000003997 001__ 3997
000003997 005__ 20141118153339.0
000003997 04107 $$acze
000003997 046__ $$k2009-05-11
000003997 100__ $$aVořechovský, M.
000003997 24500 $$aOn simulation of cross correlated random fields using series expansion methods

000003997 24630 $$n15.$$pEngineering Mechanics 2009
000003997 260__ $$bInstitute of Theoretical and Applied Mechanics AS CR, v.v.i., Prague
000003997 506__ $$arestricted
000003997 520__ $$2eng$$aA practical framework for generating cross correlated fields with a specified marginal distribution function, an autocorrelation function and cross correlation coefficients is presented in the paper. The approach relies on well known series expansion methods for simulation of a Gaussian random field. The proposed method requires all cross correlated fields over the domain to share an identical autocorrelation function and the cross correlation structure between each pair of simulated fields to be simply defined by a cross correlation coefficient. Such relations result in specific properties of eigenvectors of covariance matrices of discretized field over the domain. These properties are used to decompose the eigenproblem which must normally be solved in computing the series expansion into two smaller eigenproblems. Such a decomposition represents a significant reduction of computational effort. Non-Gaussian components of a multivariate random field are proposed to be simulated via memoryless transformation of underlying Gaussian random fields for which the Nataf model is employed to modify the correlation structure. In this method, the autocorrelation structure of each field is fulfilled exactly while the cross correlation is only approximated. The associated errors can be computed before performing simulations and it is shown that the errors happen especially in the cross correlation between distant points and that they are negligibly small in practical situations.

000003997 540__ $$aText je chráněný podle autorského zákona č. 121/2000 Sb.
000003997 653__ $$a

000003997 7112_ $$aEngineering Mechanics 2009$$cSvratka (CZ)$$d2009-05-11 / 2009-05-14$$gEM2009
000003997 720__ $$aVořechovský, M.
000003997 8560_ $$ffischerc@itam.cas.cz
000003997 8564_ $$s442873$$uhttps://invenio.itam.cas.cz/record/3997/files/Vorechovsky-139-PT.pdf$$y
             Original version of the author's contribution as presented on CD, 139.
            
000003997 962__ $$r3852
000003997 980__ $$aPAPER