ARMA MODELED

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Mechanical Systems

and

Signal Processing

Mechanical Systems and Signal Processing 22 (2008) 295314

www.elsevier.com/locate/jnlabr/ymssp

monitoring of civil infrastructure

E. Peter Carden, James M.W. Brownjohn

Department of Civil and Structural Engineering, University of Sheffield, Sir Frederick Mappin Building, Sheffield S1 3JD, UK

Received 20 July 2006; received in revised form 16 July 2007; accepted 18 July 2007

Available online 22 July 2007

Abstract

Structural health monitoring (SHM) is the subject of a great deal of ongoing research leading to the capability that

reliable remote monitoring of civil infrastructure would allow a shift from schedule-based to condition-based maintenance

strategies. The rst stage in such a system would be the indication of an extraordinary change in the structures

behaviour.

A statistical classication algorithm is presented here which is based on analysis of a structures response in the time

domain. The time-series responses are tted with Autoregressive Moving Average (ARMA) models and the ARMA

coefcients are fed to the classier. The classier is capable of learning in an unsupervised manner and of forming new

classes when the structural response exhibits change.

The approach is demonstrated with experimental data from the IASCASCE benchmark four-storey frame structure,

the Z24 bridge and the MalaysiaSingapore Second Link bridge. The classier is found to be capable of identifying

structural change in all cases and of forming distinct classes corresponding to different structural states in most cases.

r 2007 Elsevier Ltd. All rights reserved.

1. Introduction

The last two decades have seen a great deal of research and publication in the eld of structural health

monitoring (SHM) and there has been a proliferation of SHM paradigms put forward [13], with long-term

monitoring systems implemented on bridges in Europe, the United States and Asia [46]. This has provided a

great deal of practical experience and knowledge and helped SHM reach a greater level of maturity.

Despite this level of research, a robust method of indicating an adverse condition of a structure in service

has yet to be demonstrated and widely implemented. This level of SHM is generally referred to as level 1. The

classication algorithm proposed in this paper is primarily aimed at this level but can also provide a heuristic

guide to the condition of the structure depending on the level of prior knowledge.

Corresponding author. Tel.: +44 114 222 5745; fax: +44 114 222 5700.

E-mail address: peter.carden@shefeld.ac.uk (E. Peter Carden).

0888-3270/$ - see front matter r 2007 Elsevier Ltd. All rights reserved.

doi:10.1016/j.ymssp.2007.07.003

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Modelling of time histories is common in many disciplines and has been used to study various phenomena

from sunspot activities to stock market indexes. The literature on the subject is extensive. A classic treatment is

provided by Box et al. [7] while a more system analysis focused approach, and perhaps a more directly useful

primer to the vibration engineer, is given by Pandit and Wu [8].

It is possible to build linear stochastic models of structural time response histories using Autoregressive

Moving Average (ARMA) models if it is supposed that the structure is randomly excited. An ARMA model of

order (p, q) is dened

fBzt yBat , (1)

where zt is the time history response of the structure. at is the series of Gaussian distributed random shocks

exciting the structure. f(B) is the AR function of order p and y(B) is the MA function of order q dened,

respectively, as

fB 1 f1 B fp Bp , (2)

yB 1 y1 B yq Bq , (3)

B is the backward shift operator: Bmzt ztm.

The AR parameters are directly related to the system poles, li, i 1, 2, y, n through the following equation

[8]. For the case of dynamic structural response involving a number of vibration modes, n is twice the number

of system modes excited and each mode is represented by a complex conjugated pair of poles

X

n

fl 1l1 li 1 li 2 . . . li l . (4)

i1 ;i2 ;...il 1; i1 oi2 ooil

Each pair of poles is related to the natural frequency, oj, and damping ratio, zj, of a mode through the

following equation, where i 2j:

p

2

li ; li1 eDzoj oj zj 1 , (5)

where li1 is the complex conjugate of li. D is the sampling time interval.

Thus, the natural frequency and damping ratio may be determined by examining only the AR parameters.

This has led to the moving-average parameters generally receiving less attention in the system identication

literature despite their importance for modelling. For example, Fig. 1 shows the power spectral densities of

single-degree-of-freedom (SDOF) systems modelled as ARMA(2, 1) systems. The analytical link between an

SDOF and an ARMA(2, 1) model is expounded in Appendix A. In Fig. 1, the AR parameters are held

constant while the MA parameter is varied over a range of 0.52.5. The greater power in the signal with the

MA parameter equal to 0.5 compared with 1.0 is not an error but rather results from the non-linear

relationship between the MA parameter and the power in the mode. It should be noted that changing the MA

Fig. 1. Auto-power spectral densities of SDOF systems modelled with varying values of the MA parameter while maintaining the AR

parameter values.

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E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314 297

parameter while maintaining the AR parameter values is equivalent to changing the stiffness, mass and

damping properties of an SDOF system while maintaining the natural frequency and damping ratio values;

the ve spectral densities depicted cannot come from the same SDOF if the excitation is invariant. In a

multiple-degree-of-freedom system the amplitude response of each mode at a particular point is not equal and

the MA parameters are required to model this phenomenon.

If a structure is excited by truly random Gaussian distributed noise and no noise is present in the

measurement then the order of the AR function (p) will equal n and the order of the MA function (q) will

equal n1, i.e. it may be modelled as an ARMA(n, n1) process [8]. If noise is present in the measurement then

it may be modelled as an extra MA parameter, i.e. as an ARMA(n, n) process [9]. An outline of the justication

for this is given in Appendix B. In reality the excitation may not be truly Gaussian and may be imagined as

Gaussian noise passing through a shaping lter before exciting the system. The poles of the shaping lter may

then be modelled as extra ARMA parameters and thus p, q 4n. It is common when acquiring data to apply

ltering to the signal, to prevent aliasing for example and such lters will introduce additional numerical poles

into the measured response.

When dealing with real data measured on structures, it is therefore generally not possible to determine an

exact model order a priori. A sufcient model order may be determined by examining the residuals at on the

input side of Eq. (1). If they are not white then the ARMA model has not captured the system dynamics, the

excitation poles, the measurement noise, the lter characteristics or a combination of these.

The Akaike information criterion (AIC), the Bayesian information criterion (BIC) and Rissanens minimum

description length (MDL) criterion may also help in determining suitable model orders [10]. Each of these

criteria penalise larger model orders in different ways. Hence, they may suggest different model orders and

should be used with careful judgement.

Stability diagrams are often used by the modal analysis community. This approach does not rely on

examining the residuals after tting as a large degree of over modelling takes place. A large range of model

orders are tted to the data with most of the model orders being greater than that needed to model the modes

in the system. The modal parameters identied for each model order are then plotted on a diagram. The modal

parameters stability across the range of model orders is then examined and this gives rise to the name

stability diagram. Those modal parameters, which are deemed to pass the analyst dened criteria of stability,

are deemed real physical modes; those that do not are disregarded as spurious. The instability of these extra

poles means that they should be avoided in forming ARMA models for classication. They will vary randomly

from time series to time series from the same structure. Choosing a parsimonious model, which captures all the

real modes, is the best approach. The stability diagram can be a useful tool in indicating the number of modes

observable in the response from a structure and can be used as a good starting point for choosing the model

order based on analysis of the residuals. The examination of the residuals will be discussed in further detail

when building models for the data from the ASCE Benchmark structure.

Changes in a structures stiffness, mass or damping properties will change its modal properties. With the

relationship between modal parameters and ARMA parameters expounded in Eqs. (4) and (5), it is clear that

the ARMA parameters representing the dynamics of a structure may be used for health monitoring of that

structure. Indeed AR and ARMA models have been tted to historical response data from structures in

undamaged states in order to create features for statistical process control, for example [11,12]. The residuals

of the AR and ARMA models were used to form statistical process control charts and control limits were

calculated by assuming the mean and variances of groups of the residuals to be normally distributed. This

allowed the formation of condence intervals for the undamaged structures responses. The same stochastic

models were then tted to subsequent time history responses of the structures in damaged states. The resulting

residuals were plotted on the control charts and those points lying outside of control limits were counted as

outliers and used to indicate a change in the system and damage was successfully indicated. Mattson and

Pandit [13] investigated the use of skewness and kurtosis as features for damage diagnosis but found them to

be less reliable than the variance. Statistical process control charts do not allow the determination of the cause

of structural response change. The classier presented in this paper can provide such information if the time

histories of the structure in such states have been previously measured.

The use of AR models rather than ARMA models is possible because the MA parameter series may be

inverted to an AR parameter series. The equivalent series is theoretically of innite length but in practice may

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be adequately estimated by a series of nite length. The actual length of the AR series needed to adequately

describe the MA series is dependent on the magnitude of the MA parameters but is always longer the MA

series. Supercially it would therefore seem rather misguided; however the advantage in using AR models

without MA terms is that they may be estimated in a linear least-squared manner whereas ARMA models

must be estimated using non-linear least-squared techniques. There is therefore a compromise between

parsimony of model order and computational burden, which the practitioner must balance. In this paper,

ARMA models are estimated using Ljungs System Identication Toolbox in Matlab [14].

Sohn and Farrar [15] modelled time-series responses as ARARX processes which is equivalent to a

linearisation of an ARMA process. They set up a data bank of the ARARX parameters from previously

modelled time series of an 8-DOF system in an undamaged state with different levels of force input. New data

sets were then tted with the closest ARARX set in the data bank. The standard deviation of the residuals

from the new time series were compared with those from the old time series and a statistically signicant

difference indicated damage. Sohn et al. [16] employed a more sophisticated statistical test of the standard

deviation of the residuals and showed successful results with a three-storey laboratory frame structure.

The approach taken in these papers is very similar to that presented in this paper. The differences lie in the

modelling strategy (ARMA models are used in this paper), and in the method for distinguishing statistically

signicant differences between the residuals.

More recently, ARMA modelling was applied to the ASCE benchmark building [17] to detect and locate

damage. The rst AR coefcient was normalised by the square root of the sum of the squares of the rst three

AR coefcients to form a damage sensitive feature. Using the t-test with both analytical and experimental

results, this feature was determined to be signicantly different between signals from the structure in

undamaged and damaged states. Furthermore, the location of damage was indicated from indices calculated

from the relative changes in the rst two AR coefcients. When compared to baseline values for the structure

in a healthy state, the indices showed greater changes in value for time histories recorded from sensors closest

to the location of damage rather than those further away. The method was successful, although the

methodology employed to t the ARMA models was rather unorthodox. Finite MA windows were applied to

the time histories to remove cyclical trends seen in the autocorrelation plots. If seasonal trends had been

present, such as diurnal temperature changes, then this strategy would be fully justied. The damped sine wave

structures present in the autocorrelation plots are to be fully expected in over-damped systems with complex

conjugate poles and it is unnecessary to remove them [7,8]. Due to the windowing, the resulting ARMA

coefcients are difcult to interpret directly for physical meaning and thus the almost arbitrary sounding

normalisation of the AR coefcients would seem to have been necessary. Finite MA windows are not applied

to the time histories in this paper and a sound physically based modelling strategy is employed.

The basis of a classication algorithm using a statistical test on the residuals of the model is presented in the

following section. The algorithm is then demonstrated on experimental data from the ASCE benchmark 4-

storey structure [18], the Z24 bridge [19] and the MalaysiaSingapore Second Link bridge [20].

2. Classication algorithm

If a structural system changes in some way then clearly so will its ARMA parameters. A classication of the

ARMA parameters is therefore a logical approach to monitoring the health of a structure. A statistical test is

needed to determine such changes as being signicant or not as ARMA parameters estimated from measured

time series have natural variability. The variability will be lower for longer time series and the estimated

coefcients will converge on the true process values as the length of the time series tends to innity. For

instance the analytically derived variance for the MA coefcient, y, of an MA(1) process is (1y2)/n, where n is

the number of samples in the time series [7]. To the authors knowledge it is not possible to derive rigorous

expressions for analytical variance of general ARMA models. However, Box et al. [7] Section 7.1.7,

demonstrated that approximate 1e condence regions of the ARMA parameters are bounded by a contour

on the surface of the sum of the squares of the residuals given by

2

SboSb^ 1 w k , (6)

n

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S( ) is the sum of the squares of the residuals function, b are the ARMA parameters estimated from a time

series of length n and b^ are the previously known ARMA parameters from a particular process. Generally,

only an estimate of b^ is known. w2 k is the signicance point exceeded by a proportion e of the w2 distribution,

having k degrees of freedom. k is equal to the order of the ARMA model. e is chosen as 1% in the systems

examined later.

Eq. (6) allows the comparison of all the ARMA parameters simultaneously. If it is postulated that the time

series is generated by a process with true ARMA parameters b, ^ which means it is a structure in a healthy state

in our context, then Eq. (6) tests whether the parameters b are signicantly statistically similar or different to

^ in other words healthy or not healthy.

b,

The ARMA parameters consist not only of the structures dynamic characteristics but also characteristics of

excitation, noise and ltering as already stated. If these other characteristics are inconsistent, say the variable

excitation of a bridge by trafc, then new poles of low energy may appear or disappear in the signal. Because

of their low-energy content, the inequality in Eq. (6) may still hold, however the direct comparison of ARMA

parameters is not always possible. For this reason it may be sometimes possible to average b from several time

series to get an improved estimate of b, ^ but not in other cases. It is desirable to get a better estimate b^ rather

than hold many sets of b separately as it would reduce the error of falsely assessing a time series as being from

the same process when it is in fact from a different process. If a class corresponding to the structure in a

healthy state were set up it would therefore contain several sets of b^ values each of which was estimated from

several time series. This explains Step 5(b) in the classication algorithm described below.

Eq. (6) will be used as the basis for a classication algorithm for SHM assuming that ARMA models can be

tted to the responses of the structure being measured. If a number of time series from the structure are

available, the classier may be run in an unsupervised learning mode according to the following steps.

Step 1: Estimate b for the rst time series and use these to form class 1 where b^ 11 is equal to b.

Step 2: Feed another time series to the classier, estimate b and S(b) for the new time series.

Step 3: Estimate Sb^ ca , c 1, 2, ym; a 1, 2, y n, where m is the number of classes previously formed by

the classier and n is the number of sets of parameters held in class c.

Step 4: Use Eq. (6) with S(b) and Sb^ ca , for all c and a, and see if the inequality holds.

Step 5: If the inequality holds for any parameter set a in class c then:

(a) Classify the signal in that class;

(b) If the difference between each element of b and b^ ca is less than z% then update b^ ca by averaging in

b; if it greater than z% then add b^ cn1 equal to b to class c.

If the inequality does not hold, form a new class with b^ m11 equal to b.

Step 6: Repeat steps 25 for the number of series required.

z% is chosen as 20% in the classication examples in this paper. The classier was found to work with many

values of z% from 5% to 50% and its chosen value was not found to be critical to the performance of the

classier. No attempt to ascertain an optimal value has been made and it is likely that a more suitable criterion

could be developed. Nevertheless, this criterion works sufciently well in the applications presented in this

paper.

If the structural response changes due to damage or structural deterioration such as bearing wear,

extraordinary loading, environmental variables etc, then the classier should form a new class. For the

purposes of SHM it would be desirable to separate the effects of environmental variables such as temperature

from other causes of change in structural response. To achieve this, a database containing classes formed from

the structure in a healthy, normally loaded state over a period of varying environmental conditions could be

stored. New time-series responses from the structure could then be compared to this database. The formation

of the database would involve an extended period of initial monitoring. This task is beyond the scope of this

present paper and is the subject of current research by the authors.

In operation, the rst estimate, b^ cp , of each class may be considerably different to the true b^ c of that class.

As a result, several classes may be initially formed which all correspond to the same state of the structure.

However, after more series are passed to the classier the estimates of b^ c will converge towards the true value

of b^ c and each of these classes will therefore also converge towards each other. The examples presented in this

paper all exhibit this phenomenon. In particular, the process is explicitly presented in the MalaysiaSingapore

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300 E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314

Second Link case study. Two classes were initially formed for the structure in a healthy state. The values of

the single AR and single MA parameters in the two classes were quite different on formation (if they were not,

separate classes would not be formed). After the classier received 15 series from the structure in a healthy

state, the single AR and single MA parameters in the two classes converged towards the same values. It is not

explicitly shown in the other two case studies because of the number parameters involved (the ARMA model

orders are much larger) and the limited space available.

The classication approach is demonstrated with experimental dynamic data from the ASCE Benchmark

structure and the Z24 bridge in various states of damage. The testing of these structures was undertaken over a

short period of time. The changes in environmental variables between day and night over the several days are

less than can be expected over the course of year (a freezing winters day compared to a hot summers day for

example). In this sense, the changes in the environmental variables were therefore limited. The classication

approach is also demonstrated with static data from the MalaysiaSingapore Second Link Bridge recorded

over a period of 7 years. Both creep and diurnal trends in the data are incorporated in the time-series

modelling.

The success of being able to classify any time series will depend on the covariances of the AR and MA

parameters. If the uncertainty in their estimation is greater than the shift caused in them by a change in the

structure then it will be very difcult to successfully identify such a change. The type and magnitude of

the change in the structure will determine the magnitude of the shift in the AR and MA parameters. The

covariances of the AR and MA parameters are dependent on the order of the model needed to be tted and

their values, which are a function of the modal properties of the structure. These factors are outside the

control of the analyst. However, their variances will reduce with increased length of duration of the response

from which they are estimated. If the excitation of the structure remains stationary then the longer the

response the better, though the excitation may not always remain so. It is therefore difcult to give any general

guidelines as to what duration of response is required to allow successful classicationit will be particular to

the properties of the structure, its typical excitation and the changes required to be classied. The length of

the time series used in the following three case studies has been determined understandably on the amount of

available data.

Fig. 2. IASCASCE four-storey experimental benchmark structure (Courtesy of Prof. Shirley Dyke, Washington University St. Louis).

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Table 1

Test congurations of the ASCE benchmark structure

2 Missing all east side braces

3 Removed braces on all oors in one bay on SE corner

4 Removed braces on rst and fourth oors in one bay on SE corner

5 Removed braces on rst oor in one bay on SE corner

6 Removed braces on all oors on east face, and second oor braces on north face

7 All braced removed on all faces

8 Conguration 7, plus loosen bolts on all oorsboth ends of beams on east face, north side

9 Conguration 7, plus loosed bolts on oors 1 and 2both ends of beams on east face, north side

The IASCASCE benchmark structure is a four-storey, two-bay by two-bay steel-frame scale model

structure built in the Earthquake Engineering Research Laboratory at the University of British Columbia,

Canada. The structure is 2.5 2.5 3.6 m3 in size (see Fig. 2). A full description of the experiment is given in

[18]. A total of 9 test congurations were investigated and are listed in Table 1, where the structure may be

considered to be in an undamaged healthy state in conguration 1. The structure was excited in several ways

but this paper uses only those responses obtained from an electrodynamic shaker placed roughly at the centre

of one of the four bays on the top level of the structure.

Data from this structure have been examined by other researchers. Ching et al. [21] stated that due to

shakerstructure interaction, the shaker input force exhibited peaks in its spectrum at the resonant frequencies

of the structure. They state that this led to difculties in the extracting the modal parameters of the structure.

Irregularities in the mode shapes identied led to difculties in damage detection based on the use of the

identied modal parameters. When tting ARMA models to the time response the shaker structure interaction

is inherently modelled. The modal parameters cannot be separated out in this output only case but the shifts in

the modal properties of the structures will result in shifts in the shaker structure interaction. The difculties

reported in [21] are therefore not encountered here.

The structure was instrumented with 15 accelerometers though only the results from Channel 14, located on

the fourth oor, are presented in this paper. The data were acquired with a sampling frequency of 200 Hz and

a large number of modes of the structure were excited. If an ARMA lter is tted to these data directly then a

large order is required. To avoid this, the time series were decimated by four with a low-pass Chebyshev lter.

This order of decimation was chosen to remove modes higher then approximately 25 Hz from the signal. Of

course shifts in these modes would be benecial in detecting changes in the structure but it was found that the

information below 25 Hz is sufcient for correct classication here and the reduction in the model order is

benecial. Without this decimation a model order of between 30 and 40 would be required.

The algorithm described here will essentially rely on shifts of the modal parameters of the rst three modes.

The decimation resulted in a collection of signals with 6000 samples. These were then broken into three

segments of 2000 each. Thus, there were 27 time series for the classier to classify.

As discussed earlier, a key decision in time-series modelling is choosing the model order. The

autocorrelation and partial autocorrelation functions are often used to help choose model order [7]. The

autocorrelation function of a pure MA(n) process will become zero after the nth lag. The partial

autocorrelation function is the partial correlation between the variables zt and ztk which is not accounted for

by the intermediate variables zt1, zt2,y,ztk+1. It is calculated from the autocorrelation function [7]. The

partial autocorrelation function of a pure AR(n) process will become zero after the nth lag. Small-order AR,

MA and ARMA models are encountered in many areas including economics and observations of nature [7].

The autocorrelation and partial autocorrelations provide very useful tools in estimating orders for these

processes, but for large ARMA orders encountered in structural responses these are difcult, if not impossible,

to interpret. Fig. 3 shows the autocorrelation plots for the structure in conguration 1 using all 6000 samples

and, for comparison, just the rst 2000 samples. The damped sine wave structures are present at the start of

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Fig. 3. Autocorrelation of the decimated time series from channel 14 of the ASCE structure in an undamaged state: (a) 6000 samples and

(b) 2000 samples.

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the plots. In theory they should die out, but it is clear from the Fig. 3 that while they do decay they do not tend

to zero. A possible cause of this effect is given in [22] as being due to the shortness of the series; it represents a

numerical chimera. The apparent structure at high lags is due to the series not being innite and should be

ignored. There are clear differences in the autocorrelation plots when comparing Fig. 3(a) with (b) due to the

different sample sizes, further illustrating the point. The partial auto correlations are equally unhelpful in

choosing model order and are not presented here.

Fig. 4 shows the auto-power spectral density from the rst 2000 samples of the time series of conguration 1.

There are three clear large poles in spectrum before the energy dies out towards the lter cut off frequency of

about 20 Hz. We would therefore expect a model order of at least ARMA(6, 6). Using the AIC also suggests a

model order of ARMA(6, 6), however when this model order is tted to the data, the correlation function of the

residuals does not appear to indicate that the residuals are white in character. Fig. 5 shows the correlation

function of the residuals with 99% condence limits for (a) ARMA(10, 10) and (b) ARMA(6, 6) models . The

ARMA(10, 10) model seems far closer to providing white residuals than does the ARMA(6, 6) model with the

additional poles predominantly due to the Chebyshev lter. In the following analysis ARMA(10, 10) models

were tted to the data, though in fact the ARMA(6, 6) models performed equally well. The mean value for each

series was removed before each ARMA model was tted.

The 27 time-series segments of available data were fed to the unsupervised classier and the results are

presented in Table 2. The classes are formed automatically in an unsupervised manner and therefore their

interpretation is up to the user. Ideally just one class would be formed for each of the nine congurations. The

estimates of b^ generated for each class are unlikely to be very accurate for two reasons:

(a) only three time series were available for each conguration;

(b) each series was only 2000 in length.

This inaccurate estimation led to the formation of more than one class per conguration. Given a larger

number of series, the b^ estimates for different classes corresponding to the same conguration are likely to

converge toward each other. Thus in the long term the number of classes corresponding to a particular

conguration would converge to one.

No damaged conguration was classied as undamaged and all series from conguration 1 (undamaged)

were classied together. The algorithm can therefore be judged as being successful though testing with larger

quantities of data is necessary to better judge its performance.

Fig. 4. Auto-power spectral density of channel 14 of the ASCE structure in an undamaged state.

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Fig. 5. Correlation function of residuals from tting ARMA models to the decimated time series of channel 14 of the ASCE structure:

(a) order (10,10) and (b) order (6,6).

The Swiss Z24 bridge was constructed from prestressed concrete, with spans of 143014 m. Prior to its

demolition in 1998 it was the subject of extensive testing including 16 progressive damage tests (PDTs). The

testing is described in detail in [19] and the PDTs are listed in Table 3. The installation of testing apparatus

involved serious changes in the structure. Due to this, three of the PDTs in Table 3 are described as reference

states to which other PDTs are compared. The structure is considered to be healthy in the reference states

and damaged in the other PDTs.

As part of the progressive damage, jacks were installed on the pier at the Koppigen end of the bridge to

facilitate reversible settlement of the pier. After PDTs 36, which involved lowering of the pier and produced

some cracking, the pier was returned to its original position. The foundation was then rotated in PDT 7. The

foundation was returned to its original position before a reference measurement was taken, denoted as PDT 8.

PDTs 916 involved irreversible, cumulative damage. It is therefore natural to break the data set into two

parts to test the classier, namely: PDTs 27 and PDTs 816. PDT 1 is left out as the installation of the jack in

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Table 2

Classication of 27 time series from the ASCE structure in 9 structural congurations

1 1 1

2 1

3 1

2 1 2

2 2

3 3

3 1 4

2 4

3 5

4 1 6

2 6

3 6

5 1 7

2 7

3 7

6 1 8

2 8

3 9

7 1 10

2 10

3 10

8 1 11

2 11

3 11

9 1 12

2 13

3 13

Table 3

Progressive damage tests (PDTs) of the Z24 bridge

2 Second reference No damage, Koppigen pier installed

3 First settlement of pier 20 mm

4 Second settlement of pier 40 mm

5 Third settlement of pier 80 mm

6 Fourth settlement of pier 95 mm

7 Tilt of foundation 15 mm

8 Third reference No damage

9 First spalling of concrete 12 m2

10 Second spalling of concrete 24 m2

11 Landslide 1m

12 Failure of concrete hinges 1 column

13 First failure of anchor heads 2 heads

14 Second failure of anchor heads 4 heads

15 First failure of post-tensioning wires 54 wires or 2 tendons

16 Second failure of post-tensioning wires 100 wires or 4 tendons

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306 E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314

Fig. 6. The Auto-Power Spectral Density of sensor R1V in the rst reference measurement of the Z24 Bridge.

the pier and associated safety work caused a large change in the dynamic characteristics of the bridge. The

classier distinctly and clearly separates PDT 1 from PDT 2 so the comparison of PDT 1 with other PDTs is

without interest.

For each PDT, the bridge was tested with both ambient and forced excitation. A set of roving

accelerometers along with three reference locations were used in nine test setups for each PDT. Data were

sampled at 100 Hz and a total of 65,568 samples were measured for each setup. In this paper, the data from

reference accelerometer 1 located near the Koppigen pier recorded during forced excitation are used and 72

series of length 8000 each were extracted from this data set for each PDT. The auto-power spectra showed a

signicant drop in order of magnitude of energy beyond 25 Hz. A typical example of this is seen in Fig. 6. Each

series was decimated by two without ltering in order to avoid introduction of additional poles. Resampling

without using a lter is not typical practice but the aliasing of noise energy was considered the lesser of two

evils. The increased parsimony of the resulting model is a price worth paying in this particular situation.

Examination of the residuals with progressively increasing model order led to a choice of tting the series with

an ARMA(30, 30) model. The average of each series was removed before each ARMA model was tted.

Table 4a depicts the performance of the classier as PDTs 27 are fed to it. The table shows how many of

the 72 signals of the current PDT fed to the classier are misclassied as a previous PDT. PDTs 36 involved

progressive settlement of the pier. The classier classed 23 of the 72 time series of PDT 3 as the same as PDT 2

(the reference undamaged state). None of the time series from PDTs 46 were classed with PDT 2. This is

encouraging as the classier learnt in an unsupervised manner and as such, gradual damage will tend to cause

the class to shift gradually and therefore fail in agging damage. However, the classier was successful here as

the step changes in settlement were large enough.

None of the series from PDT 6 were cross-classied with any other PDT. Two of the series from PDT 5 were

classied with PDT 4. However, 52 of the series from PDT 4 were classied as the same as PDT 3. The

classier was therefore successful in distinguishing the larger magnitudes of settlement as distinct and separate

but had more difculty with lower magnitudes of settlement, which is unsurprising.

After the pier was returned to its original position, the foundation was rotated in PDT 7. The classier

classed all 72 series separately from PDT 2 (the reference undamaged state) and PDTs 36. It was therefore

completely successful in identifying this damage event.

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E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314 307

Table 4

Number of time series out of 72 for each PDT misclassied as a different PDT: (a) PDTs 27 and (b) PDTs 816

(a) PDTs 2 7

PDT 2

PDT 3 23

PDT 4 0 52

PDT 5 0 0 2

PDT 6 0 0 0 0

PDT 7 0 0 0 0 0

PDT 8 PDT 9 PDT 10 PDT 11 PDT 12 PDT 13 PDT 14 PDT 15 PDT 16

(b) PDTs 8 16

PDT 8

PDT 9 72

PDT 10 72 72

PDT 11 0 0 0

PDT 12 0 0 0 0

PDT 13 0 0 0 0 23

PDT 14 0 0 0 0 0 1

PDT 15 0 0 0 0 68 0 0

PDT 16 0 0 0 0 72 0 0 0

The classier formed 2 classes for PDT 8, the reference case. Of the 72 series fed to the classier, 43 were

double classied in classes 1 and 2. The classes converged towards each other, i.e. the b^ c values for classes

1 and 2 became very similar. As such, the two classes are inseparable at the end of classication and the signals

classed in both classes should be considered to be classed together. An automatic merging of classes has not

been programmed into the classier algorithm though such a mechanism would be an improvement.

PDTs 9 and 10 involved simulated spalling of concrete. All 72 series from each case were classied in classes

1 and 2, i.e. the classier was unable to identify the occurrence of this type of damage. Kramer et al. [19]

identied very small changes in the modal parameters of the rst six modes in these PDTs and this is consistent

with the statistically non-signicant change in the ARMA model found here.

No series from PDTs 11 to 16 were classed in class 1 or 2. The classier can therefore be considered

completely successful in identifying the presence of damage in these cases, that is failure of concrete hinges,

anchor heads and post-tensioning wires.

Table 4b depicts the performance of the classier as PDTs 816 are fed to it. PDT 11, the simulated

landslide, was distinctly and clearly classed separately from all the other PDTs. Twenty-three of the 72 series

from PDT 13 were classed together with PDT 12 despite these being different types of damage. Only one series

from PDT 14 was classed with PDTs 13 and 12 and so severity of damage and not type of damage would seem

to be more distinctive in this case. Interestingly, 68 series from PDT 15 and all 72 series from PDT 16 were

classied as being the same as PDT 12. This is despite these PDTs being more severe. However, the shifts in the

rst six modes identied in [19] in PDTs 15 and 16 are very similar to those in PDT 5.

It is clear that the ARMA model-based classier as used in this case, and with the IASCASCE Benchmark

structure, is relying on changes in the modal parameters of the structure due to damage. When these changes

have not been signicant, as in the case of the spalling of concrete on the Z24 bridge, the classier has failed.

Additionally, when the modal parameter shifts caused by different types of damage are similar, as is the case

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308 E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314

with PDTs 15 and 16 compared with PDT 5 in the Z24 case study, the classier fails to distinguish between

them. In contrast the next case study makes use of static data and therefore does not rely on these shifts in

modal parameters.

The SingaporeMalaysia Second Link Bridge, also referred to as the Tuas Link serves as a vehicular

crossing between the Island of Singapore and Malaysian Peninsula, and is located in the Western side of the

island. Fig. 7 shows the bridge under construction. The bridge was completed in 1997 and opened to trafc in

the same year. Only the basic outline of the structure and the monitoring program undertaken are provided

here and interested readers may nd more details in [20]. The bridge is about 1.9 km long and comprises 27

spans; the Singapore side is about 170 m long and the main span of this section is 92 m long. The bridge was

cast in situ using the balanced cantilever method, to enable the navigation channel to be kept free throughout

the construction, and post-tensioned. The cross-section of the post-tensioned, continuous box girder varies in

depth from 2.6 to 6.5 m along the bridge length.

A suite of instruments was installed in the bridge in order to monitor its short- and long-term performance

under environmental and trafc loads in terms of stress (pressure cell) and strain (vibrating wire gauge) signals

recorded at hourly intervals. Hence in contrast to the two previous examples, the classier is applied to static

data. The readings from the pressure cell located in Segment 31 over the course of approximately 7 years are

presented in Fig. 8(a). The pressure cell was embedded inside the rebar cage during construction and measures

pressure in the longitudinal direction of the deck. Fig. 8(b) shows a zoom in the recording data over a shorter

period. There are several gaps in the data record due to the monitoring being stopped for various reasons. At

approximately 21,000 h the tensioning of the nal segment (stitching) took place and a signicant rise in the

pressure cell reading is evident. After this rise there is a distinct downward trend in the pressure readings,

which is believed to be due to creep. Additionally the data show a diurnal trend. These trends necessitate an

extension of the modelling technique used previously. Omenzetter et al. [23] used an ARIMA model on the

same data set and this approach is also used here. A minimum amount of detail of the modelling is presented

here and the interested reader is referred to [23] for more thorough discussion.

The linear trend due to creep may be eliminated by differencing the data using the operator r s zt zt zts

with s 1 [7]. The diurnal trends may be accounted for by differencing with s 24 and by augmenting Eq. (1)

with seasonal AR and moving-average functions denoted by superscript s as in

fs BfBzt ys ByBat . (7)

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E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314 309

Fig. 8. (a) Pressure cell readings in segment 31 of the MalaysiaSingapore Second Link and (b) zoom in of a typical section of recorded

data.

Seasonal ARIMA model orders are commonly denoted by (p,d,q) (p,d,q)s, where p is the order of the AR

function, d the order of differencing, q the order of the moving-average function and subscript s is short for

seasonal. As the data are static we cannot dene a minimum order based on the number of modes excited.

However, static data will generally have far lower orders than dynamic data and so the examination of the

autocorrelation and partial autocorrelation functions provide more insight. Examination of the residuals and

of the change in AIC with model order are also useful. Omenzetter et al. [23] found a model of order

(1,1,0) (0,1,1) tted the data well and this order is also used here. It may be noted that the time variance of

the ARIMA coefcients was examined using a Kalman lter in [23]. This is radically different from the

approach used here.

Seventeen blocks of data of length 1000 were selected from the recorded pressure cell and are denoted by

vertical lines in Fig. 8(a). Thus each data block represents approximately 6 weeks of recordings. Fig. 8(b)

shows a zoom in on a typical section of recorded data. One of the selected data blocks was generated before

the nal stitching of the bridge, while the other 16 are spread over the remaining 7 years of monitoring. As the

bridge was subject to an unknown and varying ambient excitation, and not a constant level of forced

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310 E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314

Table 5

The ARMA coefcients for each class formed from the Malaysia-Singapore Second Link data

MAs 0.8559 0.8507 0.8479

excitation as in the previous two examples, the data blocks were normalised by subtracting their average and

dividing by their standard deviation.

The classier formed two classes for the data blocks recorded after the nal stitching of the bridge and a third

class for the data block recorded prior to the stitching. Only one vector of coefcients was held in each class, i.e.

during Step 5(b) of the classication algorithm the maximum differences between the elements of b and b^ cp were

always less than 50%. Fifteen of the 16 post-stitching data blocks are classed in class 1, 10 are classed in

classes 2 and 9 are classed in both classes 1 and 2. On initial formation, the ARMA coefcients of class 1

were AR 0.7497 and MAs 0.8674 while those of class 2 were AR 0.7000 and MAs 0.9511. The

convergence of classes 1 and 2 towards each other at the end of the unsupervised learning period is clearly seen in

Table 5. Class 3, which is formed from just 1 data block prior to stitching of the bridge, is very clearly different to

classes 1 and 2 even without the use of a statistical tool to distinguish them.

The classication algorithm has undoubtedly been successful in grouping together pressure cell recording

from the bridge in a healthy state while distinguishing a data block from the bridge prior to its nal

completion. However, the nal stitching of the bridge together represents a massive change in structural

behaviour and the sensitivity of the ARMA coefcients of such static data to more minor changes remains

open to further investigation.

6. Discussion

Eq. (1) holds for a single time series (a single measured response on a structure). It is possible to construct

ARMA Vector (ARMAV) models to model multiple time series simultaneously. ARMAV models therefore

incorporate spatial information and can be used to identify mode shapes in addition to natural frequencies

and damping, see for example [8]. In this paper, three case studies were examined but only ARMA models

were tted to single responses from the structure, despite more responses being available. It was seen that

successful results were achieved and this is encouraging as the fewer the sensors that are required to be tted to

a structure then the cheaper the monitoring system will be. Nevertheless the development of this approach by

building ARMAV models and examining their success in these and similar structures could prove fruitful. It is

likely that such an approach would be needed with structures with closely spaced modes and/or high modal

density. Damage to the structure could cause the modes in such a structure to cross over. Relying solely on

shifts in the frequencies and damping would be very difcult in such cases and the spatial information

(or mode shape information) would probably be very useful. It is the intention of the authors to continue this

line of research.

Both the IASCASCE Benchmark structure and the Z24 bridge data were recorded during forced

excitation. This resulted in an almost constant level of input energy across all the test congurations and the

classication algorithm was successful in general. The advantage of this approach over examining the changes

in the natural frequency, damping and mode shape of each mode is that it conveniently takes all of these

features for all modes in the frequency spectrum examined and compresses them into a single statistical test in

the form of Eq. (6). The ARMA model also contains information on the excitation, digital lter characteristics

and noise in the measurement. It is conceivable to consider the digital lter characteristics and the noise level

to be fairly constant and therefore not to cause signicant error in classication. The inherent modelling of the

shakerstructure interaction in the case of the IASCASCE Benchmark structure was helpful. Additionally it

is foreseeable that the agging of an extraordinary load on a bridge would be benecial to a bridge manager.

However, these benets do not come without some disadvantage. It would be far more cost effective to be

able to rely on ambient excitation of structures rather than forced excitation for continuous, long term, remote

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E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314 311

health monitoring. The ambient excitation will undoubtedly vary in time, not only in amplitude but also in the

frequency spectrum excited. A typical example is daytime trafc compared to nighttime trafc on a bridge.

The change in amplitude of excitation will result in a change in the MA parameters as is clearly seen for the

SDOF systems in Fig. 1. The statistical tool of Eq. (6) will not hold if the MA parameters are neglected and

only the AR parameters are used. It could be imagined that a large database of time series from the structure

in a healthy state under typical varying excitation conditions could be formed to avoid false alarms. This

database would also account for varying environmental conditions. However, it could be argued that the

ARMA classication is relying on shifts in the natural frequencies and damping estimates alone in this case

and directly extracting these characteristics from the data would be a more computationally efcient

approach. Such an approach, accounting for the effects of environmental variables such as temperature, was

successfully presented for the Z24 bridge in [24].

It would therefore seem that the use of static data, as seen in the MalaysiaSingapore Second Link Bridge

example, may be the more fruitful approach for ARMA model-based health monitoring in the future. The

model was able to account for the long-term trend of creep and the diurnal trends in the data. Insensitivity to

environmental variables in the example may have been enhanced by taking data in blocks recorded over 6-week

periods. However, this was necessary to provide a sufcient number of data points (1000) to form an ARIMA

model with reasonable variance of its coefcients. The sensitivity of such static measurements to more minor

structural changes than that presented is unproven and is the subject of current research by the authors.

7. Conclusion

A sound physical basis for forming ARMA models of structural response data has been presented.

The use of these ARMA models in distinguishing a structure in a healthy state and various states of ill-health

has been demonstrated. The health-monitoring algorithm is based on a solid statistical test of the sum of the

square of the residuals. Two cases studies using recorded dynamic data were presented. The algorithm was

generally successful in identifying the occurrence of damage and in separating the different damage events

from each other. However, the data were recorded from forced excitation tests and the approach may not be

the most suitable SHM paradigm for structures with only ambient dynamic excitation. The approach also

proved successful when used on static data recorded from a bridge over a 7-year period. The algorithm

successfully distinguished the response of the bridge under operating conditions from the response of the

bridge prior to completion. The model incorporated a long-term linear trend due to creep and a diurnal trend

and the classier did not trigger false alarms due to these trends. The sensitivity of ARMA models of static

response data to typical infrastructural damage is unproven and is the subject of current investigation by the

authors.

The link between a continuous time SDOF and a discrete time ARMA(2, 1) model given here is well-known

theory and is provided for completeness of the paper.

A SDOF spring mass damper may be represented by

C xt

M xt _ Kxt f t, (A.1)

where M is the mass, C the damping and K the stiffness of the system. x(t) is the displacement and the

superscript dots represent differentiation with respect to time. f(t) is zero mean stationary Gaussian white

noise with variance dened in the following equation with d(t) being the Kronecker Delta:

Ef tf t s2f dt B. (A.2)

It is required to represent the SDOF system in discrete time using an ARMA(2, 1) model dened in

zt f1 zt1 f2 zt2 at y1 at1 , (A.3)

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312 E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314

The systems in Eq. (A.1) and (A.3) are equivalent in the sense that the covariance function of the discrete

model coincides with that of the continuous time model at the sampled time points. The link between the

parameters in the two systems are now given.

The two discrete time poles of the SDOF in (A.1) are dened as (see, for example, [8])

p

2

l1 ; l2 eDzoo z 1 , (A.4)

where o is the natural frequency and z is the damping ratio of the SDOF dened in Eq. (A.5). The subindices

on o and z are omitted as a SDOF has naturally just one mode

p

o K=M , (A.5a)

p

z C=2 KM . (A.5b)

The AR parameters can then be calculated from Eq. (4) and are given in

p

2

p

2

f1 eDzoo z 1 eDzoo z 1 , (A.6a)

p

2

p

2

f2 eDzoo z 1 eDzoo z 1 . (A.6b)

The MA parameter may be calculated from [8]

p

y1 P P2 1, (A.7)

where P is calculated from

m1 1 l21 1 l22 m2 1 l22 1 l21

P ,

2m1 l1 1 l22 m2 l2 1 l21

q

m1 ; m2 zo o z2 1.

Finally, the variance of the equivalent discrete driving force must be calculated from [8]

2

m2 1 l22 1 l21 m1 1 l21 1 l22 sf

s2a . (A.8)

2m1 m2 m21 m22 1 y21 M2

It may be noted that two solutions are possible for the MA parameter in Eq. (A.7). However, the MA

parameter is present in Eq. (A.8) for the calculation of the variance of the driving force and so the right-hand

side of Eq. (A.3) is uniquely dened when taken as a whole.

The case studies in the text have used ARMA(n, n) models and this appendix is provided to give some

justication of this choice of modelling order. This appendix contains statements of theory derived in many

texts including [8,9,14] and the interested reader is referred to these for rigorous derivations.

A linear continuous time process may be discretised in several ways while maintaining equality in the mean

and variance of the output [25]. A very common way of representing the resulting linear time-invariant discrete

time system is in state-space form as shown as (see for example [14]).

xt1 Axt Bat wt ,

yt Cxt Dat vt , B:1

A is the transition matrix which is a function of the stiffness, mass and damping of the system. This is a square

matrix of size n, where n/2 is the number of modes of the system, which are observable. Natural frequencies,

damping and mode shapes may all be extracted from A and methods such as stochastic subspace identication

are based on this. B is the input matrix, which is a function of the mass of the system and input location of the

system. C is the observation matrix. The choice of C determines the whether displacement, velocity or

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E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314 313

acceleration are being observed. D is the direct transmission matrix, which will be zero if accelerations are not

being observed. xt is the discrete time state vector. We are interested in stochastically excited systems and so

we dene ak as being a Gaussian distributed white-noise vector with mean of zero and covariance matrix of D.

wk is the process noise and is used to represent all the noise sources causing the linear and time-invariant

model to be inadequate. This can include small non-linearities in the true system or non-stationary excitation

for example. vk is the measurement noise and represents in one term all the contributions to the noise in

measurement such as sensor inaccuracies and roundoff errors in the analogue to discrete conversion due to

limited bit size of the data acquisition unit. The covariances of the process and measurement noises are dened

in

"" # #

wt Q S

E w tk v tk dk. (B.2)

vt ST R

The state-space system in Eq. (B.1) may be recast in forward innovation form as in the following equation

[14]. This is an intermediate step leading to the formation of the ARMA models:

x^ t1jt Ax^ tjt1 Kat ;

(B.3)

yt C x^ tjt1 at ;

where x^ t1jt is the optimal predictor of the state vector at time point t+1 given information up to and

including time point t. at is the part of the observation yt that cannot be predicted from the observations up to

and including t1 and is termed the innovation. K is the Kalman gain and is dened in

K APC T BDDT SL1 , (B.4)

l is the covariance matrix of the innovations at given by

L CPC T DDDT R. (B.5)

The covariance matrix P is the given by the solution to the Ricatti equation

P APAT BDBT Q KDK T . (B.6)

It is shown in [8] that Eq. (1) (dening an ARMA model) with order (n/c,n/c), where c is the number of

channels of observations is equivalent to Eq. (B.3) if the size of the square transition matrix A is n. In all of the

case studies only one channel of observation is used and so the order of the AR and MA parts of the ARMA

model should both equal twice the number of modes. The AR parameters are related to the state-space

matrices A and C as dened in

2 31

C

h i 6 CA 7

6 7

fn fn1 f1 CAn 6 . 7 . (B.7)

6 . 7

4 . 5

CAn1

The MA parameters are given by

2 3

I 0 0 0

6 CK I 0 07

h i6

6 .. .. .. ..

7

.. 7

yn yn1 y1 I fn fn1 f1 I 6 .7

6 . . . . 7. (B.8)

6 7

4 CAn2 K CA Kn3

I 05

CAn1 K CAn2 K CK I

There is therefore a very strong foundation for the choice of model ARMA(n, n), where n is twice the

number of observable modes.

Whether displacement, velocity or acceleration is observed will not affect the model order when noise is

present. Only when noise is not present in the observation and either displacement or velocity are observed

ARTICLE IN PRESS

314 E. Peter Carden, J.M.W. Brownjohn / Mechanical Systems and Signal Processing 22 (2008) 295314

(the direct transmissibility matrix D is zero) will the choice of ARMA(n, n1) be more appropriate. This is

examined and discussed in detail in [8].

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