by the following correla-
tion functions [1]:
C
r
[(t
1
), (t
2
), . . . , (t
r
)]
=zE[Y
r
] min(t
1
, t
2
, . . . , t
r
). (6)
If we proceed formally, that is in terms of correla-
tion functions, it can be shown that the Poisson white
noise process can be considered the derivative of the
compound Poisson process. In fact, the correlation
functions of an increment of the compound Poisson
process are given by the following relationships:
C
r
[d(t
1
), d(t
2
), . . . , d(t
r
)]
=zE[Y
r
]o(t
1
t
2
)o(t
1
t
3
)
o(t
1
t
r
) dt
1
dt
2
. . . dt
r
. (7)
Accounting for the relationships between correlation
functions and moments, putting t
1
= t
2
= = t
r
= t
and neglecting innitesimals of order higher than dt,
we obtain
m
r
[d(t)] k
r
[d(t)] = zE[Y
r
] dt, (8)
where m
r
[ ] means rth statistical moment and k
r
[ ]
means the rth cumulant. Moreover, by taking into ac-
count the non-anticipating property, the following re-
lationships hold:
E[(Z(t))
k
(d(t))
r
] = zE[Y
r
]m
k
[Z(t)] dt. (9)
Neglecting innitesimals of order higher than dt, we
have
(dZ)
r
= q
r
(t)(d)
r
, r 2. (10)
Since (dZ)
r
is an innitesimal of order dt, it follows
that the series expansion of the increment (Z
r
) has
to be written in the following form [1,23]:
(Z
r
) =
r

k=1
1
k!
d
k
(Z
r
) = rZ
r1
dZ
+
r

k=2
L
r, k
Z
rk
q
k
(t)(d)
k
, (11)
where L
r, k
= r!}[k!(r k)!]. Eq. (11) is obtained ob-
serving that neglecting terms of order higher than dt
the following relationships hold:
d(Z
r
) = rZ
r1
dZ,
d
k
(Z
r
) = k!L
r, k
Z
rk
(dZ)
k
= k!L
r, k
Z
rk
q
k
(t)(d)
k
,
k = 2, 3, . . . , r. (12)
Using the stochastic average of both sides of Eq. (11),
taking into account Eqs. (8)(10) and dividing the re-
sult by dt, we obtain the dierential equation govern-
ing the evolution of the rth moment of the response
m
r
[Z(t)] = rE[Z
r1
(t)a[Z(t), t]]
+
r

k=1
L
r, k
m
rk
[Z(t)]q
k
(t)zE[Y
k
]. (13)
Notice that the stationary rth order moment of the
response can be evaluated by solving the following
algebraic equation:
rE[Z
r1
a[Z]]
+
r

k=1
L
r, k
m
rk
[Z]q
k
zE[Y
k
] = 0, (14)
obtained from Eq. (13) observing that this equa-
tion is not time dependent. Moreover, since a zero
mean Gaussian white process can be considered as
delta-correlated up to the second order, for this input
the sum in Eqs. (13) and (14) need to be performed
only for k = 2. In this case q
2
= zE[Y
2
] is usually
dened as the strength of the white process.
2.2. Multi-dimensional systems
Let us consider a N-degree-of-freedom structural
system, whose nodal displacements are the elements
of vector u(t). By introducing the vector of state vari-
ables Z(t) = [u
T
(t) u
T
(t)]
T
, the equation of motion
of the non-linear N-DOF structural systems subjected
1272 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
to external normal or non-normal excitations can be
written as follows:

Z(t) =a[Z(t), t] +g(t)(t) (15)

or alternatively
dZ(t) =a[Z(t), t] dt +g(t) d(t), (16)
where Z, a, and g are three time dependent vectors
of order 2N.
By using the Kronecker algebra [24], the series ex-
pansion of the increment (Z
[r]
) can be written as
follows:
(Z
[r]
) = (
T
Z
Z
[r]
) dZ
+
r

k=2
1
k!
(
[k]
T
Z
Z
[r]
) dZ
[k]
=Q
r, 2N
(Z
[r1]
a[Z, t]) dt
+
r

k=1
g
r, k
(t)(Z
[rk]
I
[k]
2N
)(d)
k
. (17)
In this equation the symbol means Kronecker prod-
uct; I
2N
is the identity matrix of order 2N,
T
Z
is the
following row dierential vector:

T
Z
=
_
c
cZ
1
c
cZ
2

c
cZ
2N
_
(18)
the exponent in square bracket means Kronecker
power, that is,
Z
[2]
=Z Z; Z
[3]
=Z Z Z; (19)
and
g
r, k
(t) =
1
k!
Q
r, 2N
(Q
r1, 2N
I
2N
)
(Q
rk+1, 2N
I
[k1]
2N
)(I
[rk]
2N
g
[k]
(t)). (20)
In the previous equations the matrix Q
r, 2N
is a matrix
of order (2N)
r
(2N)
r
dened as follows [25]:
Q
r, 2N
=
r1

s=0
E
(2N)
rs
, 2N
s , (21)
where E
q,
denotes a permutation matrix of order
(q)(q) consisting of q arrays of q dimen-
sional elementary submatrices E
is
which have one on
the (i, s)th position and zero in all other positions.
By use of the stochastic average of both sides of
Eq. (17) and dividing the result by dt, the dierential
equations governing the evolution of the moments of a
multi-dimensional system for the Poisson white noise
process are obtained as follows:
m
r
[Z(t)] =Q
r, 2N
E[Z
[r1]
(t) a[Z(t), t]]
+
r

k=1
g
r, k
(t)
_
m
rk
[Z(t)] I
[k]
2N
_
zE[Y
k
].
(22)
Notice that the stationary rth moment vector m
r
[Z]
of the response can be evaluated by solving the fol-
lowing algebraic equation:
Q
r, 2N
E[Z
[r1]
a[Z]]
+
r

k=1
g
r, k
(m
rk
[Z] I
[k]
2N
)zE[Y
k
] = 0, (23)
obtained from Eq. (22) assuming that this equation is
not time dependent.
Moreover, since a zero mean Gaussian white noise
process can be considered as a delta-correlated process
up to the second order, for this input the sum in Eqs.
(22) and (23) needs to be performed only for k = 2.
3. Non-Gaussian closures for polynomial
non-linearity
3.1. One-dimensional systems
For simplicitys sake, let us assume that the deter-
ministic non-linear function a[Z(t), t] is a polynomial
of th order:
a[Z(t), t] =

)=1
a
)
Z
)
(t). (24)
By means of this equation, we can rewrite Eq. (13) as
follows:
m
r
[Z(t)] = r

)=1
a
)
(t)m
r+)1
[Z(t)]
+
r

k=1
L
r, k
m
rk
[Z(t)]q
k
(t)zE[Y
r
]. (25)
As a consequence of the system non-linearity in the
rst summation of the right member of Eq. (25)
moments until the (r + 1)th order appear. It
follows that the dierential equation governing the
evolution of statistics of order r will now include
statistics of higher order than r. As an example, if
G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283 1273
cubic non-linearity is considered, the dierential
Eq. (25) contains moments of (r + 2)th order. The
numerical solution of Eq. (25) can be obtained only
if a Gaussian or NGC is performed [17]. The most
used closure techniques, such as the cumulant and
the quasi-moment neglect closure, lead to a set of
non-linear equations. This fact represents the ma-
jor drawback in the numerical applications related
to a non-uniqueness of solutions, as emphasized by
Wojtkiewicz et al. [26].
In this paper, a new closure technique is pro-
posed, based on the modication of the well-known
quasi-moment neglect closure and taking advantage
on the great accuracy of the MCS in the evaluation
of the second-order statistics of the response. The
proposed closure technique leads to a set of linear
equations for the evaluation of higher order statis-
tical moments. In fact, the relationships between
quasi-moments and statistical moments can be written
as follows [17]:
b
s
[Z] = m
s
[Z] + (1)
s
s2

i=0,2 (s=even)
i=3,5 (s=odd)
B
s, i
o
si
Z
m
i
[Z]
+(1)
s
s

i=0,2 (s=even)
i=3,5 (s=odd)
B
s, i
o
si
Z

_
i

r=1
(1)
r
i!
r!(i r)!
m
ir
[Z]j
r
Z
[Z]
_
,
s 2,
(26)
in which b
s
[Z] are the quasi-moments of the response
process and
B
s, s
= (1)
s
, B
s, i
= (1 + i)B
s1, i+1
B
s1, i1
.
(27)
If the mean j
Z
and the standard deviation o
Z
are ap-
proximated by MCS, that is
j
Z
= m
1

= j
Z
, o
Z
=
_
m
2
m
2
1

= o
Z
, (28)
and if a quasi-moments closure of order R is adopted,
the statistical moments of order higher than R can be
evaluated from Eq. (26) assuming the quasi-moments
of order higher than R equal to zero (b
s
= 0, s R)
and obtaining the following linear relationships:
m
s
[Z] = (1)
s+1
1 + (1)
s
2
[(B
s, 0
+ B
s, 2
) o
s
Z
]
+(1)
s+1
s2

i=4,6 (s=even)
i=3,5 (s=odd)
B
s, i
o
si
Z
m
i
[Z]
+(1)
s+1
s

i=4,6 (s=even)
i=3,5 (s=odd)
B
s, i
o
si
Z

_
i3

r=1
(1)
r
i!
r!(i r)!
m
ir
[Z] j
r
Z
+
i

r=i2
(1)
r
i!
r!(i r)!
j
i
Z
+(1)
i2
i(i 1)
2
o
2
Z
j
i2
Z
_
, (s R).
(29)
By substituting Eq. (29) into Eq. (25), we obtain a
set of R 2 linear dierential equations, whose un-
knowns are the statistical moments of the process Z(t)
of order greater than two, up to order R. The unique
solution of the set of linear dierential equations can
then be obtained by traditional numerical procedures.
Moreover, since the number of realization required
to approximate accurately the rst two statistical mo-
ments of the response is relatively small, the proposed
method is very competitive to nd additional prob-
abilistic information in terms of moments of higher
order than two. This information is best exploited in
order to evaluate the p.d.f. of the response process, as
explained in the next section. This procedure allows
avoiding the large number of realizations required by
the Monte Carlo method to accurately produce the
p.d.f.
3.2. Multi-dimensional systems
Let us consider the non-linearity to be in polynomial
form, this happens, for example, in the case of geomet-
rically non-linear structural systems modeled by us-
ing the nite element method (see, e.g., [27,28]). This
formulation could be used also in structural problems
in which the vector a[Z(t), t] can be conveniently
expanded by Taylors series expansion or when an
1274 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
equivalent non-linearization is employed [29]. The se-
ries representation of the vector a[Z(t), t] by adopting
Kronecker algebra can be written as follows:
a[Z(t), t] =

)=0
A
)
Z
[ )]
(t), (30)
where A
)
are matrices of order 2N (2N)
)
given as
A
)
=
1
)!
[
T[ )]
Z
a[Z(t), t]
Z=0
. (31)
For polynomial non-linearity, it is possible to evaluate
the statistical moments of rth order of the response
by solving the following set of dierential equations
(3 6r 6R):
m
r
[Z(t)] =

)=1
A
), r
m
r+)1
[Z(t)]
+
r

k=1
g
r, k
(t)(m
rk
[Z(t)] I
[k]
2N
)
zE[Y
k
], (32)
where
A
), r
=A
)
A
)
A
)
(r times), (33)
the symbol being the Kronecker summation. It fol-
lows that for polynomial non-linearity, in order to
evaluate the moments of the response process until Rth
order, it is necessary to know moments of higher order
than R. However, by using a quasi-moments NGC of
Rth order it is possible to relate the moments higher
order than R with moments until Rth order by means
of the following linear relationship [17,27]:
m
:
= (1)
s+1
(

2
1}2
Z
)
[s]
_
1 + (1)
s
2
[B
s, 0
+B
s, 2
(

2
1}2
Z
)
[2]
Vec(

2
Z
)]
_
+ (1)
s+1
(

2
1}2
Z
)
[s]
_

_
s2

i=4,6 (s=even)
i=3,5 (s=odd)
B
s, i
(

2
1}2
Z
)
[i]
m
i
+
s

i=4,6 (s=even)
i=3,5 (s=odd)
B
s, i
(

2
1}2
Z
)
[i]
P
i, 2N
i!

_
_
i3

)=1
(1)
)
(:
i, )
m
i)

[ )]
Z
) + (1)
i2
(:
i, i2
Vec(

2
Z
)
[i2]
Z
)
+
i

)=i2
(1)
)
:
i, )

[i]
Z
_
_
_

_
, (s R), (34)
where
Z
and

2
Z
are the mean vector and the
cross-covariance matrix evaluated by MCS and Vec()
means vectorialized form of the matrix in parenthe-
ses, i.e. a column formed by all columns of the matrix
in parentheses in such way that these columns are
written below each other. The singular matrices P
), 2N
are given as
P
1, 2N
=I
2N
, P
2, 2N
=Q
2, 2N
,
P
3, 2N
=Q
3, 2N
(Q
2, 2N
I
2N
),
P
), 2N
=Q
), 2N
(Q
)1, 2N
I
2N
)
(Q
2, 2N
I
[ )2]
2N
) (35)
and B
s, i
can be evaluated in the recursive form as
follows [17,27]:
B
s, s
= (1)
s
I
[s]
2N
,
B
s, i
= (I
2N
B
s1, i+1
)R
i+1
(I
2N
B
s1, i1
) (36)
with
R
i
=

R
i
[Vec(I
2N
) I
[i1]
2N
],

R
i
=I
2N
(I
[i]
2N
+E
2N, 2N
I
[i2]
2N
+E
2N, (2N)
2 I
[i3]
2N
+ +E
2N, (2N)
i1 ). (37)
In Eq. (34), the coecient :
i, )
can be evaluated recur-
sively as [27]
:
i, )
= :
i1, )
+ :
i1, )1
, :
i, 0
= :
i, i
= 1. (38)
By substituting Eq. (34) into Eq. (32), a set of linear
dierential equations whose unknowns are the statis-
tical moments of the response until the Rth order is
obtained.
Notice that the proposed approach only requires the
MCS estimation until the second-order statistics, be-
cause the quasi-moment neglect closure is adopted.
In order to avoid the use of a closure technique, the
hierarchy of moment dierential equations could be
G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283 1275
closed by estimating via MCS the moments of order
greater than two also, as proposed in [16]. For higher
order polynomial non-linearities, this fact can demand
a larger number of samples in MCS, in order to better
estimate higher order moments. For example, if the
order of non-linearity is and the statistical moments
up to Rth order are of interest, the Rth order moment
equation contains unknown moments until the order
R + 1. To close the hierarchy of moment equa-
tions without the use of any closure technique, lower
order moments up to ( 1)th order must be esti-
mated by MCS. On the contrary, if the quasi-moment
neglect closure is adopted, only moments of the rst-
and second-order are required by MCS, regardless of
the order of the non-linearity. However, the use of
a closure technique introduces additional approxima-
tions with respect to that given by MCS in estimating
the rst- and second-order moments.
A further remark is necessary concerning the sen-
sitivity analysis required to give the rate of change
of the higher order moments with the lower rst- and
second-order moments, as proposed in [16]. This in-
vestigation is of great interest in order to know how
the error in estimating the rst- and second-order mo-
ments propagates over the higher order moments. In
fact, the error of the higher order moments obtained by
the proposed method has two sources: (1) the statisti-
cal uncertainty in the estimated rst- and second-order
moments by MCS; and (2) the mathematical struc-
ture of the relationships given by the closure technique
adopted, which relate the higher order moments to the
lower ones, that is the non-linear functional depen-
dence of the resultant moment equations with respect
to the rst- and second-order moments.
An exhaustive treatment of this problem should be
performed. However, the error resulting from the es-
timation of the rst- and second-order statistical mo-
ments by MCS can be assumed reasonably negligible
with respect to that given by the approximations due
to the adopted quasi-moment neglect closure.
4. Approximate probability density function of the
response
4.1. One-dimensional systems
The problem to nd the p.d.f. of a random vari-
able starting from partial probabilistic information
in terms of statistical moments is generally solved
by using the expansions of p.d.f. of the response
based on the so-called A-type GramCharlier series
[17,18]. The coecient of this series expansion are
the quasi-moments of the random variable, that can
be easily evaluated in terms of statistical moments
by means of Eq. (26). Unfortunately, the accuracy
and convergence of this series expansion is not guar-
anteed, indeed this expansion sometimes leads to
negative values at low probability regions which do
not have physical meaning, making the reliability
analysis greatly inaccurate.
To avoid this deciency, some non-negative prob-
ability functions of exponential form have been re-
cently proposed [19,20], based on the C-type Gram
Charlier (CGC) series expansion. The latter is more
rapidly convergent than the A-type one and ensures a
good accuracy of p.d.f., with positive values over the
whole region.
Recently, the relationships between the quasi-mo-
ments of the response and the coecients of the C-type
series expansion have been determined, overcoming
the major drawback in using this expansion in practical
structural problems. The C-type series expansion can
be written as follows:

Z
(:) = N exp
_
_

)=1
1
)

)
[Z]H
)
(:

)
_
_
, (39)
where N is a normalizing constant, H
)
(:

) is the )th
Hermite polynomial and :

=(: j
Z
)} o
Z
is the stan-
dardized variable.
Notice that the exponential form of this series en-
sures that the p.d.f. is always positive; moreover, only
few terms of this series permit to approximate accu-
rately those probability densities which strongly de-
viate from the Gaussian condition. Expression (39)
requires the knowledge of the time-dependent coe-
cients
)
[Z], that are related to the quasi-moments of
the response process, as will be shown later.
In order to evaluate the coecients
)
[Z] let us con-
sider the expansion (39) truncated at Mth term. By
performing an integration by part, it can easily be seen
that the following equality holds:
_

H
i1
(:

)
d
Z
(:)
d:

d:
=
_

dH
i1
(:

)
d:

Z
(:) d:. (40)
1276 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
By recalling the mathematical denition of stochastic
average and by substituting in the rst integral of Eq.
(40) the probability density function (39) truncated
at Mth term and by taking into account the following
properties of the Hermite polynomials:
C
i
[Z] = E[H
i
(Z

)] =
b
i
[Z]
o
i
Z
,
d
d:

H
i
(:

) = iH
i1
(:

),
H
i+1
(:

) = :

H
i
(:

) iH
i1
(:

),
H
i1
(:

)H
)1
(:

)
=
i+)2

s=0
1
s!
A
i1, )1, s
H
s
(:

), (41)
where C
i
[Z] are the so-called Hermite moments and
A
, q, r
is dened as
A
, q, r
=
_

:=, q, r
I(: + 1)
I([ : + 1)
if + q + r = even
[ = ( + q + r)}2 , q, r,
0 elsewhere,
(42)
I being the Gamma function, it is possible to rewrite
Eq. (40) as follows:
M

)=1
_
i+)2

s=0
1
s!
A
i1, )1, s
C
s
[Z]
_

)
[Z]
= (i 1)C
i2
[Z], (i = 1, 2, . . . , M). (43)
Eq. (43) represents a set of M algebraic equations,
that can be written in the following matrix form:
Xy =x, (44)
where y is the M-vector of unknown coecients
of the truncated CGC series expansion, while the M
elements of vector x and the M(M + 1)}2 elements
of the symmetric matrix X can be written as follows:
x
i
=(i 1)C
i2
[Z],
X
i)
=
i+)2

s=0
1
s!
A
i1, )1, s
C
s
[Z]. (45)
It is useful to remember that
x
1
= 0, b
0
[Z] = 1, b
1
[Z] = 0, b
2
[Z] = 0. (46)
Once an approximation of the unknowns coecients

i
is obtained, the normalization of the approximate
p.d.f. of the response process is required. It has to
be emphasized that the approximation of the p.d.f.
with M terms requires the evaluation of moments and
quasi-moments of the response process up to R =
(2M 2)th order.
4.2. Multi-dimensional systems
In this section the CGC series expansion is adopted
to approximate the multi-dimensional p.d.f. of the re-
sponse. However, to use this series it is needed to use
the explicit relationships between the quasi-moments
and the coecients of this series recently obtained
[20] for multi-dimensional uncorrelated random pro-
cess. To this aim, let us write the CGC series expan-
sion in the space of the vector process Z truncated at
the Mth term as follows:

Z
(z) = N exp
_
_
M

)=1
1
)
H
T
)
(z

)y
)
[Z]
_
_
, (47)
where y
)
[Z] is the )th coecient vector of the C-type
series expansion of order (2N)
)
, H
)
(z

) is a vector of
order (2N)
)
of the multi-dimensional Hermite polyno-
mials (see Ref. [20]) and z

is the standardized vari-

able vector dened as follows:
z

=

2
1}2
Z
(z
Z
). (48)
The coecients y
)
[Z] of the CGC series can be eval-
uated as the solution of a system of m =

M
i=1
(2N)
i
algebraic equations, that can be written in the follow-
ing matrix form [20]:
Xy =, (49)
where
X =
_

_
X
11
X
12
X
1N
X
21
X
22
X
2N
.
.
.
.
.
.
.
.
.
.
.
.
X
N1
X
N2
X
NN
_

_
, y =
_

_
y
1
y
2
.
.
.
y
N
_

_
,
=
_

2
.
.
.

N
_

_
, (50)
G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283 1277
X being a symmetric matrix, of order m m whose
elements X
i)
(of order (2N)
i
(2N)
)
) are given as
X
i)
= E[H
i1
(z

)H
T
)1
(z

)] I
2N
=A
i1, )1
I
2N
. (51)
It can easily be shown that X
)i
= X
T
i)
; moreover,
A
i1, )1
(of order (2N)
i1
(2N)
)1
) can be related
to the Hermite moment vectors
C
)
[Z] = (

2
1}2
Z
)
[)]
b
)
[Z] (52)
as follows:
Vec{A
i1, )1
} = E[H
)1
(z

) H
i1
(z

)]
=
i+)2

k=0
1
k!
A
i1, )1, k
C
k
[Z], (53)
where the matrix A
, q, r
of order (2N)
+q
(2N)
r
is
given as
A
, q, r
=
1
(2)
N
_
R
2N
[H
q
(x) H

(x)]H
T
r
(x)
exp
_

1
2
x
T
x
_
dx
1
dx
2
. . . dx
2N
, (54)
which can be evaluated by using Eq. (42) and
taking into account that an element of the Her-
mite polynomial vectors H
i
(z

) is the product of
one-dimensional Hermite polynomials of the type
H
)
(:

r
)H
k
(:

s
) H
!
(:

t
), with ) + k + + ! = i.
Finally, in Eq. (49) ith subvector
i
of vector can
be obtained as follows:

i
=Vec[(C
T
i2
[Z] I
2N
)Q
i1, 2N
]. (55)
It has to be emphasized that the coecient matrix
X of the linear algebraic system given by Eq. (49)
is singular. This is due to the fact that, by applying
Kronecker algebra, some equations in (49) and conse-
quently some elements of the unknown vectors y
)
are
equal between each other. To overcome this drawback,
one can reduce the system equation (49) by eliminat-
ing both the repeated equations and repeated unknown
coecients.
Moreover, as stated in [20] once an approximation
of the unknown vector coecients y
)
is obtained, the
normalization of the approximate p.d.f. given by Eq.
(47) requires a certain caution; in fact, by inspection
of this equation, it is obvious that the exponential func-
tioncanviolate the limit conditionlim
z

Z
(z) =0.
In this case, an accurate normalization of the ap-
proximate p.d.f. can be performed by an ad hoc
truncation of the exponential function in the range of
interest, which can be chosen on the basis of proba-
bilistic information given by the estimated rst- and
second-order moments.
5. Application
5.1. Example 1
In order to validate the proposed method, let us
consider as an application the following non-linear
half-oscillator:

Z(t) =vZ(t) cZ
3
(t) + (t), (56)
where v and c are positive constant and (t) is a Pois-
son white process, with the impulse occurrence de-
ned by the parameter z. The impulse amplitude is
assumed as a standardized Gaussian random variable
Y. Then, the moments of odd order are zero and the
moments of even order are given by
E[Y
2k
] = 1 3 (2k 1) = (2k 1)!!. (57)
Taking into account that a[Z(t), t] =vZ cZ
3
is an
odd function, the moments of odd order of the response
process are zero and only the moments of even order
must be evaluated. The stationary problem was solved
for the following parameter set: v = 1, c = 1, z = 30.
The approximate variance o
2
Z
=2.289 of the response
process has been evaluated by MCS with 100 samples
only and exploiting the ergodicity of the response pro-
cess. The obtained value is a very good approximation
of the assumed exact value determined by MCS with
10
9
samples. In order to obtain the stationary statisti-
cal moments of the response, the proposed procedure
applied to this example leads to the following set of
algebraic equations:
m
r
[Z(t)] = rm
r
[Z(t)] + rm
r+2
[Z(t)]
+
r

k=2,4
L
r, k
m
rk
[Z(t)]zE[Y
r
] = 0,
r = 4, 6, . . . . (58)
The proposed procedure has been performed, by
considering dierent values of R, that dene the or-
der of the NGC. The moment equations until Rth
1278 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
0 2 4 6 8 10
0
5
10
15
MCS
NGC (R=6)
NGC (R=12)
m
4
[
Z
]
t
0 2 4 6 8 10
0
50
100
150
MCS
NGC (R=6)
NGC (R=12)
m
6
[
Z
]
t
(a)
(b)
Fig. 1. Comparison of the proposed method with the non-stationary
MCS results for dierent order of NGC: (a) fourth-order moment
of the response process and (b) sixth-order moment of the response
process.
order have been considered. By setting to zero the
quasi-moment of order (R + 2), the moment of (R +
2)th order has been approximated. The resulting linear
algebraic moment equations have been solved and the
stationary values of the approximate moments have
been compared with non-stationary MCS results with
10,000 samples.
In Figs. 1a and b the fourth-order and the sixth-order
approximate stationary moments are plotted for dif-
ferent values of R, revealing the good approximation
of results compared with non-stationary solutions by
simulation (with zero initial condition).
In Table 1, the stationary moments of the response
process up to 10th order evaluated by the proposed
method for dierent closure orders are compared with
MCS results with 10
9
samples, assumed as exact
Table 1
Stationary moments of the response evaluated by the proposed
method for dierent order of NGC compared with assumed exact
values by MCS (10
9
samples)
m
4
[Z] m
6
[Z] m
8
[Z] m
10
[Z]
R = 4 13.74 176.1
e (%) (8.96) (58.50)
R = 6 13.08 112.4 715
e (%) (3.73) (1.17) (48.34)
R = 8 12.85 112.7 1441 30,591
e (%) (1.90) (1.44) (4.12) (31.52)
R = 10 12.76 112.7 1435 24,460
e (%) (1.19) (1.44) (3.68) (5.16)
R = 12 12.73 112.8 1432 24,440
e (%) (0.95) (1.53) (3.47) (5.07)
Exact (MCS) 12.61 111.1 1384 23,260
-5 -2.5 0 2.5 5
0
0.05
0.1
0.15
0.2
0.25
MCS
CGC (M=4)
CGC (M=6)
CGC (M=12)
p
Z
(
z
)
z
-5 -2.5 0 2.5 5
0.0001
0.001
0.01
0.1
1
MCS
CGC (M=4)
CGC (M=6)
CGC (M=12)
p
Z
(
z
)
z
(a)
(b)
Fig. 2. Stationary p.d.f. of the response process for dierent values
of M (CGC) and comparison with MCS: (a) decimal scale and
(b) logarithmic scale.
G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283 1279
2 4 6 8 10 12
0
0.005
0.01
0.015
0.02
0.025
M
D
(
M
)
Fig. 3. KullbackLeibler cross-entropy measure D between the
approximated stationary p.d.f. (evaluated by the proposed method)
and the stationary p.d.f. by MCS (with 10
9
samples) for dierent
values of M.
10
0
0.002
0.004
0.006
0.008
MCS
NGC (R=6)
NGC (R=10)
E
[
u
4
]
t
10
0
0.04
0.08
0.12
0.16
0.2
MCS
NGC (R=6)
NGC (R=10)
E
[
u
2
u
2
]
t
0 2 4 6 8 0 2 4 6 8
(a) (b)
0 2 4 6 8 10
0
10
20
30
MCS
NGC (R=6)
NGC (R=10)
E
[
u
4
]
t
(c)
Fig. 4. Comparison of the proposed method with the non-stationary MCS results for dierent order of NGC: fourth-order moments of the
response process (ac).
solutions. This comparison reveals the good perfor-
mances of the method and the accuracy increases as
the closure order increases. The percentage error used
is dened as
e(%) =
|m
k
m
e
k
|
m
e
k
100, (59)
where the apex e means the exact value.
Once the moments of the response process are eval-
uated, the p.d.f. has been approximated by the pro-
posed method that utilizes the CGC series expansion.
The coecients of this series have been determined
by solving a linear algebraic system in terms of the
quasi-moment of the response process. The analysis
has been performed for dierent values of M, that is
the quasi-moments (or moments) up to R=(2M2)th
order are required.
1280 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
0 2 4 6 8 10
0
0.01
0.02
0.03
MCS
NGC (R=6)
NGC (R=10)
E
[
u
4
u
2
]
t
0 2 4 6 8 10
0
0.0004
0.0008
0.0012
0.0016
MCS
NGC (R=6)
NGC (R=10)
E
[
u
6
]
t
(a)
(b)
0 2 4 6 8 10
0
0.5
1
1.5
2
2.5
MCS
NGC (R=6)
NGC (R=10)
t
E
[
u
2
u
4
]
0 2 4 6 8 10
0
200
400
600
MCS
NGC (R=6)
NGC (R=10)
E
[
u
6
]
t
(c)
(d)
Fig. 5. Comparison of the proposed method with the non-stationary MCS results for dierent order of NGC: sixth-order moments of the
response process (ad).
In Fig. 2a the stationary p.d.f. of the response pro-
cess evaluated by the proposed method for dierent
values of M are plotted and set in comparison with
MCS with 10
9
samples. Note that even if few prob-
abilistic information in terms of quasi-moments are
considered, that is for M =4, 6, satisfactory results are
obtained. Better results are obtained by setting M=12,
shown by comparison with simulation. In this case
the method is capable to capture the bimodal shape
of the probability distribution. The good accuracy in
estimating small probabilities in the tail of the re-
sponse distribution is shown in Fig. 2b, where
the probability densities obtained by the proposed
method are compared with MCS in logarithmic
scale.
In order to investigate the convergence of the CGC
series expansion as M increases, a measure of diver-
gence between the approximate stationary probabil-
ity distributions and the exact one (by MCS with 10
9
samples) is introduced [30]:
D(M) = D[
M
Z
(:),
e
Z
(:)]
=
_
+

M
Z
(:) log
_

M
Z
(:)

e
Z
(:)
_
d:, (60)
which is the KullbackLeibler cross-entropy measure.
In Eq. (60),
M
Z
(:) means the GramCharlier series
approximation with M terms, while
e
Z
(:) means the
assumed exact solution by MCS with 10
9
samples. In
Fig. 3 the cross-entropy (or divergence) D(M) as a
function of M is reported, revealing the fast conver-
gence of the GramCharlier series approximation to
the exact distribution.
G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283 1281
-1 -0.5 0 0.5 1
0
0.4
0.8
1.2
1.6
2
MCS
CGC (M=2)
CGC (M=4)
CGC (M=6)
p

(
u
)
u
-1 -0.5 0 0.5 1
1E-005
0.0001
0.001
0.01
0.1
1
MCS
CGC (M=2)
CGC (M=4)
CGC (M=6)
p
(
u
)
u
(a)
(b)
Fig. 6. Marginal p.d.f. (u) of the displacement u and the velocity
u for dierent values of M (CGC) and comparison with MCS:
(a) decimal scale and (b) logarithmic scale.
5.2. Example 2
Let us consider the Dung oscillator, which is a
single-degree-of-freedom system with linear damping
and cubic non-linear spring, governed by the following
equation of motion:
u + 2c u + (1 + cu)c
2
u = [(t), (61)
where c is the natural frequency of the undamped lin-
ear structure (with c =0), is the damping ratio, c is a
parameter representing the level of non-linearity and
(t) is a Poisson white process, dened in the previous
example. According to the proposed procedure the ap-
proximate variance of the displacement and of the ve-
locity has been evaluated by MCS with 1000 samples
only and exploiting the ergodicity of the response pro-
cess, giving o
2
u
= 0.056 and o
2
u
= 2.962, respectively,
assuming c=2, =0.2, c =100, [ =0.4 and z =30.
Introducing the state variable vector Z
T
= [u, u], the
-9 -6 -3 0 3 6 9
0
0.05
0.1
0.15
0.2
0.25
MCS
CGC (M=2)
CGC (M=4)
p
(
u
)
.
u
.
-9 -6 -3 0 3 6 9
1E-005
0.0001
0.001
0.01
0.1
1
MCS
CGC (M=2)
CGC (M=4)
p
(
u
)
.
u
.
(a)
(b)
Fig. 7. Marginal p.d.f. ( u) of the displacement u and the velocity
u for dierent values of M (CGC) and comparison with MCS:
(a) decimal scale and (b) logarithmic scale.
statistical moments of the response have been
evaluated by applying the proposed procedure for
several closure orders. Note that, since the input in-
tensities of odd order are zeros and because of the
antisymmetric characteristics of the non-linearity, the
stationary odd moments of the response are zero. Figs.
4ac and 5ad show fourth- and sixth-order approxi-
mate stationary moments of the response for dierent
values of R, which are compared with non-stationary
MCS results with 10,000 samples. The comparison
shows the good accuracy of the method as the closure
order increases.
Once the moments of the response are evaluated
the stationary joint p.d.f. of the displacement and the
velocity have been approximated by using the CGC
series expansion given by Eq. (47) truncated at Mth
term. The coecients of this series have been eval-
uated by solving Eq. (49). To the end of comparing
the results obtained through this those given by ap-
proach with MCS the marginal p.d.f. (u) and ( u)
1282 G. Muscolino et al. / International Journal of Non-Linear Mechanics 38 (2003) 12691283
are plotted in Figs. 6a, b and Figs. 7a, b for decimal
and logarithmic scales. The logarithmic plots show the
good accuracy in estimating small probabilities in the
tail of the response distribution, which are particularly
important for reliability of structural systems.
6. Conclusions
A method for evaluating in approximate form
the probability density function of non-linear
multi-degrees of freedom systems under non-normal
delta correlated input has been presented. The pro-
posed method, based on the C-type GramCharlier
series expansion of probability density function, re-
quires the following steps: (a) the evaluation of mean
vector and covariance matrix of non-linear systems
by means of Monte Carlo Simulation; (b) the use
of the quasi-moment non-Gaussian closure in or-
der to truncate the innite hierarchy of statistical
moments which appear in equations for polynomial
non-linearities; (c) the evaluation of moments higher
order than two by solving a set of linear equations;
and (d) the evaluation of the probability density func-
tion of the response process by the knowledge of the
statistical moments.
The proposed approach takes advantage of: (a) the
great accuracy of the Monte Carlo simulation in eval-
uating the rst two moments of the response process
with a small number of input samples; (b) the possi-
bility to obtain statistical moments of higher order by
solving a set of linear equations; and (c) the positiv-
ity of the probability density function in all the range
of interest and the capacity to capture with great ac-
curacy the tails of the density.
References
[1] G. Ricciardi, Random vibration of beam under moving loads,
J. Eng. Mech. ASCE 120 (11) (1994) 23612380.
[2] C.C. Tung, Random response of highway bridges to vehicle
loads, J. Eng. Mech. Div. ASCE 93 (5) (1967) 7994.
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