An ensemble evolution numerical method for solving generalized density evolution equation

The key issue of the probability density evolution method (PDEM) is to solve a generalized density evolution equation (GDEE). Previously, the GDEE was solved in the framework of the point evolution method which is essentially a zero-order ensemble evolution method. In this paper, a first-order ensemble evolution method is proposed aiming at increasing the accuracy and robustness of the PDEM. The main idea of the proposed method is to incorporate information of standard deviation of each probability subdomain into the probability density evolution equation (PDEE) by introducing an ensemble velocity term. Compared with the point evolution method, the proposed method can truly reflect the fluctuation of a stochastic dynamic system. In order to estimate the ensemble velocity term accurately, a piecewise quadratic polynomial fitting method is also proposed. In addition, a GF-discrepancy based point selection method and a finite difference scheme that is total variation diminishing are adopted to solve the new PDEE. A single-degree-of-freedom oscillator, a Riccati equation and a 2-span 8-storey frame structure are investigated in detail to demonstrate the advantage of the proposed method over the original one.