Structural Safety, 6 (1989) 247-258 24"2

Elsevier Science Publishers B.V., Amsterdam - Printed in The Netherlands

A MARKOV MATRIX FOR FATIGUE LOAD SIMULATION

AND RAINFLOW RANGE EVALUATION *

S. Krenk and H. Gluver

Department of Structural Engineering, Technical University of Denmark, DK- 2800 Lyngby (Denmark)

Key words: fatigue; load process; Markov process; damage accumulation.

ABSTRACT

A one-step Markov matrix is developed for fast direct simulation of the extremes of a normal
process with unimodal power spectral density. The Markov matrix is determined from the joint
probability density of a maximum and a minimum of given magnitudes occurring with a certain time
separation. An integral over time leads to an approximate Markov matrix for consecutive extremes
of the normal process. The rainflow ranges corresponding to the one-step Markov representation are
identified in the form of a discrete outcrossing problem, and this problem is solved for the rainflow
range matrix by a numerical diffusion technique. This solution enables a priori evaluation of the
effect of fatigue load truncation on the rainflow ranges.

1. INTRODUCTION

Simulation of stochastic load histories for fatigue evaluation has traditionally aimed at
simulating the complete load history, e.g. by F F T or A R M A techniques. However, the fatigue
damage is usually evaluated from the sequence of local maxima and minima of the load history,
disregarding any details between the local extremes. A normal process is often used to represent
stochastic load histories. N o exact relation between the local extremes of a normal process is
known, and direct simulation of the sequence of local extremes must therefore rely on approxi-
mate techniques. For a normal process with a very narrow-banded spectral density the individual
extremes can be approximated by equally spaced points on the envelope process. These points
can be represented either via a two-dimensional normal Markov process [1] or by a one-dimen-
sional Markov process with a conditional Rayleigh distribution [2]. However, the envelope

* Paper presented at an International Symposium on Methods of Stochastic Mechanics and Applications, Urbana, IL,
U.S.A., October 31-November 1, 1988.

0167-4730/89/$03.50 © 1989 Elsevier Science Publishers B.V.

248

Xl Xl

X2 X2

j, "C
I' "t ,1'

o b
Fig. 1. Extrapolation and interpolation between two local extremes.

approximation produces a too regular process with all local maxima above the mean value and
all the local minima below. In order to represent the irregularity of the process properly, the
individual maxima and minima must be considered directly.
This paper is limited to a one-step memory relating each extreme to the previous. Within this
limitation Fig. 1 shows two different strategies for obtaining the joint distribution of a maximum
X] and the following local minimum X2. In the first procedure a conditional process Xo(t ) is
introduced, in which x], 2] and 5/1 appear as parameters. This conditional process is used to
estimate the following local minimum X 2 and the time separation r. At the maximum J(1 is
Rayleigh distributed, and this provides a conditional probability density of X 2 and r. This
method has been developed by Lindgren and Rychlik [3] and further improved by the introduc-
tion of regression variables by Rychlik [4].
The other strategy, to be used in the following, is illustrated in Fig. l(b). The values xl and x 2
are assumed known, and the probability that they are a local maximum and minimum,
respectively, is calculated by use of the joint zero down- and upcrossing frequency of the
conditional derivative process .~'(t). This is a straight-forward generalization of the method of
Rice [5] for the distance beween zero crossings of a normal process. This formulation has been
used by Sorensen and Brincker [6] and compared with simulation results. The present paper
develops the formulation in more detail taking advantage of the symmetry. Also some special
features for small ranges are investigated.
In Ref. [4] Rychlik established a relation between the rainflow ranges used in fatigue damage
evaluation and the ranges between maxima and minima. Here, this relation is established by a
simplified argument. The rainflow ranges corresponding to the one-step Markov model are the
solution of a barrier-crossing problem. The solution to this problem is obtained by a numerical
diffusion technique, and examples illustrate the transition from ordinary ranges to rainflow
ranges.

2. JOINT DENSITY F U N C T I O N
Let X(t) be a stationary normal process. The joint probability of a local maximum in the
interval (x t, x] + d x ] ) × (t], t 1 + dtl) followed by a local minimum in the interval (x2, x 2 +
 249

a
fT1(1;)

it"\ ft2(l: )
f

0
J 0.5 1.0 1.5 2.0 vm "~

fTI('C) .,--,-,. fT2 (1:)

I ,
0 0.5 1.0 1.5 2.0 Vm'~
Fig. 2. Probability density of time separation to first and second local minimum.

d x 2 ) X (t2, t 2 + dt2) is denoted /-'1(Xl, X2, t 2 -- t~) d x I d x 2 dt 1 d t 2. The joint probability den-
sity fl(xl, x2) of a local m a x i m u m x 1 followed by a local m i n i m u m x 2 is

fl(xl, X2)= lf0°°Pl(Xl, X2, r ) d r (1)

um is the rate of local maxima. In eqn. (1) the subscript 1 indicates the local m i n i m u m to be the
first following the local maximum.
The total rate of local minima x 2 following at time r after a local m a x i m u m x 1 is the sum of
the first, the second etc.
l*(Xl, X2, T)= Pl(Xl, X2, T)-'}-lt2(Xl, X2, T)'}-"'" (2)
By extending this argument one can obtain a series expansion for v l ( x 1, x 2, r) in terms of
combination of more local m i n i m a - - s e e e.g. Rice [5] and Longuet-Higgins [7]. For a narrow-band
process the local extremes occur at rather regular intervals, and thus only the first term needs to
be included. This is illustrated in Fig. 2 showing the probability density functions of the times 7"1
and T2 to the first and the second local minima, respectively. In Fig. 2(a) the process is extremely
narrow-banded leading to clearly separated density functions centered around Vmr-----0.5 and
Vmr -- 1.5, respectively. With increasing bandwidth the overlap increases, Fig. 2(b).
In eqn. (1) the rate vl(xl, x 2, r) is replaced by the total rate v ( x 1, x 2, r) combined with the
introduction of an upper integration limit T. Thus

f ~ ( x , , x 2 ) = f ( x 1, x 2 ) = ljo v ( x l , x2, r) d r (3)

The integration limit is determined from the normalization condition f f f ( x ~ , Xz) d x l d x 2 = 1.

Integration of v ( x 1, x 2, r) with respect to x, and x 2 gives the joint rate Pmm('r) of a m a x i m u m
and a m i n i m u m with time separation r. T is then determined by the condition
forVmm(r) d ' r = p m (4 t

For a narrow-band process vmT = 1.

250

3. EVALUATION OF CROSSING RATES

The present formulation requires evaluation of the rate of maxima um, the joint
maximum-minimum rate Umm(r), and the joint rate U(Xa, x2, "r). Explicit analytical expressions
exist for the first two, while ~,(xl, x2, r) can be expressed as a single integral following the
procedure of Madsen and Krenk [8].
Let fx,~.~(.xa, x2, 21,.22, 21, 22) denote the joint gaussian density of the process X(t) and its
derivatives X(t) and X(t) at times t and t + ~-. A direct extension of Rice's formula for the
crossing rate then gives

P(XI, X2,T ) = fo O~
- £1 d21 foo 2 2 d22 fx,.t,~(Xl, X2, O, O, £a, £2) (5)

The integration only concerns the variables 21 and 2 2. It is therefore advantageous to express the
probability density of (21, £2) in conditional form as

P(X a , X 2, 1 " ) = f x , , ( x l , x 2, O, o)f ° -X1 dxl

"0
£2 dx2 filx,i(£1, 22) (6)

The density functions in eqn. (6) are joint normal and therefore described entirely in terms of the
mean values and covariances.
The vector ()(1,)(2, )/'a, 9(2, J(1, X2) has zero mean and covariance matrix

=It,,
F-
CO C,r 0 C(1)~. c62) C(2)
T

C.r CO -- C(1) 0 ~(2) C62)

T ~L'r

0 -- ~d)
LI - o _ C(3)

c(l) 0 ~(2) _ c62) c(3)

(7)
T
-- G~. "T 0
C'o2) c7' 0 C~(3) C64)
C(2)~. C62) ~(3) 0 ~(4) C(o4)
-- ~'r L'r

where c is the covariance function c(t) of X(t), lower indices 0 and • refer to the time
separation and <~) refers to the nth time derivative.
Thus fx.k() is the 4-dimensional normal density function with zero mean and covariance
matrix C,,. f~lx,~() is the 2-dimensional normal density function defined by the conditional
mean vector

(8)

and the conditional covariance matrix

(9)
 251

It is convenient to write the dependence of the mean of x 1 and x 2 in terms of the sum and
difference, whereby

..(x,+x2)-._(x, x2)
In eqns. (9) and (10) the symmetry with respect to a time reversal has been used to reduce the
number of parameters.
After some manipulation the parameters in eqns. (9) and (10) are determined as

/z+
_--_1 / (2)2
2D tc° - ~"
(1)c,(3))((co _c,)(C{o2}+c{2))+c~1):) (11)

= 1__~( (2)2_c~2)2+c"(1)c,(3) )((Co+ C~.)(C(o2) - C~2)) .q_ c(,1)~) (12)

/~- 2D tc°

~21 ----C(o4 ) - O1 {(C(o2)2- C~2)2 "}- ,}~ ',..(1),,.(3)

r t"r ]]~t'O~t'O
/ ,,, [ ,,. (2) 2
+ C~2)2) -- ~'r~091"/'(2)t'(2)~,r-~- ~Or(2)t~(x)Z~') r

__ ,-,{3)2/o{2)/ t, 2 C0C~1'2)} (13)

X2K1 = C(4) -- 1 { ( C(2)2 -- 1"r~(2)2-'1- ~'--r

0.(1)~{3)~(~)..(2)~(2)__C.(C(2)2nt_C(2)2
"r ]~x"~'O'~O "r ) .jr_-7"
C{2)C(1,2
-'r )

- c~3)~( c(,2)( c 2 - c 2 ) + c,c(~)~)} (14)

D ~- I Cll [ = ( c2 -- C2)(c(0 2,2 _ C(2)2) q- CrOV(Cr(1,2 -}- 2(CoC(o2) -- c,c;2))) (15)

The double integral in eqn. (6) can be transformed in to a single integral with respect to the
correlation coefficient ~:1 by using the identity
a 32
3x, f~lxi = X21 3X, aX2 filxe (16)
for the normal density function in connection with integration by parts [8]. Details are given in
Ref. [9]. The result is expressed in terms of the normalized mean values (31, 32) = (/zl/Xl, /z2/X 1)
as

P(X 1 , x2, , ) = x2, 0,

+ f0~'(~l-x)q}2(-3x,-32; x) dK} (17)

The function 'Is( ) is defined as q'(x) = (k(x) - x{I)(-x), and q}( ) and {I}( ) are the standard
normal density and distribution function, respectively, q}2(;~:) is the standard normal density
function with correlation coefficient K. In the general case, where 3~ and 82 are arbitrary, the
integral in eqn. (17) must be evaluated numerically.
The joint rate J'm~(~') of a maximum and a minimum occuring with time separation "r can b e
evaluated in a similar way

//ram(T) = £ o o - - X l dxxfo°°Xa d-~2 f.~,~(O, O, -~1, 5c2) (18)

252

In this case the conditional mean values are zero, and the result can be obtained in analytical
form a s - - s e e Gluver [9]--

2t2{¢ 1 - x 2 - x 2 arccos g2}

/"mrn ( T ) = (19)
(2¢r)2¢C(o27 - C(r2)2

with the parameters

(3) 2
Cr
7~2 = C(o4) + cg) 2 _ %~'27cg) (20)

C(3)2
/~2K2 = ~(4)nt - "r
~(2) (21)
42) _ c 2,
In the absence of correlation Vmm(r) would simply be the square of the rate of maxima vm,
leading to the well known result
1
F m = "2--'~( -z'(4)/'~(2)'0/~0 (22)

When the joint density f(x~, x2) has been determined the conditional density function of X 2,
given X 1 ~---Xl, is

f(X2,X1)~-f(xI, X2)/f_+mf(x1 , X 2 ) d x 2 (23)

For simulation purposes the joint density f ( x l , x 2) would be integrated on discrete intervals--e.g.
a 64 × 64 or a 128 × 128 mesh. The conditional probability density (23) would then be replaced
by its discrete counterpart.

4. TWO EXAMPLES

The procedure is illustrated by two examples concerning normal processes X(t) with ideal
band-pass spectrum, a rather narrow-banded spectrum with 0am~n/Oamax = 0.7, and a low-pass
filter with aan~n = 0. The standard deviation is o = c~0. The time scale of the process is
determined by the zero upcrossing frequency
1 1
PO = -~-~ ~ = ~---~ ~/l(092ax -}- O~maxO)min --1-6d2ny (24)

The regularity factor, defined as

,La)2/, ~(")," (25)
has the value 0.980 and 0.745 for the two processes.
Figure 3 shows the joint total rate v ~ ( r ) of maxima and minima. The full line indicates
llmm (T) calculated from the explicit formula (19), while the crosses indicate the values obtained
from a numerical integration of U(Xa, x 2, z) from eqn. (17). In both cases the curve exhibits a
well defined peak around Pm'/" 0.5 indicating a half period spacing, but the low-pass process
=
 253

10 10
Xm,n(1;) !Vmm(~)

5- 5-

VmT / , ~
!v,r

0 0.5 1.0 1.5 2.0

0!/\J
0 0.5 1.0
Fig. 3. Joint total rate of maxima and minima for the band-pass process (left) and the low-pass process (right).
1.5 2.0

gives a much wider peak and a distinct deviation from zero at z,0"r= 1. The integration time limit
is PmT = 0.97 and 1.04, respectively.
The joint density f ( x 1 , X2) determined from eqns. (3) and (17) is shown in Fig. 4 for
Xl/O = - 1, 0, 1, 2, 3. The density function is seen to drop to zero for x 2 >~ x I for the band-pass
process, while it retains a finite value for the low-pass process when x 1 = 0.
There is a distinct difference between the joint density f ( x 1, Xz) of the two processes. In the
case of the band-pass process the minimum is centered around - x l , while for the low-pass filter
the density is wider and centered around - o . For the low-pass process there is an abrupt
truncation of the density function at x 2 = x~, and the curves even exhibit a small peak at this
point. This behaviour is analysed in detail in the next section.

0.8
fl(XvXz) /~
fl(Xl'X2) Xl=]/~O/ 0.2.

0.6 Ts
Rw
0.~
x1=20 0.1-

0.2
xl=O

0 i

-2
i i

0
z
I FXI=_O
2 i xz/O
~
0 ,
.t, -2 2
i x2/O
Fig. 4. Joint density f(xl, x2) for the band-pass and the low-pass process; x~ = - 1 , 0 , 1 , 2 , 3 .
254

If1(x1,x2)
I0"

O-

t,

x2/O
.t.
Fig. 5. Joint density f ( x ] , x 2) for the band-pass process.

If~(xl,x
2}
0.2l-

0t,

0
.d. x2/O

Fig. 6. Joint density f ( x 1, x 2) for the low-pass process.

However, the probability mass contained in this small range region is small as seen from Figs.
5 and 6 showing f ( x 1, x2) on a 64 x 64 mesh in the X z - X ~ plane. These histograms are typical of
the probabilities used in Markov simulation of the processes.

5. SMALL RANGES

The peaks in f(xa, X2) observed in Fig. 4(b) deserve a closer investigation. They are
associated with small ranges x 2 = x 1, and it is therefore logical to investigate the behavior of
u(xl, x2, -r) for small values of z. In the formula (17) only the first term can contain an
 255

u n b o u n d e d contribution. For small values of ~- the arguments of the function ,t'( ) tend to minus
infinity, and
'Jl(z)=q~(z)-z~(-z)--z forz<<-I (26)
For small values of ~- the formula (17) can then be approximated by

P(X1 ' X2, ,/.) = ( ~ 2 ( X 1 - X2)2 - ~2+(X1 + x 2 ) 2 }f,,,j,(x,, x 2, 0, O) (27)

A series e x p a n s i o n o f c(~-) to o r d e r "r6 is c h a r a c t e r i z e d b y the v a r i a n c e o, a t i m e scale such as

1'0 o r ~'m, the regularity f a c t o r a a n d an e x t r a n o n d i m e n s i o n a l p a r a m e t e r c o n v e n i e n t l y c h o s e n as

/3 = ,v~o
~ / ~ (~o
4 ) /~0 (28)

/3 -1 is the regularity factor of the derivative process X(t)./3 = 1.018 and 1.091 for the band-pass
and low-pass process, respectively. In terms of these variables the asymptotic form of eqn. (27) is

. ( x l , x2, ~) -- k~
(x,_x2)2
o (,00~)-8 _ k2
(x1+x2)2)
Xexp{-lk3(Xl:X2)2(~°'r)-6-1k4(Xl-I--x2) (29)

with the nondimensional parameters % = 2~p 0 and

1/2
432a 5 a ( f 1 2 _ 1) 3
k1
((1 _ ~2)(/32_ 1) k2-- ~ (1 _~2)5
(30)
144a 4 1
k3 ~_ m
/32-1 k4 = 4(1 a 2)

Figure 7 shows the joint rate p(x 1, x 2, "r) as a function of "r for the low-pass process. The
curves show the asymptotic result (29), while the points are obtained by numerical integration of

(XvXz'l;) /~

l!
15 "

~ - (Xl+Xz)/O =0
10- (Xl- Xz)/O =0.001

~:~,,(x1*xz)/O = I
xz)/O = 0.001 v~Z

0 ."-:---'.--': i i
- -..L
i-- -r
. . . . . . .
. .
t
.
. . . . . . . . . .
. .

0 0.02 0.06 0.06 0.08 0.10 0.12 0.16

Fig. 7. Asymptotic form of joint rate p(x~, x2, T) for small pmq'm.
256

the full expression (17). The curves exhibit a peak corresponding to the time separation "rm.

2 xl - x2
"m 'm ---- L - (31)
1 ao

The time ~m is nearly independent of the mean value ½(x1 + x2), while the magnitude of the
peak increases with decreasing values of ½(x 1 + x2).
For small ranges the joint density f(x 1, x2) can be obtained by integration of the asymptotic
joint rate (29). After omitting the term containing k 2

i,xax2> =
F,Tj6> t,21)2J3 o)lJ3
- exp
(a,xa+x2>2) (32)
4,rr121/3o2 _~--~a2
1 a x I --X 2 8 (72(1U-~)

This formula shows that the local peaks in Fig. 4(b) at xl = x 2 are singularities of the form
(X 1 --Y2) -1/3. The intensity of the singularity decreases with decreasing bandwidth of the
process. Detailed numerical evaluation of f ( x 1, x2) from eqns. (3) and (17) confirms this.
Integration of the asymptotic expression (29) over x 1 and x 2 gives the asymptotic form of the
total joint rate of maxima and minima

Pmm(T)//~ 2--~ 1'1T2(~ 2 - 1)),mr (33)

This result can also be obtained directly from eqn. (19), [5,7]. Thus the asymptotic expression
(29) is consistent when integrated over (x 1, x2) or z.

6. RAINFLOW RANGES

In fatigue damage evaluation the local ranges are often converted by use of the rainflow
algoritm. The rainflow ranges can be considered as the closed loops formed by exposing an
idealized hysteretic material to the loading history, see e.g. Watson and Dabell [10]. The relation
between the rainflow algorithm and stochastic processes has been described by Rychlik [4]. A
simplified form of the argument is illustrated in Fig. 8.
Consider a rainflow range with maximum value attained at 3. For an infinite stationary
process the level defined by 3 will be exceeded before and after 3 at 1 and 5. In between the
minimum values are attained at 2 and 4. The corresponding hysteresis loops are shown in the left
of the figure, omitting all local rainflow cycles originating at other levels. The minima at 2 and 4
define the ranges H_ and H+, and it is seen that the corresponding rainflow range originating at
3 is

Hr = rain(H_, H+) (34)

In the case of a one-step memory the ranges H_ and H+ corresponding to a given initial level
x are independent and identically distributed. Let P ( h l x ) denote the probability of the forward
part of the process crossing down through the level x - h before crossing up through the level x,
i.e. P(h Ix) = P{ H+ > h Ix}. As H+ and H_ are identically distributed, the distribution
 257

. W,,/ -, iv .

l,

H
I \
,,'A,,
,,q/. ,/',
~,I V, "

2 2
Fig. 8. The rainflow range Hr = min(H_, H+ ).

function of the rainflow ranges H r involving the m a x i m u m x is expressed as

F.,ix(hlx)=P(H+ <hvH_<hlx}
=1 -P(H+>hAH_>hIx )
=l-P(htx) 2 (35)
Figure 9 shows the probability density function of the ordinary ranges and the rainflow ranges
for the band-pass and the low-pass process. The results were obtained by discretizing the interval
( - 4 o , 4o) into 64 intervals. The probability P(h Ix) was obtained numerically by forming
products of the transition probability matrix and solving the absorbing barrier problem.
The effect of the rainflow transformation of the ranges is small for the band-pass process,
while the transformation leads to an increase in small and large ranges for the low-pass process.

fH{h)
0.4fH(h) "1

031 0.3,

0.2- ~.2,

0.1- 0.1.
'\,
0
_/o hlO i
2 /, 6 6 2 g 6
Fig. 9. Ordinary ranges ( ) and rainflow ranges (. . . . . . ) for the band-pass and the low-pass process.
258

REFERENCES

1 S. Winterstein, Diffusion models and the energy fluctuation scale, Report No. 64, Department of Civil Engineer-
ing, Stanford University, November 1984.
2 S. Krenk and E. Thorup, Stochastic and constant amplitude fatigue test of plate specimens with a central hole,
Report, Department of Structural Engineering, Technical University of Denmark, Lyngby, October 1988.
3 G. Lindgren and I. Rychlik, Wave characteristic distributions for Gaussian waves-- wavelength, amplitude and
steepness, Ocean Eng., 9 (1982) 411-432.
4 I. Rychlik, Statistical Wave Analysis with Application to Fatigue, Doctoral Dissertation, Department of Mathe-
matical Statistics, Lund University, 1986.
5 S.O. Rice, Mathematical analysis of random noise, Bell Syst. Tech. J. 23 (1944) 282-332; 24 (1944) 46-156;
reprinted in: N. Wax (Ed.), Selected Papers in Noise and Stochastic Processes, Dover, New York, 1954.
6 J.D. Sorensen ana R. Brincker, Simulation of stochastic loads for fatigue experiments, Institute of Building
Technology and Structural Engineering, Report 8717, Aalborg University, Aalborg, Denmark, 1987.
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R. Soc. London, A254 (1962) 557-599.
8 P.H. Madsen and S. Krenk, An integral equation method for the first-passage problem in random vibration, J.
Appl. Mech., 51 (1984) 674-679.
9 H. Gluver, One-step Markov model for extremes of Gaussian processes, Report, Department of Structural
Engineering, Technical University of Denmark, October 1988.
10 P. Watson and B.J. Dabell, Cycle counting and fatigue damage, J. Soc. Environ. Eng. (1976) 3-8.