Applications of Statistics and Probability in Civil Engineering – Faber, Köhler & Nishijima (eds)

© 2011 Taylor & Francis Group, London, ISBN 978-0-415-66986-3

Probability density evolution method and polynomial chaos

expansion for nonlinear random vibration analysis

Y.B. Peng
State Key Laboratory of Disaster Reduction in Civil Engineering, Tongji University, Shanghai, China
Shanghai Institute of Disaster Prevention and Relief, Tongji University, Shanghai, China

J. Li & J.B. Chen

State Key Laboratory of Disaster Reduction in Civil Engineering, Tongji University, Shanghai, China
School of Civil Engineering, Tongji University, Shanghai, China

ABSTRACT:  Due to the challenges arising from the classical analytical methods and numerical tech-
niques for nonlinear random vibration analysis, the solving procedures for nonlinear stochastic structural
analysis are investigated in the random vibration analysis if the random excitations acting on systems
can be expressed as functions of a set of stochastic variables. For example, the classical perturbation
method and the functional series expansion method were generalized to the random vibration of nonlin-
ear oscillator subjected to white noise excitations. As a novel formulation for governing the probability
density evolution of stochastic structural systems, the generalized density evolution equation proposed
in recent years profoundly reveals the intrinsic connection between deterministic systems and stochastic
systems by introducing physical relationships into stochastic systems. It is thus natural to apply the gen-
eralized evolution equation in the nonlinear random vibration. In the present paper, an application and a
comparative study in the nonlinear random vibration analysis between the generalized density evolution
equation implemented with the probability density evolution method (PDEM), the polynomial chaos
expansion (PCE) and Monte Carlo simulations (MCS) are addressed by investigating the stochastic seis-
mic responses of a class of Duffing oscillators. A physical stochastic ground motion model is employed,
and represented by a Karhunen-Loeve expansion as the input of the PCE and MCS. Numerical results
reveal that the solution processes of the three approaches are identical for the weakly nonlinear systems,
and they are approximately identical for the strongly nonlinear systems though the errors resulting from
numerical techniques and artificial truncations could be amplified, indicating that the solutions of the
PDEM and the PCE are equivalent to that of the nonlinear random vibration analysis in the mean-square
sense. The two methods thus can be applied in the classical nonlinear random vibration analysis. It is
remarked, moreover, that the PDEM goes a step further than the classical nonlinear random vibration
analysis, since the probability density evolution processes of responses and accurate structural reliability
assessments can be provided by the PDEM simultaneously. The other methods, however, need much more
computational efforts to govern higher order statistics of responses.

1  INtroduction domains, however, are lack of efficiently preceding

Random vibration, as well-known rooted in the
theory of random processes, has been developed
into a new stage involving random analysis of
time-dependent nonlinear dynamical systems with
diverse randomness, e.g. random initial conditions,
random external excitations and random struc-
tural properties, from deterministic analysis of
time-independent linear dynamical systems since
it was  coined as a promising subject (Lin, 1967;
Nigam, 1983; Roberts and Spanos, 1990). The tra-
ditional analysis methods in time and frequency
the ­investigation of nonlinear random vibrations in
essence due to the malfunction arising on the theo-
rem of superstition. The well-employed methods in
linear random vibration such as mode decomposi-
tion method and pseudo-excitation method thus
cannot be further used (Lin et al, 2001; Li et al,
2004). Moreover, the canonical analytical scheme
for nonlinear random analysis, i.e. the Markov
process method, is still open to the multi-degree of
freedom (MDOF) and multiple dimensional sys-
tems (Li and Chen, 2008). The practical scheme for
solving the nonlinear random problem, ­therefore,

64
has to be the numerical methods with appropriate
solutions. Having this acknowledge, there raised
statistical linearization method (Caughey, 1963),
moment closure (Stratonovitch, 1964) for weakly
nonlinear systems, and extended statistical lin-
earization (Beaman and Hedrick, 1981), equiva-
lent nonlinear equations (Caughey, 1986), Monte
Carlo simulation (Shinozuka, 1972) for strongly
nonlinear systems.
As an alternative method, the classical analysis
scheme for stochastic structures, e.g. perturbation
method and orthogonal expansion formulation,
would has its application in the random vibra-
tion analysis if the random external excitation
can be expressed as a random functional series.
This method acts as an efficient pattern for solv-
ing the randomly-driven dynamical systems. An
extended formulation of density evolution equa-
tions, say, the generalized density evolution equa-
tion (GDEE) and its numerical scheme-probability
density evolution method (PDEM) were recently
developed, which erected on Lagrangian random
event description by revisiting the principle of
preservation of probability (Li and Chen, 2008).
It is remarked that the GDEE is a decoupling
equation, overcoming the essential difficulty of
high-dimensional coupling inherent in classical
density evolution equations, i.e. Liouville equation
(­Gardiner, 1985), Fokker-Planck-Kolmogorov
equation (Kolmogorov, 1931) and Dostupov-Pu-
gachev equation (Dostupov and Pugachev, 1957).
It can govern the probability density evolution of
general stochastic dynamic systems involving ran-
domness coming simultaneously from the initial
conditions, the excitations and the physical proper-
ties. This formulation has been widely used in the
response analysis and reliability assessment of ran-
dom dynamical systems, and has been proved to be
of compatibility with the classical random analysis
method, i.e. pseudo-excitation method, in case of
randomly-driven linear dynamical systems.
In the present paper, we are further going to
address the compatibility between the PDEM,
a class of orthogonal expansion-the polynomial
chaos expansion (PCE) and the Monte Carlo
simulation (MCS) in case of randomly-driven
nonlinear dynamical systems. The involved sections
are distributed as follows. Section 2 devotes to illus-
trate the scheme of PDEM of randomly base-excited
response analysis. Section 3 provides the scheme of
PCE of nonlinear random dynamic analysis, which
includes an adaptive scheme of the PCE. The phys-
ical model and discrete representation of seismic
process are presented in Section 4. The numerical
investigation of base-excited Duffing oscillators is
carried out in Section 5. The concluding remarks
are included in the final section.
65
2  PDEM of Random base-Excited
Response Analysis
Consider a nonlinear n-degree-of-freedom struc-
ture subjected to random ground motions. The
equation of motion is given by
MX + f ( X
 , X ) = − MIx (Θ,t ), X
 = x , X = x ,
g 0 0 0 0
(1)
where X(t ) = {X i }in=1 is an n-dimensional displace-
ment vector; I is an n-order column vector with all
the components being 1; xg (Θ,t ) is the random
ground motions; Θ = {Θi }is=1 is the s-dimensional
stochastic vector characterizing the randomness
involved in the ground motions with the joint prob-
ability density function of pΘ(θ); M is the n × n mass
matrices; f denotes the internal force of structures
including the damping and the restoring forces.
The physical solution of any system quantity of
interest in equation (1) can be denoted as a com-
ponent form Z(t):
Z (t ) = H (Θ, t ). (2)
One might realize that equation (2) is a Lagrange
description of the dynamical system, and indicates
that the randomness included in Z(t) originates
from Θ. According to the probability conservation
principle, the extended system (Z(t), Θ) exhibits
probability conservation. We thus have
D
Dt ∫Ωt × ΩΘ
pZ Θ ( z, θ,t )dtd θ = 0, (3)
where pzΘ(z,θ,t) is the joint probability density
function of (Z(t), Θ); Ωt, ΩΘ are the distribution
domain of t and Θ, respectively; D(⋅)/Dt represents
the material derivative. Equation (3) can be further
deduced as follows (Li and Chen, 2008):
∂pZΘ ( z, θ,t )  ∂p ( z, θ,t )
+ Z (θ,t ) ZΘ = 0, (4)
∂t ∂z
where Z (θ,t ) is the velocity solution of Z(t) in case
of {Θ = θ}, namely
Z (θ,t ) = ∂H (θ,t ) ∂t . (5)
It is noted that equation (4) is the GDEE, of
which the initial condition is expressed as
pZΘ ( z, θ,t ) |t = 0 = δ ( z − z0 ) pΘ (θ), (6)
where z0 is the determinate initial value of Z(t); δ (⋅)
is the Dirac-Delta function. The joint probability
density function pZΘ(z,θ,t) can be obtained by solv-
ing the partial differential equation with the speci-
fied initial condition; see equations (4) and (6). The
PDF of Z(t) can thus be attained:
pZ ( z,t ) = ∫ pZΘ ( z, θ,t )dθ. (7)
ΩΘ
as the Duffing oscillators with nonlinear stiffness,
the Van Der Pol oscillators with couple nonlinear-
ity between stiffness and damping, and hysteretic
systems with behavior in Bouc-Wen model. Hav-
ing this in mind, a component of equation (1) is
given by

n n q
It is noted that the construction of the analyti-
cal solution of the probability density function
∑ m ji xi (t ) + ∑ ∑ α ji,k xiq − k (t )xik (t )
i =1 i =1 k = 0
pZ(z,t) is very difficult since the explicit expression n
of Z (θ ,t ) is usually unknown. A numerical scheme = − ∑ m ji xg (Θ,t ), (10)
used in convenience is given by the following steps i =1
(Li and Chen, 2008):
where j = 1,2,…,n, and q denotes the highest order
1. Construct the representative point set of the internal force. [α ikj ]n × n is a coefficient matrix,
σres  {θq = (θ1,q ,θ 2,q ,…,θ s,q ) q = 1, 2,…, nres } in and the system represented by equation (1) would
the domain ΩΘ, where nres is the total number of change to a linear system when q equals to 1,
the selected points; express as follows:
2. Solve equation (1) for a prescribed Θ = θq with
a deterministic time integration method to
evaluate the value of Z (θq ,tm ), where tm = m∆t, n n n

m = 0,1,2,…, ∆t is the time step; ∑ m ji xi (t ) + ∑ α ji,0 xi (t ) + ∑ α ji,1xi (t )

3. Introduce Z (θq ,tm ) into the generalized den- i =1
n
i =1 i =1

sity evolution equation (4), and solve the equa- = − ∑ m ji xg (Θ,t ), (11)
tion under the initial condition equation (6) i =1
with the finite difference method to construct
the numerical solution of pZΘ(z,θ,t), denoted as where [αij,0]n×n, [αij,1]n×n are damping and stiffness
pzΘ(zj,θq,tk), where zj = z0 + j∆z, j = 0, ±1, ±2,…, matrices, respectively.
∆z is the space step, tk = k ∆tˆ, k = 0,1,2,, ∆tˆ is Introducing the polynomial chaos expansion
the time step in the finite difference method; into equation (10), we then have the solution as a
4. Take numerical integration on equation (7) to polynomial chaos expansion in the form: (Ghanem
compute the numerical solution of pZΘ(z,θ,t), i.e. and Spanos, 1991):

nres P
pZ (z ji ,tk ) = ∑ pZΘ (z ji , θq ,tk )Sq , (8) xi (t ) = ∑ xil (t )Ψl (ξ ), (12)
q =1 l =0

where Sq is the measure of representative sub- where ξ = {ξi }iM=1 denoting an M-dimensional
domains, related to the strategy of construction Gaussian vector of uncorrelated, zero-mean ran-
of representative point set (Chen and Li, 2008). dom variables with unit variance, and P is the
Then, the mean-square solution of Z(t) number of terms retained in the expansion; xjl(t)
can be given by are unknown deterministic functions while {ψ1(ξ)}
denote the polynomial chaoses, which are Hermite
∞ polynomials in the random variables (ξi).
Z 2 (t ) = ∫ z 2 pZ (z ,t )d z , (9)
−∞ With the expansion of solution, the equation
(10) is rewritten into the form:
where ⋅ denotes the ensemble average.
n q q−k
n P  P 
3  PCE based stochastic solution
∑ ∑ m ji xil (t )Ψl (ξ ) + ∑ ∑ α ji,k  ∑ xil (t )Ψl (ξ )
i =1 l = 0 i =1 k = 0 l =0
to nonlinear systems  P 
k n P

×  ∑ xil (t )Ψl (ξ ) = − ∑ ∑ m ji xg ,l (Θ,t )Ψl (ξ ).
In mathematics, the nonlinear inter-force in equa-  l =0  i =1 l = 0
tion (1) can be expressed as a polynomial expan- (13)
sion in displacement and velocity. This formulation
actually does have its physical sense since a family Introducing the Galerkin projection, we then
of dynamical system satisfies the assumption such have

66
 n n q P P P In order make a convenient conjunction with
∑ m ji xim (t ) + ∑ ∑ ∑  ∑ ∑  the PCE, the ground motion is represented by the
i =1 i =1 k = 0 l1 = 0 lq − k = 0 lq − k +1 = 0 Karhunen–Loeve (KL) expansion:
P cl1 lq−k lq−k +1 lq m
∑ Ψ2m
α ji ,k xil1 (t ) xilq−k (t )xilq−k +1 (t )  ∞
xg (Θ,t ) = ∑ λi xg ,i (t )ξi , (17)
lq = 0
n i =0
xilq (t ) = ∑ m ji xg ,m (Θ,t ), (14)
i =1 where {ξi} forms a vector of uncorrelated, zero-
mean random variables with unit variance. The
coefficients λi and the functions xg ,i (t ) are obtained
where cl1 lq−k lq−k +1 lq m = 〈 Ψl1 Ψlq−k Ψlq−k +1 Ψlq Ψ m 〉; as the solution to the following integral eigenvalue
m = 0,1,2,…,P. It is noted that cl1 lq−k lq−k +1 lq m and problem:
〈 Ψ2m 〉 can be solved employing the scheme of multi-
dimensional numerical integration. The solution of T
equation (10) thus can be obtained by integrating ∫0 Rx x (t, s )xg,i (s )ds = λi xg,i (t ),
g g
(18)
the solution of nonlinear deterministic equation
(14) into equation (12). To this end, the standard where Rxg xg (t, s ) denotes the correlation function
solving procedure for nonlinear equations is used, of the process xg (Θ,t ) over the time interval [0 T ],
and it involves solving n(P  +  1) couple nonlinear which is synthesized through statistical averaging
equations to an n-dimensional stochastic dynami- from the simulated non-stationary seismic processes
cal system. of the physical stochastic ground motion model.
The mean-square response of nonlinear systems It is seen that the KL expansion transforms this
is given as follows: functional dependence on the set Θ into a linear
P P dependence on a set {ξi}, consisting of uncorre-
xi2 (t ) = ∑ ∑ xik (t )xil (t ) Ψ k ( ξ ) Ψl ( ξ ) . (15) lated random variables. For Gaussian processes, as
will be used in the PCE, these random variables
k =0 l =0
form an independent Gaussian vector, otherwise
they are determined by their joint density function
which can be estimated from experimental meas-
4  Physical model and Discrete urements on the process xg (Θ,t ) . It is noted that
representation of seismic the rate of decay of the magnitude of eigenvalues
processes of the integral equation depends on the correla-
tion length of the random process, the longer the
A physical stochastic ground motion model with correlation length, the fewer terms being required
peak acceleration 0.3 g is employed in the follow- in the expansion in order to achieve a comparable
ing investigation (Li and Ai, 2006): accuracy. Figure 1 shows the magnitude of its first
100 eigenvalues, indicating that 99 percent of the
1 ∞  variance is carried by the first 24 eigenvalues.
2π ∫−∞
xg (Θ,t ) = X g (Θ, ω )e iωt d ω , (16)

200
where xg (Θ,t ), Xg (Θ, ω ) are the time and frequency
domain expressions of ground motions at the engi-
neering site; Θ = (Θω 0 , Θζ , Θb ) is the random vec- 150
tor characterizing the randomness involved in the
ground motion at the surface of the engineering
Eigenvalues

site, which is used to model the randomness inher-

100
ent in systems. Θω 0 , Θζ are the random parameters
denoting the random nature of the site soil, the
predominant frequency of the engineering site ω0
50
and the equivalent damping ratio ζ, respectively;
Θb = {Θ b,i }is=b 1 is the random variables characteriz-
ing the randomness involved in the ground motion
at the bedrock coming from the properties of the 0
0 20 40 60 80 100
sources and the propagation path, sb being the Number of Eigenvalues
number of the random variables involved in this
stage. ω is the circular frequency; i is the unit of Figure 1.  The former 100 eigenvalues of the correlation
imaginary number −1 . matrix.

67
5  Numerical example
5.1  Updated scheme of adaptive polynomial
chaos
We consider a class of hardening Duffing oscillators
subjected to random earthquake ground motions:
x(t ) + 2ζω 0 x (t ) + ω 02 [ x(t ) + µ x 3 (t )] = − xg (Θ,t ),
x(t0 ) = x (t0 ) = 0,
where the damping ratio ζ and the natural fre-
quency ω0 are assumed to be 0.02 and 2 rad/sec,
respectively; µ represents the nonlinearity level of
oscillators. The stochastic ground motion model
xg (Θ,t ) is represented by a Karhunen-Loeve
expansion truncated at the Mth term and the the
solution to equation (19) is sought as a truncated
polynomial chaos expansion in the form:
P retain only the several terms of M terms to gener-
x(t ) = ∑ xl (t )Ψl (ξ ). (20)
l =0
It is noted that the statistics of the response can
be computed and the probability density func-
tion for quantities of interest can be estimated via
numerical quadrature or Monte Carlo simulation
once xi(t) have been evaluated. Expanding the right-
hand side of equation (19) in its Karhunen-Loeve
series equation (17), and introducing polynomial
chaos expansion equation (20), the equation of
motion becomes,
P
∑ [ Ψl (ξ )( xl (t ) + 2ζω 0 xl (t ) + ω 02 xl (t ))]
l =0
P P P two summations represent the linear contribu-
+ω 02 ⋅ µ ∑ ∑ ∑ Ψi (ξ )Ψ j (ξ )Ψk (ξ )xi (t )x j (t )xk (t )
i =0 j =0 k =0
M
= − ∑ λi xg ,i (t )ξi .
i =0
The above equation is projected onto the ran-
dom space spanned by the orthogonal polynomial
basis ψm(ξ); i.e., taking the inner product with each
basis and then using their orthogonality relation,
yields a set of coupled deterministic nonlinear dif-
ferential equations:
xm (t ) + 2ζω 0 x m (t ) + ω 02 xm (t )
ω2 ⋅µ P P P
= − 0 2 ∑ ∑ ∑ cijkm xi (t )x j (t )xk (t )
Ψm i = 0 j = 0 k = 0
− λ x (t ).
m g,m
where xm (0 ) = x m (0 ) = 0 , m  =  0,1,2,…,P,
cijkm = 〈 Ψi Ψ j Ψ k Ψ m 〉 , and λ m xg ,m (t ) vanishes
for m > M; here 〈⋅〉 denotes an ensemble average.
The coefficients cijkm and 〈 Ψ2m 〉 can be determined
analytically or numerically using multidimensional
numerical quadratures. The system of equations
consists of (P  +  1) nonlinear deterministic equa-
tions with each equation corresponding to one
random mode, which could be readily solved using
(19) standard techniques for deterministic differen-
tial equations. An adaptive step-size fourth-order
Runge-Kutta routine is employed to solve these
nonlinear differential equations.
The numbers of (P  +  1) terms required in the
expansion grows very rapidly as the number of
(M + 1) terms and the order p in the expansion for
the earthquake process xg (Θ,t ) increases. However,
not all the terms in the expansion for x(t) contrib-
ute significantly to the value. An adaptive scheme,
first presented by Li and Ghanem, was designed to
ate the higher-order components, which have the
greatest contribution to the solution as a displace-
ment-energy criterion (Li and Ghanem, 1998). The
expansion of the solution process is written as
K
x(t ) = x (t ) + ∑ xi (t )Ψi (ξ )
M
i =1
+ ∑ xi (t )Ψi (ξ )
i = K +1 (23)
N
∑
K
+ xl (t )Ψl (ξi i =1 ), N ≤ P,
l = K +1
where N is the highest term of the adaptive poly-
nomial chaos expansion. It is noted that the first
tions, while the third summation involves higher-
order terms in the forms of polynomials with the
(21) random variables only included in the first sum-
mation, and the higher-order contributions of the
terms contained in the second summation will be
neglected. The displacement-energy in the crite-
rion is represented by the norm of each random
mode xi(t) over the time interval:
NT
xi (t ) = ∑ xi2 (tk )∆tk , i = 0,…, M , (24)
k =1
where NT denotes the number of time steps used
in numerical integration. The K linear components
xi(t), among i ≤ M with the largest norm, are sorted
and recorded, and then used to generate the higher-
order components in the next iteration. The iterative
process is repeated until the ordering of the K larg-
(22) est contributors to the solution does not change.
68
 Recalling that the trajectory of the oscillator
depends on both its displacement and velocity, a
revised ordering criterion is proposed as follows:
NT
yi (t ) = xi (t ) + xi (t ) = ∑ xi2 (tk )∆tk + ∑ xi2 (tk )∆tk . In order to investigate the proposed adaptation
k =1
Figure  2 depicts the largest contributors of a
cubic-order adaptive polynomial chaos employed
in the analysis of a nonlinear random oscillator
(K = 4, M = 24, N = 54, µ = 200, p = 3), using both
the displacement criterion given by equation (24)
and the displacement and velocity criterion given
by equation (25), respectively. It is noted that the
two criteria feature distinctively different ordering
of the K largest contributors over the time inter-
val to the solution process. Thus, whereas the first
two largest contributors for each of the two crite-
ria are identified with the first and second random
variables, the third and fourth largest contributors
vary with time, with the variations being more pro-
nounced and of higher frequency using a displace-
NT ment-only criterion.
k =1 scheme for polynomial chaos expansion, the second-
(25)
order statistics of five illustrative cases of a nonlinear
random oscillator with nonlinearity level µ = 200 is
examined. Case 1, labeled PC-I, shows the solution
using polynomial chaos decomposition with param-
eters: (K = 24, M = 24, N = 24, p = 1); Case 2, labeled
PC-II, corresponds to the parameters set: (K  =  4,
M = 4, N = 34, p = 3); Case 3, labeled APC-I, corre-
sponds to an adaptive polynomial chaos expansion
with displacement criterion and parameters: (K = 4,
M = 24, N = 54, p = 3); Case 4, labeled APC-II, is asso-
ciated with an adaptive polynomial chaos expansion
with displacement criterion and parameters: (K = 4,

(a)
(a)
20 PC-I (K=24,M=24,p=1)
1st Largest Contributor
1000 PC-II (K=4,M=4,p=3)
2nd Largest Contributor APC-I (K=4,M=24,p=3)
Recorded Random Variables

3rd Largest Contributor APC-II (K=4,M=24,p=3)

Velocity (mm/sec)

4th Largest Contributor 800 MC (M=24,10,000 Events)

15

600

10
400

5 200

0
0 5 10 15 20
0
0 5 10 15 20 Time (sec)
Time (sec)
(b) (b)
160 PC-I (K=24,M=24,p=1)
PC-II (K=4,M=4,p=3)
20 140 APC-I (K=4,M=24,p=3)
1st Largest Contributor APC-II (K=4,M=24,p=3)
2nd Largest Contributor MC (M=24,10,000 Events)
Displacement (mm)

120
Recorded Random Variables

3rd Largest Contributor

4th Largest Contributor 100
15

80

60
10
40

20
5
0
0 5 10 15 20
Time (sec)
0
0 5 10 15 20
Time (sec) Figure  3.  Comparison between second-order statistics
of responses obtained by polynomial chaos expansions
Figure 2.  The four largest contributors of adaptive pol- and those by Monte Carlo simulation about (a) root-
ynomial chaos as two different criteria: (a) displacement mean-square relative displacement and (b) root-mean-
criterion and (b) displacement–velocity criterion. square relative velocity.

69
M = 24, N = 54, p = 3); Finally, Case 5, labelled MC, (a)
corresponds to Monte Carlo simulation solution
with parameters: (M = 24, 10, 000 events). As shown 160
in Figure 3, the solutions of two adaptive schemes PDEM (221 Events)
APCE (K=4,M=24,p=3)
140
(Case 3 and Case 4) approach the Monte Carlo solu- MCS (10,000 Events)
tion more closely than other cases, indicating that 120

Displacement (mm)
the adaptive schemes are indeed suitable for reduc-
100
ing the dimensionality of the expansion while main-
taining accuracy. The numerical results from Case 1 80
appear to be superior to those of Case 2, and closer
60
to the adaptive polynomial chaos solutions, indicat-
ing that the number of random variables used in the 40
polynomial chaos expansion is reasonably sufficient
20
for capturing the essential system dynamics. There is
also an indication that including a sufficient number 0
of random variables in the polynomial chaos expan- 0 5 10
Time (sec)
15 20

sion is more important than carrying out the expan- (b)

sion to a higher order.
It is recognized that the first two random varia- 150
PDEM (221 Events)
bles carry most of the fluctuations of the response APCE (K=4,M=24,p=3)
since the solutions of the two adaptive schemes MCS (10,000 Events)

are almost identical over the entire time domain,

Displacement (mm)

and the difference between them lies mainly in the 100

allocation of contributions from terms beyond the

third random variable. An L2 error norm com-
parison of the adaptive schemes and Monte Carlo
solution details their differences. The error on root- 50

mean-square displacements between the adaptive

polynomial chaos APC-I and Monte Carlo solu-
tion is 0.1286, and the error on root-mean-square
velocities between them is 0.2208; while the error
on root-mean-square displacements between the
adaptive polynomial chaos APC-II and Monte
Carlo solution is 0.1284, the error of their root-
mean-square velocities being 0.2200. It reveals
that the updated adaptive polynomial chaos using
the displacement and velocity criterion is slightly
superior to the adaptive polynomial chaos using
the displacement criterion, which would be used in
the following development.
5.2  Comparative studies between PDEM
and PCE
Comparative studies of PDEM, PCE and MCS
are carried out so as to reach the conclusion that
the PDEM and PCE are compatible with the
classical nonlinear random vibration analysis in
mean-square sense. Four Duffing oscillators with
nonlinearity levels µ  =  0,10,50,200, respectively,
are investigated for illustrative purposes. In this
section, the random ground motions used in the
PCE are yielded by KL expansion, while those
used in the PDEM and Monte Carlo simulation
are yielded from physical stochastic ground motion
model that has the same kernel function to the KL
expansion.
0
0 5 10 15 20
Time (sec)
Figure  4.  Comparison between mean-square displace-
ments of systems with different nonlinearity levels on (a)
µ = 10 and (b) µ = 200.
Figures 4(a) and 4(b) show the difference between
mean-square displacements of Duffing oscilla-
tors with nonlinearity levels µ  =  10, and µ  =200,
respectively, using the indicated three numerical
methods. It is seen that three solutions are nearly
same at the initial stage of responses since that the
nonlinear effect of systems does not arise signifi-
cantly at this stage. The time cost on exciting the
nonlinear effect, moreover, relies on the nonlinear-
ity level that the higher the nonlinearity level the
shorter the time is cost. The nonlinear effect, for
example, of the oscillator with nonlinearity level
µ = 200 is excited almost at 4 sec, while that of the
oscillator with nonlinearity level µ = 10 is excited
at 8 sec. It is also seen that in case of the oscillator
with weakly nonlinearity level µ  =  10 the PDEM
and the Monte Carlo simulation have the almost
numerical solutions, and the solution of the PCE
is fluctuating around that of the Monte Carlo

70
Table 1.  Error norm of solutions of systems with different nonlinearity levels using PDEM, PCE and MCS.

L2 error norm
System quantities μ = 200 μ = 50 μ = 10 μ = 0

PDEM vs. MCS MS Dis. 0.0743 0.0353 0.0339 0.0499

MS Vel. 0.1165 0.0393 0.0341 0.0607
APCE vs. MCS MS Dis. 0.2778A 0.5283B 0.1267 0.0378
MS Vel. 0.4252C 0.7419D 0.1563 0.0385

(a) As an account for the difference between these

400 three methods, the numerical scheme of meth-
PDEM (221 Events) ods can provide an insight into the problem. The
350 APCE (K=4,M=24,p=3)
MCS (10,000 Events) PDEM is a numerical scheme using small samples
300 via probability partition; the Monte Carlo simula-
Velocity (mm/sec)

tion is a numerical scheme using large samples via

250
random sampling, while the PCE is a numerical
200 scheme using modes with lower-order ­truncation.
The errors caused by mode truncation in the PCE
150
would be enlarged to strongly nonlinear systems
100 resulting in a significantly deflected solution from
that of the Monte Carlo simulation. This diver-
50
sion of solution is relatively smaller to weakly non-
0 linear systems as seen from the L2 error norm of
0 5 10 15 20
solutions of systems with different nonlinearity
Time (sec)
levels, listed in Table  1. The errors resulted from
(b)
the PDEM, however, are always smaller at differ-
900
PDEM (221 Events)
ent cases of nonlinearity levels. If the solution of
800 APCE (K=4,M=24,p=3) Monte Carlo simulation is viewed as an approxi-
MCS (10,000 Events) mate true solution, we can see from the table that
700
the error resulted from the PCE is 3 to 12 times
Velocity (mm/sec)

600 than that resulted from the PDEM in the case

500 of nonlinear systems while the errors of the two
methods are almost same in the case of linear sys-
400
tems. It is understood that the truncation errors
300 inherent in the KL expansion of ground motions
200 and in the polynomial expansion of responses are
100
enlarged to the nonlinear dynamic analysis using
the PCE. Besides, these truncation errors are not
0 always enlarged along with increasement of the
0 5 10 15 20
nonlinearity level due to the bifurcation behavior
Time (sec) of nonlinear fluctuations, e.g. error norms A is
smaller than B, and C is smaller than D in Table 1.
Figure 5.  Comparison between mean-square velocities
of systems with different nonlinearity levels on (a) µ = 10
and (b) µ = 200.
6 concluding remarks

simulation. In case of the oscillator with strongly
nonlinearity level µ  =  200, however, the solution
of the PCE has a significant diversion from that
of the Monte Carlo simulation at the posterior
segment of response curve, while the solutions of
PDEM and the Monte Carlo simulation are still
compatible. The similar phenomena also appear
in the investigation of mean-square velocities of
Duffing oscillators; see Figures 5(a) and 5(b).
A family of randomly base-excited Duffing oscil-
lators is investigated in the present paper using the
probability density evolution method, polynomial
chaos expansion and Monte Carlo simulation
whereby a physical stochastic ground motion model
is employed, and represented by a Karhunen-
Loeve expansion for a convenient conjunction
with the polynomial chaos expansion. Numerical
investigations reveal that the solution processes

71
of three approaches are identical to weakly non-
linear systems, and are approximately identical
to strongly nonlinear systems though the errors
resulting from numerical techniques and artificial
truncations could be amplified, indicating that the
solution of the PDEM and the PCE are equiva-
lent to that of the nonlinear random vibration
analysis in the mean-square sense. It is remarked,
however, that the PDEM goes a step further than
the classical nonlinear random vibration analysis,
since the probability density evolution processes
of responses and accurate structural reliability
assessments can be provided by the PDEM simul-
taneously. The other methods, however, need much
more computational efforts to govern higher order
statistics of responses.
ACKNOWLEDGEMENTS
The supports of the National Natural Science Foun-
dation of China for Innovative Research Groups
(Grant No. 50621062), the National Natural Sci-
ence Foundation of China (Grant No. 10872148)
and the Program for Young Excellent Talents in
Tongji University (Grant No. 2010KJ065) are
highly appreciated. Financial support from the
China Scholarship Council for the first author’s
visiting the University of Southern California as
a joint Ph.D. student is gratefully acknowledged.
Prof. Roger Ghanem is greatly appreciated for his
constructive discussions and comments on the
research.
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