Non-Gaussian simulation using Hermite polynomial expansion: convergences and algorithms

被引：96

作者：

Puig, B

Poiron, F

Soize, C

机构：

[1] Ctr Chatillon Leclerc, DDSS, MS, ONERA, F-92322 Chatillon, France

[2] Univ Paris 06, Paris, France

[3] Univ Marne La Vallee, Marne La Vallee, France

来源：

PROBABILISTIC ENGINEERING MECHANICS | 2002年 / 17卷 / 03期

关键词：

Monte Carlo simulation; non-Gaussian process; hermite polynomial expansion;

D O I：

10.1016/S0266-8920(02)00010-3

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

Mathematical justifications are given for a Monte Carlo simulation technique based on memoryless transformations of Gaussian processes. Different types of convergences are given for the approaching sequence. Moreover an original numerical method is proposed in order to solve the functional equation yielding the underlying Gaussian process autocorrelation function. (C) 2002 Elsevier Science Ltd. All rights reserved.

引用

页码：253 / 264

页数：12

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