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You are on page 1of 25

& DYNARDO Austria GmbH, Vienna

Overview

Introduction

Elementary properties

Conditional random fields

Computational aspects

Example

Concluding remarks

2/25

Random field

Real valued function H(x) defined in an n-dimensional space

H R;

x = [x1 , x2 , . . . xn ]T D Rn

Describe statistics in terms of mean and variance

Need to consider the correlation structure between values of

H at dierent locations x and y

H(x, )

x

y

x, y

L

3/25

Mean value function

H(x)

= E[H(x)]

Autocovariance function

H(y)}]

A random field H(x) is called weakly homogeneous if

H(x)

= const.

x D;

x D

CHH () = CHH (||||)

4/25

Simulated random samples of isotropic field

5/25

Assume that the values of the random field H(x) are known

at the locations xk , k = 1 . . . m

Stochastic interpolation for the conditional random field:

i ) = a(x) +

H(x

bk (x)H(xk )

k=1

Make the mean value of the dierence between the random

field and the conditional field zero

E[H(x)

H(x)] = 0

Minimize the variance of the dierence

E[(H(x)

H(x))2 ] Min.

6/25

Mean value of the conditional random field.

H(x1 )

[

]

..

H(x)

= CHH (x, x1 ) . . . CHH (x, xm ) C1

.

HH

H(xm )

CHH denotes the covariance matrix of the random field H(x)

at the locations of the measurements.

Covariance matrix of the conditional random field

y) = C(x, y)

C(x,

CHH (y, x1 )

]

[

..

CHH (x, x1 ) . . . CHH (x, xm ) C1

.

HH

CHH (y, xm )

7/25

Spectral decomposition

Perform a Fourier-type series expansion using deterministic

basis functions k and random coecients ck

H(x) =

ck R, k R, x D

ck k (x),

k=1

eigenvalue (spectral) decomposition of the

auto-covariance function (Karhunen-Loeve expansion)

CHH =

k=1

k k (x)k (y),

are uncorrelated.

8/25

Discrete version

Discrete random field

Hi = H(xi ),

i = 1...N

(1)

Hi E(Hi ) =

k (xi )ck =

k=1

ik ck

(1)

k=1

In matrix-vector notation

H = c + H

Computation of basis vectors by solving for the eigenvalues

k of the covariance matrix CHH

CHH k = k k ; k 0; k = 1 . . . N

9/25

Basis vectors

10/25

parameter is the correlation length Lc .

Estimate for the correlation length can be obtained by

applying statistical methods to observed data

Type of probability distribution of the material/geometrical

parameters. Statistical methods can be applied to infer

distribution information from observed measurements.

Helpful to identify the exact type of correlation (or

covariance) function, and to check for homogeneity. This will

be feasible only if a fairly large set of experimental data is

available.

11/25

Computational aspects

function of field

Storage requirements of O(M 2 )

Covariance matrix is full

Karhunen-Loeve expansion is realised using numerical

methods from linear algebra (eigenvalue analysis)

Numerical complexity of O(M 3 )

12/25

Assemble sparse covariance matrix (e.g. based on piecewise

polynomial covariance functions)

Cl,p (d) = (1 d/l)p+ ,

p>1

C = LLT , eg. by a sparse Cholesky factorization.

Simulate N field vectors uk of statistically independent

standard-normal random variables, one number for each

node.

Apply the correlation in standard normal space for each

sample k: zk = Luk .

Transform the correlated field samples into the space of the

desired random field: xk,i = F (1) (N(zk,i )).

Does not reduce the number of variables

13/25

Typical covariance function

(

)

d2

Cl (d) = exp 2

2l

A spectral decomposition is used to factorize the covariance

matrix by Cov = diag(i )T with eigenvalues i and

orthogonal eigenvectors = [i ].

This decomposition is used to reduce the number of random

variables. Given a moderately large correlation length, only a

few (eg. 3-5) eigenvectors are required to represent more

than 90% of the total variability.

Perform a decomposition of the covariance matrix

CHH = diag(ii )T and choose m basis vectors i being

associated with the largest eigenvalues.

14/25

standard-normal random variables, each vector is of

dimension m.

Apply the (decomposed) covariance in standard normal space

for each sample k

zk =

i i uk,i

into)the space of the

(

desired random field: xk,j = F (1) N(zk,j ) .

15/25

A global error measure may be based on the total variability

being explained by the selected eigenvalues, i.e.

ci

1

= 1 i=1

=1

ci

n

i=1 ni

i=1

This procedure allows the generation of random field samples

with relatively large correlation length parameters

It is based on a model order reduction, i.e. only a portion of

the desired variability can be retained.

Covariance matrix is stored as a dense matrix. Hence, the

size of the FEM mesh is eectively limited to 30.000

nodes (covariance matrix has 9x108 entries, i.e. > 7GB).

16/25

Randomly select M support points from the finite element

mesh.

Assemble the covariance matrix for the selected sub-space.

Perform a decomposition of the covariance matrix

C = diag(i )T and choose m basis vectors i .

Create basis vectors i by interpolating the values of i on

the FEM mesh.

Simulate N vectors uk of statistically independent

standard-normal random variables, each vector is of

dimension m.

Apply the (decomposed) covariance in standard normal space

for each sample k

m

zk =

i uk,i

i

into)the space of the

(

desired random field: xk,j = F (1) N(zk,j ) .

17/25

extension of Kriging

Kriging interpolates a random field based on samples being

measured at a sub-set of mesh points.

Assume that the sub-space is described by the field values

m

m

i i,1 uk,i , . . . ,

i i,M uk,i }

yk = {zk,1 , . . . , zk,M } = {

i=1

18/25

i=1

and its approximation under the constraint of equal mean

values of both results in:

i

i = CTzy C1

yy

i

with Cy y denoting the correlation matrix between the

sub-space points and Czy denoting the (rectangular)

covariance matrix between the sub-space points and the

nodes in full space.

19/25

Example

Modelled by 4-node shell elements using 8786 finite element

nodes

Homogeneoues field, exponential correlation function

Maximum dimension is 540 mm, correlation length

parameter is chosen to be 100 mm.

Truncated Gaussian distribution with mean value 5, standard

deviation 15, lower bound 20 and upper bound 30

Sub-space dimension is chosen to be small (between 50 and

1000 points)

20/25

Example

M = 50

M = 200

M = 500

21/25

22/25

23/25

Errors

model) for dierent numbers of support points n.

n

MAC 1 MAC 2 MAC 5 MAC 10

50

0.999

0.999

0.949

0.393

100

0.999

0.999

0.999

0.986

200

0.999

0.999

0.999

0.999

400

0.999

0.999

0.999

0.999

800

1

1

0.999

0.999

8786

1

1

1

1

24/25

Concluding Remarks

Karhunen-Loeve expansion is very useful for reduction of

number of variables

Solution of eigenvalue problem may run into computational

problems (storage, time)

Suitable reduction methods reduce storage and time

requirements drastically

Software Statistics on Structures - SoS by

25/25

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