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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]

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

N

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)

( t)
a1( t )

t5
t1
t4

t2

t3

( t)

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

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:

: constant
(

112 + 122 + 132 = 1

Differential Coefficient of L by 1m
L = 0

1m

11
L

12
L

13

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

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

N

CN m= 1cm

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P1(t)
t

P2(t)

P3(t)
t1 t2 t3 t4 t5

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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

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

coefficient Cp

Pressure distributions on a low-rise building

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

1st Mode

2nd Mode

3rd Mode

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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

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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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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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1 st E
igen
vect
or

Coordinate Transformation Matrix

and Eigenvalue / Eigenvector

{b }

{a }

2 nd
Eig
en v
ecto
r

= {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

30

{b }
{a }

1 st E
igen
v ect
or

Coordinate Transformation Matrix

and Eigenvalue / Eigenvector

2 nd
Eig
en v
ecto
r

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%

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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