Survival probability of nonlinear oscillators endowed with fractional derivative element and subjected to evolutionary excitation: A stochastic averaging treatment with path integral concepts

An analytical method for determining stochastic response and survival probability of nonlinear oscillators endowed with fractional element and subjected to evolutionary excitation is developed in this paper. This is achieved by the variational formulation of the recently developed analytical Wiener path integral (WPI) technique. Specifically, the stochastic average/linearization treatment of the fractional-order non-linear equation of motion yields an equivalent linear time-varying substitute with integer-order derivative. Next, relying on the path integral technique, a closed-form analytical approximation of the response joint transition probability density function (PDF) for small intervals is obtained. Further, a combination of the derived joint transition PDF and the discrete version of Chapman–Kolmogorov (C–K) equation, leads to analytical solution of the non-stationary response and survival probability of non-linear oscillator under the evolutionary excitation. Finally, pertinent numerical examples, including a hardening Duffing and a bi-linear hysteretic oscillator, are considered to demonstrate the reliability of the proposed technique.     

Response of nonlinear oscillators with fractional derivative elements under evolutionary stochastic excitations: A Path Integral approach based on Laplace’s method of integration

In this paper, an approximate analytical technique is developed for determining the non-stationary response amplitude probability density function (PDF) of nonlinear/hysteretic oscillators endowed with fractional element and subjected to evolutionary excitations. This is achieved by a novel formulation of the Path Integral (PI) approach. Specifically, a stochastic averaging/linearization treatment of the original fractional order governing equation of motion yields a first-order stochastic differential equation (SDE) for the oscillator response amplitude. Associated with this first-order SDE is the Chapman–Kolmogorov (CK) equation governing the evolution in time of the non-stationary response amplitude PDF. Next, the PI technique is employed, which is based on a discretized version of the CK equation solved in short time steps. This is done relying on the Laplace’s method of integration which yields an approximate analytical solution of the integral involved in the CK equation. In this manner, the repetitive integrations generally required in the classical numerical implementation of the procedure are avoided. Thus, the non-stationary response amplitude PDF is approximately determined in closed-form in a computationally efficient manner. Notably, the technique can also account for arbitrary excitation evolutionary power spectrum forms, even of the non-separable kind. Applications to oscillators with Van der Pol and Duffing type nonlinear restoring force models, and Preisach hysteretic models, are presented. Appropriate comparisons with Monte Carlo simulation data are shown, demonstrating the efficiency and accuracy of the proposed approach.     

Survival probability determination of nonlinear oscillators with fractional derivative elements under evolutionary stochastic excitation

An approximate analytical technique based on a combination of statistical linearization and stochastic averaging is developed for determining the survival probability of stochastically excited nonlinear/hysteretic oscillators with fractional derivative elements. Specifically, approximate closed form expressions are derived for the oscillator non-stationary marginal, transition, and joint response amplitude probability density functions (PDF) and, ultimately, for the time-dependent oscillator survival probability. Notably, the technique can treat a wide range of nonlinear/hysteretic response behaviors and can account even for evolutionary excitation power spectra with time-dependent frequency content. Further, the corresponding computational cost is kept at a minimum level since it relates, in essence, only to the numerical integration of a deterministic nonlinear differential equation governing approximately the evolution in time of the oscillator response variance. Overall, the developed technique can be construed as an extension of earlier efforts in the literature to account for fractional derivative terms in the equation of motion. The numerical examples include a hardening Duffing and a bilinear hysteretic nonlinear oscillators with fractional derivative terms. The accuracy degree of the technique is assessed by comparisons with pertinent Monte Carlo simulation data.     

Approximate solution of the Fokker–Planck–Kolmogorov equation

The aim of this paper is to present a thorough investigation of approximate techniques for estimating the stationary and non-stationary probability density function (PDF) of the response of nonlinear systems subjected to (additive and/or multiplicative) Gaussian white noise excitations. Attention is focused on the general scheme of weighted residuals for the approximate solution of the Fokker–Planck–Kolmogorov (FPK) equation. It is shown that the main drawbacks of closure schemes, such as negative values of the PDF in some regions, may be overcome by rewriting the FPK equation in terms of log-probability density function (log-PDF). The criteria for selecting the set of weighting functions in order to obtain improved estimates of the response PDF are discussed in detail. Finally, a simple and very effective iterative solution procedure is proposed.     

The generalized EPC method for the non-stationary probabilistic response of nonlinear dynamical system

It is well known that the non-stationary response probability density function (PDF) plays an important role in the reliability and failure analysis. With current approximate or numerical methods, the non-stationary approximate PDF is generally obtained in terms of the ones at the discrete time instants. Repeated computation must be conducted for the ones at other time instants since the response PDF at only one time instant can be obtained after performing the solution procedure. Thus, the computational efficiency suffers a major setback. In this paper, the exponential polynomial closure (EPC) method is further improved and enhanced to obtain the completely non-stationary PDF solution, which is distributed continuously in the time domain. It takes the temporal base function into the PDF approximation. The unknown coefficients in the EPC solution are generalized to be explicit functions of the time parameter. With the least squares method, the explicit time functions can be determined based on the few simulated response PDF values. This implementation makes the continues PDF distribution in the time domain available, which greatly improves the computational efficiency without the repeating computation. Two typical nonlinear systems under stationary and non-stationary random excitations are taken as examples to illustrate the efficiency of the proposed method. Numerical results show that the results obtained by the proposed method agree well with the simulated results. In addition, the relationship between the explicit time function and the modulate function is discussed.     

Numerical solutions of Fokker-Planck equation of nonlinear systems subjected to random and harmonic excitations

A new approach for an efficient numerical implementation of the path integral (PI) method based on non-Gaussian transition probability density function (PDF) and the Gauss-Legendre integration scheme is developed. This modified PI method is used to solve the Fokker-Planck (FP) equation and to study the nature of the stochastic and chaotic response of the nonlinear systems. The steady state PDF, periodicity, jump phenomenon, noise induced changes in joint PDF of the states are studied by the modified PI method. A computationally efficient higher order, finite difference (FD) technique is derived for the solution of higher-dimensional FP equation. A two degree of freedom nonlinear system having Coulomb damping with a variable friction coefficient subjected to Gaussian white noise excitation is considered as an example which can represent a bladed disk assembly of turbo-machinery blades. Effects of normal force and viscous damping on the mean square response are investigated.     

An exact closed-form solution for linear multi-degree-of-freedom systems under Gaussian white noise via the Wiener path integral technique

The exact joint response transition probability density function (PDF) of linear multi-degree-of-freedom oscillators under Gaussian white noise is derived in closed-form based on the Wiener path integral (WPI) technique. Specifically, in the majority of practical implementations of the WPI technique, only the first couple of terms are retained in the functional expansion of the path integral related stochastic action. The remaining terms are typically omitted since their evaluation exhibits considerable analytical and computational challenges. Obviously, this approximation affects, unavoidably, the accuracy degree of the technique. However, it is shown herein that, for the special case of linear systems, higher than second order variations in the path integral functional expansion vanish, and thus, retaining only the first term (most probable path approximation) yields the exact joint response transition Gaussian PDF. Both single- and multi-degree-of-freedom linear systems are considered as illustrative examples for demonstrating the exact nature of the derived solutions. In this regard, the herein derived analytical results are also compared with readily available in the literature closed-form exact solutions obtained by alternative stochastic dynamics techniques. In addition to the mathematical merit of the derived exact solution, the closed-form joint response transition PDF can also serve as a benchmark for assessing the performance of alternative numerical solution methodologies.     

A Wiener path integral technique for determining the stochastic response of nonlinear oscillators with fractional derivative elements: A constrained variational formulation with free boundaries

A technique based on the concept of Wiener path integral (WPI) is developed for determining approximately the joint response probability density function (PDF) of nonlinear oscillators endowed with fractional derivative elements. Specifically, first, the dependence of the state of the system on its history due to the fractional derivative terms is accounted for, alternatively, by augmenting the response vector and by considering additional auxiliary state variables and equations. In this regard, the original single-degree-of-freedom (SDOF) nonlinear system with fractional derivative terms is cast, equivalently, into a multi-degree-of-freedom (MDOF) nonlinear system involving integer-order derivatives only. From a mathematics perspective, the equations of motion referring to the latter can be interpreted as constrained. Second, to circumvent the challenge of increased dimensionality of the problem due to the augmentation of the response vector, a WPI formulation with mixed fixed/free boundary conditions is developed for determining directly any lower-dimensional joint PDF corresponding to a subset only of the response vector components. This can be construed as an approximation-free dimension reduction approach that renders the associated computational cost independent of the total number of stochastic dimensions of the problem. Thus, the original SDOF oscillator joint PDF corresponding to the response displacement and velocity is determined efficiently, while circumventing the computationally challenging task of treating directly equations of motion involving fractional derivatives. Two illustrative numerical examples are considered for demonstrating the reliability of the developed technique. These pertain to a nonlinear Duffing and a nonlinear vibro-impact oscillators with fractional derivative elements subjected to combined stochastic and deterministic periodic loading. Note that alternative standard approximate techniques, such as statistical linearization, need to be significantly modified and extended to account for such cases of combined loading. Remarkably, it is shown herein that the WPI technique exhibits the additional advantage of treating such types of excitation in a straightforward manner without the need for any ad hoc modifications. Comparisons with pertinent Monte Carlo simulation data are included as well.     

Stochastic response determination of nonlinear structural systems with singular diffusion matrices: A Wiener path integral variational formulation with constraints

The Wiener path integral (WPI) approximate semi-analytical technique for determining the joint response probability density function (PDF) of stochastically excited nonlinear oscillators is generalized herein to account for systems with singular diffusion matrices. Indicative examples include (but are not limited to) systems with only some of their degrees-of-freedom excited, hysteresis modeling via additional auxiliary state equations, and energy harvesters with coupled electro-mechanical equations. In general, the governing equations of motion of the above systems can be cast as a set of underdetermined stochastic differential equations coupled with a set of deterministic ordinary differential equations. The latter, which can be of arbitrary form, are construed herein as constraints on the motion of the system driven by the stochastic excitation. Next, employing a semi-classical approximation treatment for the WPI yields a deterministic constrained variational problem to be solved numerically for determining the most probable path; and thus, for evaluating the system joint response PDF in a computationally efficient manner. This is done in conjunction with a Rayleigh-Ritz approach coupled with appropriate optimization algorithms. Several numerical examples pertaining to both linear and nonlinear constraint equations are considered, including various multi-degree-of-freedom systems, a linear oscillator under earthquake excitation and a nonlinear oscillator exhibiting hysteresis following the Bouc–Wen formalism. Comparisons with relevant Monte Carlo simulation data demonstrate a relatively high degree of accuracy.     

Path integral solution handled by Fast Gauss Transform

The path integral solution method is an effective tool for evaluating the response of non-linear systems under Normal White Noise, in terms of probability density function (PDF).     

Stochastic response analysis of the softening Duffing oscillator and ship capsizing probability determination via a numerical path integral approach

A numerical path integral approach is developed for determining the response and first-passage probability density functions (PDFs) of the softening Duffing oscillator under random excitation. Specifically, introducing a special form for the conditional response PDF and relying on a discrete version of the Chapman–Kolmogorov (C–K) equation, a rigorous study of the response amplitude process behavior is achieved. This is an approach which is novel compared to previous heuristic ones which assume response stationarity, and thus, neglect important aspects of the analysis such as the possible unbounded response behavior when the restoring force acquires negative values. Note that the softening Duffing oscillator with nonlinear damping has been widely used to model the nonlinear ship roll motion in beam seas. In this regard, the developed approach is applied for determining the capsizing probability of a ship model subject to non-white wave excitations. Comparisons with pertinent Monte Carlo simulation data demonstrate the reliability of the approach.     

Nonlinear random vibration of the slender deep-water pier under seismic excitation

The present study investigates the nonlinear random vibration of the deep-water pier exposed to horizontal seismic excitation. First of all, the stochastic dynamic model of the pier is formulated. During the process, the pier is simplified as a cantilever beam fixed on the rock foundation, the seismic excitation is treated as Gaussian white noise, the hydrodynamic pressure is described with the radiation wave theory, and the equation for the nonlinear kinematic of the pier is deduced by the means of Kane’s method. Then, with the application of the stochastic averaging (SA) technique, the Fokker–Plank–Kolmogorov (FPK) equation governing the transient probability density function (PDF) of the amplitude envelope and the backward Kolmogorov (BK) equation for the conditional reliability function (CRF) are derived, respectively. The closed-form stationary PDF can be yielded directly from the reduced FPK equation, while the CRF and the conditional PDF of first-passage time are given after solving the BK equation numerically. Numerical discussions are performed to illustrate the trend of excitation intensity, mass ratio, immersion ratio, and inner and outer hydrodynamic effect on the stationary response and first-passage failure are examined, respectively. It has been shown that increases in the excitation intensity, mass ratio, and immersion ratio can amplify the response and reduce the reliability of the deep-water pier system. The hydrodynamic effect also leads to an amplification of the system response and a reduction in the reliability of the system. Similarly, the presence of inner water can also exacerbate these effects, and this phenomenon becomes more pronounced with increasing immersed ratios. Additionally, the analytical solution is validated by the result obtained by pertained Monte Carlo simulations (MCS). It is noted that this work will be helpful for the optimal seismic design of deep-water piers.     

Extreme value of typhoon-induced non-stationary buffeting response of long-span bridges

This paper concerns the extreme value of typhoon-induced non-stationary buffeting response of long-span bridges. The framework of non-stationary buffeting analysis is briefly introduced first, in which the non-stationary buffeting response is regarded as the summation of a time-varying mean response and a dynamic response that can be represented by a zero-mean evolutionary Gaussian process characterized by an evolutionary power spectral density (EPSD) function. The formulas for determining approximate probabilistic characteristics of extreme non-stationary responses are then derived by extending the currently-used Poisson and Vanmarcke approximations. By comparing with the Monte Carlo solution, the extended approximations for extreme value of non-stationary responses are found reliable and accurate enough. Particularly, the extended Vanmarcke approximation can give closer results to the Monte Carlo solution than the extended Poisson approximation. The extended Vanmarcke approximation is finally applied to the Stonecutters Bridge to find the extreme value of non-stationary buffeting response of the bridge to a strong typhoon. The results show that the extreme displacement responses of the bridge from the non-stationary buffeting analysis are larger than those predicted by the conventional stationary buffeting analysis, and therefore the non-stationary buffeting analysis is necessary.     

一种基于变尺度积分滑动平均的载荷识别方法

首先,基于积分滑动平均思想构造了变尺度加权积分函数,提出了最小二乘意义下加权积分滑动平均最佳近似响应函数模型。其次,利用形函数方法构造最佳近似载荷模型,组合近似载荷及响应得到实际情况下的Duhamel积分方程,对Duhamel积分离散化得到用于载荷识别的离散线性系统方程。再次,使用正则化方法进行载荷识别。利用正则化方法中最小二乘解构造以正则化参数为自变量的函数,提出了一种选取最优正则化参数的新方法。最后,数值仿真及试验验证将该文提出方法与传统方法进行了比较,结果说明新方法能够得到精度较好的近似稳定解,并且具有较好的抗噪性。     

Dynamic response and reliability analysis of non-linear stochastic structures

A new probability density evolution method is proposed for dynamic response analysis and reliability assessment of non-linear stochastic structures. In the method, a completely uncoupled one-dimensional governing partial differential equation is derived first with regard to evolutionary probability density function (PDF) of the stochastic structural responses. This equation holds for any response or index of the structure. The solution will put out the instantaneous PDF. From the standpoint of the probability transition process, the reliability of the structure is evaluated in a straightforward way by imposing an absorbing boundary condition on the governing PDF equation. However, this does not induce additional computational efforts compared with the dynamic response analysis. The computational algorithm to solve the PDF equation is studied. A deterministic dynamic response analysis procedure is embedded to compute coefficient of the evolutionary PDF equation, which is then numerically solved by the finite difference method with total variation diminishing scheme. It is found that the proposed hybrid algorithm may deal with non-linear stochastic response analysis problem with high accuracy. Numerical examples are investigated. Parts of the results are illustrated. Some features of the probabilistic information of the response and the reliability are observed and discussed. The comparisons with the Monte Carlo simulations demonstrate the accuracy and efficiency of the proposed method.     

A marching-on-in-time method for 2-D transient electromagnetic scattering from homogeneous, lossy dielectric cylinders using boundary elements

A method for determining the fields scattered by arbitrarily shaped cylindrical, lossy dielectric structures with a transient incident wave is described. The transient scattering problem is reduced to the solution of a time-domain integral equation which is solved directly in the time domain by a time-stepping method. As the scatterer is homogeneous, the solution can be obtained by means of a boundary integral formulation and the problem-independent free-space Green's function. The approximate electromagnetic impulse response for a number of cylindrical targets is calculated using this method.<>     

Transient and stationary response statistics of van der Pol oscillators subjected to broad band random excitation

The joint probability density function of the state space vector of a white noise excited van der Pol oscillator satisfies a Fokker-Planck-Kolmogorov (FPK) equation. The paper describes a numerical procedure for solving the transient FPK equation based on the path integral solution (PIS) technique. It is shown that by combining the PIS with a cubicB-spline interpolation method, numerical solution algorithms can be implemented giving solutions of the FPK equation that can be made accurate down to very low probability levels. The method is illustrated by application to two specific examples of a van der Pol oscillator.     

Numerical analysis of the efficiency of multilayer-coated gratings using integral method

An analysis is made of a rigorous and an approximate approach to the solution of the diffraction problem for a multilayer-coated X-ray grating by the integral equation formalism. Whereas a rigorous analysis involving the integral method requires a lot of computer resources, even for gratings with a small number of layers, the approximate approach based on a modification of the solution of the integral equation at the lower boundary with a finite conductivity is practically independent of the number of layers and is readily tractable with the use of a standard PC. The efficiencies of multilayer gratings measured at grazing angles with synchrotron soft X-ray radiation are compared with the values calculated using the integral approaches for ideal groove profiles.     

Isoparametric,finite element,variational solution of integral equations for three-dimensional fields

An improved numerical method, based on a variational approach with isoparametric finite elements, is presented for the solution of the boundary integral equation formulation of three-dimensional fields. The technique provides higher-order approximation of the unknown function over a bounding surface described by two-parameter, non-planar elements. The integral equation is discretized through the Rayleigh–Ritz procedure. Convergence to the solution for operators having a positive-definite component is guaranteed. Kernel singularities are treated by removing them from the relevant integrals and dealing with them analytically. A successive element iterative process, which produces the solution of the large dense matrix of the complete structure, is described. The discretization and equation solution take place one element at a time resulting in storage and computational savings. Results obtained for classical test models, involving scalar electrostatic potential and vector elastostatic displacement fields, demonstrate the technique for the solution of the Fredholm integral equation of the first kind. Solution of the Fredholm equation of the second kind is to be reported subsequently.     

Path integral solution for non-linear system enforced by Poisson White Noise

In this paper the response in terms of probability density function of non-linear systems under Poisson White Noise is considered. The problem is handled via path integral (PI) solution that may be considered as a step-by-step solution technique in terms of probability density function. First the extension of the PI to the case of Poisson White Noise is derived, then it is shown that at the limit when the time step becomes an infinitesimal quantity the Kolmogorov–Feller (K–F) equation is fully restored enforcing the validity of the approximations made in obtaining the conditional probability appearing in the Chapman Kolmogorov equation (starting point of the PI). Spectral counterpart of the PI, ruling the evolution of the characteristic function is also derived. It is also shown that using appropriately the PI for Poisson White Noise also the case of Normal White Noise be easily derived.