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Title: Simulation of second-order processes using Karhunen-Loeve expansion
Authors: Phoon, K.K. 
Huang, S.P.
Quek, S.T. 
Keywords: Karhunen-Loeve expansion
Non-Gaussian process
Non-stationary process
Target covariance function
Target marginal distribution function
Issue Date: May-2002
Source: Phoon, K.K., Huang, S.P., Quek, S.T. (2002-05). Simulation of second-order processes using Karhunen-Loeve expansion. Computers and Structures 80 (12) : 1049-1060. ScholarBank@NUS Repository.
Abstract: A unified and practical framework is developed for generating second-order stationary and non-stationary, Gaussian and non-Gaussian processes with a specified marginal distribution function and covariance function. It utilizes the Karhunen-Loeve expansion for simulation and an iterative mapping scheme to fit the target marginal distribution function. The proposed method has three main advantages: (a) processes with Gaussian-like marginal distribution can be generated almost directly without iteration, (b) distributions that deviate significantly from the Gaussian case can be handled efficiently and (c) non-stationary processes can be generated within the same unified framework. Four numerical examples are used to demonstrate the validity and convergence characteristics of the proposed algorithm. Based on these examples, it was shown that the proposed algorithm is more robust and general than the commonly used spectral representation method. © 2002 Elsevier Science Ltd. All rights reserved.
Source Title: Computers and Structures
ISSN: 00457949
DOI: 10.1016/S0045-7949(02)00064-0
Appears in Collections:Staff Publications

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