Berlin Ders 3 - Random Vibrations II

ERASMUSTeaching(2009),TechnischeUniversittBerlin
RandomvibrationsII
Randomvibrations
Assoc.Prof.Dr.PelinGUNDESBAKIR
IstanbulTechnicalUniversity
gundes@itu.edu.tr
gundesbakir@yahoo.com
d b ki @ h
Transmissionofrandomvibration
Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
Introduction
Wearenowreadytoconsiderhowthecharacteristicsofrandomsignals
d d h h h f d l
arechangedbytransmissionthroughstablelinearsystems.
Weshallconsidertheresponsey(t)totwoseparaterandominputsx1(t)
andx2(t).Theresponsetoasingleinputcanthenbeobtaineddirectlyby
putting either x1or x2zero,andtheresponsetomorethantwoinputscan
puttingeitherx zero and the response to more than two inputs can
beinferredfromtheformofthesolutionfortwoinputs.
Thementalpictureweneedisofaninfinityofexperiments,allproceeding
simultaneously,andeachwithanidenticallinearsystemforwhichthe
impulse response functions are h11 (t)andh
impulseresponsefunctionsareh (t) and h2 (t)andthecorresponding
(t) and the corresponding
frequencyresponsefunctionsareH1()andH2().
Introduction
Eachexperimentisexcitedbysamplefunctionsfromthex
h db l f f h 1(t)andx
( ) d 2(t)
()
randomprocessesandtheresponseisasamplefunctionfromthey(t)
randomprocess.
Introduction
Wewanttoknowhowthecharacteristicsoftheoutputprocessy(t)
k h h h f h ()
dependonthecharacteristicsofthetwoinputprocessesx1(t)andx2(t)
andontheinputoutputcharacteristicsofthesystem.
Thefunctionsh1(t)andH1()givetheresponsey(t)duetoaninputx1(t)
andthefunctionsh2(t)andH2()givetheresponsey(t)duetoaninput
x2(t).
(t)
Mean level
Meanlevel
Accordingto
d
y (t ) = h( )x(t )d

theresponsey(t)ofatypicalsampleexperimenttotheinputsx
the response y(t) of a typical sample experiment to the inputs x1(t)and
(t) and
x2(t)maybeexpressedas:
IfwearenowtocalculatetheensembleaverageE[y(t)]wehaveto
determine the average values of both the integrals on the rhs of the above
determinetheaveragevaluesofboththeintegralsontherhsoftheabove
equation.Todothis,weneedtorememberthatanintegralisjustthe
limitingcaseofasummationandthattheaverageofasumofnumbersis
the same as the sum of the average numbers for instance:
thesameasthesumoftheaveragenumbers,forinstance:
Mean level
Meanlevel
Orusingthesummationsign:
h
Applyingthisresultto
gives:
Providedthatboththerandominputsarestationary,thentheirmean
levelsE[x
[ 1]]andE[x
[ 2]]areindependentofthetimeofensembleaveraging
p g g
(t),andsoweobtain:
Mean level
Meanlevel
From
We see that E[y(t)] is independent of time so that finally

WeseethatE[y(t)]isindependentoftime,sothatfinally,
Mostengineerstendtothinkintermsoffrequencyresponseratherthan
impulseresponse,andwecanexpresstheaboveequationintheseterms
by using the basic result:
byusingthebasicresult:
whichfor=0becomes
Onsubstitutiontothesecondequationabove,weget:
Mean level
Meanlevel
Where
Orinelectricalengineeringterms,
l l
Themeanlevelsofstationaryrandomvibrationarethereforetransmittedjust
The mean levels of stationary random vibration are therefore transmitted just
asthoughtheyareconstantnonrandomsignalsandthesuperimposed
randomexcurisonshavenoeffectontherelationshipsbetweenmeanlevels.
Autocorrelation
Theautocorrelationfunctionfortheoutputprocessy(t)is:
h l f f h ()
According to
Accordingto
wecanwriteformalsolutionsfory(t)andy(t+)and,putting1 and2
insteadof toavoidconfusion,theseare
and
Substitutingthethirdandfourthequationintothefirstequation:
Autocorrelation
Weget:
Sincewearedealingwithastablesystem,theintegralsintheabove
Si d li ih bl h i l i h b
equationconvergeanditislegitimatetowriteeachproductoftwo
integralsasasingledoubleintegralsothatforinstance:
Autocorrelation
Whenwecometoaveragetheexpression
h h
Wehavethentoaveragethesedoubleintegralstofindforexample:
whichisequalto:
Autocorrelation
Providedthattheinputprocessx
P id d th t th i t 1(t)isstationary,itsautocorrelation
(t) i t ti it t l ti
functionisindependentofabsolutetimet,andso:
Theterm
maybewritten:
andisindependentoftimet.Thesamereasoningcanbeappliedtothe
and is independent of time t. The same reasoning can be applied to the
otherthreetermsandsoforstationaryexcitation,theoutput
autocorrelationfunctionisindependentofabsolutetimetandcanbe
p y g g y p
expressedbythefollowingratherlengthyexpression:
Autocorrelation
involvingdoubleconvolutionsoftheinputautocorrelationand
involving double convolutions of the input autocorrelation and
crosscorrelationfunctions.
TheautocorrelationfunctionfortheoutputprocessRy()isindependentof
absolute time t forstationaryexcitationandthisisageneralresultforthe
absolutetimet for stationary excitation and this is a general result for the
responseofanyconstantparameterlinearsystem.Itturnsoutthatall
averagesoftheoutputprocessaretimeinvariantforstationaryexcitation,and
theoutputprocessisthereforeitselfstationary.
Spectral density
Spectraldensity
Althoughtheequation
lh h h
issuchacomplicatedexpression,fortunatelyconsiderablesimplifications
is such a complicated expression fortunately considerable simplifications
emergeifwetakeFouriertransformsofbothsidestofindSy(),the
spectraldensityoftheoutputprocess.
Spectral density
Spectraldensity
From +
S x ( ) = R ( )e
1 i
d
2
x

theFouriertransformofthefirstdoubleintegralontherhsofthe
the Fourier transform of the first double integral on the rhs of the
equation
is:
Spectral density
Spectraldensity
Changingtheorderofintegration,thismaybewritten:
h h d f h b
Thelastintegraliswithrespectto with1 and2 constant.Wecan

thereforelegitimatelywritethis:
whichfrom +
S x ( ) = R ( )e
1 i
d
2
x

isequalto:
Spectral density
Spectraldensity
Sothattheequation
h h
canbewritten:
Thetworemainingintegralscanberelatedtothefrequencyresponse
Th i i i l b l d h f
functionH()sincefrom: +
H1 ( ) = h1 ( 2 )e i 2 d 2

andthecomplexconjugateofH1()
+
H 1 ( ) = h1 (1 )ei1 d1
*
Spectral density
Spectraldensity
Henceweobtainfinally,
b f ll
I1 = H1* ( )H1 ( )S x1 ( )
g g
fortheFouriertransformofthefirstdoubleintegralontherighthandsideof
Thesameproceduremaybeappliedtotherestoftheaboveequationandthe
finalresultsoftakingtheFouriertransformsofbothsidesoftheequationis
thefollowingexpressionforthespectraldensityoftheoutputprocess.
Spectral density
Spectraldensity
Thisisamostimportantresult.Byconsideringmorethantwoinputs,itis
notdifficulttoshowthat,forNinputs,thecorrespondingexpressionis:
d ff l h h f h d
whenwedefine:
when we define:
forthespectraldensityoftherthinput.Theequation
isthecentralresultoftherandomvibrationtheoryanditssimplicity
justifiesourfaithintheFouriertransformandfrequencyresponse
approach.Inthecaseofresponsetoasingleinput,theaboveequation
becomes:
Or,sincetheproductofacomplexnumberanditscomplexconjugateis
equaltothemagnitudeofthenumbersquared,
Spectral density
Spectraldensity
Foruncorrelatedinputsforwhichthecrossspectraldensitytermsareall
l d f h h h ld ll
zero,theequationcanbegeneralizedto:
Mean square response

Meansquareresponse
Oncetheresponsespectraldensityhasbeendetermined,themean
h ld h b d d h
squareresponsecanbecalculateddirectlyfrom:
+
E [y ] = S ( )d
2
y

whichforasingleinputbecomes:
andformanyuncorrelatedinputsis:
Foruncorrelatedinputs,themeansquareresponseisthereforethesumof
For uncorrelated inputs the mean square response is therefore the sum of
themeansquareresponsesduetoeachinputseparately.However,in
general,thisisnotthecaseandforcorrelatedinputs,themeansquare
responseisnotjustthesumoftheseparatemeansquareresponses.In
i j h f h I
thesecases,mustbeusedtofindtheresponse
spectraldensitySy()andthentheintegralgivenbelowisevaluated.
+
[ ] S ( )d
E x2 = x

Example 1
Example1
DeterminetheoutputspectraldensityS
h ld y()forthesingledegreeof
( )f h l d f
freedomoscillatorshowninthefigurewhenitisexcitedbyaforcing
functionx(t)whosespectraldensitySx()=So.
From,whereH()isthecomplexfrequencyresponse
function To find H() put x(t)=e it
function.TofindH(),putx(t)=e it andy=H()e
and y=H()eit
it intheequationof
in the equation of
motion:
toobtain:
and
Example 1
Example1
HencetheoutputspectraldensityassketchedinFiguredis:
h ld k h d d
Example 1
Example1
Theareaunderthespectraldensitycurveisequaltothemeansquare,
h d h ld l h
whichmaybewritten:
Alistofdefiniteintegralsofthisformcanbefoundintheliteratureand
theresultis:
whichisindependentofthemagnitudeofthemassm.Thisisasurprising
resultaswewouldnaturallyexpectmtoaffecttheoverallmeansquare
y p q
leveloftheoutputE[y2].Theexplanationcanbeseenbyconsideringthe
heightandwidthofthespectralpeakinthefigure(Rememberthatthe
peak in the lefthand
peakintheleft handhalfofthefigureisjustthemirrorimageofthepeak
half of the figure is just the mirror image of the peak
intherighthandhalf,sinceSy()isanevenfunctionof:
Example 1
Example1
Thepeakvalueoccursforsmalldampingwhen
Th k l f ll d i h
Itsheightistherefore:
whichisproportionaltom.
Thewidthofthespectralpeakneedsdefinition,butsupposethatwe
arbitrarilydefinethisasthedifferenceinfrequency2 betweenthetwo
pointsoneithersideofN
p N whoseheightishalfthepeakheight(theso
g p g (
calledhalfpowerbandwidth).Forsmalldamping:
whichisinverselyproportionaltom.Hencewecanseethatincreasing
massmincreasestheheightofthespectralpeak,butatthesametime
reduces its width As we have seen it turns out that these two opposite
reducesitswidth.Aswehaveseen,itturnsoutthatthesetwoopposite
effectscanceloutandthetotalareaunderthespectraldensitycurve,and
thereforethemeansquarevalue,isindependentofm.
Example 2
Example2
Themasslesstrolleyshowninthefigureisconnectedtotwoabutmentsby
h l ll h h f d b b
springsandviscousdashpotsasshown.Iftheabutmentsmovedistances
x1(t)andx2(t)withspectraldensities(constant)but
,sothatthecrossspectraare
determinetheresponsespectraldensitySy()andthemeansquare
p
response
Example 2
Example2
Fortheequilibriumofthetrolley
h lb f h ll
So that the equation of motion is:

Sothattheequationofmotionis:
Todeterminethefrequencyresponsefunctions,firstput
tofind:
andthenput
to find:
tofind:
Henceaccordingto:
Example 2
Example2
whichaftercollectingtermsbecomes:
WhenthedelaytimeTiszero,sothatx
Wh th d l ti Ti th t 1(t)=x
(t) 2(t),thenweseethat
(t) th th t
andmotionofthetrolleyisalwaysequaltomotionoftheabutments.
Example 2
Example2
Forlarge
l (h h f
(highfrequencies):
)
which is finite and so:

whichisfiniteandso:
onaccountofthecharacteristicsofwhitenoiseexcitationwhichhasan
infinitemeansquarevalue.Forthecasewhenthetwospringstiffnesses
andthetwodampercoefficientsarethesame,
whichhastheformshowninthefigure.
Cross correlation
Crosscorrelation
Inthecaseofasystemexcitedbymanyinputs,itissometimeshelpfulto
h f db h l f l
determinethecrosscorrelationbetweentheoutputandoneofthe
inputs.Beginningwiththedefinition
forthecaseoftwoinputs,using
Sincex1(t)isnotafunctionof,itmaybemovedundertheintegralsigns
andtheaveragingprocesscarriedouttogive:
Cross correlation
Crosscorrelation
Intermsoftheinputautocorrelationandcrosscorrelationfunctions,
f h l d l f
whichexpressesthecrosscorrelationbetweeninputx1(t)andoutputy(t)
intermsoftheautocorrelationofx1(t),thecrosscorrelationbetweenx1(t)
andtheotherinputx
d h h i 2(t),andtheimpulseresponsefunctionsbetweenx
() d h i l f i b 1
andyandx2 andy.
Forthespecialcasewhenx
p R ( ) = 2S ( )
1 iswhitenoisesothatfrom x 0
andx1 andx2 areuncorrelatedsothat
Cross correlation
Crosscorrelation
Then
h
gives:
Thecrosscorrelationfunctionbetweenawhitenoiseinputx1(t)andthe
outputy(t)isthereforethesameastheimpulseresponseatyforaunit
impulse at x1 multipliedbythefactor.Thisisaninterestingresult
impulseatx multiplied by the factor This is an interesting result
whichissometimesusedtoobtaintheimpulseresponsefunction
experimentally.
Cross spectral density

Crossspectraldensity
T ki th F i t
TakingtheFouriertransformsofbothsidesof
f f b th id f
gives:
Rearrangingtermsinthesamewayasforthepreviouscalculationofthe
spectraldensitygives:
Theintegralswithrespectto arewith constant,andsoif()is

replacedby (say)thend becomesd.

+
S x ( ) = R ( )e
Using 1 i
d
2
x

+
S xy ( ) = ( )
1

i

R e d
2
xy

+
S yx ( ) = R ( )e
1 i
d
2
yx

H ( ) = h(t )e it dt
toevaluatetheintegralswithrespectto,andtoevaluate
the integrals with respect to whichthenremain,weobtain:

theintegralswithrespectto which then remain we obtain:
p p ,
WhenthereareNseparateinputs,ofwhichxr((t)isatypicalone,the
) yp ,
aboveequationbecomesthesummation

Foruncorrelatedinputswecanseethat
whereH()isthecomplexfrequencyresponsefunctionrelatingtheinput
x(t) to the output y(t) Sx()isthespectraldensityoftheinputprocess,
x(t)totheoutputy(t),S () is the spectral density of the input process
andSxy()isthecrossspectraldensitybetweentheinputandtheoutput.
Fromthepropertiesofthecrossspectra
S yx ( ) = S xy* ( )
S xy ( ) = S *yx ( )
Itfollowsthat
SinceSx()isofcoursealwaysarealquantity.
Probability distributions
Probabilitydistributions
Wenowconsiderhowtheprobabilitydistributionfortheresponseofa
W id h th b bilit di t ib ti f th f
linearsystemdependsontheprobabilitydistributionoftheexcitation.We
cansayatoncethatthereisnosimplerelationship.Thereisnogeneral
method for obtaining the output probability distributions for a linear
methodforobtainingtheoutputprobabilitydistributionsforalinear
systemexceptforthespecialcasewhentheinputprobabilitydistributions
areGaussian.
Thefactthatwecancalculatetheoutputprobabilitydistributionsfora
linearsystemsubjectedtoGaussianexcitationarisesfromthespecial
propertiesofGaussianprocesses.
i fG i
Firstly,thereisageneraltheoremwhichsaysthatify
y, g y y1 andyy2 areapairof
p
jointlyGaussianrandomvariables,thenifyisdefinedsothat,
thenewrandomvariablewillalsobeGaussian.
Secondly,thisresultmaybeappliedtoshowthattheresponsey(t)ofa
dl h l b l d h h h () f
linearsystemwillbeaGaussianprocessiftheexcitationx(t)isGaussian.
Usingtheconvolutionintegral,weknowthat:
whereh(t)istheimpulseresponsefunction.Itcanbeshown
h h( ) i h i l f i b h
mathematicallythattheaboveintegralcanbethoughtofasthelimiting
caseofalinearsumofasumofrandomvariablesofwhich
isthesimplestexample.Henceifx(t)isaGaussianprocess,y(t)mustbe
the same Finally these results can be extended to the case of more than
thesame.Finally,theseresultscanbeextendedtothecaseofmorethan
onejointlyGaussianinputtoshowthattheoutputprocessesafter
transmissionthroughalinearsystemwillalsobejointlyGaussian.
TheoutputofalinearsystemsubjectedtoGaussianinputsistherefore
h f l b d h f
Gaussianandtheoutputprobabilitydistributionscanbecalculatedifthe
respectivemeanvalues,variancesandcovariancesareknown.
E [( x m )( y m )]
= x y
x y
xy
Alsosinceaderivativecanbeexpressedasthelimitingcaseofthe
l i d i i b d h li i i f h
difference{y(t+t)y(t)}/t betweentworandomvariablesy(t+t)and
y(t)iftheprocessy(t)isGaussiansoisitsderivativeandsoarehigher
derivativessuchasacceleration.
Example
AlinearsystemissubjectedtostationaryGaussianexcitationasaresultof
l b d l f
whichtheresponsey(t)hasameanlevelmy,standarddeviationy,andan
autocorrelationfunctionRy().Determinetheprobabilitydensityfunction
p(y1,y2)forthejointdistributionofyatt1 andyatt2 wheret2=t1+.
ReferringtothedefinitionofthesecondorderGaussianprobability
y
densityfrom
thenormalizedcovariancey1y2isgivenby:
the equation
theequationgives:
gives:
Example
Whenthetimeintervalandfrom
h h l df
Inthiscase,becomes
andy
d 1=y(t
( 1)andy
) d 2=y(t
( 2)arethenstatisticallyindependent.
) h i i ll i d d
A
Asasummary,forengineeringcalculations,theworldisoften
f i i l l ti th ld i ft
assumedtobelinear,stationary,ergodicandGaussian.Actually,
thereisanimportanttheoremofprobabilitytheorycalledthe
central limit theoremwhichhelpstoexplainwhytheprobability
centrallimittheorem which helps to explain why the probability
distributionsofmanynaturallyoccurringprocessesshouldbe
Gaussian.
Roughlyspeaking,thecentrallimittheoremsaysthatwhena
randomprocessresultsfromthesummationofinfinitelymany
random elementary events then this process will tend to have
randomelementaryevents,thenthisprocesswilltendtohave
Gaussianprobabilitydistributions.Wethereforehavegoodreasons
toexpectthat,forinstance,thenoisegeneratedbyfallingrain,or
by a turbulent fluid boundary layer or by the random emission of
byaturbulentfluidboundarylayer,orbytherandomemissionof
electronsinathermionicdevice,willallhaveprobability
distributionswhichapproximatetoGaussian.
Furthermore,evenwhentheexcitationisnonGaussian,asystems
h h h
responsemayapproximatetoGaussianifitisanarrowbandresponse
derivedfrombroadbandexcitationbecausetheconvolutionintegral
mayagainbethoughtofasthelimitingcaseofalinearsumof
i b h h f h li i i f li f
approximatelyindependentrandomvariables.
However,thereshouldbeonewordofcaution.AnassumedGaussian
probabilitydistributionmaygiveapoorapproximationatthetailsofthe
distribution and predictions of maximum excursion of a random process
distributionandpredictionsofmaximumexcursionofarandomprocess,
basedonsuchanassumeddistributionshouldbetreatedwithsuspicion.
Statisticsofnarrowband
Statistics of narrow band
p
processes
Introduction
IInthepreviouschapter,weconsideredgeneralrelations
th i h t id d l l ti
betweentheinputandtheoutputofalinearsystem
subjectedtorandomexcitation.Thecharacteristicsofthe
excitationaremodifiedbytheresponseofthesystem,
f f
whichinelectricalengineeringterms,actsasafilter.
Inmostvibrationproblems,thesystemhasatleastone
resonantfrequencyatwhichlargeamplitudescanbe
generatedbysmallinputs.
t db ll i t
At
Atotherfrequencies,transmissionisreducedand,atvery
other frequencies transmission is reduced and at very
highfrequencies,theeffectivemassmaybesohighthat
theoutputisnotmeasurable.
Introduction
AtypicalfrequencyresponsefunctionH()forsucharesonantsystemis
lf f ( )f h
showninthefigure,whichalsoshowshowthecharacteristicsofthebroad
bandnoisearechangedbytransmissionthroughthissystem.
Becausetheoutputspectrumisconfinedtoanarrowbandoffrequencies
in the vicinity of the resonant frequency the response y(t) is a narrow
inthevicinityoftheresonantfrequency,theresponsey(t)isanarrow
bandrandomprocessandthetypicaltimehistoryofy(t)resemblesasine
waveofvaryingamplitudeandphaseasshowninthefigure.
Introduction
Introduction
Inordertomakesomesimplecalculations,supposethatthefrequency
o de o a e so e s p e ca cu a o s, suppose a e eque cy
responsefunctionhasverysharpcutoffsaboveandbelowtheresonant
frequencysothattheresponsespectraldensitySy()hastheidealized
form shown in the figure
formshowninthefigure.
Wehavealreadyworkedoutthecorrespondingautocorrelationfunction
in the previous chapters and this is as shown in the figure and formula
inthepreviouschaptersandthisisasshowninthefigureandformula
below:
Introduction
Introduction
IftheexcitationisGaussian,wecanfindtheprobabilitydistributionsfory
f h f d h b bl d b f
andforlaterreference,weshallneddthefirstorderprobabilitydensity
p( y, y& )
functionp(y)andthesecondorderprobabilitydensityfunction
forthejointprobabilityofyanditsderivative.Bothofthesefunctionsare
givenbythestandardexpressions
1
p( x) = e ( x m ) / 2
2 2
2
1 ( x m ) 2 ( y m y ) 2 2 xyy ( x m x )( y m y )
2
x
+
1 2 (1 xy ) x 2
y2 x y
p ( x, y ) = e
2 x y (1 ) 2
xy
andareknownprovidedthatthestatisticsare
known.
Introduction
Firstconsiderthemeanlevelofy,m
d h l l f y.Ifthisweretobeotherthanzero,
f h b h h
thespectraldensityforywouldhavetoshowadeltafunctionat=0,
becauseotherwisetherecannotbeafinitetributiontoE[y2]at=0.Since
thespectraldensitySy()showninthefiguredoesnothavethisdelta
function,themeanleveliszero,my=0.
Next,sincethespectraldensityoftheprocessisgivenaccordingto
y&
S y& ( ) = 2 S y ( )
S ( )
Thefunctionalsocannothaveadeltafunctionat=0,sothemean
y&
y& , m =0
levelofisalsozero, y&
Introduction
Inordertocalculatethevariancesweuse
d l l h
= E [x ] (E [x ])
2 2 2
(variance)=(standard deviation)2={Meansquare
(variance)=(standarddeviation) ={Mean square(Mean) (Mean)2}

[ ] S ( )d
Ex =
2
x

tofind:
E [(x m )( y m )]
Lastlyfrom,thenormalizedcovarianceis:
Lastly from = xy
x

y
the normalized covariance is:
x y
Introduction
Weknowthatthenumeratoroftheequationcanbe
W k th t th t f th ti b
expressedas:
IfRy()isexpressedastheFourierintegralofthecorrespondingspectral
y,
density,usingg

Rx ( ) = S ( )e d
x

i

Weget:
NowsinceSy()isarealevenfunctionoffrequency,theintegrand
Sy()isarealoddfunctionof.Whenintegratedovertherangeminus
i fi i
infinitytoplusinfinity,thecontributionfromminusinfinitytozerois
l i fi i h ib i f i i fi i i
exactlyequalbutoppositeinsigntothecontributionfromzerotoplus
infinity.Hencetheaboveintegralmustbeequaltozeroandweobtain:
Introduction
Itisthereforeapropertyofanystationaryrandomprocessy(t)thatyand
h f f d () h d
itsderivativeareuncorrelatedandsothenormalizedcovarianceis
alwayszero.
Wenowhavealltheparametersweneedandcansubstitute
1
p( x) = e ( x m ) / 2
2 2
2
1 ( x m ) 2 ( y m y ) 2 2 xy ( x m x )( y m y )
2
x
+
1 2 (1 xy ) x2 y2 x y
p ( x, y ) = e
2 x y (1 ) 2
xyy
toobtaintheprobabilitydensityfunctions
wherearegivenby:
Introduction
Thesefunctionsaresketchedinthefigurealongsidethecorresponding
h f k h d h f l d h d
spectraldensityandautocorrelationcurves.
Crossing analysis
Crossinganalysis
Althoughthedatainthepreviousfiguresaysalotaboutthenarrowband
lh h h d h f l b h b d
processy(t)bydescribingitsfrequencycompositionanditsamplitudeand
velocitydistributions,itispossibletogofurtherandobtainimportant
informationaboutthedistributionofpeakvalues,thatistosay
informationabouttheamplitudeofthefluctuatingsinewavethatmakes
uptheprocess.
p p
Supposethatweenquirehowmanycyclesofy(t)haveamplitudesgreater
thanthelevely=aduringthetimeperiodTasshowninthefigure.Forthe
h h l l d i h i i dT h i h fi F h
sampleshown,therearethreecycles.
Crossing analysis
Crossinganalysis
Anotherwayofsayingthisisthattherearethreecrossingswithpositive
h f h h h h h
slopeofthelevely=aintimeT.Eachofthesepositiveslopecrossingsis
markedwithacrossinthefigure.
Nowconsiderthefigureasonesamplefunctionofanensembleof
functionswhichmakeupthestationaryrandomprocessy(t).Let
d
denotethenumberofpositiveslopecrossingsofy=aintimeTforatypical
h b f ii l i f i i Tf i l
sampleandletthemeanvalueforallthesamplesbewhere
Crossing analysis
Crossinganalysis
Sincetheprocessisstationary,ifwetakeasecondintervalofdurationT
h f k d l fd
immediatelyfollowingthefirstweshallobtainthesameresult,andforthe
twointervalstogether(totaltime2T)weshallthereforeobtain:
fromwhichitfollowsthat,forastationaryprocess,theaveragenumberof
crossings is proportional to the time interval T Hence
crossingsisproportionaltothetimeintervalT.Hence
whereistheaveragefrequencyofpositiveslopecrossingsofthelevel
y=a.Wenowconsiderhowthefrequencyparametercanbededuced
from the underlying probability distributions for y(t)
fromtheunderlyingprobabilitydistributionsfory(t).
Crossing analysis
Crossinganalysis
Considerasmalllengthofdurationdtofatypicalsamplefunctionas
d ll l h fd d f l l f
showninthefigure.Sinceweareassumingthatthenarrowbandprocess
y(t)isasmoothfunctionoftime,withnosuddenupsanddowns,ifdtis
smallenough,thesamplecanonlycrossy=awithpositiveslopeify<aat
thebeginningoftheinterval,timet.Furthermorethereisaminimum
slopeattimetifthelevely=aistobecrossedintimedtdependingonthe
p y p g
valueofyattimet.Fromthefigure,thisis:
andsotherewillbeapositiveslopecrossingofy=ainthenexttime
interval dt if at time t
intervaldt,ifattimet,
Crossing analysis
Crossinganalysis
IInordertodeterminewhethertheconditionsare
d t d t i h th th diti
satisfiedatanyarbitrarytimet,wemustfindhowthevaluesofyand
aredistributedbyconsideringtheirjointprobabilitydensity.
Supposethatthelevely=aandtimeintervaldtarespecified.Thenweare
onlyinterestedinvaluesofy<aandvaluesofwhich
meanstheshadedwedgeofvaluesyandasshowninthefigure.The
wedgeangle ischosensothatinordertosatisfythe
aboveequation.
Crossing analysis
Crossinganalysis
Ifthevaluesofliewithinthisshadedwedge,thentherewillbea
f h l f l h h h d d d h h ll b
positiveslopecrossingofy=aintimedt.Iftheydonotlieintheshaded
wedge,thentherewillnotbeacrossing.Theprobabilitythattheydoliein
theshadedwedgecanbecalculatedfromthejointprobabilitydensity
functionandisjusttheshadedvolumeshowninthefigure,i.e.,the
volumeundertheprobabilitysurfaceabovetheshadedwedgeof
p y g
acceptablevaluesof.Hence,
Crossing analysis
Crossinganalysis
Whendt0,theangleofthewedge=dt0andinthiscaseitis
h d h l f h d d d h
legitimatetoput
sinceatlargevaluesof,theprobabilitydensityfunctionapproaches
zerofastenough.Hencetheequation
maybewrittenas:
inwhichtheintegrandisnolongerafunctionofysothatthefirstintegral
isjust:
Crossing analysis
Crossinganalysis
H
Hencewithtan=dt
ith t dt
whenthetermisunderstoodtomeanthejointprobabilitydensity
evaluatedaty=a.Nowwehavesaidthattheaveragenumberofpositiveslope
crossingsintimeTisTheaveragenumberofcrossingsintimedtis
thereforeSupposethatdt=0.01sandthatthefrequency
crossings/s.Inthiscase,theaveragenumberofcrossingsin0.01swouldbe
crossings.Nextimaginethatwewereconsideringanensembleof500
i N ti i th t id i bl f 500
samples.Eachsamplewouldeithershowonecrossingindtornocrossings,as
dtisassumedverysmallcomparedwiththeaverageperiodofthenarrow
band process The number of samples with a positive slope crossing must
bandprocess.Thenumberofsampleswithapositiveslopecrossingmust
thereforebe10since10/500=0.02.But10/500isalsotheprobabilitythatany
onesamplechosenatrandomhasacrossingintimedt.Sowearriveatthe
g
followingresult:
Crossing analysis
Crossinganalysis
Theresultisonlytrue
h l l
becausedtissmallandtheprocessy(t)issmoothsothattherecannotbe
because dt is small and the process y(t) is smooth so that there can not be
morethanonecrossingofy=aintimedt.Acceptingtheaboveequation
andsubstitutingfromand
gives:
fromwhichdtcancelstogivethefollowingresultforthefrequency
parameterintermsofthejointprobabilitydensityfunction
Crossing analysis
Crossinganalysis
Thisisageneralresultwhichappliesforanyprobabilitydistribution,but
h l l h h l f b bl d b b
forthespecialcaseofaGaussianprocessweknowfrom
that
whichonsubstitutionto
gives:
Theintegralisoneofthestandardresultsanditsvalueissothatthe
finalresultis,foraGaussianprocess,
Crossing analysis
Crossinganalysis
Aspecialcaseoccursifwetakethelevela=0becausethisgivesa
l f k h l l b h
statisticalaveragefrequencyforcrossingthelevely=0,thefigure,which
maybethoughtofasastatisticalaveragefrequencyfortheprocess.
Noticethatisobtainedbyaveragingacrosstheensembleandsoitis
not the same as the average frequency along the time axis unless the
notthesameastheaveragefrequencyalongthetimeaxisunlessthe
processisergodic.
Example
Calculatethefrequencyofpositivecrossingsofthelevely=aforthesingle
l l h f f f h l l f h l
degreeoffreedomoscillatorshowninthefigurewhenitissubjectedto
GaussianwhitenoiseofspectraldensitySo.
Example
InExample1ofthefirstchapter,wehaveworkedoutthatthefrequency
l f h f h h k d h h f
responsefunctionis:
sothat
asalreadycalculated.Thefrequencyresponsefunctionrelatingtothe
excitationx(t)isobtainedbymultiplyingH()byi toobtain:
sothat
Toresultofthisintegralis:
Example
Finallysubstitutingingives:
ll b
Theaveragefrequencyfortheprocessisobtainedbyputtinga=0togive
whereN isthenaturalfrequencyoftheoscillatorinrad/s.
Distribution of peaks
Distributionofpeaks
Havingobtainedthefrequencyofcrossingsofy=a,itisnotdifficultto
b d h f f f d ff l
extendthiscalculationtodeterminetheprobabilitydistributionofpeaks.
Letbetheprobabilitythatthemagnitudeofapeak,chosenat
random,liesintherangeatoa+da.Theprobabilitythatanypeakis
greaterthanaistherefore
NowintimeT,weknowthatonaverage,therewillbecycles(since
onepositivecrossingofy=0occursforeachfullcycleofthenarrowband
process)ofwhichonlywillhavepeakvaluesexceedingy=a.
Distributionofpeaks
Theproportionofcycleswhosepeakvalueexceedsy=aistherefore,
h f l h k l d h f
andthismustbetheprobabilitythatanypeakvalue,chosenatrandom
exceedsy=a.Henceweobtain:
andthisequationmaybedifferentiatedwithrespecttoatogive:
d hi i b diff i d ih i
whichisageneralresultfortheprobabilitydensityfunctionforthe
occurrenceofpeaks.Itappliesforanynarrowbandprocessprovidedthat
thisisasmoothprocesswitheachcyclecrossingthemeanlevely=0so
hi i h ih h l i h l l 0
thatallthemaximaoccurabovey=0andalltheminimaoccurbelowy=0.
Distributionofpeaks
Theequationappliesforanyprobabilitydistribution,but
h l f b bl d b b
ify(t)isGaussian,thenthereisasimpleandimportantresultforp
if y(t) is Gaussian then there is a simple and important result for pp(a).
(a)
Substituting
into
gives:
or
whichisthewellknownRayleighdistribution.
Distributionofpeaks
Thefunctionpp(a)hasitsmaximumvalueata=y,thestandarddeviation
h f ( )h l h d dd
oftheyprocess,anditisclearfromthefigurethatthemajorityofthe
peakshaveaboutthismagnitude.
Theprobabilityoffindingverysmallorverylargepeaksissmallandthe
probabilitythatanypeak,chosenatrandom,exceedsaisfrom
Example
CalculatetheprobabilitythatanypeakvalueofaGaussiannarrowband
l l h b bl h k l f b d
processy(t)exceeds3y,Fromwhere3yisitsstandarddeviation.From
therequiredprobabilityis
soonaverageonlyabout1peakina100exceedsthe3ylevel.
Frequency of maxima
Frequencyofmaxima
OuranalysisofpeaksleadingtotheRayleighdistributionforaGaussian
l f k l d h l hd b f
processisbasedontheassumptionthatthenarrowbandprocessy(t)
resemblesasinewaveofvaryingamplitudeandphase.Wecaninvestigate
thevalidityofthisassumptionbycalculatingthedistributionofthelocal
maximaofy(t)byanotherapproach.Weknowthaty(t)isanextremum
whendy/dt=0andthatthisextremumisamaximumif,atthesametime,
y/ , ,
d2y/dt2 isnegative.Thereforethefrequencyofmaximaofy(t)mustbethe
frequencyofthenegativezerocrossingsofthederivedprocessand,
since there is one negative crossing for each positive crossing this is the
sincethereisonenegativecrossingforeachpositivecrossing,thisisthe
sameasthefrequencyofpositivezerocrossingsof.Henceify isthe
frequencyofmaximaofy(t),andisthefrequencyofzerocrossingsof
,wehave
we have
wherecanbecalculatedfrombysubstituting
y g
Frequency of maxima
Frequencyofmaxima
Andputtingtheleveltoobtain
This is a general expression for the frequency of maxima of the process
Thisisageneralexpressionforthefrequencyofmaximaoftheprocess
y(t).Foratheoreticalnarrowbandprocesswhosespectraldensityis
showninthefigureandforwhichwehave:
andsimilarly,
and similarly
inwhichcase
gives:
forthefrequencyofmaxima.
Frequency of maxima
Frequencyofmaxima
Ifthefrequencyofmaxima
f h f f y iscomparedwith,we
d h
obtain:
forthefrequencyofzerocrossingsofy(t).Thefrequencyofmaximaand
thefrequencyofzerocrossingsarethereforethesameandour
assumption that there is only one peak for each zero crossing is justified
assumptionthatthereisonlyonepeakforeachzerocrossingisjustified.
Ifthebandwidthofthenarrowbandprocessisnotnarrowenoughto
assumethisconclusionishowevermodified.Supposethatthe
spectraldensityofy(t)hastheformshowninthefigure.Inthiscase,the
variancesofy,andare:
Frequency of maxima
Frequencyofmaxima
Thefrequencyofmaximaisnow:
h f f
comparedwiththefrequencyofzerocrossingswhichis:
andtheseclearlyarenotthesame.
Example
Calculatethefrequencyofmaximaandthefrequencyofzerocrossingsfor
l l h f f d h f f f
aGaussianprocesswhosespectrumisflatandcoversanoctaveband
widthfrom1/2=70.7Hz(c/s)to2/2=141.4Hz(c/s),asshowninthe
figure,withacenterfrequencyof100Hz.Notethatforanoctave
bandwidththeuppercutofffrequencyistwicethelowercutoff
frequency.Substitutingnumbersinto
q y g
givesy=115Hzandinto
gives
approximately There are therefore about 6 5 percent more local maxima
approximately.Therearethereforeabout6.5percentmorelocalmaxima
thantherearezerocrossings.
Frequency of maxima
Frequencyofmaxima
Thereasonforthedifferenceisduetothefactthaty(t)canonlybe
h f h d ff d h f h () l b
representedbyasinewaveofslowlyvaryingamplitudeandphaseifits
spectrumhastheformshowninthefigureandincludesonlyavery
narrowbandoffrequencies.
Ithasbeenshownthatforamoregeneralnarrowbandspectrum,as
g p ,
showninthefigurebelow,thehighfrequencycomponentspresent
introduceirregularitiesinthesmoothformofthesinewave
approximation and it is these irregularities which cause the additional
approximationanditistheseirregularitieswhichcausetheadditional
maxima.
Frequency of maxima
Frequencyofmaxima
Inmanyapplications,weareconcernedonlywiththelargeamplitude
l d l h h l l d
excursionsofanarrowbandprocessandtheRayleighdistributionof
peaks,whichassumesonlyonemaximumforeachzerocrossing,isthena
valuableguidetotheprobabilityofoccurrenceoflargepeakvalues
Accuracyofmeasurements
Accuracy of measurements
SSofar,wehavebeenconcernedwiththebasicmathematicaltheoryof
f h b d ith th b i th ti l th f
randomprocesssanalysis.Weturnnowtoamorepracticalaspectofthe
subject:experimentalmeasurements.Weshallconcentratealmostentirelyon
measuring the spectral density of a random process or the crossspectral
measuringthespectraldensityofarandomprocessorthecrossspectral
densitybetweentworandomprocesses.Thisemphasisonspectral
measurementsisjustifiedbythecentralrolewhichspectraoccupyinthe
y p p
theoryofrandomvibrations.Theirimportancecomesfromthesimpleformof
theinputoutputrelationsforspectraldensityforalinearsystemsubjectedto
randomexcitation.Inthischapter,weshalldescribetheoperationofan
analoguespectrumanalyseranddiscussatlengththefactorswhichaffectthe
accuracyofanymeasurementofspectraldensity.
f f ld
Thefundamentalexperimentalproblemisthatourmeasurementsmustbe
madeononesamplefunctionofatheoreticallyinfiniteensemble,oratthe
most,ononlyafewsamplefunctionsfromtheinfiniteensemble.
FFurthermore,weareonlyabletoanalyzealimitedlengthofanygivensample
th l bl t l li it d l th f i l
functionbecausewecannotgoontakingmeasurementsforever.
Thefactthatwearelimitedtoasinglesampleandthatwecanonlyanalyzea
finitelengthofitmeansthat,automatically,weshallintroduceerrorsintothe
measuredspectrum.
Evenassumingthattherandomprocesswearesudyingisergodic,inwhich
anyonesamplefunctioncompletelyrepresentstheinfinityoffunctionswhich
makeuptheensemble,wearestillintroducingerrorswhenweonlydealwith
k th bl till i t d i h l d l ith
afinitelengthofasamplefunction.
Rememberthatasampleaverageforanergodicprocessisonlythesameasan
ensembleaveragewhenthesampleaveragingtimeisinfinite.Obviously,this
isnotapracticalproposition.
Ifwefollowthemathematicaldefinitionofspectraldensity,wemust
f f ll h h ld f f ld
beginbymeasuringtheautocorrelationfortheprocessbeingstudiedand
thendeviseawayofcalculatingtheFouriertransformofthe
autocorrelationfunction.However,inpractice,thisisnotthebestwayto
proceed.
Itturnsoutthatitiseasiertomeasurespectrabyaprocedurewhichdoes
notinvolvefirstcalculatingcorrelationfunctions.Althoughthe
experimentalprocedurefollowsaroutewhichisnotmathematically
i l d f ll hi h i h i ll
rigorous,andthereforecannotbeusedtodefinethespectraldensity
functions,weshallseethatwecanobtainapproximationsforthetrue
spectrawhicharecorrecttoanystatedaccuracy;furthermorethe
measurementsareconsiderablysimplerandquickerthantheywould
otherwisebe.
Analogue spectrum analysis

Analoguespectrumanalysis
Mostengineerswillbefamiliarwithaninstrumentcalledafrequency
ll b f l h ll d f
analyzer.Theoutputofanaccelerometer,orothervibrationtransducer,is
fedintotheinstrumentwhichisessentiallyavariablefrequencynarrow
bandfilterwithanr.m.s.metertodisplaythefilteroutput.
Usually,thefiltercenterfrequencyiscontinuouslyvariableandthe
Usually the filter center frequency is continuously variable and the
experimenteradjuststhisashesearchesforthepredominantfrequencies
presentinavibrationsignal.Ananaloguespectrumanalyzerisasimilar
i
instrumentexceptthatithasmoreaccuratefiltersandpreciselycalibrated
h i h fil d i l lib d
bandwidths.

Supposethattheinputx(t)isasamplefunctionofanergodic(and
h h () l f f d ( d
thereforestationary)randomprocess.Thesignalisfilteredbyafilter
whosetheoreticalfrequencyresponseisshowninthesecondfigure
below.

Thefilteroutputy(t)issquaredandthenthetimeaveragez(t)calculated
h fl () d d h h () l l d
where
SincetheaveragingtimeTcannotbeinfinite,z(t)isitselfafunctionof
time,andfluctuatesaboutitstruemeanvalue(theensembleaverage).
i d fl b i l (h bl )
However,ifTislongenough,thefluctuationsaresmallandthemeanlevel
E[z]canbeapproximatelydeterminedfromtheanalyzersoutputmeter.
Fromtheaboveequation,weknowthat
sincey(t)isstationary,andfrom 2

[ ] H ( ) S ( )d
E y2 = x


Whichforthefilterfrequencyresponseshowninthefigure,with
canbeapproximatedby
pp y
Combiningtheaboveequationwith
theaverageoutputofthespectrumanalyserisproportionaltothe
spectral density of the input process at the filter center frequency o,or
spectraldensityoftheinputprocessatthefiltercenterfrequency or
turningtheformularound
ThemeanoutputlevelE[z]isthereforeadirectmeasureoftheinput
spectraldensity.

Weshallnowinvestigatetheaccuracyofthismeasurement.Itisclearthat
h ll h f h l h
wearelikelytoimprovetheaccuracyifweuseaninstrumentwithalong
averagingtime,becausethentheoutputdependsonanaverage
integratedoveralongperiodoftimeasshown.
Also,ifwewanttodistinguishsharppeaksinthecurveofspectraldensity
againstfrequency,weshoulduseasharpfilterwithaverynarrow
bandwidth.Inthenextsection,weshallfindanexpressionwhich
relatestheaccuracyofmeasurementstoboththesequantities.
Variance of the measurement

Varianceofthemeasurement
FromthespectraldensitySx() canbedeterminedif
Ho, andE[z]areallknown.Wecandeterminethefirsttwotoany
desiredaccuracybyusingpreciselycalibratednarrowbandfilters.

However,E[z]cannotbepreciselydeterminedsinceitisanensemble
[] b l d d bl
averageandthereforenotobtainablefrommeasurementsoffinitelength
onasinglesample.Allwecandoistrytomakesurethatz(t)neverdiffers
verymuchfromitsmeanvalueE[z]sothataspotvalueofz(T)islikelyto
beacloseapproximationforE[z].Thevarianceofz(t)isameasureofthe
magnitudeofitsfluctuationsaboutthemeanandwedefine,
g ,
asthevarianceofthemeasurementaccordingto
2 = E [x 2 ] (E [x ])2
Weshallnowseektodetermine2.Clearly,thiswilldependonthe
characteristics of the y(T) random process which is the output of the
characteristicsofthey(T)randomprocess,whichistheoutputofthe
spectrumanalyzersnarrowbandfiltersincez(t)isafunctionofy(t).

Webeginbysubstitutingforzintermsofyin
b b b f f
Using
theE[z]termcanbereplacedbyE[y2]toobtain:
buttheE[z2]termismoredifficult.Returningtothedefinitionofz(t),
wecanwrite:
wherethetwodifferenttimevariablest1 andt2 areintroducedsothat

Thisproductoftwointegralsmaybewrittenastheequivalentdouble
h d f l b h l d bl
integral
Averagingtheaboveequationfortheensemblethengives:
whichsubstitutinginto
givesthefollowingexpressionforthevarianceofthemeasurement2.

Inordertouse
d
wefirstrelatethefourthorderaveragetothe
we first relate the fourth order average to the
autocorrelationfunctionfortheyprocessRy().Thisiseasytodoify(T)is
aGaussianprocess.Fortunately,thisislikelytobeafairapproximation
since y(t) is the output from a narrow band filter and so we may expect its
sincey(t)istheoutputfromanarrowbandfilterandsowemayexpectits
probabilitydistributiontoapproachaGaussiandistributionwhenthe
inputtothefilterisbroadbandnoise.ForaGaussianprocesswithzero
mean,thefourthorderaverageE[y
h f h d E[ 1y2y3y4]canbeexpressedintermsof
] b di f
secondorderaveragesbythefollowingequation
whichfory3=y1 andy4=y2 simplifiesto

Ifnowweput,weobtain:
f b
in which since y(t) is a stationary process

inwhich,sincey(t)isastationaryprocess,
andsofinallyforaGaussianprocess,
Substituting
givesthefollowingexpressionforthevarianceofthemeasurement,

Forastationaryinput,theautocorrelationfunctiondependsonlyonthe
h l f d d l h
timedifference=t2t1,sochangingoneofthevariablest2 to+t1 (where
t1 isaconstantfortheintegrationwithrespectto)weobtain:
Sincetheintegrandisafunctionofonlyoneofthetwovariablesof
Si h i d i f i f l f h i bl f
integration,wecanintegrateimmediatelywithrespecttotheother
variable.However,thelimitsofintegrationrequiresomethought.The
rangeofvaluesof andt1 coveredbythedoubleintegralisshowninthe
figure:

Integratingwithrespecttot
Integrating with constant,i.e.Alongtheshadedstrip
with respect to t1 with constant i e Along the shaded strip
inthefiguregives:
andthenintegratingwithrespecttotheothervariableoveritsfullrange
fromTto+T,weobtain:
Inordertoevaluatethisintegral,wemustintroduceanexpressionforthe
In order to evaluate this integral we must introduce an expression for the
autocorrelationfunctionSincey(t)istheoutputofanarrowband
filter,asshowninthefigure,itsautocorrelationfunctionwillhavethe
sin ( / 2 )
form R ( ) = 4 S cos

y 0 0
whichmaybewritten:

W
Wenowwanttosubstituteinto
tt b tit t i t
andthenevaluatetheintegraltoobtainthevariance.Fortunately,we
areonlylookingfortheorderofthemagnitudeofratherthananexact
, g y pp y
value,anditissufficienttointegrateonlyapproximately.Firstwenote
thatthefirstequationincludesthequotient
whichwhensquaredandplottedasafunctionof,hastheformshownin
thefigure:

Thismaybeapproximatedquitecloselybythestraightlinefunctionas
Thi b i t d it l l b th t i ht li f ti
showninthefigures

Withthisassumption,becomes,after
h h b f
substitutingforRy()
Secondly,weshallassumethattheaveragingtimeTofther.m.s.meterin
fi
figureislongsothat
i l h
inwhichcasewecanmakeafurthersimplificationoftheintegrandto
in which case we can make a further simplification of the integrand to
obtain

Theintegralisrepresentedbytheshadedareashowninthefigure.
Th i t li t d b th h d d h i th fi
Providedthatthebandwidth issmallcomparedwiththecenter
frequencyofthefilter0,thentherewillbemanycyclesofinside
the triangular envelope of the figure and in this case the shaded area is
thetriangularenvelopeofthefigure,andinthiscase,theshadedareais
equaltohalfthetotalareaenclosedbythedottedtriangleinfigure.
Hencetheintegralisgivenapproximatelyby:
andsowearrivetotheapproximateresult:
pp

PuttingthesymbolBtodenotethebandwidthinHz,sothat
h b l d h b d dh h
Thisisthesimplifiedversionof
wehavebeenlookingfor.Itgivesthevarianceoftheoutputofaspectrum
analyzer Since the correct output should be from
analyzer.Sincethecorrectoutputshouldbefrom
wheremdenotesthemeanoutputoftheanalyzer.

Theequationmayfinallybewrittenas:anditis
h f ll b d
clearthatifthestandarddeviationofthemeasurementistobesmall,we
musthave:
whichconfirmstheapproximationinevaluatingtheintegrals.
Wearenowinapositiontoappreciatethebasicdilemmawhicharises
whenmeasuringspectraldensity.Forhighresolution,thefilterbandwidth
h i ld i hi h l i h fil b d id h
oftheanalyzer,B,mustbesmall,whileforgoodstatisticalreliabilityB
mustbelargecomparedwith1/T.Thiscanonlybeachievedifthe
averagingtimeTislong,whichmeansthatthesamplefunctionx(t)must
lastforalongtimeandthattheexperimentermustbepreparedtowaita
sufficientlylongtimetoachieveanaccurateresult.
y g
Example
Example
Analysis of finite length records

Analysisoffinitelengthrecords
Wehaveseenhowthestandarddeviationofasinglemeasurementofspectral
We have seen how the standard deviation of a single measurement of spectral
densityisaffectedbythebandwidthBandaveragingtimeTofananalogue
spectrumanalyserand,toagoodapproximation,theratioofthestandard
deviation toitsmeanvaluemisindependentofthevarianceoftheinput
signalanddependsonlyonBandT,accordingtothefundamentalresult
IftheinstrumentsaveragingtimeisT,itsoutputatanyinstantisbasedonly
ontheinputvaluesfortheimmediatelyprecedingtimeintervalT,
Thebasicproblemisthatitisjustnotpossibletocalculatetheprecise
Th b i bl i h i i j ibl l l h i
estimateofspectraldensitywhenonlyalimitedlengthofdataisavailablefor
analysis.

Now,withananaloguespectrumanalyzer,operatingonacontinuousrandom
Now with an analogue spectrum analyzer operating on a continuous random
process,wecangoontakinginstantaneousmeasurementsofspectraldensityand
bywatchingthemovementoftheinstrumentsoutputmeter,quicklyappreciate
thevariabilityoftheoutput.
Usually,ananalogueinstrumenthastwoormorealternativeaveragingtimesand
severaldifferentbandwidths,andbyalteringthesettingsoftheinstrument,itis
soon possible to judge how the instrument has to be adjusted to give reasonable
soonpossibletojudgehowtheinstrumenthastobeadjustedtogivereasonable
accuracywithanacceptablebandwidth,andthereforeadequateresolutionof
closespectralpeaks.
However,analoguespectrumanalysistakestime,sincemanyseparatereadings
havetobetakentocoverawiderangeoffrequencies;alsothemaximum
resolutionobtainablefromanaloguefiltersislimited.
Digitaldataanalysismetodsarethereforeextensivelyusedandvirtuallyallrandom
dataanalysisexceptforsocalledquicklookspectrumanalysisisnowcarriedout
digitally.

Thesamplefunctionx(t)isfirstdigitizedbyananaloguetodigitalconverterand
The sample function x(t) is first digitized by an analogue to digital converter and
thenadigitalcomputerisusedtomakecalculationsonthedigitizeddata.
Sincethereisalimittothenumberofdatapointsthatcanbefedintoacomputer,
Since there is a limit to the number of data points that can be fed into a computer,
thereisalimittothelengthofthesamplefunctionthatcanbeanalyzed.
Thisrestrictedlengthofsamplecausesthesamelossofprecisionasthatoccurring
i
inananalogueinstrumentwithafiniteaveragingtime.
l i i h fi i i i
ItturnsoutthataccuracystilldependsonrecordlengthTandbandwidthB,except
that the bandwidth is no longer that of an analogue filter but has to be
thatthebandwidthisnolongerthatofananaloguefilter,buthastobe
interpretedinadifferentway.
Weshallnowconsiderthegeneralproblemofanalysingarecordoffinitelength
andintroducetheconceptofaspectralwindowwhichisusedtodefinethe
equivalentbandwidthBe ofadigitalcalculation.

Supposethat{x(t)}isastationaryrandomprocessconsistingofan
h { ( )} d f
ensembleofsamplefunctions.Sincetheprocessisstationary,each
samplefunctiontheoreticallygoesforever.However,supposethatrecords
areonlyavailablefortheperiodt=0tot=T,asshowninthefigure.Inthis
case,theautocorrelationfunctioncanonlybedetermined
for||
| | T.Wecannotthereforecalculatethecorrespondingspectral
p g p
densityfromsincewedonotknow

ThebestwecandoistoapproximateS
Th b t d i t i t Sx()bytruncatingtheintegralto
( )b t ti th i t lt
givetheapproximation
Althoughasalreadymentioned,thecalculationprocedurecarriedoutina
computermaynotactuallyinvolvefindingtheautocorrelationfunction
neverthelessthebasicdifficultywhicharisesistheinherentlossof
accuracyresultingfromanapproximationequivalenttotheabove
equation.
Toillustratehowtheapproximatespectrumislikelyto
differfromitstruevaluecalculatedfrom
supposethat
suppose that
wheretheamplitudeaandthefrequencyo areconstant,andthephase
angle isconstantforeachsamplefunction,butvariesrandomlyfrom

sampletosamplewithallvaluesbetween0and2
l l h ll l b d b
beingequallylikely.In
ll l k l
thiscase,
whichputtingp()=1/2,gives:
Nowsupposethattherecordsx(t)areonlydefinedfort=0tot=T,sothat
weonlyknowandconsidercalculatingtheapproximationfor
in
gives:
sincecos0tisanevenfunctionof,thismayinturnbewrittenas:

Whichcanbeeasilyintegratedtogive:
h h b l d
Noticethatthetermsonther.h.s.oftheaboveequationhaveaform
Notice that the terms on the r h s of the above equation have a form
similartothoseinequation
2 2
Rx ( ) =
4So
cos sin
2 2
whichhasbeenshowntobecomeadeltafunction,andsothe
approximationforgivenby
tendstotwodeltafunctionsinthelimitwhenthelengthoftherecord,T,
becomesinfinite.

IntheFigurea,theapproximateresult
h h l
fromtheequation
forTfiniteisshowncomparedwithfigure
(b),theexactresultwhenT .The
conclusion we can draw from this is that
conclusionwecandrawfromthisisthat
theresultofanalysingonlyafinitelength
ofrecordistosmearoutasharpspectral
li
lineoverabandoffrequenciesofwidth
b d ff i f id h
=2/Tapproximately.Inorderto
resolvetwonearbyspectralpeaks,the
lengthofrecordT,mustbelongenough
fortheirfrequencydifferencetobelarge
comparedwith1/THz.
p /

Howeveraccuratetheanaloguetodigitalconversionandhoweverlarge
h l d l dh l
thecomputer,closespectralpeakscanonlybedistinguishediftherecord
lengthTislongenough.


SupposethatW()istherectangularfunctionshowninfigureb.Inthis
h () h l f h f b h
case,thesmoothedformofthespectrumdefinedby
issketchedinFigurec.SincepositiveandnegativehalfcyclesofS()tend
tocanceleachotherout,thesmoothedspectrumhastheapproximate
l h h h h d h h i
formshownandonaccountoftheshadedareasinFigureaand
Figurecareapproximatelyequal.

ThefunctionW()iscalledaspectralwindowfunctionandtheshapeofa
h f () ll d l d f d h h f
graphofW()against issaidtobetheshapeofthewindow.Many
differentshapeshavebeensuggested,buttheeffectivewidthofthe
windowiswhatmattersbecausethisdefinesthebandoffrequenciesover
whichaveragingoccurs.
Forarectangularwindowasshowninthefigure,thebandwidthBe isjust
thefullwidthofthefunction.However,forotherfunctionswhichmayrise
graduallytoapeakandthenfalloffgradually,itisnecessarytocalculate
d ll k d h f ll ff d ll i i l l
aneffectivewidthandthisisusuallydefinedbytheeffectivebandwidthBe
where,
W ( )d = 1
whichwithbecomes


JJustasthevarianceofameasurementmadewithananaloguespectral
t th i f t d ith l t l
analyserdependsonthefilterbandwidthandtheaveragingtime,sothe
varianceofanyestimationofmeansquarespectraldensitydepndson(i)
the effective band width of the spectral window Be,and(ii)thelengthof
theeffectivebandwidthofthespectralwindow,B and (ii) the length of
therecord,T.Itcanbeshownthattheresult
1

m BT
stillappliesprovidedthatthespectrumchangesslowlyoverfrequency
intervalsoforder1/T,i.e.,providedthattherecordlengthislongenough
toresolveadjacentspectralpeaks.Inthiscase,wethereforestillhave:
where
where isthestandarddeviationofameasurementwhosemeanvalueis
is the standard deviation of a measurement whose mean value is
m,Be istheeffectivebandwidthofthespectralwindowandTistherecord
length.

Furthermore,theequation
h h
alsoappliesapproximatelytomeasurementsoftheautocorrelation
function.Inthiscase,theeffectivebandwidthBeisthebandwidthofthe
entireinputprocesssoanindividualmeasurementofacorrelation
i i i di id l f l i
functionhasgreaterstatisticalreliabilitythananindividualmeasurement
ofspectraldensityfromthesamelengthoftherecord.However,in
transformingfromthetimedomaintothefrequencydomain,weare
forcedtoemployselectivefilterswhichautomaticallyreducetheeffective
bandwidthandthereforereducethestatisticalreliabilityoftheresults
y
obtained.

Berlin Ders 3 - Random Vibrations II

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ERASMUSTeaching(2009),TechnischeUniversittBerlin

We see that E[y(t)] is independent of time so that finally

Thelastintegraliswithrespectto with1 and2 constant.Wecan

Mean square response

So that the equation of motion is:

which is finite and so:

andx1 andx2 areuncorrelatedsothat

Cross spectral density

Theintegralswithrespectto arewith constant,andsoif()is

Cross spectral density

Cross spectral density

Analogue spectrum analysis

Analogue spectrum analysis

Analogue spectrum analysis

Analogue spectrum analysis

Analogue spectrum analysis

Variance of the measurement

Variance of the measurement

Variance of the measurement

wherethetwodifferenttimevariablest1 andt2 areintroducedsothat

Variance of the measurement

Variance of the measurement

whichfory3=y1 andy4=y2 simplifiesto

Variance of the measurement

in which since y(t) is a stationary process

Variance of the measurement

Variance of the measurement

Variance of the measurement

Variance of the measurement

Variance of the measurement

Variance of the measurement

Variance of the measurement

Variance of the measurement

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

Analysis of finite length records

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