W?

O- 7462/X5
Pergamon

S3.W + .#I
Pres Lid

NON-GAUSSIAN
CLOSURE TECHNIQUES
FOR STATIONARY RANDOM VIBRATION
STEPHENH.
Massachusetts

Institute

(Received 30 April

CRANDALL

of Technology.

1984;received

Cambridge,

jar puhlicarion

MA 02139, U.S.A.

3 September

1984)

Abstract-The
classical method of statistical linearization
when applied to a non-linear
oscillator
excited by stationary
wide-band
random excitation. can be considered as a procedure in which the
unknown parameters in a Gaussian distribution
are evaluated by means of moment identities derived
from the dynamic equation of the oscillator. A systematic extension of this procedure is the method of
non-Gaussian
closure in which an increasing
number of moment identities are used to evaluate
additional
parameters
in a family of non-Gaussian
response distributions.
The method is described
and illustrated
by means of examples. Attention
is given to the choice of representations
of nonGaussian distributions
and to techniques for generating independent moment identities directly from
the differential equation of the non-linear oscillator. Some shortcomings
of the method are pointed
out.

INTRODUCTION

The method of non-Gaussian closure for obtaining statistical information about the
response of non-linear systems to white noise was proposed by Dashevskii and Liptser [ I]
and has been studied by several others [2-61. In outline, the method consists of constructing
a non-Gaussian probability distribution with adjustable parameters for the response and
using moment relations derived from the dynamical equations of the system to obtain
differential or algebraic equations for the unknown parameters. When the parameters are
found the resulting probability distribution is used to provide approximate response
statistics. Here the method is discussed within the framework of the problem of finding the
stationary response of a non-linear oscillator. As a result only algebraic equations are
required to fix the unknown parameters.
NON-LINEAR

OSCILLATOR

A mechanical oscillator with displacement x(t) and velocity v(t) = 1 is excited by a force per
unit mass f(t). The equation of motion is taken in the normalized form
2 + qi + g(x) =

tp2f(t)

(1)

where 11is the loss factor and g(s) is the non-linear restoring force per unit mass, here assumed
to be an odd function of s, sufficiently well-behaved to ensure a stationary solution to (1)
when f(r) is an ideal white noise random process with autocorrelation function
R,(7) = E[.fwfu

+ 7)1 = N7).

(2)

The normalization of (1) is such that when g(.u) is replaced by x the stationary mean square
values of both displacement and velocity are unity: i.e. E [x2] = 1 and E [c2] = 1.
As a model for a physically realizable stationary broad-band random process with zero
mean it is more appropriate to consider f(t) to be the limit of a band-limited white noise
whose cut-off frequency increases indefinitely than to considerf(t) to be the formal derivative
of a Wiener Process. The white noise model then provides useful estimates for those statistics
of the physically realizable response which are substantially independent of the cut-off
frequency.
RESPONSE

STATISTICS

A family of relations between response statistics for (1) can be derived by using the
elementary properties of stationarity and commutativity of operations OD correlation

S.H.CRA\DALL

functions._ Let i(.u) be an arbitrary continuously differentiable function of .x. We multiply

each term of (1) by $(.u) and average across the ensemble produced by the process,/ (r) to get
E[rC/rj] + qE[@]

+ E[ll/g] = r/1,7E[$j].

(3)

Now it is known [6] that, for the stationary response. .~(t) and r(t) are statistically
independent. Furthermore, the mean values of both .x(t) and r(r) are zero. This implies that
E[$v] = E[(//(.u)] E[v] = 0. The first term on the left of (3) is transformed as follows
E[$i;]

= $E[$l:(r

+ r)],=,

E[-$2] = -E[@?].

The mean square velocity here can be evaluated by returning to ( I ). multiplying each term by
u(t), and averaging across the ensemble to get
+

Using the statistical

E[uti] = +$E[u]

independence

of

E[cg(.u)]

= ql*E[~y].

and L and the stationarity

ii)

of r(t) to set

= 0 we reduce (5) to
E[c]

=I - E[uf-].

(6)

When (6) is inserted in (4) and the result substituted in (3) we obtain

which contains two cross-correlations between the excitationf(r) and the response quantities
v(t) and $(_~(t)}. N ow the response of the oscillator (1) is determined by the past history of
excitation. This means that for an excitation with short correlation time (broad-band
process) these cross-correlations will be small. In fact. whenf(t) is a band-limited white noise
whose cut-off frequency increases without limit we have
lim E [Idif]= 0
lim E[tf ] = qli2.

(8)

These results are carefully derived in the Appendix of [6]. A simple heuristic argument
follows.
To evaluate the expectations in (8) as the correlation time of the excitation approaches
zero it is sufficient to use response representations which are only valid for very short times.
Now for very short times the response of the oscillator (1) is determined entirely by the inertia
term and is independent of the damping and stiffness. For example, the unit impulse response
k,(t) for the velocity starts with a step function of amplitude q1!2 and the unit impulse
response k,(t) for the displacement starts with a ramp whose initial slope is v~.
independently of g(.u). Thus, for short time intervals t - t, the velocity response of (1) can be
approximated by

Non-Gaussian

closure

techniques

for stationary

random

vibration

When the correlation time of,f(t) is short enough,f(t) will be uncorrelated with the response
at the earlier time to and thus the cross-correlation between the excitation and the response
velocity reduces to

s
2-I

U@R,(We.

As the excitation autocorrelation

function approaches the limit (2) the integral (10)
approaches the value h,(O + ) = q I2 which verifies the second of (8). Note that the eveness of
the autocorrelation function during the limiting process accounts for the fact that only unit
area under (2) is employed.
In a similar manner it can be shown that E[x(t)f(r)] = h,(O+) = 0. Finally, since a
continuously differential function $(x(t)} can be approximated by A + Bx over a sufficiently
short interval t - to it follows tha.t E [t,b(x)f(r)] = 0 in the limit as_f(r) approaches the white
noise of (2). This verifies the first of (8). When the limiting values of (8) are inserted in (7) we
obtain the following important relation between response statistics for the oscillator (1)

E[WMx)l

= E[Wldxl.

(11)

Here x(r) is the stationary response of (1) to the white noise of (2) and Ii/(x) is an arbitrary
differentiable function of x.

RELATION

TO

STATISTICAL

LINEARIZATION

In the well-known method of statistical linearization [7 J, the non-linear oscillator (1) is

replaced by the equivalent linear oscillator described by
f +

vi + IX

= #/2f(r)

(12)

where iLis fixed by requiring the mean square of the equation difference 4 = Lx - g(x) to be
minimum. From dE [42]/aA = 0 there follows
AE[x] = E[xg(x)]

(13)

which can be interpreted as a relation between response statistics for the non-linear oscillator
(I ). The left side of (13) can be evaluated by calculating the mean square response of the
equivalent linear oscillator (12). IJsing [8] we find
E[x]

= f

(14)

which when inserted in (13) produces

E[xg(x)]

= 1.

(15)

The identity (15) provides a constraint on the probability distribution of x. In the usual
application of statistical linearization [8] the distribution is assumed to be Gaussian with
zero mean and unknown variance (14). Application of the constraint (15) leads to a nonlinear equation for the determination of the variance.
The link between this procedure and the general family (11) of relations between response
statistics is provided by the fact that the identity (15) is just the special case of (11) for which
I,I?(s)is simply x itself. The derivation of (11) shows that the identity (15) holds exactly for the
nonlinear system: not just for the equivalent linear system.

S.

CRA~DALL

H.

NON-GAUSSIAN

CLOSURE

The method of non-Gaussian

closure can be viewed as an extension of the statistical
linearization
procedure in that a probability
distribution
with II unknown
parameters
is
selected and n independent
constraints.
obtained from ( 11) by selecting II different functions
$;(s), are used to fix unknown parameters. If the non-Gaussian
distribution
is expected to be
close to Gaussian a convenient choice for an even probability
density function is the GramCharlier expansion
pls) = e--,?a2

iI

where the summation

polynomials

SH,,(.Y,
a)
n!

1+ i

(hca) 2

,[=A

(16)

is over even integer values of II and where H,,I< Jstands for the Hermits

H, = 1
HI=<
H2=t2-

H, = c3 - 3c

(17)

H, = <'- 65'+ 3
Hj = c5- lot3 + lj<
H, = 4 - 15< + 45< - 15
which satisfy the differentiation

law

(1s)
and the recurrence

relation

H,+,(t) = <H,,(t) - nH,_,(<).

(19)

The density function (16) has unit area, zero mean. and a variance equal to CTindependently
of the parameters
c,. The parameters
c, can be expressed [6] as expectations
of Hermite
polynomials

01

E H,,E
a
[
Other choices for adjustable
density function is expected
might be

n =

= c,

4, 6, 8,. .

(10)

probability
density functions can be made. For example. if the
to have discontinuous
slope at the origin a convenient
choice

e-(.xJ;a)

p(.u 1 =

(3a2)112

1+
[

C c,,P,(s;a)
n

(21)

where the P,, are independent

even functions constructed
so that E0 [R] = 0, E. [.YC~] = 0.
where E,[()]= J( )podx and pO(?c) is what (31) reduces to when all c,, = 0.
DUFFING

In [6] the non-Gaussian

(1) with

closure method

OSCILLATOR

was applied to the Dufling

oscillator

described

by

Non-Gaussian

closure

techniques

for stationary

random

vibration

The Gram-Charlier density (16) with three parameters g, cq, and ch was selected and three
constraints were constructed from (I I) by choosing
$,C.u, = Ht(.da)

Ic/z(-y)
= H,(.u/a)

(23)

$3(-y) = HS(XIO)
and evaluating the resulting expectations for the density (16). The resulting simultaneous
non-linear algebraic equations were solved for 0, cq, and cg. The resulting probability density
function based on these values for the case E = 10 is displayed in Fig. 1 for s > 0 as the curve
C. For comparison the exact probability density function [6] is shown as E. fn addition, two
simpler approximations are displayed in Fig. 1. Non-Gaussian closure with 2 unknown
parameters, 0 and cq, leads to the curve B, while restriction to just the single parameter B
leads to the curve A. This last distribution is Gaussian and the results obtained from it are the
same as those provided by statistical linearization. The approximate probability density
functions shown in Fig. 1 appear to show a steady approach toward the exact density
function as the number ofadjustable parameters is increased. The variances corresponding to
the curve in Fig. 1 are
o:, = 0.1667
IJ; = 0.1803
(24)

0; = 0.1864
0% = 0.1889.

1.0

p(x)

-,B\
\ \
_. C

-+,

05

01

05

IO

15

Fig 1 Exact probabiht!

density function .E for Duffing oscillator with c = 10. Approximate
from non-GaussIan
closure: .l-one
unknown parameter:
B-two
unknown parameters:
unknown parameters.

densities
C-three

S. H. CRANDALL

It should be pointed out that the approximate densities B and C fail to meet the basic
requirement that p(x) 2 0. The density B is negative in the range 1.31 < .Y< x: and the
density C is negative in the range 1.26 < x < 1.79. The negative ordinates are small and do
not cause problems for most applications but they do reflect a shortcoming of the nonGaussian closure procedure.
It should also be stated that the procedure is not guaranteed to converge automatically.
The choice of adjustable parameters in the proposed density function and the choice of
functions rl/ito constraints on the density are left to the analyst. In practice, eventual but slow
convergence is not as desirable as a major improvement obtained by adding a single
additional parameter in an appropriate manner.
SIGNUM

OSCILLATOR

To illustrate some of the pitfalls which can arise when inappropriate trial density functions
or inappropriate constraints are employed we consider the oscillator (1) where

g(x) =
In this case the exact probability

a sgn

x.

(25)

density function [6] is

which has discontinuous slope at the origin. If non-Gaussian closure is applied using the
adjustable density (21) with discontinuous slope, the exact distribution is obtained,
independently of the number of adjustable parameters c, employed. If, however, the GramCharlier density with continuous slope at the origin is used several interesting things can
happen.
First, consider the constraints arising when the functions (23) are inserted in (11). The case
where only a single adjustable parameter r~was employed with the constraint resulting from
til (statistical linearization) and the case where two parameters, CJand cq, were employed
with constraints resulting from $i and ti2, were evaluated in [3]. The resulting approximate
density functions are displayed as the curves A and B in Fig. 2. For comparison, the exact
density function (26) is shown as E. Note that B is negative in the range 1.5 < 5 < 1.9 but that
it generally appears to represent a better fit to the exact density than does A. When three
parameters r~,cd, and cg, are employed with the constraints resulting from $i, $2, and 1//3the
resulting approximate density is displayed as C in Fig. 2. Although C satisfies more
constraints than A or B it is not obviously a better approximation It is generally a worse
approximation in the important range 0 < x < 2.4 although it is a better approximation
thereafter. It has a more extensive negative portion than B. The variances corresponding to
the curves in Fig. 2 are given by
a2rrs =

1.5708

a2ai =

1.9880

a2a: =

1.3279

(27)

a20i = 2.000
Next, consider the constraints

which arise when the functions

$I(~)

= sgnx

Ib2(X) = x

(28)

tiJ(x) = x2 sgnx
are inserted in (11). Since the powers of x here are smaller than those in (23) (essentially. x, x3,
and x5) it might be expected that the accuracy of the approximate density would be improved

Non-Gaussian

closure techniques for stationary random vibration

0.81

Fig. 2. Exact probability density function E for signum oscillator in terms of 5 = x/crs. Approximate
densities from constraints based on (23): A-one
unknown parameter; B-two
unknown
parameters; C-three unknown parameters.

P(E)

0.8
i

01

1 .4

- -__----

4
E
Fig. 3. Exact probabihty density function E for Signum oscillator m terms of < = x/G~. Approximate
denstty- A from constraints based on (38).

S. H. CRANDALL

for small x. In fact the resulting density has the exact value ofp(0) and the ~.YLICI
variance. The
overall behavior of the approximate
density il, as shown in Fig. 3. is however. no better than
those of Fig. 2. Note the negative portions and the wide swings away from E.
A final pitfall that may be encountered
in applying the method of non-Gaussian
closure is
illustrated by considering the constraints
which arise when the functions I)~ and I)~ of (38) are
inserted in (11). When these constraints
are applied to the Gram-Charlier
density ( 16) with
two unknown parameters, 0 and c4, the resulting non-linear algebraic equations have no real
solution.
REFERENCES
M. L. Dashevskii and R. Shch. Liptser. Application
of conditional
semi-tnvartants
in problems of non-lineal
filtering of Markov processes. .4rromarika i Telemekhanika 28 (6) 63-74 ( 1967 ).
T. Nakamizo.
On the state estimation
for non-linear
dynamic systems. Irtr. J. Cortrroi II. 6X3-695 (19701.
Sh. A. Assaf and L. D. Zirkle. Approximate
analysis of non-linear stochasttc systems. 1)~. d. Conrrol23. -t77 -492
(1976).
J. J. Beaman, Statistical linearization
for the analysis and control of non-linear stochasttc systems. Sc. D. T/w.xI\.
Department
of Mechanical
Engineering,
M.I.T., Cambridge.
MA (1978).
S. H. Crandall. Heuristic and equivalent linearization
techniques for random vibration of non-linear oscillators.
Vol. I. Proc. VIII ICNO, pp. 21 l-226, Prague (1978).
S. H. Crandall. Non-Gaussian
closure for random vtbration of non-linear oscillators, Int. J. Norm-lineur .tfech. 15.
3033313 (1980).
R. C. Booton, Jr.. The analysis of non-linear
control systems with random inputs. In Proceedings o/ rh
S.vmposium on Non-linear Circuit Analysis. pp. 369-391. Polytechnic
Institute of Brooklyn. NY ( 1953).
S. H. Crandall, On statistical linearization
for non-linear oscillators, in Problems of rhe .Isru~ptoric Tlteor! o/
iVon-linear Oscillarors. pp. i 15-122. Academy of Sciences of the Ukranian SSR. Naukova Dumka. Ktev. I 1977 ).
Reprinted in Non-linear System Anulysis and Synthesis, Vol. 2. Tecltniyrres und Applicution.s. (Edited by R. V.
Ramnath, J. K. Hedrick and H. M. Paynter), pp. 199-209. ASME. New York ( 1980).