Seismic Resistant Design of

Structures

Lecture 4:
Basics of Random Vibrations

M.Sc in Earthquake Engineering

Institute of Engineering
Random processes - basic concepts
• Topics :
• Concepts of deterministic and random processes
stationarity, ergodicity

• Basic properties of a single random process

mean, standard deviation, auto-correlation, spectral density

• Joint properties of two or more random processes

correlation, covariance, cross spectral density, simple input-
output relations
Random processes - basic concepts
• Deterministic and Random processes :
-- both continuous functions of time (usually), mathematical concepts

o Deterministic Processes :
 physical process is represented by explicit mathematical relation

 Example :
response of a single mass-spring-damper in free vibration in
laboratory

o Random processes :
result of a large number of separate causes. Described in probabilistic terms
and by properties which are averages
Random processes - basic concepts

• Random Processes :
fX(x)
x(t)

time, t

• The probability density function describes the general

distribution of the magnitude of the random process, but it gives
no information on the time or frequency content of the process
Random processes - basic concepts
• Averaging and stationarity :

• Underlying process
• Sample records which are individual representations of the
underlying process
• Ensemble averaging :
properties of the process are obtained by averaging over a collection
or ‘ensemble’ of sample records using values at corresponding times

• Time averaging :
properties are obtained by averaging over a single record in time
Random processes - basic concepts
• Stationary random process :
• Ensemble averages do not vary with time

• Ergodic process :
stationary process in which averages from a single record are the same
as those obtained from averaging over the ensemble

Most stationary random processes can be treated as ergodic

Wind loading from extra - tropical synoptic gales can be treated as stationary
random processes
Wind loading from hurricanes - stationary over shorter periods <2 hours
- non stationary over the duration of the storm

Wind loading from thunderstorms, tornadoes - non stationary

Random processes - basic concepts
• Mean value :

x(t)

x

time, t T
1 T
x  Lim  x(t)dt
T  T 0

• The mean value,x , is the height of the rectangular area having the same
area as that under the function x(t)

• Can also be defined as the first moment of the p.d.f.

Random processes - basic concepts
• Mean square value, variance, standard deviation :

x
x(t)

x

time, t T
1 T 2
mean square value, x  Lim  x (t)dt
2
T  T 0

variance, 
σ  x(t)  x
2
x 2
 Lim  x(t) - x  dt
1 T
T  T 0
2

(average of the square of the deviation of x(t) from the mean value,x)

standard deviation, x, is the square root of the variance

Random processes - basic concepts
• Autocorrelation :

x(t)

time, t T
• The autocorrelation, or autocovariance, describes the general dependency
of x(t) with its value at a short time later, x(t+)

1 T
  
 x ( )  Lim  x(t) - x . x(t  τ) - x dt
T  T 0

The value of x() at  equal to 0 is the variance, x2

Normalized auto-correlation : R()= x()/x2 R(0)= 1

Random processes - basic concepts
• Autocorrelation :
1

R()

0
Time lag, 

• The autocorrelation for a random process eventually decays to zero at

large 

• The autocorrelation for a sinusoidal process (deterministic) is a cosine

function which does not decay to zero
Random processes - basic concepts
• Autocorrelation :

1 
T1   R( )d
0
R()

0
Time lag, 
• The area under the normalized autocorrelation function for the fluctuating
wind velocity measured at a point is a measure of the average time scale
of the eddies being carried passed the measurement point, say T1

• If we assume that the eddies are being swept passed at the mean velocity,
U.T1 is a measure of the average length scale of the eddies
• This is known as the ‘integral length scale’, denoted by lu
Random processes - basic concepts
• Spectral density :
Sx(n)

frequency, n

• The spectral density, (auto-spectral density, power spectral density, spectrum)

describes the average frequency content of a random process, x(t)

σ x   S x (n) dn
2
Basic relationship (1) :
0

The quantity Sx(n).n represents the contribution to x2 from the

frequency increment n

Units of Sx(n) : [units of x]2 . sec

Random processes - basic concepts
• Spectral density :

2 2
Basic relationship (2) : Sx (n)  Lim  X T (n) 

T  T


Where XT(n) is the Fourier Transform of the process x(t) taken over the
time interval -T/2<t<+T/2

The above relationship is the basis for the usual method of

obtaining the spectral density of experimental data

Usually a Fast Fourier Transform (FFT) algorithm is used

Random processes - basic concepts
• Spectral density :

Basic relationship (3) : Sx (n)  2  x ( )e i 2n dτ
-

The spectral density is twice the Fourier Transform of the autocorrelation

function

 
Inverse relationship :
 
ρ x ( )  Re al  Sx (n)e i 2n
dn   Sx (n)cos(2n )dn
0 0

Thus the spectral density and auto-correlation are closely linked -

they basically provide the same information about the process x(t)
Random processes - basic concepts
• Cross-correlation :
x(t)

 x

time, t T
y(t)

y

time, t T
• The cross-correlation function describes the general dependency of x(t)
with another random process y(t+), delayed by a time delay, 
1 T
 
cxy ( )  Lim  x(t) - x . y(t  τ) - y dt
T  T 0

Random processes - basic concepts
• Covariance :

• The covariance is the cross correlation function with the time delay, , set
to zero


1 T
 
c xy (0)  x(t).y(t)  Lim  x(t) - x . y(t)- y dt
T  T 0

Note that here x'(t) and y'(t) are used to denote the fluctuating
parts of x(t) and y(t) (mean parts subtracted)

(Section 3.3.5 in “Wind loading of structures”)

Random processes - basic concepts
• Correlation coefficient :

• The correlation coefficient, , is the covariance normalized by the

standard deviations of x and y

x' (t).y'(t)
ρ
σ x .σ y

When x and y are identical to each other, the value of  is +1

(full correlation)

When y(t)=x(t), the value of  is  1

In general,  1<  < +1

Random processes - basic concepts
• Correlation - application :
• The fluctuating wind loading of a tower depends on the correlation
coefficient between wind velocities and hence wind loads, at various heights

z2
z1

u' (z1 ).u' (z 2 )

For heights, z1, and z2 : ρ(z1 , z 2 ) 
σ u (z1 ).σ u (z 2 )
Random processes - basic concepts
• Cross spectral density :

By analogy with the spectral density : Sxy (n)  2 cxy ( )e i 2n dτ
-

The cross spectral density is twice the Fourier Transform of the cross-
correlation function for the processes x(t) and y(t)

The cross-spectral density (cross-spectrum) is a complex number :

Sxy (n)  Cxy (n)  iQxy (n)

Cxy(n) is the co(-incident) spectral density - (in phase)

Qxy(n) is the quad (-rature) spectral density - (out of phase)
Random processes - basic concepts
• Normalized co- spectral density :
C xy (n)
 xy (n) 
S x (n).S y (n)

It is effectively a correlation coefficient for fluctuations at frequency, n

Application : Excitation of resonant vibration of structures by

fluctuating wind forces

If x(t) and y(t) are local fluctuating forces acting at different parts
of the structure, xy(n1) describes how well the forces are
correlated (‘synchronized’) at the structural natural frequency, n1
Random processes - basic concepts
• Input - output relationships :
Input x(t) Output y(t)
Linear system

There are many cases in which it is of interest to know how an input random
process x(t) is modified by a system to give a random output process y(t)
Application : The input is wind force - the output is structural
response (e.g. displacement acceleration, stress). The ‘system’ is
the dynamic characteristics of the structure.
Linear system : 1) output resulting from a sum of inputs, is equal
to the sum of outputs produced by each input individually
(additive property)
Linear system : 2) output produced by a constant times the input,
is equal to the constant times the output produced by the input
alone (homogeneous property)
Random processes - basic concepts
• Input - output relationships :

Relation between spectral density of output and spectral density of input :

Sy (n)  A . H(n) .Sx (n)

2

|H(n)|2 is a transfer function, frequency response function, or ‘admittance’

Sx(n) A.|H(n)|2 Sy(n)

frequency, n

Proof : Bendat & Piersol, Newland

 Random Vibrations
• So far our excitations have been harmonic, periodic, or at least
known in advance
• These are examples of deterministic excitations, i.e., known in
advance for all time
– That is given t we can predict the value of F(t) exactly
• Responses are deterministic as well
• Many physical excitations are nondeterministic, or random, i.e., can’t
write explicit time descriptions
– Rockets
– Earthquakes
– Aerodynamic forces
– Rough roads and seas
• The responses x(t) are also nondeterministic
 Random Vibrations
• Stationary signals are those whose statistical
properties do not vary over time
• Functions are described in terms of probabilities
– Mean values*
– Standard deviations
• Random outputs related to random input via
system transfer function

*ie given t we do not know x(t) exactly, but rather

we only know statistical properties of the response
such as the average value
 Autocorrelation function and
power spectral density
The autocorrelation function describes how a signal is changing in
time or how correlated the signal is at two different points in time.

The Power Spectral Density describes the power in a signal as a

function of frequency and is the Fourier transform of the
autocorrelation function.

FFT is a new way for calculating Fourier Transforms

Examples of Signals
More Definitions
 Expected Value
(or ensemble average)
Basic Relationships for
Transforms
What can you predict?
Example:PSD Calculation
Example: Mean Square Calculation

Consider the earlier example and compute:

Shock Spectrum
 Using the convolution equation as a tool,
compute the maximum value of the response

Recall the impulse response function undamped system:

Such integrals usually have to be computed numerically

Example: Compute the response spectrum
for gradual application of a constant force
F0. Assume zero initial conditions
Split the solution into two parts
and use the convolution integral
 Next find the maximum value
of this response
To get max response, differentiate x(t).
In the case of a harmonic input we computed this
by looking at the coefficient of the steady state response,
giving rise to the Magnitude plots.
Need to look at two cases 1) t < t1 and 2) t > t1
For case 2) solve: (what about case 1? Its max is Xstatic)
Solve for t at xmax, denoted tp
Response Spectrum
Comparison between impulse and
harmonic inputs
 Review of The Procedure for Shock
Spectrum
1. Find x(t) using convolution integral
2. Compute its time derivative
3. Set it equal to zero
4. Find the corresponding time
5. Evaluate the max possible value of x
(be careful about points where the
function does not have derivative!!)
6. Plot it for different input shocks
 Measurement via Transfer
Functions
• Apply a sinusoidal input and measure the
response
• Do this at small frequency steps
• The ratio of the Laplace transform of these to
signals then gives and experiment transfer
function of the system
Several different signals can be
measured and these are named
 The magnitude of the compliance transfer
function yields information about the systems
parameters