非平稳非高斯随机过程插值模拟方法

Interpolation simulation method of non‑stationary non-Gaussian stochastic processes

  • 摘要: 针对非平稳非高斯随机过程模拟中存在的随机变量数目过多和潜在高斯随机过程的功率谱计算耗时大的问题,本文结合随机谐和函数,提出一种基于样本插值的非平稳非高斯随机过程快速模拟方法。在已知非高斯随机过程的目标演变功率谱和目标密度函数的前提下,通过Mehler公式建立非高斯随机过程和潜在高斯随机过程的相关函数方程,并采用插值求解的方式提出潜在高斯随机过程的演变功率谱快速计算方法,结合随机谐和函数提出非平稳非高斯随机过程快速模拟方法,采用单点均匀调制非高斯随机过程和多点非均匀调制非高斯随机过程模拟验证该方法的有效性。结果表明:在保证计算精度的前提下,插值求解潜在高斯随机过程的演变功率谱的计算耗时低于Mehler公式求解的耗时,且随着激励数目的增多,插值求解计算潜在高斯随机过程的演变功率谱的效率更为明显;所提非平稳非高斯随机过程快速计算方法,能够有效模拟具有目标演变功率谱和目标密度函数的非高斯随机过程。

     

    Abstract: To address the problems of large number of random variables and time-consuming computation in the simulation of non-stationary non-Gaussian stochastic processes, a fast computation method of non-stationary non-Gaussian stochastic processes is proposed based on sample interpolation by combining the stochastic harmonic function. With the known of the target evolutionary power spectrum and target density function of non-Gaussian stochastic processes, the correlation function equations of non-Gaussian stochastic processes and underlying Gaussian stochastic processes are established through Mehler’s formula, and a fast calculation method for the evolutionary power spectrum of underlying Gaussian stochastic processes is proposed through interpolation method. Subsequently, a fast simulation method for non-stationary non-Gaussian stochastic processes is proposed by combining stochastic harmonic functions, The effectiveness of this method is verified by simulating single-point uniformly modulated non-Gaussian stochastic process and multi-point non-uniformly modulated non-Gaussian stochastic processes. The results show that, when calculating the evolutionary power spectrum of the underlying Gaussian random process under the condition of ensuring accuracy, the calculation time of interpolation solution is lower than that of Mehler’s formula solution, and as the number of excitations increases, the efficiency of interpolation solution in calculating the evolutionary power spectrum of the underlying Gaussian random process is more obvious. The proposed fast computational method of non-stationary non-Gaussian stochastic processes can effectively simulate the non-Gaussian stochastic processes with the target evolutionary power spectrum and the target density function.

     

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