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A Monte Carlo simulation method for non-

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Acta Mech 228, 26312653 (2017)
DOI 10.1007/s00707-017-1842-3

O R I G I NA L PA P E R

C. Jiang N. Y. Liu B. Y. Ni

A Monte Carlo simulation method for non-random vibration

analysis

Received: 16 November 2016 / Revised: 21 February 2017 / Published online: 3 May 2017
Springer-Verlag Wien 2017

Abstract In recent years, the authors developed a non-random vibration analysis method for structural
dynamic analysis under uncertain excitations. In non-random vibration analysis, the interval process model
is employed to describe the uncertain dynamic load rather than the traditional stochastic process model, and
the structural dynamic response is obtained in the form of upper and lower bounds, rather than its precise
probability distribution. Since the probability distribution information is not required, the non-random vibra-
tion analysis generally could decrease the dependence on large experimental sample number; meanwhile, the
bounds of dynamic response are easy to understand conceptually and convenient to use in practical structural
reliability or safety design. On the basis of our previous work, this paper further proposes a Monte Carlo sim-
ulation method, aiming to provide a general way for non-random vibration analysis and also offer a reference
solution for other non-random vibration analysis methods proposed in the future. Firstly, a sampling approach
is presented to realize the precise sampling of the single interval process and the multi-dimensional interval
process vector. Then, based on the sampling approach, a calculation procedure of non-random vibration analy-
sis is constructed to obtain the structural dynamic response bounds under uncertain dynamic load. Finally, the
proposed method is not only applied to single-degree-of-freedom and multi-degree-of-freedom linear vibration
systems, but also to more complex vibration systems such as nonlinear systems and continuum structures.

1 Introduction

Engineering structures in service are often subjected to uncertain dynamic loads or excitations, e.g., the wind
load on high-rise buildings, the seismic acceleration excitation on structure bases, and the dynamic excitation
applied to vehicle tyres by rough road surfaces. Under uncertain dynamic loads or excitations, the structural
responses will also exhibit dynamic or time-variant uncertainty. Analysis of the uncertain dynamic responses
is thus significant to structural safety analysis and reliability design. Traditionally, the stochastic process model
is employed for the modeling of the uncertain dynamic loads and consequently the classical random vibration
theory [18] is developed for structural uncertain dynamic response analysis, which provides an effective
tool for structural safety or reliability analysis in the probabilistic framework. However, it is necessary to
point out that when modeling the uncertain dynamic loads with stochastic process models, a large number
of time history experimental samples are usually required to construct the precise probability distributions of
the loads. However, in many practical engineering problems, due to limits either in test conditions or cost,
it seems difficult to obtain sufficient sample information for constructing precise stochastic process models.
Therefore, some artificial assumptions on the parameters probability distributions have to be introduced in
many practical applications, while this may cause large errors in structural uncertain analysis [9].
C. Jiang (B) N. Y. Liu B. Y. Ni
State Key Laboratory of Advanced Design and Manufacturing for Vehicle Body, Key Laboratory of Advanced Design and
Simulation Technology for Special Equipments Ministry of Education, Hunan University, Changsha City 410082, Peoples
Republic of China
E-mail: jiangc@hnu.edu.cn
2632 C. Jiang et al.

In the early 1990s, Ben-Haim and Elishakoff [912] introduced the non-probabilistic convex model
approach into uncertainty analysis of structures, in which the fluctuation of the uncertain parameters is assumed
to fall into a convex set, generally represented by a multi-dimensional cube or a multi-dimensional ellipsoid.
By using the convex model approach, only the variation bounds of the uncertain parameters are required rather
than their precise probability distributions, and we know that in practical engineering problems the variation
bounds of the parameters generally could be obtained based on a relatively small number of samples and in
some cases they even could be directly known based on the engineers experience. Due to the low depen-
dence of the convex model approach on samples, it is considered suitable for uncertainty analysis of many
complex engineering problems in which the sufficient sample information is unavailable. Many achievements
have been made in this area. The probability model and non-probabilistic convex model were compared in
[12]. In the work [13], an uncertain triangle was adopted to describe the relationship of the probability
model, fuzzy set, and the convex model. In [1416], a series of numerical algorithms were proposed for the
uncertainty propagation analysis in structural static mechanics, eigenvalues, and dynamic problems. Based
on the first-order Taylor interval expansion, a new interval analysis approach was developed to calculate the
static and dynamic responses of structures [17]. Based on a second-order truncation model, an error estimation
method was proposed for interval and subinterval analysis [18]. In the work of [19], a mixed perturbation
Monte Carlo method was proposed for static and reliability analysis of structural systems with a mixture of
random and interval parameters/loadings. The work [20] presented a new hybrid probabilistic and interval
computational scheme to robustly assess the stability of engineering structures involving mixture of random
and interval variables. By using Info-Gap model to describe uncertain-but-bounded applied loads, the work of
[21] proposed a pair of mathematical programming approaches to capture the lower and upper bounds of the
collapse load limit of rigid perfectly plastic structures under loading .By combining the finite element method
(FEM) and interval analysis, the interval finite element method (IFEM) was developed to calculate the bounds
of structural responses with uncertain parameters [2224]. A correlation-analyzing technique was proposed
to construct the multi-dimensional ellipsoidal convex model, in which a covariance matrix was introduced
to describe the correlations among interval parameters [25]. Recently, a semi-definite programming method
was developed to create the minimum-volume ellipsoidal convex model based on a set of samples [26]. In
the above-mentioned studies, two kinds of convex models, i.e., the interval model and the ellipsoid model,
were primarily used, which deal with independent and correlated variables, respectively. In recent years, to
deal with more complex uncertainty problems such as multi-source uncertainty, several new convex models
were also developed, e.g., the multi-ellipsoid model [27], the multi-dimensional parallelepiped model [28,29],
and the super ellipsoid model [30,31], thus promoting the convex model approach to further development.
With the prosperity of convex model approach, some related structural reliability analysis techniques were
also developed, such as non-probabilistic reliability analysis [3234], probability-interval hybrid reliability
analysis [3537].
In existing studies, the convex model theory and corresponding analysis methods are primarily used to solve
time-invariant uncertainty problems, in which the uncertainty of the involved parameters does not change with
time. Nevertheless, for many practical problems, some parameters not only exhibit uncertainty, but also have
time-varying or dynamic characteristics, such as degrading material property with time, random dynamic loads
on structures. As has been noted, these dynamic uncertain parameters such as random loads generally have
significant influence on the whole-life safety or reliability of a structure. In recent years, the authors extended
convex model approach to the time-varying uncertainty problems and developed a new non-probabilistic
quantification model for the modeling of time-variant or dynamic uncertain parameters, namely the interval
process model [38,39]. In this model, a bounded interval instead of a random variable with precise probability
distribution is employed to describe the parameters uncertainty at arbitrary time point, and hence a pair of
lower and upper boundary curves is employed to represent the parameters uncertainty in the whole time
period; thus, theoretically a relatively small number of experimental samples are needed to obtain the variation
bounds of a time-variant uncertain parameter. Therefore, the interval process model could be an effective
mathematical tool for time-variant uncertainty modeling and corresponding structural uncertainty analysis
when sample information on the uncertainty is inadequate. Subsequently, based on the interval process model,
the authors further proposed a new method to deal with the important random vibration problems, which is
named as non-random vibration analysis method [39,40] to be differentiated from the traditional random
vibration analysis methods. In non-random vibration analysis, the interval process model is adopted to depict
the uncertain dynamic load instead of the stochastic process model; thus, the structural dynamic response can
also be derived as an interval process, composed of the maximum and minimum dynamic response bounds.
The obtained response bounds can then provide important information for safety assessment and reliability
A Monte Carlo simulation method 2633

design of a practical vibration system. By introducing the interval process model, the dependence on large
sample number can be greatly reduced in non-random vibration analysis. Besides, the bounds of structural
dynamic response are easy to understand conceptually and convenient to use in practical safety or reliability
design. Because of the above advantages, we hope that the non-random analysis method could be a promising
complement for classical random vibration theory and also provide a potential way for reliability design of
many complex structures or systems.
Based on our recent work [39,40], this paper further develops a Monte Carlo simulation method for non-
random vibration analysis, aiming to provide a general way for non-random vibration analysis and also to
offer important reference solutions for other methods that will be developed in this area. In addition, due
to the universality of the simulation method, we not only apply the non-random vibration analysis to linear
vibration systems, but also apply it to nonlinear vibration systems and complex continuum structures, thereby
greatly expanding the application area of the non-random vibration analysis method. The remainder of this
paper is arranged as follows: Sect. 2 briefly introduces the interval process model; Sect. 3 states the main
idea of non-random vibration analysis; Sect. 4 presents the Monte Carlo simulation method for non-random
vibration analysis; and Sect. 5 applies the proposed method to single-degree-of-freedom (SDOF) linear system,
SDOF nonlinear system, multi-degree-of-freedom (MDOF) linear system, and continuum structure through
four numerical examples.

2 Interval process model

In traditional stochastic process model [41,42], the time-variant uncertain parameter {X (t), t T } (T is the
parameter set of t) is assumed to be a random variable with given probability distribution at arbitrary time,
and hence the stochastic process can be interpreted as a collection of a series of random variables. In contrast,
a bounded interval is used to describe the variation range of the time-variant uncertain parameter at arbitrary
time in an interval process model, and in the whole time period X (t) can be characterized as a pair of upper and
lower boundary curves, as depicted in Fig. 1. Compared with the precise probability distribution, the variation
bounds of a parameter generally are much easier to obtain in engineering practice, which can be acquired from
a relatively small number of experimental samples or even engineers experience. The following definition
then can be given for the interval process model.
A time-variant uncertain parameter {X (t), t T } is an interval process if for an arbitrary instant ti
T, i = 1, 2, . . ., the possible values of X (ti ) can be represented by an interval X I (ti ) = [X L (ti ), X U (ti )],
where X L (ti ) and X U (ti ) denote the lower bound and upper bound, respectively. The interval process is denoted
as {X I (t), t T } or X I (t) in brief. The interval process can be also called non-stochastic process, convex
model process, envelope process, or uncertain-but-bounded process. According to the property of the
parameter set T , the interval process can be classified into two categories: If T is a countable set (or discrete in
time), it is called the discrete interval process; if T is a non-countable set (or continuous in time), it is called the
continuous  interval process. Furthermore,  if there are X 1 (t), X (t), . . . , X k (t) which are all interval processes,
X I (t) = X 1I (t), X 2I (t), . . . , X kI (t) then forms a k-dimensional interval process vector.

X I (t )

upper bound function

X I ( t3 ) X I ( t4 )
X I ( t1 ) X I (t2 )

lower bound function

O t1 t2 t3 t4 t

Fig. 1 Interval process model [39]

2634 C. Jiang et al.

For an interval process X I (t) with the upper bound function X U (t) and the lower bound function X L (t),
its middle point function X c (t) and half width function X w (t) are defined as
X U (t) + X L (t)
X c (t) = , (1)
2
X U (t) X L (t)
X w (t) = . (2)
2

2.1 Correlation quantification of an interval process

In general, the value of X (t) at a specific time has influence on its values at next times, or in other words, the
values of X (t) at different times are mutually correlated. Technically, a correlation function to quantify this
kind of correlation can be derived from the sample functions of X (t). For an interval process {X I (t), t T },
assuming that its m sample functions x ( p) (t), p = 1, 2, . . . , m are available, the self-correlation function
r X X (ti , t j ) then can be defined as follows [39]:
  
1 m ( p) ( p)
m p=1 x i X ic x j X cj
r X X (ti , t j ) = , (3)
WiX W jX
  2   2
1 m ( p)  ( p)
where ti , t j are two time points in T , and Wi = m p=1 xi X i , W j = m1 mp=1 x j X cj ;
X c X

( p) ( p)
xi , x j are the values of the pth sample function at times ti , t j ; X ic = X c (ti ), X cj = X c (t j ) are the values of
the middle point function of X I (t) at ti , t j , respectively. Obviously, we have r X X (ti , t j ) = r X X (t j , ti ). If for
any two time points ti , t j T, ti  = t j , there is lim r X X (ti , t j ) = 0, then X I (t) can be called the independent
m
interval process, otherwise it is called the dependent interval process. From the CauchySchwarz inequality
[43], it is not difficult to derive that 1 r X X (ti , t j ) 1. The self-correlation function indicates the degree
of linear correlation between interval variables at two arbitrary different times ti and t j of the process, and
r X X (ti , t j ) > 0and r X X (ti , t j ) < 0 mean the positive correlation and negative correlation, respectively. The
bigger value of r X X (ti , t j ) means the stronger correlation between the interval variables at two different time
points.
For two interval
 ( p)  processes {X I (t), t T } and {Z I (t), t T }, assuming that n sample function pairs
(
x (t), z (t) , p = 1, 2, . . . , n are available, the mutual-correlation function r X Z (ti , t j ) can then be
p)
defined as follows [39]:   
1 n ( p) ( p)
n p=1 x i X ic z j Z cj
r X Z (ti , t j ) = . (4)
WiX W jZ
The mutual-correlation function r X Z (ti , t j ) describes the correlation between variables X (ti ) and Z (t j ), which
represent the value of X I (t) at ti and the value of Z I (t) at t j , respectively.

2.2 Stationary interval process

In general, those time-variant or dynamic uncertain parameters whose uncertainty characteristics do not change
with time are termed as stationary process. Fluctuating wind speed, ocean wave oscillation, seismic acceleration
in the period of strong earthquake could be generally treated as stationary processes in practical engineering.
The stationary process plays an important part in structural dynamic analysis, since they are widely encountered
in engineering practices. The definition of stationary interval process is also given in the following.
For an interval process {X I (t), t T }, if its middle point function X c (t) and half width
 function
 X w (t) are
constants, its self-correlation function r X X (ti , t j ) is only related to the time span = t j ti  and not related
to the times ti and t j , i.e.,
X c (t) = C1 , (5)
X w (t) = C2 , (6)
r X X (ti , t j ) = r ( ), (7)
A Monte Carlo simulation method 2635

where C1 and C2 are constants, r ( ) is a function with respect to , then X I (t) is a stationary interval process.
Those not satisfying all the above conditions are non-stationary interval processes.

2.3 Transformation of interval process

To make the interval process model more easily and efficient to use in practical engineering problems, a depen-
dent interval process can be transformed into an independent interval process through the following approach.
For an interval process {X I (t), t T } with the self-correlation function r X X (ti , t j ), X (t1 ), X (t2 ), . . . , X (tn )
are used to represent the uncertain variables of the process at n different time points, and their correlation
matrix R X can be created as follows:

1 r X X (t1 , t2 ) . . . r X X (t1 , tn )
r X X (t2 , t1 ) 1 . . . r X X (t2 , tn )
RX = .. .. .. ..
. (8)
. . . .
r X X (tn , t1 ) r X X (tn , t2 ) . . . 1 nn

In practical problems, the correlation matrix R X is generally positive definite. In order to eliminate the cor-
relation among the interval variables X (t1 ), X (t2 ), . . . , X (tn ) and hence obtain an independent process, the
following transformation is employed:

Y = L1 X, L = W X L X , (9)
where X = [X (t1 ) X (t2 ) X (tn )]T , Y = [Y (t1 ) Y (t2 ) Y(tn )]T , W X is a diagonal matrix with diagonal
entries WiX , i = 1, 2, . . . , n, and L X is a lower triangular matrix derived from the Cholesky decomposition[44]
of the correlation matrix R X . As proved in [39], the correlation matrix RY of the interval variables
Y (t1 ), Y (t2 ), . . . , Y (tn ) will be an identity matrix, i.e.,
RY = I. (10)
Equation (10) indicates that the correlation between each pair of interval variables Y (ti ) and Y (t j )(i  = j)
is zero. When n is sufficiently large and the time interval t = ti ti1 is sufficiently small, these interval
variables will be sufficiently accurate to describe the varying characteristics of the interval process. Therefore,
the interval process Y I (t) can be approximately regarded as an independent interval process, which is analogous
to the Gaussian white noise in the stochastic process theory.
Y I (t1 ) Y I (t2 ) T
For the interval vectors X X I = [ X I (t1 ) X I (t2 ) X I (tn ) ]T and Y Y I = [ ] ,
Y I (tn )
through the above transformation the following mapping relation between X I and Y I exists [39]:
Xc = LYc , (11)
Xw = [|L|] Yw , (12)
where Xc and Yc are middle point vectors, Xw and Yw are half width vectors, and [|L|] denotes the matrix
whose entries are absolute values of corresponding ones in the matrix L. Through the above transformation,
the dependent interval process X I (t) could be transformed into an independent interval process Y I (t), which
enormously facilitates the subsequent non-random vibration analysis.

3 Non-random vibration analysis

The structural dynamic response analysis under uncertain dynamic loads or excitations is an essential problem
in practical engineering, and many studies have been focused on it. The non-random vibration analysis method
is a new kind of method we developed in recent years for this issue. Here we will firstly introduce the non-
random vibration analysis for a single-degree-of-freedom (SDOF) linear vibration system so as to get the main
idea of this new kind of method understood. Consider a simple SDOF springmassdamper system under the
external excitation f (t), as shown in Fig. 2. The equation of motion can be formulated as [45]
m u + cu + ku = f (t), (13)
2636 C. Jiang et al.

.
ku cu
k c
m
m
u (t )

u (t ) f (t )
f (t )
Fig. 2 SDOF springmassdamper model

I
f (t ) upper bound function u I (t )
a sample function of f I (t ) upper bound function
k c

m
lower bound function a sample function of u I (t )
lower bound function
O t u (t ) O t
f (t )
Fig. 3 Schematic diagram of non-random vibration analysis for a SDOF linear vibration system

where m, c, k are mass, damping coefficient, and stiffness, respectively; u(t) is the dynamic response of the
system. If f (t) is uncertain and modeled as a stochastic process, u(t) will also be uncertain and represented
by a stochastic process. For a vibration system, to solve the probabilistic characteristics of the stochastic
process model of u(t) through the stochastic process model of f (t) constitutes the so-called random vibration
analysis. In contrast, as depicted in Fig. 3, in the non-random vibration analysis [39,40], we use the interval
process model f I (t) to describe the uncertain dynamic excitation f (t); correspondingly, the structural dynamic
response will also be quantified by an interval process u I (t). u I (t) is actually formed by a pair of upper and
lower boundary curves, by which all the possible time history curves of the structural dynamic response u(t)
under the uncertain dynamic load will be enveloped. In the context of non-random vibration analysis, Eq. (13)
can be reformulated as
m u + cu + ku = f (t), f (t) f I (t), u(t) u I (t). (14)

Similar to Eq. (14), the non-random vibration analysis equation for multi-degree-of-freedom (MDOF) linear
vibration system can be formulated. Besides, by integrating with the corresponding equations of motion, the
above non-random vibration analysis method can be also applied to nonlinear vibration system and complex
continuum structure. In conclusion, the non-random vibration analysis method is technically to calculate the
bounds of structural dynamic response under uncertain dynamic excitations by introducing the interval process
model, thus providing a new way for solving the traditional random vibration problems in the non-probabilistic
framework. No any procedure in this method is involved with probabilistic analysis, so the dependence on
large sample number could be greatly weakened; meanwhile, the obtained dynamic response bounds are easy
to understand conceptually for engineers and convenient to use in practical reliability design of structures or
systems.

4 A Monte Carlo simulation method

In this section, a general Monte Carlo simulation method is further proposed for non-random vibration analysis.
The proposed method contains two parts, in which the first part is sampling of interval process, and the second
part is calculation of structural dynamic response bounds based on the samples of interval process.
A Monte Carlo simulation method 2637

4.1 Sampling of interval process

Supposing an interval process {X I (t), t T }, with middle point function X c (t), half width function X w (t),
and self-correlation function r X X (ti , t j ), its sample function  x(t) should be obtained in satisfaction
 of two
I c w c w
conditions: (1) for arbitrary time ti T , x(ti ) X (ti ) = X (ti ) X (ti ), X (ti ) + X (ti ) ; (2) the self-
correlation function computed through Eq. (3) based on the obtained m sample functions tending to the given
self-correlation function r X X (ti , t j ) when m +. The condition (1) can be called as the range condition,
while condition (2) can be called as the correlation condition. From Sect. 2.3, a dependent interval process
can be transformed into an independent interval process through a linear reversible transformation; thus, by
its inverse transformation, an independent interval process can also be transformed into a dependent process.
Based on this, we can firstly sample the independent interval process and then obtain the samples of the
dependent process X I (t) through a linear transformation.
Let {Y I (t), t T } be an independent interval process and the variation range at arbitrary time is a
unit interval, i.e., Y (t) [1, 1] , t T . The sampling of Y I (t) can be conducted as follows. Firstly,
the variables of Y I (t) at n different times ti , i = 1, 2, . . . , n are selected to constitute an interval vector
Y = [Y (t1 ) Y (t2 ) Y (tn )]T , and when n is sufficiently large or the time interval t = ti ti1 is sufficiently
small, the interval vector Y will be sufficiently accurate to describe the varying characteristics of Y I (t).
Secondly, for any time point sampling according to the uniform distribution function in the unit interval [1, 1]
 T
independently to obtain the sample y(ti ) of the variable Y (ti ), thus a vector y = y(t1 ) y(t2 ) y(tn )
can be obtained as a sample of the interval vector Y, and we also use y to represent approximately the
temporally continuous sample function y(t) of the independent interval process Y I (t). Suppose m samples
of the interval vector Y, y( p) , p = 1, 2, . . . , m are obtained through the above procedure, then there is
lim rY Y (ti , t j ) = 0, where rY Y (ti , t j ) is computed by samples y( p) , p = 1, 2, . . . , m through Eq. (3);
m
m+
furthermore, we have RY I, in which RY is the correlation matrix of Y.
Next, denoting X = [X (t1 ) X (t2 ) X (tn )]T where X (ti ) is the interval variable of X I (t) at ti , the
following transformation is formulated:
X = L X Y, x = L X y. (15)
In Eq. (15), L X is the lower triangular matrix derived from the Cholesky decomposition of R X , which is the
correlation matrix of X and its components can be derived from the self-correlation function r X X (ti , t j ) of
 T
X I (t). X = X  (t1 ) X  (t2 ) X  (tn ) and x = [ x  (t1 ) x  (t2 ) x  (tn ) ]T are the new interval vector and
corresponding sample obtained from the above transformation. Because components of the interval vector
Y are mutually independent, the middle point vector and half width vector of the interval vector X can be
obtained as
Xc = L X Yc = 0, (16)
Xw = [|L X |] Yw , (17)
 T
where [|L X |] has the similar meaning to that of [|L|] in Sect. 2.3, Yw = 1 1 1 . And we have XI =
[Xc Xw , Xc + Xw ], where XI denotes the range of X . From Eqs. (16) and (17), it is clear that X and
X may have different ranges. Therefore, to obtain the sample x of the interval vector X, the translation and
stretching transformation in the following needs to be operated,
X iw 
x(ti ) = X ic + x (ti ), i = 1, 2, . . . , n, (18)
X  iw
where X ic and X iw are the values of X c (t) and X w (t) at ti , respectively; X  iw is the ith component of X w . x =
 T
x(t1 ) x(t2 ) x(tn ) is just a sample of the interval vector X and we can use x to represent approximately
the temporally continuous sample function x(t) of the dependent interval process X I (t).
To sum up, the procedure for sampling of a dependent interval process {X I (t), t T } is as follows:
Step 1. Acquire the middle point function X c (t), half width function X w (t), and self-correlation function
r X X (ti , t j ) of X I (t). For n time points t1 , t2 , . . . , tn , construct the correlation matrix R X of the
interval vector X = [X (t1 ) X (t2 ) X (tn )]T through the self-correlation function r X X (ti , t j ), and
obtain the lower triangular matrix L X from the Cholesky decomposition of R X .
2638 C. Jiang et al.

Step 2. Suppose {Y I (t), t T } is an independent interval process satisfying Y (t) [1, 1] , t

T , and select variables of Y I (t) at n different times ti , i = 1, 2, . . . , n to constitute Y =
[Y (t1 ) Y (t2 ) Y (tn )]T . For any time point, sample according to the uniform distribution func-
tion in the unit interval [1, 1] independently to obtain the sample y(ti ) of the variable Y (ti ), thus
 T
obtain a sample y = y(t1 ) y(t2 ) y(tn ) of the interval vector Y, which is used to represent
approximately the temporal continuous sample function y(t) of the independent interval process
Y I (t).
Step 3. Obtain a new interval vector X and its corresponding sample x through the linear transformation
X = L X Y , x = L X y. Because components of the interval vector Y are mutually independent, the
middle point vector and half width vector of the interval vector X can be obtained as Xc = L X Yc =
0, Xw = [|L X |] Yw .
Step 4. Operate the translation and stretching transformation as Eq. (18) to obtain the sample x of the interval
vector X, and x = [ x(t1 ) x(t2 ) x(tn ) ]T can be used to represent approximately the temporally
continuous sample function x(t) of the dependent interval process X I (t).
From the above analysis, it is not difficult to derive that the sample x satisfies the range condition, i.e.,
x(ti ) X I (ti ), i = 1, 2, . . . , n. And we can also prove that x satisfies the correlation condition, that is to say,
suppose m samples of the interval vector X,x( p) , p = 1, 2, . . . , m, are created through the above procedure, then
the self-correlation function computed by x( p) , p = 1, 2, . . . , m as Eq. (3) tends to the given self-correlation
function r X X (ti , t j ) when m +. The proof is given in the Appendix. In Table 1, the sample functions
corresponding to several typical kinds of self-correlation functions r ( ) for stationary interval process are
illustrated.
The above procedure can be extended to the sampling of multi-dimensional  interval
 process vector.  For
example, for a two-dimensional interval process vector composed by X I (t), t T and Z I (t), t T with
self-correlation functions r X X (ti , t j ), r Z Z (ti , t j ) and mutual-correlation function r X Z (ti , t j ), we can select
variables of X I (t) at n 1 different times ti , i = 1, 2, . . . , n 1 and variables of Z I (t) at n 2 different times
 T
ti , i = 1, 2, . . . , n 2 to constitute the interval vector P = X (t1 ) X (t2 ) X (tn 1 ) Z (t1 ) Z (t2 ) Z (tn 2 )
and use the sample  p of the interval
 vector P to represent the sample function pair (x(t), z(t)) of the interval
process vector X I (t), Z I (t) . The procedure for obtaining p is similar to that for obtaining x in the case of a
single interval process, while the correlation matrix R P of the interval vector P will be constructed by means
of self-correlation functions r X X (ti , t j ), r Z Z (ti , t j ) and mutual-correlation function r X Z (ti , t j ).

4.2 Calculation of dynamic response bounds

In this section, we will still firstly introduce the procedure to calculate the dynamic response bounds of the
single-degree-of-freedom (SDOF) linear vibration system based on the above sampling approach of interval
process. Considering Eq. (14), u I (t) is the target solution, f I (t) is the interval process model of the uncertain
dynamic excitation. Assuming N sample functions of f I (t) are generated, we can then input every sample
function into the vibration system and acquire the corresponding time history of displacement response through
regular dynamic response analysis. The next step is to compare all N response values at each time point and
obtain the maximum and minimum values as the upper response bound and lower response bound, respec-
tively. After obtaining the response bounds at all discrete time points, the time history curves of displacement
response bounds can be plotted. The detailed procedure for calculation of the dynamic response bounds is then
summarized as follows:
Step 1. Establish the non-random vibration analysis problem as Eq. (14).
Step 2. Generate N sample functions of f I (t) by means of the approach introduced in Sect. 4.1.
Step 3. Input each sample function of f I (t) as deterministic excitation into the vibration system and acquire
the corresponding time history of displacement response by regular vibration analysis.
Step 4. Compare all N response values at every time point and obtain the maximum and minimum values
as the upper response bound and lower response bound, respectively.
Step 5. After obtaining the response bounds at all discrete time points, the time history curves of upper and
lower displacement response bounds, i.e., u I (t), can be finally obtained.
Although the above procedure is constructed based on the SDOF linear vibration system, it is intrinsically a
general analytical procedure, which can also be applied to calculate the dynamic response bounds of other
A Monte Carlo simulation method 2639

Table 1 Several typical self-correlation functions for stationary interval process and corresponding sample functions

systems, such as multi-degree-of-freedom (MDOF) linear vibration system, nonlinear vibration system, and
complex continuum structure. Nevertheless, for different systems, the adopted methods to conduct the dynamic
response analysis in Step 3 will be different. For example, for linear system, we can use numerical methods
[46] such as Newmark- method, Wilson- method, and central difference method; for nonlinear system, the
Runge Kutta method [47] can be employed, while for complex continuum structure, the finite element method
(FEM) [48] is an effective way to analyze the structural dynamic response. Theoretically, the result of our
non-random vibration analysis will tend to the exact solution with the increase in the sampling number. On
the other hand, in the above formulation, we only calculate the bounds of displacement response. In fact, the
present Monte Carlo simulation method can also be used to calculate the velocity and acceleration response
bounds through a similar way.
Besides, it is worth noting that Monte Carlo simulation is traditionally a numerical analysis method based
on the probability and statistics theory, while the proposed method in this paper only adopts the numerical
solving approach of Monte Carlo simulation to calculate the dynamic response bounds of a vibration system
under the uncertain excitation. Physically, there is no any probability distribution or assumption introduced in
the whole computational process, and only the boundary characteristics are used for the measurement of either
excitation or dynamic response. Thus, in the sampling of the independent process Y I (t), other distribution
functions apart from uniform distribution function can be employed for the sampling of every variable Y (ti ),
2640 C. Jiang et al.

which in theory will not make a big difference to the final results of dynamic response bounds as long as the
samples of the interval process model for the excitation are adequate.

5 Numerical examples and discussion

In this section, four numerical examples are provided to illustrate the effectiveness of the proposed method,
which include an SDOF linear system, two kinds of SDOF nonlinear systems, an MDOF linear system, and a
complex continuum structure.

5.1 A SDOF linear system

5.1.1 f I (t) is stationary interval process

Consider an SDOF linear system under the external excitation f (t), as shown in Fig. 2, where the system
mass, damping coefficient, and stiffness are set to be 1, 0.5, 4 2 , respectively. The external excitation f (t)
is described by an interval process model f I (t). Here, f I (t) is treated as a stationary interval process with the
middle point function f c (t) = 12, the half width function f w (t) = 3, and the self-correlation function r ( )
where denotes the time interval. The initial displacement and velocity of the system are u(0) = 0, u(0) = 0,
respectively.
Firstly, to study the effects of different types of self-correlation functions on the system response bounds,
the self-correlation function is assumed to be the following typical cases: (a) r ( ) = e| | ; (b) r ( ) =
e| | cos( ); (c) r ( ) = 1 | | /T0 ; (d) r ( ) = 0,  = 0. The sampling number is set to 107 in the Monte
Carlo simulation, and the bounds of displacement u(t) under these self-correlation functions are computed and
plotted in Fig. 4. It can be observed that under all the four correlation cases, the time history of the displacement
response bounds can be roughly divided into two phases, i.e., the transient response phase and the steady-state
response phase. In the transient phase, the upper and lower response bounds exhibit strong oscillation, and the
range of the displacement u(t) changes continuously with time. This kind of oscillation weakens gradually
with time, and a steady state can be finally reached. In this stage, the response bounds keep nearly constant.
In Fig. 4, it is also worth noting that when f I (t) is an independent process (case (d), r ( ) = 0,  = 0), the
displacement response bounds envelop a wider domain than those when f I (t) is a dependent process (cases
(a)(c)).
Secondly, the system is considered undamped, and the bounds of displacement response are still stud-
ied under the above four kinds of self-correlation functions. The results are given in Fig. 5, which exhibit
quite different features from that in the case of damped system. It can be found that whichever type of self-
correlation function is employed, the displacement response bounds will not reach a steady state. Instead, they

0.9 r ( ) = e , = 1
3
r ( ) = e cos( ), = 1, =
0.8 r ( ) = 1 / T0 , T0 = 10s
2

0.7 r ( ) = 0, 0
upper bound function of u ( t )
0.6

0.5
u (t )

0.4

0.3

0.2

0.1

0
lower bound function of u (t )
-0.1

-0.2
0 1 2 3 4 5 6 7 8 9 10
t
Fig. 4 Displacement response bounds of the damped SDOF linear system in different self-correlation functions
A Monte Carlo simulation method 2641

become increasingly wider with time and show oscillation characteristics. Nevertheless, Fig. 5 shows that the
response bounds of the undamped system under the dependent excitation are still enveloped by those under
the independent excitation.

5.1.2 f I (t) is non-stationary interval process

The damped SDOF linear system as shown in Fig. 2 is still considered in this case, and the values of related
parameters are the same as those in 5.1.1. But differently, the interval process model f I (t) to describe the
external excitation is assumed to be a non-stationary process with a middle point function f c (t) = 12+2 sin f t
and a half width function f w (t) = 2 + sin f t, where f denotes the circular frequency. Because both the
middle point function and half width function are sinusoidal periodic functions, the upper and lower bounds
of f I (t) also show a periodic variation with time, as shown in Fig. 6. Suppose the self-correlation function
in this case is r (ti , t j ) and two different types of functions are studied, namely r (ti , t j ) = e|t j ti | and
r (ti , t j ) = 0, ti  = t j . The bounds of displacement response when f adopts three different values are given in
Fig. 7ac. It can be seen that the time histories of response bounds still present two phases of variation: At first,
they oscillate irregularly in the transient response phase and then both the upper and lower response bounds
oscillate periodically with time. Besides, it is observed that in Fig. 7c (i.e., when f = 10), the response

2 r ( ) = e

, = 1
3
r ( ) = e cos( ), = 1, =
r ( ) = 1 / T0 , T0 = 10s 2
1.5
r ( ) = 0, 0

0.5
u (t )

-0.5

-1

-1.5
0 1 2 3 4 5 6 7 8 9 10
t
Fig. 5 Displacement response bounds of the undamped SDOF linear system in different self-correlation functions

20

18
upper bound function

16

14
f (t )

12

10

8
lower bound function
6
0 1 2 3 4 5 6 7 8 9 10
t
Fig. 6 Non-stationary interval process excitation
2642 C. Jiang et al.

(a) 1 t t
r (t i , t j ) = e j i
r (t i , t j ) = 0, t i tj
0.8

0.6
u (t )

0.4

0.2

-0.2
0 5 10 15 20 25 30
t

(b) 1 t t
r (ti , t j ) = e j i
r ( t i , t j ) = 0, t i t j
0.8

0.6
u (t )

0.4

0.2

-0.2
0 5 10 15 20 25 30
t

(c) 1 t t
r (ti , t j ) = e j i
r ( ti , t j ) = 0, ti t j
0.8

0.6
u (t )

0.4

0.2

-0.2
0 5 10 15 20 25 30
t
Fig. 7 Displacement response bounds of the damped SDOF system under a non-stationary excitation a f = 1, b f = 2 and
c f = 10
A Monte Carlo simulation method 2643

bounds exhibit only tiny oscillation after the transient phase, and the range of the displacement response tends
to be stable with time, which is similar to that in the case of stationary f I (t).

5.1.3 Effects of the sampling number

As a Monte Carlo simulation method, the sampling number has significant influence on the response bounds
obtained. Here we study the case of the damped SDOF system in 5.1.1 with a stationary excitation f I (t) with
r ( ) = e| | to investigate the effects of the sampling number on the computed results. Let L u (t) represent
the interval width of displacement response at the time t, i.e., L u (t) = u U (t) u L (t), where u U (t) and u L (t)
are the upper and lower bounds of the displacement u(t), respectively. The variation trends of L u (t) with the
increase in sampling number at five time instants, i.e., t = 0.2, 0.4, 0.6, 0.8, 1 s, are plotted in Fig. 8. It can be
found that the interval of displacement response expands with increase in the sampling number. Specifically,
at the time point t = 0.8s, the interval width of displacement response nearly doubles (from 0.1583 to 0.3253)
when the sampling number increases from 102 to 1010 . But this trend tends to diminish when the sampling
number is sufficiently large, indicating that the computed results approaching the exact solution. Therefore, as

0.5
t = 0.2s
0.45 t = 0.4s
t = 0.6s
0.4
t = 0.8s
0.35 t = 1s
0.3
Lu (t )

0.25

0.2

0.15

0.1

0.05
2 4 6 8 10
10 10 10 10 10
Sample Number
Fig. 8 Variation trends of the interval width of displacement response with increase in the sampling number

0.6 r ( ) = e , = 1
r ( ) = 0, 0
0.5

0.4

0.3
u (t )

0.2

0.1

-0.1

-0.2
0 5 10 15
t
Fig. 9 Displacement response bounds of the duffing system
2644 C. Jiang et al.

all Monte Carlo simulation methods, adequate sampling number is essential for ensuring the computational
accuracy in the present Monte Carlo-based non-random vibration analysis method.

5.2 Two SDOF nonlinear systems

In practical engineering, vibration systems with stiffness nonlinearity or damping nonlinearity are widely
encountered. In this example, the proposed method is applied to the vibration analysis of two typical kinds of
SDOF nonlinear systems. Firstly, the forced vibration of a duffing system is studied, and its system equation
of motion can be formulated as [49]

m u + cu + k(u + u 3 ) = f (t), (19)

where the parameters m, c, k are assigned to be 1, 0.5, 4 2 , respectively; decides the degree of nonlinearity
of the system and its value is set to be 1 in this example. f (t) is the uncertain dynamic load applied to the
system, and it is modeled by an interval process f I (t). Consider f I (t) to be a stationary interval process with
the middle point function f c (t) = 12, the half width function f w (t) = 3, and the self-correlation function

(a) 0.8
r ( ) = e cos( )

0.6

0.4
(t )

0.2

-0.2
0 5 10 15
t

(b) 200
r ( ) = e cos( )
180

160

140

120

100
(t )

80

60

40

20

-20
0 5 10 15
t
Fig. 10 Angular displacement response bounds of the damped pendulum system under different initial conditions a (0) =
0, (0) = 0 and b (0) = , (0) = 0
A Monte Carlo simulation method 2645

1 r12 ( ) = 0.1 5 cos( + / 6)

r12 ( ) = 0
0.8
0.6
u1 (t ) 0.4
0.2
0
0 1 2 3 4 5 6 7 8 9 10
t
1.5

1
u2 (t )

0.5

0
0 1 2 3 4 5 6 7 8 9 10
t
Fig. 11 Displacement response bounds of the damped 2-DOF linear system

r12 ( ) = 0.1 5 cos ( + / 6)

2
r12 ( ) = 0

1
u1 (t )

-1
0 1 2 3 4 5 6 7 8 9 10
4 t

2
u2 (t )

-2
0 1 2 3 4 5 6 7 8 9 10
t
Fig. 12 Displacement response bounds of the undamped 2-DOF linear system

Fig. 13 A typical engine crankshaft [50]

r ( ). The initial condition is given to be u(0) = 0, u(0) = 0. Two types of self-correlation functions are
investigated for f I (t), namely r ( ) = e| | and r ( ) = 0, and the results of the displacement response bounds
are given in Fig. 9, in which the sampling number is still set to be 107 . From the results, it is observed that
the dynamic response bounds of this duffing system under the stationary excitation exhibit similar features
to those of the damped SDOF linear system, namely the time history of displacement response bounds can
still be divided into two phases: the transient response phase in which the response bounds oscillate strongly
and subsequently the steady-state response phase in which the response bounds keep nearly constant. For this
2646 C. Jiang et al.

nonlinear system, the displacement response bounds reach the steady state only after a short period of transient
stage.
Secondly, the response bounds of a damped pendulum system under an uncertain excitation are investigated.
The system equation of motion is formulated as [49]

ml 2 + c + mgl sin = F(t) (20)

or in another form,
+ 2 0 + 02 sin = f (t), (21)
the mass, damping coefficient, and pendulum length of the system, respectively; =
where m, c, l are
c
2ml gl
and 0 = g/l are the damping ratio and natural circular frequency, respectively; is the angular
displacement. In this system, we set = 4 1
and 0 = 2. f (t) = F(t) ml 2
is the uncertain dynamic external
load and stilled modeled by a stationary interval process with the same middle point function and half width
function as the above duffing system, while the self-correlation function is r ( ) = e| | cos( ). The bounds
of the angular displacement (t) under two kinds of initial conditions are computed and plotted in Fig. 10.
From Fig. 10a, it is shown that when the initial condition is (0) = 0, (0) = 0, the response bounds will
reach a steady state and the angular displacement lies in an interval which is about equal to [0.15rad, 0.4rad].
However, as shown in Fig. 10b, when the initial condition is (0) = , (0) = 0, the bounds of the angular
displacement will expand rapidly with time, indicating that a continuous rotation along a direction may occur
for the pendulum system. Therefore, it can be concluded that the initial condition has a significant effect on
the characteristics of uncertain dynamic response of the pendulum system, which seems quite different from
the linear system.

Point A
(a) Point B

main journal

crankpin

crank arm

(b)
Point A
Point B

Fig. 14 1/2 crank model a the 3D structure and b the finite element model
A Monte Carlo simulation method 2647

5.3 A 2-DOF linear system

Consider a 2-DOF linear vibration system as follows [45]:

Mu + Cu + Ku = f(t), (22)
where the mass matrix, damping matrix, and stiffness matrix are
 
1 0
M= , (23)
0 1
 
20 10
C= , (24)
10 10
 
30 10
K= , (25)
10 10

where u = [u 1 (t), u 2 (t)]T represents the displacement vector, f(t) = [ f 1 (t), f 2 (t)]T represents the 2-
dimensional load vector and modeled by a 2-dimensional interval process vector f I (t) = [ f 1I (t), f 2I (t)]T .
Suppose f I (t) is a stationary interval process vector, in which the middle point function and half width func-
tion of f 1I (t) are f 1c (t) = 3, f 1w (t) = 2, the middle point function and half width function of f 2I (t) are
f 2c (t) = 6, f 2w (t) = 3. Both the self-correlation function of f 1I (t) and f 2I (t) are assumed to be e| | , and the
mutual-correlation function of the two excitations is represented by r12 ( ). Considering two kinds of mutual-
correlation functions, r12 ( ) = 0.15 cos( + /6) and r12 ( ) = 0,  = 0 (i.e., f 1I (t) and f 2I (t) are mutually
independent), and the response bounds of u 1 (t) and u 2 (t) are computed and given in Fig. 11 with the sampling
number setting to 107 . The results show that for this damped 2-DOF linear vibration system under the station-
ary interval process loads, both two displacement response bounds will reach steady state after the transient
phase, which is just similar to the response characteristics of the above damped SDOF system. Besides, the
mutual correlation between two excitations has a noticeable effect on the displacement response bounds, and
the bounds of both displacement responses under the mutually dependent excitations are enveloped by the
counterparts under the mutually independent excitations.
Next, an undamped case is also investigated for the above 2-DOF system with C = 0 and other parameters
unchanged. The computed results by the proposed method are obtained and plotted in Fig. 12, which shows

(a) z

O x

L L

(b) z

O y

Fig. 15 Load distribution on the crankpin a the axial distribution of load and b the circular distribution of load
2648 C. Jiang et al.

that for the undamped system, a steady state of the dynamic responses is not reached just as we predict.
Meanwhile, since no energy dissipating from damping, the dynamic response bounds expand gradually with
time. In addition, the result illustrates again that the response bounds for mutually dependent processes are
narrower than those for mutually independent processes.

5.4 Application in a practical continuum structure

The crankshaft is a vital part of the automobile engine, and its reliability has a direct influence on the operational
performance and lifetime of the whole engine. In actual work conditions, the crankshaft is subjected to gas
pressure, inertial forces, moments of inertia and bears the impact of alternating forces. The loads are large
and complicated. Meanwhile, the crankshaft rotates at high speed, every cylinder works alternately, and the
gas pressure produced from every time of burning is not the same, thus making the actual loads applied to the
crankshaft dynamic and uncertain. Therefore, the dynamic uncertainty analysis for the crankshaft is of great
significance. Here a typical engine crankshaft is investigated as shown in Fig. 13 [50], and its main parameters
are summarized as follows: The diameter of the crankpin is 65 mm; the diameter of the main journal is 85 mm;
the thickness of the crank arm is 25.4 mm; the length of the main journal is 35.6 mm; the length of the crankpin
is 38.6 mm; the material density is 7.85 g/cm3 ; the modulus of elasticity is 200 GPa; and the Possions ratio is
0.3. According to the symmetry of the loads and structure, the crankshaft is analyzed with a 1/2 crank model,
as shown in Fig. 14a.

(a) 2.5

1.5
ur / mm

0.5

0
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2
t /s
(b) 200

180

160

140
eq / MPa

120

100

80

60

40

20

0
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2
t /s
Fig. 16 Dynamic response bounds of radial displacement and equivalent stress of point A a radial displacement and b equivalent
stress
A Monte Carlo simulation method 2649

In the actual working conditions, the load acting on the crankpin is distributed along the circular direction
and follows the cosine function within 120 . The load distributed along the axial direction follows the quadratic

(a) 2.5

2
ur / mm

1.5

0.5

0
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2
t /s
(b) 200

180

160

140
eq / MPa

120

100

80

60

40

20

0
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2
t /s
Fig. 17 Dynamic response bounds of radial displacement and equivalent stress of point B a radial displacement and b equivalent
stress
200

180

160

140
eq / MPa

120

100

80

60

40

20

0
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2
t /s
Fig. 18 Dynamic response bounds of the maximum equivalent stress of the crankshaft
2650 C. Jiang et al.

Table 2 Intervals of the maximum equivalent stress at different times

t/s eq
I /MPa

0.01 [32.20, 35.23]

0.02 [55.51, 62.55]
0.03 [72.03, 80.02]
0.04 [85.56, 97.55]
0.05 [97.42, 112.45]
0.06 [105.52, 125.52]
0.07 [113.12, 135.02]
0.08 [117.08, 143.13]
0.09 [120.05, 145.57]
0.10 [119.33, 145.31]
0.11 [119.58, 145.16]
0.12 [119.76, 145.23]
0.13 [119.89, 145.82]
0.14 [119.02, 145.15]
0.15 [119.93, 145.58]
0.16 [119.75, 145.32]
0.17 [119.32, 145.65]
0.18 [119.65, 145.29]
0.19 [119.29, 145.81]
0.20 [119.22, 145.22]

parabolic function, as shown in Fig. 15. The load Q at point (x, ) and time t can be thus simply expressed as
[51]    
x2 3
Q(x, , t) = P(t) 1 cos , (26)
L 2
where P(t) is the magnitude of the load acting on the top point of the middle of the crankpin, x is the
axial coordinate, is the polar coordinate. Because the load Q is supposed to be dynamic and uncertain
and it has a deterministic relationship with P(t), P(t) can be equivalently treated as a uncertain dynamic
parameter and described by a stationary interval process. According to the empirical values, we obtain that
P(t) [34.5, 42.1 MPa], and the self-correlation function is given as e| | . In this application, the dynamic
response bounds of the crankshaft structure within 0.2s will be analyzed under the above loading condition,
the time step is set to be 0.005s.
As depicted in Fig. 14b, a dynamic FEM model is built to analyze the stress of the crankshaft. A tetrahedral
element with eight nodes is employed. The minimum element size is 5mm, and the total number of the elements
is 35765. Two key points: A, which is the top point at the joint of the crank arm and the crank pin, and B, which
is the top point at the joint of the crank arm and the main journal are investigated for their dynamic response
bounds. As shown in Figs. 16 and 17, bounds of the radial displacement u r and equivalent stress eq of two
key points are obtained through the non-random vibration analysis. From the results, we can see that for both
points the dynamic response bounds of radial displacement and equivalent stress will reach steady state in a
short time, i.e., the response intervals will nearly remain constant. It can also be observed that point A has
larger dynamic displacement and stress than point B, which means structure failure is more likely to occur at
point A, i.e., the joint of the crank arm and crank pin. Besides, the dynamic response bounds of the maximum
equivalent stress of the whole structure are obtained and given in Fig. 18, and the intervals of the maximum
equivalent stress at the time points 0.01s i(i = 1, 2,, 20) are also provided for reference in Table 2. These
analysis results can provide important reference for reliability analysis and design of the crankshaft structure.
Since the yield strength of the crankshaft material is 235 MPa [50], it is concluded that the crankshaft structure
is safe under the above loading condition.

6 Conclusion

This paper proposes a Monte Carlo simulation method for non-random vibration analysis. By simulating the
sample functions of interval process and integrating with regular vibration analysis technique, the dynamic
response bounds of the system under uncertain dynamic excitations can be obtained, which will provide
important information for safety assessment and reliability design of practical vibration systems. The proposed
A Monte Carlo simulation method 2651

method presents a general way for non-random vibration analysis, and more importantly, it could offer reference
solutions for other non-random vibration analysis methods proposed in the future. Results of the numerical
examples show that the proposed method can not only be applied to analysis of SDOF and MDOF linear
systems, but also to nonlinear systems and complex continuum structures. In the future, some other Monte
Carlo simulation techniques with higher efficiency can be developed based on the present method. Also, based
on the present method, we can create the dynamic reliability analysis models and corresponding solution
algorithms.

Acknowledgements This work is supported by the Major Program of National Natural Science Foundation of China (Grant No.
51490662), the National Key Research and Development Project of China (Grant No. 2016YFD0701105), and the Key Program
of National Natural Science Foundation of China (Grant No.11232004).

Appendix

Corresponding to m samples of X, x( p) , p = 1, 2, . . . , m, there are m samples of Y, y( p) , p = 1, 2, . . . , m and m

samples of X , x( p) , p = 1, 2, . . . , m. For each variable Y (ti ), i = 1, 2, . . . , n of Y, its sample y(ti ) is obtained
by the sampling according to the uniform distribution function in the unit interval, so WiY , i = 1, 2, . . . , n will
be equal when m +, where WiY is computed by m samples of Y (ti ), y ( p) (ti ), p = 1, 2, . . . , m, namely

lim WiY = k , i = 1, 2, . . . , n, (27)

m

where k is a constant. Hence there is

WY = kI (28)
where WY is a diagonal matrix with the diagonal entries WiY , i = 1, 2, . . . , n. Denoting the matrices xM =
[ x(1) x(2) x(m) ] and y M = [ y(1) y(2) y(m) ], it can be obtained that
   
 m ( (x M )i (xM )iT y yT
Wi =X
p=1 (x
p) (ti )) /m =
2 = (L X )i Mm M (L X )iT
 m
(29)
= (L X )i WY WY (L X )iT = k,

where x ( p) (ti ) is the ith component of x( p) , and (xM )i is the ith row vector of xM . From the above equation,

there is W X  = kI, where W X  is a diagonal matrix with the diagonal entries WiX , i = 1, 2, . . . , n. By utilizing
the definition of the self-correlation function (i.e., Eq. (3)), and that both the middle point vectors of Y and X
are 0, the correlation matrices of Y and X can be written as
y M yTM 1
RY = WY1 WY , (30)
m
x M x TM 1
RX  = W1
X  WX  . (31)
m
From RY m +I, we can then derive that when m +,

x M x TMT 1 y M yTM T 1
R X  = W1
X W X  = W1 L
X X LX WX 
m m
= W1 1
X  L X WY WY L X W X  = L X L X
T T

= RX . (32)
Thus, there is
r X  X  (ti , t j ) = r X X (ti , t j ), (33)
where r X  X  (ti , t j ) and r X X (ti , t j ) are the ith row and jth column entries of R X  and R X , respectively. The
above equation indicates that the self-correlation function computed by x( p) , p = 1, 2, . . . , m equals the given
self-correlation function r X X (ti , t j ). Meanwhile, for p = 1, 2, . . . , m, x( p) is obtained by the translation and
2652 C. Jiang et al.

stretching transformation of x( p) , which will not result in change to the self-correlation function. Therefore,
the self-correlation function computed by x( p) , p = 1, 2, . . . , m also equals the given self-correlation function
r X X (ti , t j ) when m +, that is to say, the sample functions derived from the proposed sampling method
can satisfy the given correlation condition.

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