Dimension reduction of Karhunen-Loeve expansion for simulation of stochastic processes

Conventional Karhunen-Loeve expansions for simulation of stochastic processes often encounter the challenge of dealing with hundreds of random variables. For breaking through the barrier, a random function embedded Karhunen-Loeve expansion method is proposed in this paper. The updated scheme has a similar form to the conventional Karhunen-Loeve expansion, both involving a summation of a series of deterministic orthonormal basis and uncorrelated random variables. While the difference from the updated scheme lies in the dimension reduction of Karhunen-Loeve expansion through introducing random functions as a conditional constraint upon uncorrelated random variables. The random function is expressed as a single-elementary-random-variable orthogonal function in polynomial format (non-Gaussian variables) or trigonometric format (non-Gaussian and Gaussian variables). For illustrative purposes, the simulation of seismic ground motion is carried out using the updated scheme. Numerical investigations reveal that the Karhunen-Loeve expansion with random functions could gain desirable simulation results in case of a moderate sample number, except the Hermite polynomials and the Laguerre polynomials. It has the sound applicability and efficiency in simulation of stochastic processes. Besides, the updated scheme has the benefit of integrating with probability density evolution method, readily for the stochastic analysis of nonlinear structures. (C) 2017 Elsevier Ltd. All rights reserved.