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Lecture 9

Efficient Observation
of
Random Phenomena
Tokyo Polytechnic University
The 21st Century Center of Excellence Program

Yukio Tamura

POD
Proper Orthogonal Decomposition
Stochastic Representation of
Factor Analysis
Karhunen-Love Decomposition

POD
Find a deterministic coordinate
function (x,y) that best correlates
with all the elements of a set of
randomly fluctuating wind pressure
fields p (x,y,t).
(x,y) is derived to maximize the
projection from the wind pressure
field p (x,y,t) to the deterministic
coordinate function (x,y).

Maximization of Projection
Realize from the probabilistic
standpoint:
p(x,y,t) (x,y) dxdy = max
By normalizing:
p(x,y,t) (x,y) dxdy
= max
{ (x,y)2 dxdy } 1/2

Maximization of Projection
p(x,y,t) can take positive or negative values
Maximization is made by a mean square
method
p(x,y,t) (x,y) dxdyp(x',y',t) (x',y') dx'dy'

max
2
(x,y) dxdy

Eigenvalue Problem
Rp (x,y,x',y') (x',y') dx'dy' (x,y)
Rp (x,y,x',y') Spatial Correlation of p(x,y,t)

Uniformly Distributed dxdy


Matrix Form

[Rp]{} { }
[Rp] : Spatial Correlation Matrix
MM Square Matrix
{ } : Eigenvector of Spatial
Correlation Matrix [Rp]
: Eigenvalue of Spatial
Correlation Matrix [Rp]

Fluctuating Pressure Field p(x,y,t)


M

p(x,y,t) =m= 1am(t)m(x,y)


p(x,y,t)m(x,y)dxdy
am(t) =
m(x,y)2dxdy
: m-th Principal Coordinate
m(x,y) : m-th Eigenvector
(Eigen Mode)

Correlation Between
Principal Coordinates
No correlation between different modes :
am(t) an(t) = 0 mn
Mean square of the m-th principal
coordinate :
am(t)2 = m = Eigenvalue

Mean Square of Wind Pressure


Mean-square of wind pressure at
point(x,y)
M
2

mm(x,y)
m=1

p(x,y,t) 2 =

Field-total sum of mean-square wind


pressures
M

p(x,y,t) 2 dxdy = m
m=1
m=1
M

= am(t) 2
m=1
m=1

Reconstruction in Lower Modes


N

p^(x,y,t) am(t) m(x,y)


m=1

N M

Fluctuating Pressure Field


(Fluctuating Component Only)

p1(t)
t
p2(t)
t
p3(t)
t
t1 t2 t3 t4 t5

State Locus of
Fluctuating Pressure Field
p3(t)

t5

t3
t2
t4

p1(t)

t1

p2(t)

State Locus on Same Plane


( t)
a1( t )

t5
t1
t4

t2

t3

( t)

State Locus on Same Line


a1(t)
t5
t1
t2

t4

t3

Projection of State Locus


onto Principal Coordinate
a15
a12

t2
a22

t5

a11
t1

a25

a1(t)

a24

a21

t4

a23 t3

a14
a13

a2(t)

Maximization of Projection
Maximization of variance
M
1 a 2
a12 =
M j =1 1j
not maximization of mean square
analyze fluctuating component only
(zero mean)

Principal Coordinates
a1(t)a2(t)a3(t)
Linear combination of original
(physical) coordinates p1(t)p2(t)p3(t)
a1(t) = 11 p1(t) + 12 p2(t) + 13 p3(t)
a2(t) = 21 p1(t) + 22 p2(t) + 23 p3(t)
a3(t) = 31 p1(t) + 32 p2(t) + 33 p3(t)

{a} = [ ]{p}

Coordinate Transformation
Matrix [ ]

[ ] = [ij]
m-th row vector
{m} = {m1 , m2 , m3}T
m-th Eigenvector

Maximization of Variance of
the 1st Mode Principal Coordinate a1(t)
Assumption

- No correlation between principal


coordinates a1(t)a2(t)a3(t)
- Unit norm of eigenvector

m12 +m22 +m32 = 1

Variance of 1st Principal Coordinate a1(t)

a12 = {a1(t)}2

= {11 p1(t) + 12 p2(t) + 13 p3(t)}2


= 11 212 + 12222 +132 32
+ 2111212+ 2111313
+ 2121323

a12 : Variance of the 1st principal

coordinate a1(t)
m2 : Variance of fluctuating pressure pm(t)
mn : Covariance of pm(t) and pn(t)

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Lagranges Method of Indeterminate


Coefficients
Maximizing variance a12 of a1(t) is
equivalent to maximizing the
following value L:

L = a12 + (112 + 122 + 132 1)


: constant
(

112 + 122 + 132 = 1

Differential Coefficient of L by 1m
L = 0

1m

11
L

12
L

13

(12) 11 +12 12 +13 13 = 0 (a)

21 11 + (22) 12 +23 13 = 0 (b)


31 11 +32 12 + (32) 13 = 0 (c)

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Condition for Non-trivial Solution


Determinant of Coefficients = 0

(12) 12
21
(22)

31

32

13
23
(32)

=0
(d)

Eigenvalue Problem of Matrix [Rp]

Covariance Matrix

[Rp] =

12 12 13
21 22 23
31 32 32

i2 : Variance
ij = ji : Covariance

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Equation (d) has three roots:

= 1 , 2 , 3
(1 2 3 )

Eq.(a)11 +Eq.(b)12+Eq.(c)13

11 212

+12222

+132 32

a12

+2111212+2111313+2121323

(112 + 122 + 132 ) = 0


=

a12

= Max. 1
Variance of Principal
= Eigenvalue
Coordinate
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Orthogonality of Eigenvectors of Matrix

{m}T{n} = mjnj
= m1n1 + m2n2 + m3n3
= mn

mn : Kroneckers Delta
={

1 ,m=n
0 ,mn

Reconstruction of Pressure Field


Reconstruction by principal
coordinates a1(t), a2(t), a3(t) and
eigenvectors
p1(t) = 11 a1(t) + 21 a2(t) + 31 a3(t)
p2(t) = 12 a1(t) + 22 a2(t) + 32 a3(t)
p3(t) = 13 a1(t) + 23 a2(t) + 33 a3(t)
{p} = [ ]T{a}

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Proportion of m-th Mode


Proportion of m-th Principal Coordinate
Variance of m-th Principal Coordinate

of m-th Principal Coordinate


cm Variance

Variance of Original Pressure Field


am2

12 + 22 + 32
am2

a12 + a22 + a32
m

1 + 2 + 3

Proportion and
Cumulative Proportion
Proportion of m-th Principal Coordinate

cm

m=1 m

Cumulative Proportion up to N-th Mode


N

CN m= 1cm

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Fluctuating Pressure Field


P1(t)
t

P2(t)

P3(t)
t1 t2 t3 t4 t5

Low-rise Building Model

16

Randomly Fluctuating Pressures

Mean and Standard Deviation of


Fluctuating Pressures
Wind Pressures on Surfaces of a LowLow-rise Building Model

Mean Pressure Cpmean

Standard Deviation Cp

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Eigenvectors
of the Lowest Three Modes

1st Mode

2nd Mode

3rd Mode

Eigenvalues, Proportions
and Cumulative Proportions
Wind Pressures on Surfaces of a LowLow-rise Building Model
Mode
1st
2nd
3rd
4th
5th
6th
7th
8th
9th
10th

Eigenvalue

Proportion (%)

1411
295
224
175
128
102
80
75
61
53

40.20
8.40
6.39
4.98
3.66
2.91
2.29
2.12
1.74
1.51

Cumulative
Proportion (%)
40.20
48.60
54.99
59.97
63.63
66.54
68.83
70.95
72.69
74.20

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- 0.4

- 0.5

- 0.6 - 0.6

0.1

- 0.3
- 0.6
- 0.4 - 0.5 - 0.7 - 0.1
- 0.8
0.1
- 0.9
- 1.0
0.2

- 0.4
- 0.5

- 0.4
0.5
- 0.6
- 0.6
- 0.6 - 0.7
- 0.8 - 0.9 - 1.0 - 1.4
- 0.3
- 0.1

0.1

0.2

0.2
0.1
0.2

0.4

0.3

0.4

(a) Mean pressure


coefficient Cp

0.2

0.1

0.1

- 1.4

0.1

0.1

0.4
0.2

0.3
0.5

0.9
0.3
0.5

(b) Fluctuating pressure


coefficient Cp

Pressure distributions on a low-rise building


model ( = 45, D : B : H = 4 : 4 : 1)

Lowest Three Eigenvectors

1st Mode

2nd Mode

3rd Mode

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High-rise Building Model

Pressure Measurement Model and


Analytical Lumped Mass Model
Length Scale = 1/400
Mean Wind Speed Profile
= 1/6
500 Pressure Taps
t = 0.00128 sec

T = 42 sec (32,768 samples)

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Mean and Standard Deviation of


Fluctuating Pressures
Wind Pressures on Surfaces of a HighHigh-rise Building Model

Mean Pressure

Standard Deviation

Eigenvectors
of Lowest Two Modes
Fluctuating pressures acting on a highhigh-rise building model

1st Mode

2nd Mode

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Eigen Vectors
of 3rd, 4th and 5th Modes
Fluctuating pressures acting on a highhigh-rise building model

3rd Mode

4th Mode

5th Mode

4th Mode

Along-wind force coefficients at 0.2H and 0.8H by 4th


mode (Suburban flow, =1/6)

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5th Mode

Along-wind force coefficients at 0.2H and 0.8H by 5th


mode (Suburban flow, =1/6)

Eigenvalues, Proportions
and Cumulative Proportions
Wind Pressures on Surfaces of a HighHigh-rise Building Model
Mode
1st
2nd
3rd
4th
5th
10th
50th
100th
300th
500th

Eigenvalue

Proportion (%)

Cumulative
Proportion (%)

132.00
83.70
32.60
25.80
25.20
7.19

26.30
16.70
6.51
5.16
5.04
1.44

26.30
43.00
49.51
54.67
59.71
71.43

0.74
0.26
0.06
0.01

0.15
0.05
0.01
0.00

89.24
93.47
98.50
100.00

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Power Spectral Densities of Wind


Forces

Generalized Wind Forces

Lowest Five
Principal Coordinates

Fluctuating Wind Force Coefficients


by Each Mode ( = 1/6)

rms CFx

Along-wind Force

rms CFy

Across-wind Force

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Fluctuating Wind Force Coefficients


by Each Mode ( = 1/6)

rms CMz

Torsional Moment

rms CMz

RMS Force Coefficients Reconstructed


by Selected Dominant Modes ( = 1/6)

1,5,10,11,13,14,16,18,
21 and 31st Modes

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Power Spectra of Generalized Wind Forces


Reconstructed by Selected Dominant Modes ( = 1/6)

Generalized Wind Forces Reconstructed


from Selected Dominant Modes
Along-wind
Force

Across-wind
Force
Torsional
Moment

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Response Analysis in Time Domain


Analytical Condition
Coupled oscillation of alongalongwind, acrossacross-wind and
torsional components
Newmark method : = 1/
1/4
Time interval :
t = 0.271s
Calculation length : T = 600s
Tip mean wind speed :
(H=200m)
VH = 55m/s
(100y(100y-recurrence in Tokyo)

Analytical Model and Forces


25 Lumped masses 3DOF
Fundamental natural
periods : T1X = T1Y = 5s
T1 = 1.3s
Damping ratios : 2% to the
critical
Wind forces:
- based on original pressures
- based on reconstructed
pressures by selected
dominant modes
AlongAlong-wind : 2nd, 3rd & 4th
AcrossAcross-wind : 1st & 5th
Torsional : 1st, 5th ....31st
(10 modes)

Responses due to Wind Forces Reconstructed


from Selected Dominant Modes
Along-wind
Displacement
Across-wind
Displacement

Torsional
Angle

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Responses due to Wind Forces Reconstructed


from Selected Dominant Modes

Shear Force

Displacement

Responses due to Wind Forces Reconstructed


from Selected Dominant Modes
Wind Forces

Response at Top (H=200m)


AlongAlong-wind
Displacement
(cm)
Max
S.D.

Original

16.8

0.0107 0.0025

Reconstructed
22.5
6.46
53.7 15.9
from Selected
Dominant Modes (2nd, 3rd and 4th) (1st and 5th)

0.0112 0.0026

Error (%)

21.3

5.6

6.67

AcrossAngular
Across-wind
Displacement Displacement
(cm)
(cm)
Max S.D.
Max S.D.

3.1

56.6

5.1

5.7

(10 selected*)
4.8

3.4

* 1st, 5th, 10th, 11th, 13th, 14th, 16th, 18th, 21st and 31st Modes

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Coordinate Transformation
Matrix [A]
Matrix [A] as an operator for
transforming the coordinate

{b} = [A] {a}


Vector {a} is transformed to another
Vector {b} of a different magnitude
and a different direction by
operation of Matrix [A] .

Eigenvalue and Eigenvector

[ ]

ex. 2 1
1 4

Eigenvalues : = 4.41,
1.59
Eigenvectors: {1, 2.41}T, {1, 0.41}T

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{b} = [ 21 14] {a}

1 st E
igen
vect
or

Coordinate Transformation Matrix


and Eigenvalue / Eigenvector

{b }

{a }

2 nd
Eig
en v
ecto
r

{b} = [ 21 14] {a}


= {a}

Coordinate Transformation Matrix


and Eigenvalue / Eigenvector
{b}

1 {a}

1 = 4.41
2 = 1.59

Magnification Factor
= Eigenvalue

2
a : Unit Vector
a= 1

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{b} = [ 21 14] {a}


{b }
{a }

1 st E
igen
v ect
or

Coordinate Transformation Matrix


and Eigenvalue / Eigenvector

2 nd
Eig
en v
ecto
r

{b} = [ 21 14] {a}

1 st E
igen
v ect
or

Coordinate Transformation Matrix


and Eigenvalue / Eigenvector

{b} 2
{a}1 2 n
d

Eig
en v
ecto
r

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POD of Random Field


with a Singular Condition

[ ]

ex. a 0 = [R ]
p
0 a

Eigenvalues : = a (multiple root)


Eigenvectors: Indeterminate !
Uncorrelated with
the same variances!

Example of Eigenvectors
Sample A

1st Mode

2nd Mode

c1 = 29.2%

c2 = 25.4%

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Example of Eigenvectors
Sample B

1st Mode

2nd Mode

c1 = 30.6%

c2 = 24.7%

2nd Principal Coordinate

2nd Principal Coordinate

State Locus by a1(t) and a2(t)

1st Principal Coordinate

1st Principal Coordinate

Sample A

Sample B

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Eigenvalues and Proportions


with/without Inclusion of Mean Value
Mode
1st
2nd

Without Mean Value


With Mean Value
Eigenvalue Proportion (%) Eigenvalue Proportion (%)
4.11
1.02
p2(t)

80.1
19.9

103.11
2.03
a1m(t)

a2(t)

12

98.1
1.9

a1(t)

10

(p1m , p2m)

8
6

0
-2

10

12

14

p1(t)

-2

-4

a2m(t)

Merits of POD
Observe phenomena by most efficient
coordinates
Extract hidden systematic structures
from random information
A significant reduction in amount of
information that needs to be stored

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