Application of the stochastic finite element method for

Gaussian and non-Gaussian systems

M. Schevenels, G. Lombaert, G. Degrande
K.U.Leuven, Department of Civil Engineering,
Kasteelpark Arenberg 40, B-3001, Leuven, Belgium
e-mail: mattias.schevenels@bwk.kuleuven.ac.be

Abstract
The stochastic finite element method (Ghanem and Spanos) is illustrated for the solution of mechanical
systems with Gaussian characteristics. It is shown numerically and analytically that the variance of the
response of a system with a Gaussian stiffness is infinite. Since this is not physically sound, a random
stiffness should not be assumed to be Gaussian. Therefore, an adaptation of the stochastic finite element
method as to calculate the response of non-Gaussian systems is presented. This adaptation is based on the
generation of a non-Gaussian process by means of a Hermite polynomial expansion (Sakamoto and Ghanem,
Puig et al.) and the projection of the obtained realizations on the Karhunen-Loeve modes of the non-Gaussian
process (Poirion and Soize).

1 Introduction
This paper illustrates the stochastic finite element method (SFEM) as developed by Ghanem and Spanos
[1] for the solution of mechanical problems with spatially varying random characteristics. The probability
density function (PDF) and the lowest order statistical moments of the displacement are calculated for a
beam with a spatially varying random bending stiffness under a deterministic static load.
The SFEM is based on the Karhunen-Loeve (KL) decomposition of the random system characteristics. The
KL decomposition of a random process can be regarded as the continuous counterpart of the decorrelation
of a set of random variables [10]. It allows to approximate a random process by a linear combination of
orthonormal deterministic functions (KL modes) with uncorrelated random coefficients. If the marginal
PDF of the process is Gaussian then the uncorrelated KL coefficients are Gaussian as well and as a result
they are independent. The KL decomposition is discussed in section 2.
A similar decomposition is performed at the level of the finite element equations, which leads to the SFEM
equations: a linear combination of deterministic equations with random (KL) coefficients. This decomposition is presented in section 3.
Two techniques are applied to solve the SFEM equations for a system with a Gaussian stiffness. The first
technique is based on a Monte Carlo simulation of the independent Gaussian KL coefficients. The second
technique is based on the projection of the response on the polynomial chaos, this is a set of Hermite polynomials of the KL coefficients. A Galerkin approach is followed to calculate the projections of the response
on these polynomials. The solution of the SFEM equations for systems with Gaussian properties is treated
in section 4.
The examples in section 4 reveal the divergence of the variance of the response of a system with a Gaussian
stiffness. In section 5, it is shown analytically that the variance of the response of such a system is infinite.
Since this is not physically sound, a random stiffness should not be assumed to be Gaussian.
Section 6 treats the solution of the SFEM equations for non-Gaussian systems by means of a Monte Carlo
simulation of the KL coefficients. In this case, it is impossible to generate these coefficients directly due to

3299

3300

P ROCEEDINGS OF ISMA2004

their mutual dependence and their unknown joint PDF. Therefore, realizations of the non-Gaussian process
are generated as transformations of an underlying Gaussian process [6, 7]. The projection of these realizations on the KL modes of the non-Gaussian process leads to realizations of the mutually dependent KL
coefficients [4].

2 Discretization of a random process

Consider a mechanical problem where one of the system characteristics is modelled as a scalar random
process S(x, ) : D R. This process is defined on the probability space (, , P ) and the index set
D Rd . The latter coincides with the d-dimensional physical domain of the problem. The process S(x, )
is characterized by its marginal PDF pS (s) : R R+ and its covariance function CS (x1 , x2 ) : D D R.
In order to assemble the SFEM equations for this problem, the random process S(x, ) has to be expressed
as a deterministic function of a small number of random variables. This discretization is achieved by means
of the Karhunen-Loeve (KL) decomposition [1], presented in the following section.

2.1 Karhunen-Loeve decomposition

The non-zero mean random process S(x, ) is decomposed as follows:
S(x, ) = mS (x) + Y (x, )

(1)

where mS (x) = E{S(x, )} is the mean value of the random process S(x, ) and Y (x, ) is a zero mean
random process. Both the correlation function RY (x1 , x2 ) and the covariance function CY (x1 , x2 ) of the
zero mean random process Y (x, ) are equal to the covariance function CS (x1 , x2 ) of the non-zero mean
random process S(x, ). All three are denoted by CS (x1 , x2 ) in the following.
Let be the Hilbert space of random variables Z() : R defined on the probability space (, , P ),
with the inner product hZ1 (), Z2 ()i = E {Z1 ()Z2 ()}. Let {j ()}j be a Hilbert basis of . The KL
decomposition of the zero mean random process Y (x, ) consists of the projection of the process on the
Hilbert basis {j ()}j . This leads to the following expansion:

Y (x, ) =

cj (x)j ()

(2)

j=1

The covariance function CS (x1 , x2 ) of the zero mean random process Y (x, ) is equal to:
CS (x1 , x2 ) = E {Y (x1 , )Y (x2 , )} =

X
X
j=1 k=1

cj (x1 )ck (x2 )E {j ()k ()} =

cj (x1 )cj (x2 )

(3)

j=1

where the orthonormality of the Hilbert basis vectors {j ()}j is taken into account. The covariance function
CS (x1 , x2 ) has the following spectral decomposition:
CS (x1 , x2 ) =

j fj (x1 )fj (x2 )

(4)

j=1

Herein, {fj (x)}j and {j }j are the normalized eigenfunctions and the eigenvalues of the covariance function
CS (x1 , x2 ). The eigenfunctions are orthonormal and the eigenvalues are positive since CS (x1 , x2 ) is a real
symmetric function. They are obtained as the solution of the eigenvalue problem found by the projection of
equation (4) on fk (x1 ):
Z
CS (x1 , x2 )fk (x1 ) dx1 = k fk (x2 )

(5)

VARIABILITY

3301

An expression for the function cj (x) in equation (2) is obtained by the elimination of CS (x1 , x2 ) from
equations (3) and (4):
p
(6)
cj (x) = j fj (x)
Introduction of equation (6) in equation (2) gives:
Y (x, ) =

X
p

j fj (x)j ()

(7)

j=1

or equivalently:
S(x, ) = mS (x) +

X
p

j fj (x)j ()

(8)

j=1

Equation (7) shows the KL decomposition of the zero mean random process Y (x, ), i.e. the decomposition
in terms of a set of normalized uncorrelated random variables {j ()}j .

The discretization of the random process S(x, ) is accomplished by a truncation of the infinite series in
equation (8) after the terms corresponding to the highest M eigenvalues {j }j :
S(x, ) mS (x) +

M
X
p

j fj (x)j ()

(9)

j=1

M is called the order of the KL decomposition. As the terms in the decomposition are not correlated (the
variables {j ()}j are orthonormal random variables), the KL decomposition is the most efficient decomposition of a random process: it minimizes the truncation error for a given number of terms. Ghanem and
Spanos [1] present a proof of this error minimizing property of the KL decomposition.
An expression for the KL coefficient k () is obtained by the projection of equation (7) on fk (x):
Z
1
Y (x, )fk (x) dx
k () =
k

(10)

If the process S(x, ) has a Gaussian marginal PDF, then Y (x, ) reduces to a zero mean Gaussian variable
for a fixed position x and the integral in equation (10) can be interpreted as an infinite series of zero mean
Gaussian variables. As a result, the integral itself is a zero mean Gaussian variable, and so is k (). Thus
the KL coefficients are uncorrelated standard Gaussian variables and therefore independent. By virtue of
this independence, realizations of the KL coefficients are easily generated within the frame of a Monte Carlo
simulation (MCS). Realizations of the random process S(x, ) are then obtained according to equation (9).

2.2 Numerical implementation of the Karhunen-Loeve decomposition

This section covers the solution of the eigenvalue problem (5) by means of a Galerkin procedure presented
by Ghanem and Spanos [1]. The eigenfunction fk (x) is approximated as:
fk (x)

J
X

fjk Nj (x)

(11)

j=1

where {Nj (x) : D R}j is a set of shape functions. Introduction of equation (11) in equation (5) and a
change of the order of the integration and the summation leads to:

Z
J
X
(12)
fjk CS (x1 , x2 )Nj (x1 ) dx1 k Nj (x2 ) 0
j=1

3302

P ROCEEDINGS OF ISMA2004

There is no exact equality of the LHS and the RHS in equation (12) due to the truncation of the infinite
series in equation (11). Following a Galerkin approach, the truncation error in equation (12) is required to be
orthogonal to the space spanned by the shape functions {Ni (x)}i . After changing the order of the integration
and the summation, this leads to:

Z
ZZ
J
X
(13)
CS (x1 , x2 )Nj (x1 )Ni (x2 ) dx1 dx2 k Nj (x2 )Ni (x2 ) dx2 = 0
fjk
j=1

DD

Denoting

Cij =

ZZ

CS (x1 , x2 )Nj (x1 )Ni (x2 ) dx1 dx2

Nij =

DD

Nj (x2 )Ni (x2 ) dx2

lk = lk k

(14)

equation (13) reduces to:

J
X
j=1

Cij fjk =

J
J X
X

Nij fjl lk

(15)

j=1 l=1

or in matrix notation:
Cf = Nf

(16)

Equation (16) represents a J-dimensional generalized algebraic eigenvalue problem that leads to the eigenvalues and the eigenvectors f . The eigenfunctions {fk (x)}k of the covariance function CS (x1 , x2 ) are
obtained by substitution of f in equation (11).
Example Consider a beam with a length l = 4 m and a random bending stiffness S(x, ) = E(x, )I(x, )
where E(x, ) denotes the Youngs modulus and I(x, ) the moment of inertia. S(x, ) is a one-dimensional
stationary random process with a mean value mS = 6 106 Nm2 and a standard deviation S = 0.3mS .
The covariance function of the random process is assumed to be exponential:


x
2
(17)
CS (x1 , x2 ) = S exp
lc
where x = x2 x1 . The correlation length lc reflects the smoothness of a realization of the process: if
x is small with respect to lc , then the probability is small that S(x2 , ) differs substantially from S(x1 , ).
In the present example, the correlation length lc = 2 m. This leads to the covariance function CS (x1 , x2 )
shown in figure 1.

Figure 1: Bending stiffness covariance CS (x1 , x2 ).

VARIABILITY

3303

0.5

0.5

KLmodes [ ]

KLmodes [ ]

The random process S(x, ) is discretized by means of the KL decomposition of the zero mean random
process Y (x, ) = S(x, ) mS . As to demonstrate the influence of the order M of the KL decomposition,
the discretization is performed with M = 4 and M = 10. The KL decomposition is performed using a
set of element based piecewise third order polynomial shape functions {Nj (x)}j . For the case M = 4, a
mesh consisting of 10 elements is used, resulting in a set of J = 22 shape functions. For the case M = 10,
a mesh consisting of 25 elements is used, resulting in a set of J = 52 shape functions. The matrices
C and N are computed according to equation (14). The solution of the generalized algebraic eigenvalue
problem (16) and the backsubstitution in equation (11) lead to the eigenvalues {k }k and the eigenfunctions
{fk (x)}k . In the following, only the highest M eigenvalues and the corresponding eigenfunctions are taken
into account. Figure 2 shows these eigenfunctions for both cases M = 4 and M = 10. The restriction

0
0.5
1
0

2
Distance [m]

a. M = 4.

0
0.5
1
0

2
Distance [m]

b. M = 10.

Figure 2: Eigenfunctions {fk (x)}k corresponding to the highest M eigenvalues {k }k with (a) M = 4 and
(b) M = 10.
to the highest M eigenvalues and eigenfunctions implies that the truncated spectral representation of the
covariance function is taken into account instead of the exact covariance function. Figure 3 illustrates how

a. M = 4.

b. M = 10.

Figure 3: M -th order KL approximation of the covariance CS (x1 , x2 ) of the random process S(x, ) with
(a) M = 4 and (b) M = 10.
this (non-stationary) KL approximation converges to the (stationary) exact covariance function as the order
M of the KL decomposition increases.
In the following, the process S(x, ) is assumed to be Gaussian. The highest M eigenvalues and eigenfunctions of the covariance function are used to perform a Monte Carlo simulation of the random process S(x, ).
First, Nmcs independent sets of M independent standard Gaussian variables {j (i )}j are generated. In the

3304

P ROCEEDINGS OF ISMA2004
6

x 10

12
2

Bending stiffness [Nm ]

Bending stiffness [Nm ]

12
10
8
6
4
2

0
0

2
Distance [m]

x 10

10
8
6
4
2
0
0

a. M = 4.

2
Distance [m]

b. M = 10.

Figure 4: M -th order realizations of the Gaussian process S(x, ) with (a) M = 4 and (b) M = 10.

present case, Nmcs = 20000. Next, each of these sets {j (i )}j is introduced in equation (9), leading to
Nmcs realizations of the random process S(x, ). Figure 4 shows 10 of these realizations. Statistics allow
to verify the accuracy of the set of realizations as a representation of the random process: for M = 4, the
mean value of all of the realizations at all positions is equal to mmcs = 5.99 106 Nm2 , while the standard
deviation equals mcs = 0.28mmcs . For M = 10, the mean value of all of the realizations at all positions is
equal to mmcs = 6.00 106 Nm2 , while the standard deviation equals mcs = 0.29mmcs . As the number
Nmcs of realizations increases, their covariance converges to the M -th order KL approximation.

3 SFEM system equations

This section covers the assembly of the SFEM equations for a system with random characteristics, based on
the KL decomposition of these characteristics [1].
Consider a stochastic static finite element problem with deterministic mechanical boundary conditions and
zero displacements as kinematic boundary conditions. The equilibrium equations for the system are written
as follows:
K()U() = F
(18)
where the stochastic stiffness matrix K() is linearly dependent on a random process S(x, ) : D R.
This relation is expressed using the following operator:
K() = K (S(x, ))

(19)

The random process S(x, ) is discretized according to equation (9). The stiffness matrix is decomposed
accordingly:
M
X
Kj j ()
(20)
K() = K (S(x, )) K0 +
j=1

K0 is the stiffness matrix of the mean system. The deterministic matrices Kj are given by the operator:
(
K (mS (x))
j=0


p
Kj =
(21)
j fj (x) j = 1, . . . , M
K

The SFEM equations of the static problem become:

M
X
K0 +
Kj j () U() = F
j=1

(22)

VARIABILITY

3305

4 Gaussian SFEM
This section demonstrates the solution of the SFEM equations for mechanical systems with random characteristics modelled as a Gaussian process. The assumption of a Gaussian PDF for the system characteristics
is frequently encountered in literature [1, 2, 11, 12]. Two techniques are presented for the solution of the
SFEM equations. The first technique is based on a Monte Carlo simulation of the independent Gaussian KL
coefficients. The second technique is based on the projection of the response on the polynomial chaos.

4.1 Monte Carlo simulation

Consider the SFEM problem defined by equations (18-22). The KL coefficients {j ()}j in equation (22) are
independent standard Gaussian variables since S(x, ) is a Gaussian process. The solution of this equation
is obtained as follows by means of a Monte Carlo simulation:
1. assembly of the system matrices Kj according to equation (21),
2. generation of the sets {1 (i ), . . . , M (i )} with i = 1, . . . , nMCS of independent standard Gaussian
variables,
3. assembly of the stiffness matrix K(i ) according to equation (20) for every realization i and solution
of the deterministic system of equations K(i )U(i ) = F,
4. estimation of the PDF of the response based on the statistics of {U(i )}i .
Example The Monte Carlo simulation is performed for the calculation of the PDF of the displacement of
the tip of a clamped beam with a random bending stiffness. The beam has a length l = 4 m. The bending
stiffness S(x, ) has a Gaussian marginal PDF and an exponential covariance function, in accordance with
the bending stiffness discussed in section 2.1. The beam tip is subjected to a determistic vertical point load
f = 50 kN as shown in figure 5.

f = 50 kN
y
x

Figure 5: Clamped beam subjected to a point load.

The SFEM equations are assembled taking into account the first M = 4 KL modes of the bending stiffness.
A 10 element mesh is used both for the calculation of the KL modes and for the assembly of the system
equations which are solved by means of a Monte Carlo simulation with nMCS = 20000 realizations. For
each realization i, the vertical displacement Un (i ) of the beam tip is calculated. Statistics are used to
estimate the mean value mUn and the standard deviation Un of the displacement Un (): this leads to the
mean value mUn = 0.19 m and the standard deviation Un = 0.75 m. Note that the mean displacement
mUn of the random system is larger than the displacement of the mean system umn = P l3 /3mS = 0.18 m.
The histogram of the displacements {Un (i )}i leads to the estimation of the PDF pUn (un ) shown in figure
6. While the Gaussian marginal PDF of the bending stiffness is symmetric with respect to the mean value,
the PDF of the response is asymmetric. This is due to the non-linearity of the transformation applied to

3306

P ROCEEDINGS OF ISMA2004

Probability density [1/m]

10
8
6
4
2
0
1

0.5
0
0.5
Displacement [m]

Figure 6: Estimation of the PDF pUn (un ) of the vertical displacement of the beam tip.

the bending stiffness as to obtain the response. Furthermore, as the support of the Gaussian marginal PDF
extends over the entire set of real numbers R, the direction of the response Un () does not correspond to the
direction of the force f almost surely. As a result, the PDF pUn (un ) is not exactly equal to zero for un > 0,
even though this is not visible in figure 6.

4.2 Projection on the polynomial chaos

Consider the SFEM problem defined by equations (18-22). The stochastic response U(1 (), . . . , M ()) is
projected on the polynomial chaos of order P :
U()

Q
X

Aq q (1 (), . . . , M ())

(23)

q=1

Herein, Aq is a deterministic vector of the same length as the response vector U().
The polynomial chaos is a Hilbert basis of the space of random variables, consisting of the M -dimensional
Hermite polynomials q (1 (), . . . , M ()) in terms of the KL coefficients {j ()}j . The polynomial chaos
of order P is the subset of this basis containing the polynomials up to order P . The restriction to this subset in
equation (23) results in a P -th order polynomial approximation of the response surface U(1 (), . . . , M ()).
The M -dimensional Hermite polynomials are defined as follows:
q (z) =

M
Y

hqk (zk )

(24)

k=1

Herein, the Q M -dimensional matrix collects all multi-indices q NM satisfying

hn (z) is the n-th order normalized one-dimensional Hermite polynomial, defined as:
1
hn (z) = Hn (z)
n!

PM

k=1 qk

P.
(25)

where the polynomial Hn (z) follows from the recurrence relation:

H0 (z) = 1

H1 (z) = z

Hn+1 (z) = zHn (z) nHn1 (z)

(26)

The M -dimensional Hermite polynomials {q (z)}q are orthonormal with respect to the Gaussian probability
measure, so if z is a M -dimensional standard Gaussian variable then:
Z
1
kzk2
q (z)r (z) p
E {q (z)r (z)} =
exp(
) dz = qr
(27)
2
(2)n
RM

VARIABILITY

3307

The introduction of equation (23) in equation (22) leads to:

Q
M
X
X
K0 +
Kj j () Aq q F
q=1

(28)

j=1

The arguments of the Hermite polynomial q (1 (), . . . , M ()) have been omitted as to improve readability.
There is no exact equality of the LHS and the RHS of equation (28) due to the restriction of the Hilbert basis
to the polynomial chaos of order P . According to the Galerkin finite element method, orthogonality of the
truncation error in equation (28) and the Hermite polynomials is enforced. This leads to:

Q
M
X
X

Kj cjqr Aq = F0r , r = 1, . . . , Q
(29)
q=1

j=0

where cjqr is defined as:

cjqr

(
E {q r }
j=0
=
E {j q r } j = 1, . . . , M

(30)

From the recurrence relation (26) and the orthonormality property (27), the following expression for cjqr is
derived:

j=0

qr
M


Q

(31)
cjqr =
rj qj +1,rj + qj rj +1,qj
qk rk j 6= 0

k=1
k6=j

The set of equations (29) can be written in matrix notation:

Kpc Apc = Fpc

(32)

with:

Kpc

M
P

Kj cj11

j=0

..
..
=
.
.

P
M

Kj cjQ1
j=0

M
P

Kj cj1Q

j=0

M
P

Kj cjQQ

Apc

j=0

A1
..
= .
AQ

Fpc

F
0

=.
..
0

(33)

The solution of the system of equations (32) leads to the vectors {Aq }q . A polynomial approximation of the
response surface U(1 (), . . . , M ()) is obtained by substitution of these vectors {Aq }q in equation (23).
The mean value mU of the response is obtained as:
mU =

Q
X
q=1

Aq E {q } =

Q
X

Aq 1q = A1

(34)

q=1

where we assume without loss of generality that q = 0 for q = 1. The correlation matrix RU of the
response is obtained as:
RU =

Q X
Q
X
q=1 r=1

Aq ATr E {q r } =

Q X
Q
X
q=1 r=1

Aq ATr qr =

Q
X
q=1

Aq ATq

3308

P ROCEEDINGS OF ISMA2004

Example The SFEM problem described in section 4.1 is solved by a projection of the response on the
polynomial chaos. A number of M = 4 KL modes is taken into account and the order of the polynomial
chaos is chosen equal to P = 4. In this case, the polynomial chaos {q (1 (), . . . , 4 ())}q consists of
Q = 70 four-dimensional Hermite polynomials.
First, the KL decomposition of the bending stiffness S(x, ) leads to the matrices {Kj }j according to equation (21). Next, 4 70 70 values of cjqr are calculated according to equation (31) and used to assemble
Kpc according to equation (33). The solution of the system of equations (32) gives the vectors {Aq }q . Finally, equations (34) and (35) are used to calculate the mean value mUn and the standard deviation Un of
the displacement Un () of the beam tip: this leads to a mean value mUn = 0.20 m and a standard deviation
Un = 0.08 m.
Note that this estimation of the standard deviation Un differs substantially from the standard deviation
Un = 0.75 m obtained with the Monte Carlo simulation in section 4.1. As demonstrated in the following
section 5, this discrepancy is due to the assumption that the marginal PDF of the bending stiffness S(x, ) is
Gaussian.

5 Response of a Gaussian system

In this section, the implications of the assumption of a Gaussian stiffness on the stochastic properties of the
response of a mechanical system are discussed.
Consider a clamped beam similar as in section 4.1. Let the correlation length lc of the bending stiffness
S(x, ) be infinite so that the Gaussian process S(x, ) reduces to a Gaussian variable S(). The beam is
subjected to a deterministic force f as in figure 5. As to assess the displacement Un () of the beam tip,
the beam can be considered as a single degree of freedom (SDOF) system with a Gaussian spring stiffness
K() = 3S()/l3 . The second order moment of the response Un () is equal to:
Z  2
n
o
f
2
pK (k) dk
E [Un ()] =
k

(35)

 2
f
where pK (k) is the Gaussian PDF of the spring stiffness. Since the integrand
pK (k) is non-negative
k
in the entire integration domain:
o Z  f 2
n
2
E [Un ()]
pK (k) dk
k

> 0

(36)

The Gaussian PDF pK (k) is such that:

b > 0, > 0 : pK (k) b

k [, ]

(37)

Hence:
Z  2
Z  2
o Z  f 2
n
f
f
2
b dk = lim
b dk + lim
b dk =
E [Un ()]

+
k
k
k
0
0

(38)

Equation (38) illustrates that the second order moment of the displacement of a system with a Gaussian
stiffness due to a deterministic force is infinite, or equivalently, that the response is not a second order
random variable [8]. In fact, this is not only true for the Gaussian PDF but for any PDF satisfying equation
(37). A stochastic mechanical system leading to a displacement with an infinite second order moment is not

VARIABILITY

3309

physically sound, since it implies that the expected value of the deformation energy is undefined. Therefore,
it is impossible that the PDF of the stiffness of a mechanical system satisfies equation (37). Consequently, a
mechanical system with a Gaussian stiffness does not exist.
This corollary has important implications regarding the application of the SFEM to Gaussian systems. It necessitates the re-interpretation of the results of the example with the clamped beam with a Gaussian bending
stiffness elaborated in sections 4.1 and 4.2. First, the estimation of the standard deviation Un of the response
Un () can never be accurate since the exact value of the standard deviation is infinite. Indeed, performing
different Monte Carlo simulations never reveals convergence of the standard deviation Un , whatever the
number of realizations nMCS is. Second, the central limit theorem cannot be used to evaluate the reliability
of the estimation of the mean response mUn as obtained by means of a Monte Carlo simulation, as this theorem is only valid for second order random variables [8, 9]. As a result, the Monte Carlo simulation can not
be used for a reliable prediction of the mean value of the response of a mechanical system with a Gaussian
stiffness.

6 Non-Gaussian SFEM
This section demonstrates a solution technique for the SFEM equations for mechanical systems with nonGaussian random characteristics. The technique is based on a Monte Carlo simulation of the mutually
dependent KL coefficents.

6.1 Monte Carlo simulation

Consider the SFEM problem defined by equations (18-22), where the random process S(x, ) has a nonGaussian marginal PDF. The Monte Carlo simulation as described in section 4.1 is applicable for this
problem, except for step 2. The KL coefficients {j ()}j of the discretized non-Gaussian process S(x, )
are mutually dependent and have an unknown joint PDF. Hence, it is impossible to generate realizations of
these coefficients directly [4]. This problem is circumvented by using another method to generate realizations
of the random process. Next, these realizations are projected on the KL modes according to equation (10), so
delivering realizations of the KL coefficients [4]. Given the realizations of the random process, the projection
on the KL modes might seem redundant since it is possible to assemble the FEM equations directly for
each realization. However, the direct assembly necessitates the projection of each realization on all shape
functions used for the FEM discretization, while the KL based assembly as performed in step 3 in section
4.1 only requires the projection on the first M KL modes.
Poirion and Soize [3, 4] generate realizations of a filtered Poisson process as to simulate a non-Gaussian
process with given covariance function and lowest order statistical moments. However, this method does not
allow to achieve a set of realizations with a proposed marginal PDF. As a result, this method is not fit for
the simulation of an almost surely strictly positive process or a process with a marginal PDF that satisfies
equation (37).
In the present paper, an alternative simulation technique is applied. First, the non-Gaussian process S(x, )
with marginal PDF pSx (s) and covariance function CS (x1 , x2 ) is decomposed in terms of the mean process
mS (x) and the zero mean random non-Gaussian process Y (x, ) according to equation (1). Next, the nonGaussian process Y (x, ) is expressed as a memoryless transformation of an underlying standard Gaussian
process Z(x, ). The covariance function CZ (x1 , x2 ) of the underlying Gaussian process is chosen so that
the transformation leads to a non-Gaussian process with the proposed covariance function CS (x1 , x2 ). Realizations of the Gaussian process are generated by means of its KL decomposition. The application of the
transformation leads to realizations of the non-Gaussian process [5, 6, 7].
The underlying Gaussian process Z(x, ) is transformed to the non-Gaussian process Y (x, ) by means of

3310

P ROCEEDINGS OF ISMA2004

the cumulative density functions (CDF) of both processes:

(FZ (Z(x, )))
Y (x, ) = FY1
x

(39)

where FYx (y) is the marginal CDF of the non-Gaussian process at position x and FZ (z) is the standard
Gaussian CDF. An approximation of the transformation (39) is obtained in terms of the one-dimensional
polynomial chaos of order P :
P
X
vn (x)hn (Z(x, ))
(40)
Y (x, )
n=0

where hn (z) denotes the normalized one-dimensional Hermite polynomial of order n as defined by equation
(25). By virtue of the orthonormality of the Hermite polynomials {hn (z)}n with respect to the Gaussian
probability measure, the coefficients {vn (x)}n are obtained as:
vn (x) = E {Y (x, )hn (Z(x, ))} =

(FZ (z))hn (z)pZ (z)dz

FY1
x

(41)

where pZ (z) denotes the standard Gaussian PDF. If Y (x, ) is a stationary process, then equation (41)
reduces to:
Z
(42)
FY1 (FZ (z))hn (z)pZ (z)dz
vn =

Equating the covariance of the LHS and the RHS of equation (40) leads to:
CS (x1 , x2 )

P
X

vn (x1 )vn (x2 ) [CZ (x1 , x2 )]n

(43)

n=0

If Y (x, ) is a stationary process, then equation (43) reduces to:

CS (x)

P
X

vn2 [CZ (x)]n

(44)

n=0

If this polynomial equation can be solved for every distance x and if this leads to a non-negative definite
function CZ (x), then the covariance function of the underlying Gaussian process is found. Otherwise,
a method developed by Puig et al. [6] yielding an approximation of the solution can be applied. Once the
covariance function CZ (x) is obtained, the MZ -th order KL decomposition of the underlying Gaussian
process is performed. Realizations of this process are then generated as in section 2.1. These are transformed
into realizations of the non-Gaussian process Y (x, ) according to equation (39).
The non-Gaussian realizations are projected on the KL modes obtained from the MY -th order KL decomposition of the non-Gaussian process Y (x, ). This leads to the realizations of the non-Gaussian KL coefficients
required to solve the SFEM equations by means of a Monte Carlo simulation as described in section 4.1.
Example The SFEM is applied to calculate the displacement of a clamped beam with a stationary nonGaussian bending stiffness. The beam has a length l = 4 m. The bending stiffness has a Gamma marginal
PDF. The parameters of the Gamma PDF are = 11.111 and = 5.4 105 , so that the mean value of the
bending stiffness is mS = 6 106 Nm2 and the standard deviation is equal to S = 0.3mS . The covariance
function of the random process is assumed to be exponential according to equation (17) with a correlation
length lc = 2 m. The beam tip is subjected to a determistic vertical point load f = 50 kN as shown in figure
5.
The random process is decomposed into the deterministic mean process mS and the zero mean random
process Y (x, ) according to equation (1). This process Y (x, ) is expressed as a transformation of a standard

VARIABILITY

3311
7

x 10

1
0.5

2.5
Exact
Q=1
Q=2
Q=4

0
0.5
1
5

x 10

Exact
Q=1
Q=2
Q=4

Probability density [1/Nm ]

NonGaussian Y(x,) [Nm ]

1.5

0
Underlying Gaussian Z(x,) [ ]

2
1.5
1
0.5
0
1

Figure 7: Transformation from the underlying

Gaussian process Z(x, ) to the non-Gaussian process Y (x, ): exact transformation and P -th order
polynomial chaos approximations.

0.5
0
0.5
1
1.5
2
NonGaussian Y(x,) [Nm ] x 107

Figure 8: Marginal PDF for the exact non-Gaussian

process Y (x, ) and for the P -th order polynomial
chaos approximations of the process.

Gaussian process Z(x, ) by means of equation (39). The projection of this transformation on the polynomial
chaos of order P provides an approximation of Y (x, ) as a function of Z(x, ) according to equation
(40). The coefficients vn in equation (40) are obtained according to equation (42). Figure 7 shows the
exact transformation and the P -th order polynomial chaos approximation for P = 1, 2 and 4. The exact
transformation and the 4th order approximation are indistinguishable. Figure 8 shows the marginal PDF
pY (y) of the zero mean non-Gaussian process as obtained by a transformation of the underlying Gaussian
process. The 1st order approximation of the transformation leads to a Gaussian process while the 4th order
approximation leads to a process with a marginal PDF indistinguishable from the target PDF. The 2nd order
approximation leads to a process with an acceptable marginal PDF and is selected for further calculation.
1.5

Covariance [ ]

C /
S S
C
Z

0.5

0
0

2
Distance [m]

Figure 9: Normalized covariance CS (x)/S2 of the non-Gaussian process Y (x, ) and covariance CZ (x)
of the underlying Gaussian process Z(x, ).
For every distance x, the value of the covariance function CZ (x) of the underlying Gaussian process
Z(x, ) is obtained as a solution of equation (44). Figure 9 shows the covariance CZ (x) as compared
to the normalized covariance CS (x)/S2 of the non-Gaussian process Y (x, ). In the present case, both
curves are nearly indistinguishable.
Starting from the covariance function CZ (x), the KL decomposition of order MZ = 4 is performed as
to generate nM CS = 20000 realizations of the underlying Gaussian process Z(x, ). These realizations are
transformed into realizations of the non-Gaussian process and projected on the MY = 4 first KL modes of
the non-Gaussian process, so delivering realizations of the non-Gaussian KL coefficients {j (i }j . The KL

3312

P ROCEEDINGS OF ISMA2004

decomposition of both processes is performed as in section 2.1, using a mesh consisting of 10 elements.
The SFEM equations are solved by means of a Monte Carlo simulation: for each realization i, the vertical
displacement Un (i ) of the beam tip is calculated. The estimated mean value of this displacement is equal
to mUn = 0.19 m and the estimated standard deviation is Un = 0.05 m. According to the central limit
theorem, the probability of an absolute difference larger than 1 mm between the actual and the estimated
mean value of the displacement is equal to 0.0065. The convergence of the estimation of the standard
deviation Un is verified by performing an increasing number of Monte Carlo simulations. Figure 10 shows
an estimation of the PDF pUn (un ) of the displacement Un (). Since the support of the Gamma marginal

Probability density [1/m]

10
8
6
4
2
0
1

0.5
0
0.5
Displacement [m]

Figure 10: Estimation of the PDF pUn (un ) of the vertical displacement of the beam tip.
PDF of the bending stiffness is restricted to the set of positive real numbers R+ , the direction of the response
Un () corresponds to the direction of the force f almost surely. Consequently, the PDF pUn (un ) is exactly
equal to zero for un > 0, as opposed to the PDF of the displacement of a beam with a Gaussian bending
stiffness.

7 Conclusion
This paper illustrates the application of the SFEM for the solution of mechanical problems with spatially
varying random characteristics modelled as random processes. Both Gaussian and non-Gaussian processes
are covered.
First, the Gaussian case is considered. Two techniques are applied to solve the SFEM equations for systems
with Gaussian characteristics. The first technique is a Monte Carlo simulation of the random coefficients occurring in the KL decomposition of the Gaussian processes. The second technique is based on the projection
of the response on the polynomial chaos in terms of the random KL coefficients. It is shown both numerically
and analytically that the variance of the response of a system with a Gaussian stiffness is infinite. This is not
physically sound as it implies that the expected value of the deformation energy of the system is undefined.
Next, the non-Gaussian case is treated. An adaptation of the Monte Carlo solution of the SFEM equations is
presented as to enable the calculation of the response of non-Gaussian systems. As opposed to the Gaussian
case, the direct generation of the KL coefficients is impossible in this case since they are mutually dependent
and their joint probability distribution is unknown. Hence they are obtained by the projection of realizations
of the non-Gaussian process, generated by means of Hermite polynomial expansion.

VARIABILITY

3313

References
[1] R. Ghanem and P.D. Spanos. Stochastic finite elements: a spectral approach. Springer-Verlag New
York Inc., New York, 1991.
[2] C.Z. Karakostas and G.D. Manolis. Dynamic response of tunnels in stochastic soils by the boundary
element method. Engineering Analysis with Boundary Elements, 26:667680, 2002.
[3] F. Poirion. Numerical simulation of homogeneous non-Gaussian random vector fields. Journal of
Sound and Vibration, 160(1):2542, 1993.
[4] F. Poirion and C. Soize. Monte Carlo construction of Karhunen Loeve expansion for non-Gaussian
random fields. In N. Jones and R. Ghanem, editors, 13th ASCE Engineering Mechanics Division
Conference, Baltimore, USA, June 13-16 1999.
[5] B. Puig and J.-L. Akian. Non-Gaussian simulation using Hermite polynomial expansion and maximum
entropy principle. Probabilistic Engineering Mechanics, 2003. Article in press.
[6] B. Puig, F. Poirion, and C. Soize. Non-Gaussian simulation using Hermite polynomial expansion:
convergences and algorithms. Probabilistic Engineering Mechanics, 17:253264, 2002.
[7] S. Sakamoto and R. Ghanem. Polynomial chaos decomposition for the simulation of non-Gaussian
nonstationary stochastic processes. Journal of Engineering Mechanics, Proceedings of the ASCE,
128(2):190201, 2002.
[8] C. Soize. Probabilites et modelisation des incertitudes: e lements de base et concepts fondamentaux.
Handed out at the seminaire de formation de lecole doctorale MODES, Paris, May 2003.
[9] A. Spanos. Probability theory and statistical inference. Cambridge University Press, Cambridge, U.K.,
1999.
[10] B. Van den Nieuwenhof. Stochastic finite elements for elastodynamics: random field and shape uncertainty modelling using direct and modal perturbation-based approaches. PhD thesis, Universite
Catholique de Louvain, 2003.
[11] C.H. Yeh and M.S. Rahman. A stochastic finite element analysis for the seismic response variability
soil sites. In H.J. Siriwardane and M.M. Zaman, editors, Computer Methods and Advances in Geomechanics: Proceedings of the Eighth International Conference, pages 10171022, Morgantown, USA,
May 1994. Balkema Publishers.
[12] A. Zerva and T. Harada. Effect of surface layer stochasticity on seismic ground motion coherence and
strain estimates. Soil Dynamics and Earthquake Engineering, 16:445457, 1997.

3314

P ROCEEDINGS OF ISMA2004