CEE490b Jan.

23, 2002

Review of Random Loading Concepts - I

• We require new mathematical tools to describe “random” loads and

responses of structures
• Random loads vary in:
o Magnitude
o Time
o Spatially
• We use:
o Probability Distributions
o Power Spectra and Auto-correlations
o Cross-Spectra and Cross-correlations

Stationary Random Process:

Strict Stationarity
o All statistical properties are invariant with time
Weak Stationarity
o Mean µ x and autocorrelation ρ x (τ ) are invariant with time
Ergodic Process
o Stationary process where the statistical properties of one sample
are identical to the ensemble statistics

• There are fully developed mathematical methods available for Ergodic

Processes and thus there are enormous advantages if a process can be
regarded as stationary. This includes processes that can be described as
having weak stationarity or local stationarity

Auto-correlation

T
1
•
T →∞ T ∫
R x (τ ) = lim (x(t ) − x )(x(t − τ ) − x )dt
0

• R x (τ ) = R x ( −τ ) (an “even” function)

T
• R x (τ = 0) = σ = lim ∫ ( x (t ) − x ) 2 dt
2
x
T →∞
0

dR (τ = 0)
• =0
dτ
• R(τ = ∞ ) = 0
• If x(t ) = y 1 (t ) + y 2 (t ) + y 3 (t ) + ..... + y n (t ) where the y ‘s are independent, then
R x (τ ) = R y 1 (τ ) + R y 2 (τ ) + ..... + R yn (τ ) and since R x (τ = 0) = σ x2 , then
σ 2 x (τ ) = σ 2 y 1 + σ 2 y 2 + ..... + σ 2 yn

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CEE490b Jan. 23, 2002

Power Spectrum

∞
• Two-sided spectrum G(f ) = ∫ R(τ )e −i 2πfτ dτ
−∞

• One-sided spectrum S(f) defined for f ≥ 0

S(f ) = 2G(f ) and recalling that R(τ ) = R( −τ )

∞

S(f ) = 4 ∫ R(τ ) cos( 2πfτ )dτ 
0 
∞
 This is a “Cosine Fourier Transform Pair”
R(τ ) = ∫ S(f ) cos( 2πfτ )df 
0 
• The area under the power spectrum equals the variance, σ 2
• Dimensions of power spectrum are (dimension of x 2 )/frequency, for example
if “x” is displacement in metres, then the unsits of the power spectrum are:
m 2 / Hz
• Power spectra are often normalized by the variance, σ 2 , so the area is 1.0
• Examples of Random Processes:

x(t) p(x) Sx(f) R x( τ )

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