A new simulation algorithm of multivariate short-term stochastic wind

velocity eld based on inverse fast Fourier transform

Ning Chen, Yongle Li

, Huoyue Xiang
Department of Bridge Engineering, Southwest Jiaotong University, 610031 Chengdu, Sichuan, China
a r t i c l e i n f o
Article history:
Received 24 January 2014
Revised 2 September 2014
Accepted 4 September 2014
Keywords:
Stochastic process
Wind velocity eld
Long span bridge
Spectral representation method
FFT
a b s t r a c t
A novel algorithm to generate samples of stationary multivariate stochastic processes is presented
according to a FourierStieltjes integral and based on a strict mathematical deduction. The algorithm
is very efcient as it takes full advantage of inverse fast Fourier transform technique, and is especially
applicable to the simulation of short-term wind velocity eld with many simulation points. By creation
of a conjugate-symmetric series, the summing operation of the decomposed lagged coherence matrix is
conducted in the frequency-domain, which decreased the executions of IFFT. Furthermore, the ergodic
property of the algorithm is carefully investigated, and computational efciency is compared with that
of the existing method.
2014 Elsevier Ltd. All rights reserved.
1. Introduction
Due to the inuences of nonlinearity of structure and aerody-
namics, wind-induced vibration of long-span bridges is a compli-
cated nonlinear stochastic vibration problem. Besides, the
classical stochastic vibration theory based on frequency domain
encounters a number of difculties in nonlinear wind-induced
structural response, so time-domain analysis method is usually
applied to the nonlinear dynamic analysis of structure under wind
loads. However, before this, it is necessary to properly simulate the
stochastic wind velocity eld around the structure. In the actual
turbulent elds of atmospheric boundary layer, uctuating wind
velocity is not only a function of time but also depending on loca-
tion. For simplication, it is assumed as the multivariate stationary
Gaussian stochastic process.
The available methods for simulation of stochastic stationary/
non-stationary Gaussian processes can be classied into two cate-
gories [1]: (1) methods based on digital ltering techniques, such
as AR, MA and ARMA [24], and (2) methods based on the summa-
tion of trigonometric functions, such as the spectral representation
(SR) method [58]. Besides, other methods are also available, such
as the method using neural networks [9]. In recent years, the SR
method appears to arouse considerable interest as the procedure
is simple, and the algorithm is versatile and robust. Although the
basic idea of spectrum representation was proposed in 1950s, until
1970s Shinozuka et al. [5,10] succeeded in working out the prob-
lem of simulation of multidimensional multivariate stationary
Gaussian stochastic process. The application of the fast Fourier
transform (FFT) to the SR algorithm was rst introduced by Yang
[11] who also proposed a formula to simulate random envelope
process. Li and Kareem [6,12] proposed to decompose the evolu-
tionary spectra in term of a trigonometric or polynomial expansion
which extended the application of SR method and simulated mul-
tivariate non-stationary random processes. Suresh Kumar and
Stathopoulos [13] presented an efcient and practical method for
the digital generation of univariate non-Gaussian wind pressure
time series on low building roofs based on FFT technique. Deodatis
[14] adopted the conception of double-index frequency and thus
putted forward a novel ergodic simulation algorithm. It is theoret-
ically proved that the temporal auto/cross correlation function of
the simulated stochastic process was identical to the correspond-
ing targets. Because of the high accuracy of Deodatis algorithm,
the SR method has received wide application in engineering struc-
tures. Meanwhile, it should be pointed out that Deodatis method is
computationally very inefcient since the amount of the cross
power spectral density (XPSD) matrix that should be decomposed
is substantially large [15]. In recent years, to improve the compu-
tational efciency, many scholars have done a lot of useful explo-
rations on the simulation of wind velocity elds. The multi-
correlated stationary random processes can be represented by
XPSD matrix of the target stochastic process, which can be decom-
posed by either directly Choleskys decomposition or eigenvector
http://dx.doi.org/10.1016/j.engstruct.2014.09.012
0141-0296/ 2014 Elsevier Ltd. All rights reserved.

Corresponding author. Tel.: +86 28 87601119.

E-mail addresses: chen-ning-520@163.com (N. Chen), lele@swjtu.edu.cn (Y. Li),
hy@swjtu.edu.cn (H. Xiang).
Engineering Structures 80 (2014) 251259
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Engineering Structures
j our nal homepage: www. el sevi er. com/ l ocat e/ engst r uct
decomposition, i.e. the proper orthogonal decomposition (POD).
The POD [1618] approach has been widely utilized to reduce
the dimensions or variables in the large scale systems to enhance
the computational speed. On the other hand, Yang et al. [19,20]
and Chao et al. [21] expressed Choleskys decomposition of XPSD
matrix of the target stochastic process in an explicit form of alge-
braic formula; obviously, it accelerated the computational speed
of Choleskys decomposition of the XPSD matrix. Huang et al.
[22] further increased the decomposition efciency by separating
the phase from the complex XPSD matrix. Ding et al. [23] adopted
FourierStieltjes integral to decrease the number of Choleskys
decomposition. Meanwhile, Gao et al. [24] and Li et al. [25] intro-
duced interpolation approximation method into the SR method,
which not only saved a lot of memory but also enhanced the com-
putational efciency in a certain degree. Considering the correla-
tion characteristics of wind velocity eld, Li et al. [26] concluded
that three-dimensional wind eld of a long cable-stayed bridge
can be simplied into many independent one-dimensional wind
velocity elds, respectively, along pylons and deck.
Although those simulation algorithms have remarkably
improved the computing efciency of the SR methods, the comput-
ing efciency is still a major limited factor especially when the
number of simulated wind eld points is huge and the computa-
tional time seems unbearable. Considering the buffeting analysis
[2729] of a super-long-span bridge with a total length of
3000 m, the number of discrete wind eld points may reach 300.
Additionally, taking a high-speed train, running a distance of
5000 m at the velocity of 200 km/h, for example, the spacing
between adjacent points is 5 m, the total number of simulation
points is even up to 1000, and the duration of the whole process
is only 90s. In such a case, the calculation efciency of the SR
method has become the controlling factor in the application of
wind-induced vibration analysis of structure and running vehicles
[30,31].
The simulation procedure of prevailing simulation method, i.e.,
the SR method, can be divided into two phases: the rst one is the
decomposition of the XPSD matrix, while the next phase is the
application of FFT technique and the superposition of trigonomet-
ric operation. Both of the phases have signicant inuences on the
computational efciency. Although the scholars have devoted to
speeding up the decomposition of XPSD matrix, they often ignore
to improve the computational efciency of the latter phase. Notic-
ing this, Wittig and Sinha [32] proposed a simulation method of
correlated stochastic process based on inverse fast Fourier trans-
form (IFFT), which was used to generate the distributed random
loads acting on a nonlinear string. However, the advantages and
the drawbacks of the algorithm are not illustrated clearly. It seems
necessary to discuss and verify the algorithm for simulation of
multivariate short- term wind velocity elds.
In this paper, an efcient simulation algorithm to generate sta-
tionary multivariate stochastic process is presented specically for
short-term uctuating wind velocity eld evenly distributed along
a line. It has released the computational work from enormous
superposition of the cosine function operation. On the other hand,
since the phase of the inverse fast Fourier transform (IFFT) for a
conjugate-symmetric sequence is zero, a conjugate-symmetric ser-
ies can be created. In addition, the operation of summing is con-
ducted in the frequency-domain, rather than temporal-domain,
which decreases the executions of IFFT. The closed-form Choleskys
decomposition of the lagged coherence matrix is adopted to fur-
ther improve the computational efciency. It is worth noting that
the presented algorithm not only computes rapidly but also satis-
es a sufcient accuracy. As an engineering application, a wind
velocity led along a long-span triple-tower suspension bridge is
simulated, and the correlation functions of the simulated samples
are checked. At the end of this paper, the advantages and
drawbacks of the algorithm are clearly illustrated compared with
those of the traditional spectral representation method.
2. Simulation technique based on inverse fast Fourier transform
2.1. Stationary stochastic vector process
Considering a one-dimensional n components stationary sto-
chastic processes {x
j
(t)} (j = 1, 2, , n) with its mean value being
zero, the XPSD matrix can be give by
S(x) =
S
11
(x) S
12
(x) S
1n
(x)
S
21
(x) S
22
(x) S
2n
(x)
.
.
.
.
.
.
.
.
.
.
.
.
S
n1
(x) S
n2
(x) S
nn
(x)
_

_
_

_
(1)
S
jk
(x) = c
jk

S
jj
(x)S
kk
(x)
_
(2)
where x is the circular frequency; S
jj
(x) and S
kk
(x) (j, k = 1, 2, , n)
are auto spectral density of the components x
j
(t) and x
k
(t), respec-
tively; c
jk
is coherence function.
It is noted that the following relation exists [22,24]:
S(x) = D(x)C(x)D
T
+
(x) (3)
where D(x) = diag

S
11
(x)
_
;

S
22
(x)
_
;

S
nn
(x)
_ _
; T denotes
transpose; indicates the complex conjugate; C(x) is lagged coher-
ence matrix, which can be written as:
C(x) =
1 c
12
(x) c
1n
(x)
c
21
(x) 1 c
2n
(x)
.
.
.
.
.
.
.
.
.
.
.
.
c
n1
(x) c
n2
(x) 1
_

_
_

_
(4)
S(x) is a Hermitian matrix with positive denite property, so
the lagged coherence matrix is also a Hermitian matrix with
positive denite property. Thus, S(x) can be factorized into the
following form:
S(x) = D(x)L(x)L
T
+
(x)D
T
+
(x) = H(x)H
T
+
(x) (5)
where L(x) is the lower triangular matrix of the lagged coherence
matrix by mean of Cholesky decomposition. H(x) is available to
be directly decomposed the XPSD matrix by the use of Choleskys
method.
L(x) =
b
11
(x) 0 0
b
21
(x) b
22
(x) 0
.
.
.
.
.
.
.
.
.
.
.
.
b
n1
(x) b
n2
(x) b
nn
(x)
_

_
_

_
(6)
The diagonal elements of L(x) are non-negative real function,
and off-diagonal elements are generally complex function. The fol-
lowing relations are available:
b
jj
(x) = b
jj
(x) j = 1; 2; ; n (7)
b
jm
(x) = b
+
jm
(x)

e
ih
jm
(x)
j = 1; 2; ; n; m 6 j (8)
where
h
jm
(x) = tan
1
Im[b
jm
(x)[
Re[b
jm
(x)[
_ _
(9)
2.2. Simulation formula with inverse Fourier transform
It is well known that signals in frequency domain can be
transformed into time series signals by means of FFT technique,
252 N. Chen et al. / Engineering Structures 80 (2014) 251259
assuming that the total number of a series is N
T
and the time inter-
val between discrete-time points of the series is Dt. The sampling
frequency of the time series is expressed by the following formula,
which is twice the highest frequency of the signal
f
s
= 1=Dt (10)
Moreover, according to the property of discrete Fourier trans-
formation (DFT), the frequency resolution of the corresponding sig-
nals in frequency domain is calculated in the following expression.
It is usually the frequency increment for FFT date analysis.
Df = f
s
=N
T
= 1=(N
T
Dt) (11)
If circular frequency is substituted for Hertz frequency, then cir-
cular frequency increment is expressed by:
Dx = 2pDf =
2p
N
T
Dt
(12)
Each of the n random elds may be expressed as a Fourier
Stieltjes integral over a random Fourier increment [33,34].
x
j
(t) =
_

e
ixt
dZ
j
(x) (13)
The random increment must satisfy the following orthogonality
conditions:
E[dZ
j
(x)[ = 0
E[dZ
+
j
(x)dZ
k
(x
/
)[ = 0; xx
/
E[dZ
+
j
(x)dZ
k
(x)[ = S
jk
(x)dx
(14)
where E[] is the mathematical expectation. Eq. (14) species that
the Fourier increments dZ
j
(x) and dZ
k
(x) are statistically correlated
only when xx
/
. When the simulated processes x
j
(t)
(j = 1, 2, , n) is real, the relation dZ
j
(x) = dZ
+
j
(x) is required.
And introducing the relation e
ixt
= (e
ixt
)

into Eq. (13), then [23]

x
j
(t) =
_

e
ixt
dZ
j
(x) =
_

0
e
ixt
dZ
j
(x)
_

0
[e
ixt
dZ
j
(x)[
+
= 2Re
_

0
e
ixt
dZ
j
(x)
_ _
(15)
The discrete approximation to the random Fourier increment in
Eq. (15) can be constructed in various ways. In the proposed
scheme, the following approximate expression is utilized:
dZ
j
(x)[
x=x
l
~ DZ
j
(x
l
) =

n
m=1
H
jm
(x
l
)e
i/
ml

Dx
_
(16)
x
l
= lDx; l = 1; 2; ; N
T
(17)
where /
ml
is completely independent uniform distributed random
number over the interval [0, 2p]; Dx is the circular frequency
increment expressed by Eq. (12). Considering the relation of Eq.
(5), meanwhile, the exponential term in Eq. (16) adopts the same
discrete circular frequency scheme as expressed by Eq. (17), then
dZ
j
(x)[
x=x
l
~ DZ
j
(x
l
) =

n
m=1

S
jj
(x
l
)
_
b
jm
e
i/
ml

Dx
_
(18)
By combining Eqs. 69, Eqs. (15) and (18), then
x
j
(t) = 2

Dx
_
Re

N
T
l=1

j
m=1

S
jj
(x
l
)
_
b
jm

e
i x
l
th
jm
/
ml ( )
_ _
(19)
Therefore, assuming that k is a positive integer, there exists
kDx6 x
up
, where x
up
is the upper cutoff frequency. Then, accord-
ing to Eq. (12), it gets
k 6
x
up
Dx
=
2pf
u
Dx
= N
T
f
u
f
s
(20)
where f
u
is the upper cutoff Hertz frequency, and f
s
denotes the
sampling frequency. According to the sampling theorem, the rela-
tion f
s
P2f
u
is required, then
k 6
1
2
N
T
(21)
Therefore, it is concluded that the discrete frequency will reach
the upper cutoff frequency in less than half of the sampling dates.
The power spectrum value of the remaining frequencies will be set
as zero, i.e. S(x) is trivial, when |x
l
| > x
up
. It is worth pointing out
that the phase of the inverse fast Fourier transform (IFFT) for a con-
jugate-symmetric sequence is zero. Then, the conjugate-symmetric
series is created by the following expression.
X
j
(x
l
) =

j
m=1

S
jj
(x
l
)
_
b
jm
(x
l
)

e
i /
ml
h
jm
(x
l
) [ [
1 6 l 6 N
T
=2

j
m=1

S
jj
(x
l
)
_
b
jm
(x
l
)

e
i /
ml
h
jm
(x
l
) [ [
N
T
=2 < l 6 N
T
_
_
_
(22)
Inserting Eqs. (12), (17) and (22) into Eq. (19), it gets [32]
x
j
(t) =

Dx
_
N
T
l=1
X
j
(x
l
)e
ix
l
t
=

2pN
T
Dt
_
1
N
T

N
T
l=1
X
j
(x
l
)e
ix
l
t
(23)
It is noted that x
j
(pDt) (t = pDt, p = 1, 2, , N
T
) and X
j
(x
l
) exactly
constitute a pair of Fourier transform series. Because X
j
(x
l
) is
obtained by summing the decomposed lagged correlation function
in frequency domain, each of the process x
j
(pDt) is generated by
just one execution of IFFT as shown in Eq. (23). For a multivariable
stochastic process with n components, the executions of IFFT for
generating all of processes are equal to n, as shown in Appendix
A and Appendix B. For both of Shinozuka et al. [35] method (sin-
gle-index frequency) and Deodatis [14] method (double-index fre-
quency), each of the process x
j
(pDt) is generated by superposition
of the sub-process x
jm
(pDt), which can be calculated by IFFT as
shown in Eq. (A.2) and Eq. (B.2). Thus, the executions of IFFT for
all of the processes are equal to
1
2
n(n 1) for both methods. Hence,
the new calculation scheme has greatly decreased the executions
of IFFT, which is more efcient. Besides, the Cholesky decomposi-
tion of the lagged coherence matrix instead of the cross-spectral
matrix will further increase the decomposition efciency approxi-
mately four times [22]. The whole process of the simulation pro-
gram is shown in Fig. 1.
The period of the simulated function expressed by Eq. (23) is
T
0
=
2p
Dx
= N
T
Dt (24)
It demonstrates that the period of the simulated stochastic pro-
cess is exactly equal to the duration of the sample. In other words,
the simulated stochastic sample could include all of the frequency
components of the harmonic waves, no matter how long the dura-
tion of the sample is. However, it is noted that the length of the
simulating series must be an integer power of 2, which is decided
by the property of FFT technique.
In order to avoid aliasing according to the sampling theorem,
the time step Dt is obliged to obey the condition
Dt 6
2p
2x
up
(25)
It is obvious that the ensemble expected value E[x
j
(t)]
(j = 1, 2, , n) is zero. And the ensemble auto/cross-correlated
function R
jk
(s) with j Pk is
N. Chen et al. / Engineering Structures 80 (2014) 251259 253
R
jk
(s) =E[x
j
(t)x
k
(t s)[
=4Dx

n
m
1
=1

n
m
2
=1

N
T
l
1
=1

N
T
l
2
=1

S
jj
(x
l
1
)S
kk
(x
l
2
)
_
b
jm
1
(x
l
1
)

b
km
2
(x
l
2
)

E cos x
l
1
t h
jm
1
(x
l
1
)/
m
1
l
1
_
cos x
l
2
(t s)h
km
2
(x
l
2
)/
m
2
l
2
_ _ _
(26)
Since /
ss
are independent random variables distributed uni-
formly over the interval [0, 2p], the expected value in Eq. (26) is
equal to zero when m
1
m
2
or l
1
l
2
, so
R
jk
(s) =4Dx

n
m=1

N
T
l=1

S
jj
(x
l
)S
kk
(x
l
)
_
b
jm
(x
l
)

b
km
(x
l
) [ [Dx
E cos x
l
t h
jm
(x
l
)/
ml
_
cos x
l
(t s)h
km
(x
l
)/
ml
[ [
_ _
=2Dx

n
m=1

Nt
l=1

S
jj
(x
l
)S
kk
(x
l
)
_
b
jm
(x
ml
)

b
km
(x
ml
) [ [
cos x
l
sh
jm
(x
l
)h
km
(x
l
)
_
(27)
Since the power spectral density S
jk
(x) is assumed to be zero for
|x| > x
up
, in the limit of N ? and Dx?0, the expression R
jk
(s)
can be written as
R
jk
(s) =
_

n
m=1
H
jm
(x)

H
km
(x) [ [e
i xsh
jm
(x)h
km
(x) [ [
dx
=
_

n
m=1
H
+
jm
(x)H
km
(x)e
ixs
dx
(28)
Considering the decomposition shown in Eq. (5), so
R
jk
(s) =
_

S
jk
(x)e
ixs
dx = R
0
jk
(s) (29)
Thus, it is clearly illustrated that the ensemble expected value
E[x
j
(t)] (j = 1, 2, , n) and the ensemble auto-/cross-correlated
function R
jk
(s) (j, k = 1, 2, , n) of the simulated process are identi-
cal to the corresponding targets, E x
0
j
(t)
_ _
and R
0
jk
(s); respectively.
2.3. Evenly-spaced wind velocity eld
Yang et al. [19] introduced an algebraic formula of the decom-
position of the cross spectral matrix which has greatly improved
the simulation efciency of the stationary wind velocity elds.
The closed-form formula is based on the assumption that the topo-
graphical features around the bridge site are almost unchangeable.
It means that the wind spectra characteristics of all points along
the bridge deck are identical. On the other hand, the simulation
points are distributed uniformly and the coherence function is
exponential function of distance. However, for a long-span bridge
across the river or valleys, these assumptions may not be satised
due to the inuence of the non-homogeneous terrains. So it is more
reasonable to utilize the closed-form formula of lagged coherence
matrix instead of direct use of the XPSD matrix.
The coherence function suggested by Davenport [36] is adopted
in this paper, which can be approximately expressed by the follow-
ing equation:
c(D
jm
; x) = exp k
x
2p
D
jm
[U
j
(z) U
m
(z)[=2
_ _
(30)
where j and m donate the location of wind velocity points; D
jm
indi-
cates distance; c(D
jm
, x) represents coherence function; U
j
(z) and
U
m
(z) donate the mean wind velocity; z is the height of bridge deck
above ground.
Assume all of the simulation points are uniformly distributed
along bridge deck with a distance D between adjacent points, then
c(D
jm
; x) = exp k
xD
2pU(z)
_ _ _ _
[jm[
= C(x)
[jm[
(31)
where k is a dimensionless decay factor and usually taken between
7 and 20.
Based on the study of Yang et al. [19], the lower triangular
matrix of the lagged coherence matrix expressed by Eq. (4) can
be expressed in the following closed-form equation.
L(x) =
1 0 0
C

1 C
2
_
0
.
.
.
.
.
.
.
.
.
.
.
.
C
n1
C
n2

1 C
2
_

1 C
2
_
_

_
_

_
(32)
Now it is clear that the stochastic wind velocity eld of uni-
formly distributed points on the bridge deck can be calculated
much faster utilizing the explicit expression of the lagged coher-
ence matrix of the stochastic process.
3. Ergodicity of the cross correlation function
It has been well discussed by Shinozuka et al. [35,37] and Zerva
[38] that temporal average < x
(i)
j
(t) > and the temporal autocorre-
lation functions R
(i)
jj
(t) =< x
(i)
j
(t)x
(i)
j
(t s) > (j = 1, 2, , n) of any
Fig. 1. The framework of the simulation program.
254 N. Chen et al. / Engineering Structures 80 (2014) 251259
sample function x
(i)
j
(t) simulated by Eq. (19) are identical to the
corresponding targets, the simulation method presented in this
paper is ergodic at least in the sense of mean value and autocorre-
lation function. As the discrete frequency starts from Dx, there is
no need to adopte the assumption [32] of S(x
0
= 0) = 0, which is
not the case for most of the actual power spectral density function.
In the case of multivariate processes with Choleskeys decomposi-
tion, the rst process only involves one summation with b
11
as
shown in Eq. (19). Therefore, by setting x
0
0, will make the pro-
cess ergodic, which is similar to the uni-variate case [39]. However,
the temporal cross correlation function will not coincide with the
targets. To reveal the disagreements, it is necessary to shed light
on the characteristics of temporal cross correlation function.
The temporal auto-/cross-correlation function R
(i)
jk
(t) (j, k = 1, 2,
, n; and j > k) of any sample function x
(i)
j
(t) (j = 1, 2, , n) over
a time interval T can be written as
R
(i)
jk
(t) =<x
(i)
j
(t)x
(i)
k
(t s)>
T
=
1
T
_
T
0
x
(i)
j
(t)x
(i)
k
(t s)dt
=
1
T
_
T
0
4Dx

n
m
1
=1

n
m
2
=1

N
T
l
1
=1

N
T
l
2
=1

S
jj
(x
l
1
)S
kk
(x
l
2
)
_
b
jm
1
(x
l
1
)

b
km
2
(x
l
2
)

cos[x
l
1
t /
m
1
l
1
h
jm
1
(x
l
1
)[ cos[x
l
2
(t s)/
m
2
l
2
h
km
2
(x
l
2
)[dt
=
1
T
4Dx

n
m
1
=1

n
m
2
=1

N
T
l
1
=1

N
T
l
2
=1

S
jj
(x
l
1
)S
kk
(x
l
2
)
_
b
jm
1
(x
l
1
)

b
km
2
(x
l
2
)

1
2
_
T
0
[cos[(x
l
1
x
l
2
)t x
l
2
sh
jm
1
(x
l
1
)
_
h
km
2
(x
l
2
)[dt
_
T
0
cos[(x
l
2
x
l
1
)t x
l
2
sh
jm
1
(x
l
1
)h
km
2
(x
l
2
)[[dt
_
(33)
Since the term cos(x
l
1
x
l
2
)t is a periodic function with a per-
iod T
0
, for any combination of l
1
and l
2
, one has
_
T
0
cos[(x
l
1
x
l
2
)t[dt = 0; whenT = T
0
= NDt:
Similarly, the integral term
_
T
0
cos[(x
l
2
x
l
1
)t[dt is also equal to
zero in the case of l
1
l
2
, when T = T
0
.
It is worth noting that term cos(x
l
1
x
l
2
)t is equal to zero in
the case of l
1
= l
2
, so the second term of Eq. (33) can be expressed as
_
T
0
0
cos[x
l
s /
m
2
l
/
m
1
l
h
jm
1
(x
l
) h
km
2
(x
l
)[
_ _
dt (34)
The value of Eq. (34) is different from zero, for any combination
of m
1
and m
2
, Therefore, the temporal cross-correlation function
for T = T
0
becomes
R
(i)
jk
(t) =
2Dx

n
m
1
=1

n
m
2
=1

N
T
l=1

S
jj
(x
l
)S
kk
(x
l
)
_
b
jm
1
(x
l
)

b
km
2
(x
l
)

cos[x
l
s/
m
2
l
/
m
1
l
h
jm
1
(x
l
)h
km
2
(x
l
)[ (m
1
m
2
)
2Dx

n
m=1

N
T
l=1

S
jj
(x
l
)S
kk
(x
l
)
_
b
jm
(x
l
)

b
km
(x
l
) [ [
cos[x
l
sh
jm
(x
l
)h
km
(x
l
)[ (m
1
=m
2
=m)
_

_
(35)
By comparing Eq. (27) with Eq. (35), it shows a disagreement
between the temporal cross correlation function with the corre-
sponding targets due to the nonzero value of the rst term in Eq.
(35). Let random phase / = /
m
2
l
/
m
1
l
; which takes the value in
the interval [0, 2p]. Then the rst term in Eq. (35) can be expressed
by
R
(i)
jk
(s) = 2Dx

n
m
1
=1

n
m
2
=1

N
T
l=1

S
jj
(x
l
)S
kk
(x
l
)
_
b
jm
1
(x
l
)

b
km
2
(x
l
)

[cos(x
l
s h
jm
1
(x
l
) h
km
2
(x
l
)) sin/
sin(x
l
s h
jm
1
(x
l
) h
km
2
(x
l
)) cos /[ (36)
Since / is random phase, sin / and cos / are also random num-
bers distributed in the interval [1, 1]. By dening the random
function f
m,x
(/), one has
f
m;x
(/) = cos[x
l
s h
jm
1
(x
l
) h
km
2
(x
l
)[ sin/
sin[x
l
s h
jm
1
(x
l
) h
km
2
(x
l
)[ cos / (37)
where the subscript m, x donates that the item numbers of the ran-
dom function are related with the parameters m
1
, m
2
and x. It is
easy to know that the value domain of the random function
f
m,x
(/) is distributed within the range of [1, 1]. Therefore, it is con-
cluded that the value of the temporal correlation function mainly
depends on the random phase /. Then, Eq. (36) can be rewritten as
R
(i)
jk
(/) = 2Dx

n
m
1
=1

n
m
2
=1

Nt
l=1

S
jj
(x
l
)S
kk
(x
l
)
_
b
jm
1
(x
l
)b
km
2
(x
l
) f
m;x
(/)
(38)
Since the stochastic process x
(i)
j
(t) and x
(i)
k
(t) are stationary pro-
cess, the relation S
jk
(x) = S
jk
(x) is required according to Eq. (2).
Then the relation c
jk
(x) = c
jk
(x) is also satised. Let g(x) repre-
sent the following formula, one has
g(x) =

n
m
1
=1

n
m
2
=1

S
jj
(x)S
kk
(x)
_
b
jm
1
(x)b
km
2
(x) (39)
Eq. (39) shows that g(x) contains the summation of a large number
(n
2
) of sub-functions of x. And it is evident that the relation
g(x) = g(x) is also satised. Then, Eq. (38) will be expressed as
the following formula when Dx?0.
R
(i)
jk
(/) = Dx
_

n
m
1
=1

n
m
2
=1

S
jj
(x)S
kk
(x)
_
b
jm
1
(x)b
km
2
(x) f
m;x
(/)dx
= Dx
_

g(x) f
m;x
(/)dx
(40)
Thus, it clearly demonstrates that the disagreements of the tempo-
ral cross correlation function caused by Eq. (40) will be close to zero
as Dx?0. Additionally, when frequency increment Dx?0, it also
means discrete sample length N
T
? from the relation expressed
by Eq. (17). In other words, when the period T
0
of the simulated
samples tends to innity, the temporal cross correlation functions
are identical to the corresponding targets. Though the simulated
sample length is commonly limited in most practical applications,
the numerical example in the following section shows that the
temporal cross correlation function of the simulated sample time
history agrees well with the corresponding target. From the point
of view of engineering application, the disagreements between
the temporal cross-coherence function and the ensemble cross-
coherence function could be negligible.
4. Numerical example
An articial wind velocity eld has been simulated for a long-
span three-pylon suspension bridge to illustrate the capability
and efciency of the algorithm presented. Furthermore, the advan-
tages and applicability of the algorithm are carefully illustrated
compared with those of the spectral represent method.
4.1. Longitudinal wind velocity eld along bridge deck
The long-span three-pylon suspension bridge with span
arrangement of 390 m + 1080 m + 1080 m + 390 m is shown in
Fig. 2. The bridge is the rst kilometer-level three-pylon suspen-
sion bridge in the world, across over Yangzi River in Jiangsu
Province of China, connecting Taizhou City and Zhenjiang City. To
facilitate analysis and discussion, only the longitudinal wind
N. Chen et al. / Engineering Structures 80 (2014) 251259 255
velocity eld along the bridge deck is simulated in the paper.
Assume that all of the 300 wind points are uniformly distributed
along the two main spans of the bridge deck with an equivalent
distance of 7.2 m. The total spatial length of the simulated wind
eld is 2160 m, which is exactly equal to the two main spans of
the bridge. The main parameters of the simulation conditions
and bridge are as follows.
v Height of the bridge deck above the zero plane: z = 65.5 m
v Ground roughness: z
0
= 0.01
v Mean wind velocity on the deck: U(z) = 38.89 m
v Height of the surrounding buildings: H = 0:5 m
v Dimensionless decay factor: k = 7
v Spacing between points: D = 7.2 m
v Upper cutoff frequency: x
up
= 4prad/s
v Time interval: Dt = 0.25 s
In this example, Kaimals spectrum expressed by Eq. (41) is
taken as the target wind spectrum of longitudinal wind velocity
eld. Davenports coherent function is adopted.
S(x) =
200
2p
u
2
+
z
U(z)
1
1 50
zx
2pU(z)
_ _
5=3
(41)
where u

is the shear velocity of the ow and can be calculated by:

u
+
=
KU(z)
ln
z
z
0
_ _ K = 0:4 (42)
The segments of simulated wind eld at point 1, point 2 and
point 150 on the deck are shown in Fig. 3. It can be seen that there
is a strong similarity in the uctuations of wind velocity between
point 1 and point 2. So it can be inferred that there exists a quite
strong correlation between the two points, since they are close to
each other. However, the correlation becomes extremely slight
between point 1 and point 150, since the two points are more than
1000 m apart.
The temporal and the corresponding target auto/cross-correla-
tion functions of the simulated wind velocities on some typical
points are shown in Fig. 4. It is clearly shown in Fig. 4(a) that the
temporal auto-correlation function and the target agree with each
other very well, the curves almost coincide. In Fig. 4, the cross-
correlation function between point 1 and point 2 is consistent with
its target, while other cross-correlation functions appear some
errors. However, these errors have little impact on the simulated
results, because point 1 and point 75 are 540 m apart, and the
distance between point 1 and point 150 is more than 1000 m.
The correlations between them are quite slight [26]. Hence, the
simulation result can be considered to be reliable.
4.2. Computation efciency analysis
As mentioned previously, the primary advantage of the algo-
rithm is that it could improve the computational efciency in the
latter phase of the simulation process. Specically, it decreases
the executions of FFT technique and gets rid of the superposition
of trigonometric operation. To eliminate the inuence of computer
performance, both of the algorithms are programmed by C++
language in Windows XP operation system. Calculations are
conducted in a 64-bit computer e, quipped with an Intel Xeon
W3565 processer, which has a memory of 12.0 GB. Besides, the
frequency of the processer is 3.2 GHz.
The comparison of the computing time of the latter phase of the
simulation process is conducted between the algorithm and the
Deodatis [14] method. Results are shown in Table 1.
The equal division of the frequency is 2048, which is often
adopted in SR methods. And the number of discrete time points
is set as 4096. So it is conrmed that the calculation work of the
former phase is almost the same for both of the algorithms. It is
seen from Table 1 that the time ratio, dened as the computing
time cost by Deodatis method divided by that of the algorithm,
almost varies linearly with the simulation points. The lager the
number of simulation points, the faster the calculating speed of
the algorithm in the latter phase of the simulation process.
In order to investigate the whole efciency of the algorithm,
Fig. 5 shows the trends of time ratio varying with both of the vari-
ables, i.e. discrete-time points and simulation points. With the
increase of the simulation points, the algorithm gradually reveals
superiorities of computing speed in the case of time series less than
10,240. Specically, the computing speed of the algorithm could
reach four times faster than that of Deodatis method. Fig. 6 shows
the computing time percentage of the former phase for the whole
simulation process. It can be observed that the former phase of the
computing time for the algorithm has occupied more than 95% of
the whole simulation time; whereas, at this stage, the computing
time percentage of Deodatis method is approximately within the
range of 5065%, which gradually declines with the increase of
the number of the discrete-time points.
Fig. 2. Simulated points distributed on the bridge deck.
0 200 400 600 800 1000
-15
-10
-5
0
5
10
15
u
1
(
t
)

(
m
/
s
e
c
)
Time (m/sec)
Point 1
0 200 400 600 800 1000
-15
-10
-5
0
5
10
15
u
2
(
t
)

(
m
/
s
e
c
)
Time (sec)
Point 2
-15
-10
-5
0
5
10
15
u
1
5
0
(
t
)

(
m
/
s
e
c
)
Point 150
0 200 400 600 800 1000
Time (sec)
Fig. 3. Segments of wind velocity histories for the bridge deck.
256 N. Chen et al. / Engineering Structures 80 (2014) 251259
Because the time consumption differences between the two
algorithms in the former phase are not signicant on condition that
time series is not too long, the whole efciency of the algorithm
has improved due to the improvement of the computing speed in
the latter phase of the simulation process. From the perspective
of application, it is important to take full advantage of the part of
the improved computing efciency. Considering the case that the
mean wind velocity is constant, the decomposition results of
lagged coherence matrix can be previously done and stored in
the memory. Then, a large number of uctuating wind velocity
samples could be quickly simulated with different random number
samples.
5. Concluding remarks
An efcient simulation algorithm is presented to simulate sta-
tionary multivariate stochastic process based on IFFT, which is
especially applicable for simulating multipoint short-term uctu-
ating wind velocity eld. The presented algorithm generates ergo-
dic process in the sense that the temporal mean value and
temporal autocorrelation function are identical to the correspond-
ing targets, when the sample length is equal to one period. It has
mathematically been proved that the temporal cross-correlation
-400 -300 -200 -100 0 100 200 300 400
0
5
10
15
20
R
1.1
R
2.2
R
75.75
R
150.150
R
0
2.2
Time (sec)
(a)
0
5
10
15
20
R
1.2
R
0
1.2
(b)
0
2
4
6
R
1.75
R
0
1.75
(c)
0
1
2
3
4
R
1.150
R
0
1.150
(d)
-400 -300 -200 -100 0 100 200 300 400
Time (sec)
-400 - 300 -200 -100 0 100 200 300 400
Time (sec)
-400 -300 -200 -100 0 100 200 300 400
Time (sec)
Fig. 4. Correlation functions of simulated wind velocity.
Table 1
Computing time taken by the latter phase for the two algorithms.
Simulation points
32 128 512 2048
IFFT method 0.0097 0.0388 0.1557 0.6257
Traditional SR method 0.2901 4.4891 69.1003 1242.5010
Time ratio

30 116 444 1986

Time ratio
+
=
Computing time byDeodatis
Computing time by IFFT
.
0 4 8 12 16 20 24 28
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
1024
T
i
m
e

r
a
t
i
o
Simulation Points
32
128
512
2048
Discrete time points
IFFT by time g Computatin
by time g Computatin
ratio Time
Deodatis
=
Fig. 5. Time ratio varies with discrete-time points and simulation points.
0 4 8 12 16 20 24 28
20
30
40
50
60
70
80
90
100
110
1024
P
e
r
c
e
n
t

o
f

c
o
m
p
u
t
i
n
g

t
i
m
e

(
%
)
Discrete-time points
128-IFFT
2048-IFFT
128-Deodatis
2048-Deodatis
Simulation points vs. methods
Fig. 6. Computing time percentage of the former phase.
N. Chen et al. / Engineering Structures 80 (2014) 251259 257
functions are identical to the corresponding targets as long as the
frequency increment is sufcient small. The algorithm is very ef-
cient since it not only releases the computational work from enor-
mous superposition of trigonometric operation but also decreases
the executions of IFFT. The Cholesky decomposition method is
adopted in the presented algorithm using the lagged coherence
matrix instead of the cross-spectral matrix, which will further
increase the decomposition efciency. On the basis of the fact that
it created a conjugate-symmetric series considering the nature that
the phases of the inverse fast Fourier transform (IFFT) for a conju-
gate-symmetric sequence are zero. Another important property of
the algorithm is that the period of the any simulated process is
exactly equal to the length of the sample. More specically, Even
if the length of the simulated sample is limited, the sample could
also include all of the frequency components of the harmonic
waves.
To illustrate the capability and efciency of the presented algo-
rithm, a uctuating wind velocity eld along a long-span three-
pylon suspension bridge is simulated. Moreover, the major factors
affected the computational efciency are carefully investigated in
contrast with two simulation methods. The check on the spectral
and correlation characteristics of the samples further indicates that
the simulation results agree well with their targets. Digital simula-
tion calculations indicates that, on condition that the number of
discrete time points is less than 10,240, the algorithm gradually
reveals an superiority of computational efciency with the
increase of the number of the simulation points. In certain cases,
the computing speed of the algorithm could be four times faster
than that of existing method. Whereas, with the increase of the
number of the discrete time points, computing speed of the algo-
rithm gradually tends to be slow. It should be pointed out that
the length of time series must be an integer power of 2, which is
decided by the property of FFT.
Actually, in the analysis of wind-induced vibration of structures
and high-speed trains, the number of simulation points is large but
the duration of the sample is not too long, the algorithm will have a
wide range of potential applications. Additionally, the time-
domain approach based on Monte Carlo methodology needs a lar-
ger number of wind velocity samples under a constant mean wind
velocity, the algorithm can simulate faster than the existing
method by taking full advantage of the computational efciency
of the latter phase of the simulation process.
Acknowledgements
The writers are grateful for the nancial supports from the
National Natural Science Foundation of China under Grant NNSF-
U1334201, 51278434, the 2013 Doctoral Innovation Funds of
Southwest Jiaotong University and the Fundamental Research
Funds for the Central Universities.
Appendix A
The main formulas of Shinozuka et al. [35] method are listed as
follows. By setting x
l
= lDx, x =
xup
N
and t = pDt where p =
0, 1, , M
x
j
(pDt) = 2

Dx
_
j
m=1
Re

M1
l=0
H
jm
(lDx) exp(i/
ml
) exp(ilp2p=M)
_ _
=

j
m=1
Re

M1
l=0
B
jm
(lDx) exp(ilp2p=M)
_ _
=

j
m=1
x
jm
(pDt)
(A:1)
where; x
jm
(pDt) = Re

M1
l=0
B
jm
(lDx) exp ilp2p=M ( )
_ _
(A:2)
B
jm
(lDx) =
H
jm
(lDx) exp(i/
ml
) l = 0; 1; ; N 1
0 l = N; N 1; ; M
_
(A:3)
Eq. (A.2) can be calculated by IFFT. The process x
jm
(t) is referred as
the sub-process of x
j
(t) from the point of view of stochastic
decomposition.
Appendix B
The main formulas of Deodatis [14] method are listed as
follows.
By setting x
ml
= lDx
m
n
Dx; x =
xup
N
; and t = pDt where
p = 0, 1, , M
x
j
(pDt) =2

Dx
_
j
m=1
Re

M1
l=0
H
jm
(lDx)exp(i/
ml
)exp(ilp2p=M) exp i
mDx
n
pDt
_ _
_ _
=Re

j
m=1

M1
l=0
B
jm
(lDx)exp(ilp2p=M) exp i
mDx
n
pDt
_ _
_ _ _ _
=Re

j
m=1
x
jm
(qDt) exp i
mDx
n
pDt
_ _
_ _
(B:1)
where; x
jm
(qDt) =

M1
l=0
B
jm
(lDx) exp(ilp2p=M)
_ _
(B:2)
B
jm
(lDx) =
2

Dx
_
H
jm
(lDx) exp(i/
ml
) 0 6 l < N
0 N 6 l < M
_
(B:3)
Eq. (B.2) can be calculated by IFFT. The process x
jm
(t) is referred to
as the sub-process of x
j
(t) from the point of view of stochastic
decomposition.
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