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Original Title: Simulation of Non-Gaussian Processes Using Fractile Correlation

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www.elsevier.com/locate/probengmech

Kok-Kwang Phoon*, Ser-Tong Quek, Hongwei Huang

Department of Civil Engineering, National University of Singapore, Block E1A #07-03, 1 Engineering Drive 2, Singapore, Singapore 117576

Received 23 July 2002; revised 17 September 2003; accepted 17 September 2003

Abstract

The difficulties of simulating non-Gaussian stochastic processes to follow arbitrary product – moment covariance models and arbitrary

non-Gaussian marginal distributions are well known. This paper proposes to circumvent these difficulties by prescribing a fractile correlation

function, rather than the usual product – moment covariance function. This fractile correlation can be related to the product – moment

correlation of a Gaussian process analytically. A Gaussian process with the requisite product – moment correlation can be simulated using the

Karhunen – Loeve (K– L) expansion and transformed to satisfy any arbitrary marginal distribution using the usual CDF mapping. The fractile

correlation of the non-Gaussian process will be identical to that of the underlying Gaussian process because it is invariant to monotone

transforms. This permits the K – L expansion to be extended in a very general way to any second-order non-Gaussian processes. The

simplicity of the proposed approach is illustrated numerically using a stationary squared exponential and a non-stationary Brown– Bridge

fractile correlation function in conjunction with a shifted lognormal and a shifted exponential marginal distribution.

q 2003 Elsevier Ltd. All rights reserved.

Keywords: Non-Gaussian stochastic process; Non-stationary process; Fractile correlation; Product–moment correlation; Karhunen–Loeve expansion; CDF

mapping

convenient from a practical point of view [5].

The simulation of non-Gaussian processes based on The challenge in simulation of translation processes is to

memoryless non-linear transform of an underlying Gaussian match a target covariance function and non-Gaussian

process is still an area of active research. Such processes are distribution function simultaneously. It is quite well

known as translation processes [1]. The transform has to be known that both functions cannot be prescribed arbitrarily.

monotonic in order to ensure that the compatibility of the Grigoriu [4] demonstrated that the correlation of the

Gaussian finite-dimensional distributions can be preserved. underlying Gaussian process and the translated non-

A stochastic process may not exist if its finite-dimensional Gaussian process matches at 0 and 1, but correlation of

distributions are not compatible in the sense required by the latter has a lower bound greater than 2 1 unless the

Kolmogorov’s conditions (e.g. refer to Refs. [2,3]). Grigoriu transform is an odd function. The matching problem is less

[4] uses this to demonstrate that non-Gaussian translation difficult when lower moments are prescribed, rather than the

processes do exist and are stationary if the underlying entire distribution function. This problem has been studied

Gaussian process is stationary. At present, it is quite rather extensively by Gurley [6]. Yamazaki and Shinozuka

accurate to say that translation from an underlying Gaussian [7] were among the first to propose a simulation algorithm

process is a practical necessity since higher-order finite- for stationary non-Gaussian translation processes. Their

dimensional distributions are frequently unavailable and approach consisted of correcting the power spectral density

Kolmogorov’s compatibility requirements should be satis- (PSD) function (Fourier transform of covariance function)

fied (if possible) to establish existence on a firmer basis. It of the underlying Gaussian process iteratively until the PSD

may be noted in passing that transformations with memory function of the non-Gaussian process is achieved. The key

are also capable of generating non-Gaussian processes, but assumption is that the PSD of the Gaussian process between

the next and current iterate bears the same ratio as the target

* Corresponding author. Tel.: þ 65-6874-6783; fax: þ 65-6779-1635. PSD and the PSD of the non-Gaussian process in the current

E-mail address: cvepkk@nus.edu.sg (K.-K. Phoon). iterate. Deodatis and Micaletti [8] noted that there are some

0266-8920/$ - see front matter q 2003 Elsevier Ltd. All rights reserved.

doi:10.1016/j.probengmech.2003.09.001

288 K.-K. Phoon et al. / Probabilistic Engineering Mechanics 19 (2004) 287–292

difficulties in the above approach for highly skewed non- theoretical framework for higher dimensional and non-

Gaussian processes. The main one is that the substrate stationary fields defined over finite domains, (b) it has a bi-

Gaussian process is no longer Gaussian and stationary after orthogonal property (both the deterministic basis functions

the first iterate. Grigoriu [4] proposed a solution in time and the corresponding random coefficients are orthogonal)

domain by applying the sampling theorem to match the that allows for optimal encapsulation of information

prescribed covariance function exactly at discrete points. It contained in the random process into a set of discrete

is necessary to solve an integral equation to determine the uncorrelated random variables, (c) it is able to represent

product – moment correlation of the underlying Gaussian highly correlated process using a relatively short expansion

process. because only the first few eigenvalues are significant.

Phoon et al. [9] suggested using the Karhunen – Loeve Runtime savings in computing a short expansion is

(K – L) expansion with non-Gaussian random variables to considerable because simulation typically involves hun-

produce the desired non-Gaussian process. The principal dreds of thousands of realisations, and (d) it can be accurate

difficulty is that the distributions of the non-Gaussian K –L and computationally competitive if the wavelet-Galerkin

random variables (not identical) are not the same as the approach is used for eigensolution [13].

prescribed non-Gaussian distribution for the process and The fractile correlation of the non-Gaussian process will

seems to require an iterative solution approach. In principle, be identical to that of the underlying Gaussian process

this approach is very attractive because it can be extended because it is invariant to monotone transforms. The

readily to non-stationary and multi-dimensional fields in a proposed approach is illustrated numerically using a

unified way. However, the proposed algorithm is currently stationary squared exponential and a non-stationary

unable to reproduce tail probabilities accurately for strongly Brown –Bridge fractile correlation function in conjunction

non-Gaussian marginal distributions. Sakamoto and Ghanem with a shifted lognormal and a shifted exponential marginal

[10] expanded the non-Gaussian process at discrete points distribution. In summary, the theoretical advantage of the

using classical polynomial chaos, which is based on Hermite proposed approach is that a non-Gaussian process can be

polynomials in terms of Gaussian random variables. Xiu and translated from a Gaussian one without iteration or solution

Karniadakis [11] noted that this representation only achieves of an integral equation, once the fractile correlation function

optimal convergence rate for Gaussian and near Gaussian is evaluated from observed time series. The practical

random fields, although it will eventually converge to any disadvantage is that existing product – moment correlation

distribution in the mean square sense (more accurately, any functions (or the equivalent PSD functions) cannot be

L2 functionals in the random space). The authors suggested converted easily to fractile correlation functions. Note that

using a more general polynomial chaos framework called this difficulty is fundamentally related to the definition of

Askey chaos to describe different distribution types in an the product – moment correlation and its resulting coupling

optimal way. While Sakamoto and Ghanem [10] postulated to the marginal probability distribution.

that arbitrary correlations in the non-Gaussian process can be

specified using a suitably correlated Gaussian process, Puig

et al. [12] believed that this is not always possible, partially 2. Method

because the underlying Gaussian correlation function has to

be non-negative definite. However, the authors seemed to Consider a Gaussian random process 4ðx; uÞ defined on a

assume that it is always possible to construct a Gaussian probability space ðV; A; PÞ and indexed on a bounded

correlation function that is ‘close’ enough and non-negative domain D: Assume that the Gaussian process has zero mean

definite at the same time. An optimization scheme was and unit variance. This standard Gaussian process can be

proposed to achieve this task. represented using the K – L expansion as [14]

The objective of this paper is to present a simple and

practical method for generating non-Gaussian processes X

1 pﬃﬃﬃ

4ðx; uÞ ¼ lk jk ðuÞfk ðxÞ ð1Þ

consistently and accurately. The difficulties noted pre- k¼1

viously are circumvented by prescribing a fractile corre-

lation function, rather than the usual product –moment where lk and fk ðxÞ are the eigenvalues and eigenfunctions of

correlation function. Notice that a fractile correlation the Gaussian covariance (also correlation) function

function can be obtained from empirical observations as r4 ðx1 ; x2 Þ; and jk ðuÞ are uncorrelated standard Gaussian

easily as product –moment correlation. This fractile corre- variates. It is possible to simulate Eq. (1) for the Gaussian

lation can be related to the product – moment correlation of a case efficiently using a wavelet-Galerkin scheme [13].

Gaussian process analytically. A Gaussian process with the This standard Gaussian process can be translated to a

requisite product –moment correlation can be simulated non-Gaussian process with marginal cumulative distri-

optimally using the K –L expansion and transformed to butions Fi ¼ Fð·; xi Þ by the following memoryless trans-

satisfy any arbitrary marginal distribution using the usual form:

CDF mapping. The K – L expansion is ‘optimal’ for

Gaussian process in the sense that: (a) it provides a unified zðxi Þ ¼ Fi21 F½4ðxi Þ ð2Þ

K.-K. Phoon et al. / Probabilistic Engineering Mechanics 19 (2004) 287–292 289

However, the product – moment correlation function of z; between 0 and 1). Note that the mapping between r4 and r

rz ðx1 ; x2 Þ; is different from r4 ðx1 ; x2 Þ; which is the source of extends over the full range [2 1,1]. It has been recognised

much difficulties. To convert rz to r4 or vice-versa, it is that Eq. (6) only produces a valid correlation function if it is

necessary to iterate [7 – 9] or solve an integral equation [4]. non-negative definite, i.e. the property of non-negative

In this paper, this problem is circumvented by assuming that definiteness is an additional requirement [4].

the fractile correlation (sample analog being the Pearson or The proposed method can be briefly summarized as

rank correlation) is prescribed, rather than the product – follows:

moment correlation (sample analog being the Spearman

correlation). The fractile is defined as 1. Prescribe a fractile correlation function r and the

marginal cumulative distributions F i (not identical unless

Ui ¼ Fi ½zðxi Þ ð3Þ

the process is stationary).

which is uniformly distributed between 0 and 1 with 2. Convert the fractile correlation function to the product –

mean ¼ EUi ¼ 1=2 and variance ¼ EðUi 2 EUi Þ2 ¼ 1=12: moment correlation function r4 using Eq. (6).

By definition, the fractile correlation is given by: 3. Compute eigenvalues and eigenfunctions of r4 and

EðUi Uj Þ2EUi EUj verify that the minimum eigenvalue is larger or equal to

rij ¼ qﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃ ¼ 12EðUi Uj Þ23 ð4Þ zero, i.e. r4 is non-negative definite.

EðUi 2EUi Þ2 EðUj 2EUj Þ2 4. Simulate realisations of the standard stationary or non-

stationary Gaussian process using Eq. (1) and eigensolu-

It is evident from definition that the fractile correlation is

tions from step (3).

invariant under monotone transforms, specifically of the

5. Translate the Gaussian process to follow the prescribed

type given by Eq. (2):

non-Gaussian distributions Fi using Eq. (2).

Ui ¼ Fi ½zðxi Þ ¼ Fi Fi21 F½4ðxi Þ ¼ F½4ðxi Þ ð5Þ

It is clear that the non-Gaussian process generated using

Hence, a non-Gaussian process generated using Eq. (2) will the above algorithm will match the prescribed fractile

match the fractile correlation function of the underlying correlation and marginal distributions exactly. In addition,

Gaussian process exactly. this process exists in the Kolmogorov sense because it is a

The remaining problem is to determine the relationship simple monotonic memoryless transform of a Gaussian

between r and the product –moment correlation r4 of the process (Eq. (2)). Fackler [16] and Iman and Conover [17]

underlying Gaussian process. A closed-form solution for have applied similar procedures to induce rank correlations

Gaussian random variables does exist [15] in random vectors. The former paper used fractile

correlations rather than ranks. The latter paper obtained

p

r4 ¼ 2 sin r ð6Þ the desired correlated vector by re-arranging a previously

6

generated uncorrelated non-Gaussian vector using ranks

The difference r4 2 r is small with a maximum deviation of derived from Cholesky decomposition of the rank corre-

only 0.018 as depicted in Fig. 1. This difference must exist lation matrix. This is essentially a Latin Hypercube

because the product – moment correlation r4 is based on sampling approach. Both papers recognised that the number

cross-products of Gaussian realisations (95% of the values of multi-variate uniform distributions with a specified

lying between ^ 1.96 although larger values are theoreti- correlation matrix is infinite, but recommended using the

cally possible), while the fractile correlation r is based on multi-variate Gaussian distribution to generate the vector of

cross-products of uniform realisations (values strictly lying correlated ranks or fractiles

ðU1 ; …; UN Þ ¼ ðFðY1 Þ; …; FðYN ÞÞ ð7Þ

where Yi are correlated standard normal variates. Iman and

Conover [17] observed that the use of normal variates will

produce ‘natural elliptical’ correlation scatter plots while

Fackler [16] felt that it is a convenient choice among many

other possibilities.

For extension to continuous stochastic processes (separ-

able type [3]), the use of Eq. (7) is probably more of a

necessity than convenience because it is not easy to

construct finite-dimensional distributions that are consistent

and invariant to arbitrary permutations of the indices over

every finite set of points as required by Kolmogorov’s

conditions. In addition, the relationship between fractile

Fig. 1. Difference between Gaussian product–moment correlation, r4 ; and correlation and product – moment correlation is available in

fractile correlation, r: the Gaussian case and both are almost equal (Fig. 1).

290 K.-K. Phoon et al. / Probabilistic Engineering Mechanics 19 (2004) 287–292

3. Numerical results

Gaussian process are simulated using a truncated K – L

expansion consisting of 32 terms. The eigenvalues and

eigenfunctions were evaluated numerically using the

wavelet-Galerkin scheme described by Phoon et al. [13].

Two target fractile correlation models were considered:

[2 1,1]

2

rðx1 ; x2 Þ ¼ e2lx1 2x2 l ð8Þ

minðx1 ; x2 Þ 2 x1 x2

rðx1 ; x2 Þ ¼ qﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃﬃ ð9Þ

ðx1 2 x21 Þðx2 2 x22 Þ

lognormal or shifted exponential CDF with zero mean and

unit variance as follows:

1. Shifted lognormal

loge ðy 2 dÞ 2 m

Fðy; m; s; dÞ ¼ F ð10Þ

s

where m ¼ 20:7707; s ¼ 1; and d ¼ 20:7628:

2. Shifted exponential

Fig. 2. Simulated fractile and product– moment correlations for stationary

2lðy2mÞ

Fðy; m; lÞ ¼ 1 2 e ð11Þ non-Gaussian processes with squared exponential fractile correlation model

and (a) shifted lognormal distribution, (b) shifted exponential distribution.

where l ¼ 1 and m ¼ 21:

Although the marginal distributions are assumed to be similarity with the former (whose shape is typical of

invariant under translation, it is easy to see that the observed product – moment correlations). For stationary

distribution parameters or even the CDF can be defined as processes, the reason for this similarity between rz and r

a function of the coordinate x without any difficulty. can be partially explained by observing that: (a) r < r4

Fig. 2 compares the simulated fractile and product –

moment correlations for the stationary squared exponential

correlation model with shifted lognormal and shifted

exponential distributions. The simulated fractile and

product – moment correlations are computed, respectively,

from N realisations using:

1 XN

r^ ¼ 12 {F½4ðxi ; uk ÞF½4ðxj ; uk Þ} 2 3 ð12Þ

N k¼1

1 XN

r^z ¼ ½zðxi ; uk Þzðxj ; uk Þ ð13Þ

N k¼1

independent of the marginal distribution and in agreement

with the target values. It is not surprising that there are Fig. 3. Eigenvalues of simulated product – moment correlations for

differences between fractile and product – moment corre- stationary non-Gaussian processes with squared exponential fractile

lations, but it is reassuring that the latter shape bears strong correlation model.

K.-K. Phoon et al. / Probabilistic Engineering Mechanics 19 (2004) 287–292 291

Table 1

Comparisons between correlations simulated with and without Eq. (6) for the stationary squared exponential model

Target With Eq. (6) Without Eq. (6) Shifted lognormal Shifted exponential

With Eq. (6) Without Eq. (6) With Eq. (6) Without Eq. (6)

0.2500 0.939 0.939 0.937 0.911 0.911 0.931 0.929

0.5000 0.779 0.782 0.769 0.702 0.688 0.759 0.745

0.7500 0.570 0.572 0.554 0.462 0.445 0.537 0.519

1.0000 0.368 0.367 0.354 0.262 0.254 0.329 0.318

1.2500 0.210 0.209 0.203 0.136 0.134 0.181 0.176

1.5000 0.105 0.111 0.106 0.071 0.067 0.096 0.092

1.7500 0.047 0.056 0.054 0.035 0.033 0.050 0.048

(Fig. 1), (b) lrz l # lr4 l [18] and (c) rz ¼ 0 and 1 if and It is also interesting to examine the results under the

only if r4 ¼ 0 and 1, respectively [4]. For positive assumption that the fractile and product –moment corre-

correlations, the above broad theoretical results provide lations for the Gaussian case are the same, i.e. ignore Eq. (6).

some constraints on the difference between rz and r: For The fractile and product –moment correlations under this

negative correlations, the anchor point given by rz ¼ 21 assumption differ only slightly from the solutions generated

and r4 ¼ 21 is not available unless the non-Gaussian using Eq. (6) as shown in Table 1.

cumulative distribution function F is an odd function [4]. It

may be noted in passing that another non-parametric

measure of bivariate association, Kendall’s t; can also be

related to the Gaussian product – moment correlation

analytically using r4 ¼ sinðpt=2Þ [19]. However, the

difference between t and r4 is much larger (maximum

absolute difference ¼ 0.21), potentially leading to more

distortion between the prescribed non-parametric measure

of association (Kendall’s t) and the resulting non-Gaussian

product –moment correlation function.

The eigenvalues for the squared exponential fractile

correlation function (Eq. (8)) are larger or equal to zero.

However, the eigenvalues of the corresponding Gaussian

product –moment correlation r4 between the sixth and

ninth modes are slightly negative of order 1024 or less.

Hence, r4 is not an admissible correlation function. This

implies that there is no Gaussian process that can produce

this particular prescribed fractile correlation. The need to

impose non-negative definiteness as an additional require-

ment for methods based on mapping of a bivariate measure

of association (e.g. Eq. (6)) has been explained by Grigoriu

[4]. A plausible method to circumvent this problem is to set

these slightly negative eigenvalues to zero. The validity of

this approximation is shown by the agreement between

simulated and target fractile correlations in Fig. 2. The non-

negative definiteness of the product – moment correlation

functions for the desired non-Gaussian processes are shown

in Fig. 3. For a variety of other common stationary

correlation model such as the triangular, single exponential,

linear exponential, and sine functions studied by Huang et al.

[20], the corresponding Gaussian product – moment corre-

Fig. 4. Simulated fractile and product–moment correlations for non-

lation functions are non-negative definite. Hence, the stationary non-Gaussian processes with Brown–Bridge fractile correlation

squared exponential correlation model is exceptional in model and (a) shifted lognormal distribution, (b) shifted exponential

this sense. distribution.

292 K.-K. Phoon et al. / Probabilistic Engineering Mechanics 19 (2004) 287–292

capable of handling non-stationary covariance functions and

multi-dimensional fields for the Gaussian case in an efficient

and unified way. Finally, the existence of such processes can

be rigorously established from Kolmogorov’s conditions by

observing that they are monotonic translations from a

standard Gaussian process. The simplicity of the proposed

approach is illustrated numerically using a stationary

squared exponential and a non-stationary Brown –Bridge

fractile correlation function in conjunction with a shifted

lognormal and a shifted exponential marginal distribution.

stationary non-Gaussian processes with Brown–Bridge fractile correlation

model. [1] Grigoriu M. Crossing of non-Gaussian translation processes. J Engng

Mech, ASCE 1984;110(4):610– 20.

For the non-stationary Brown– Bridge fractile corre- [2] Brockwell PJ, Davis RA. Time series: theory and methods. New York:

Springer; 1991.

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[3] Soong TT, Grigoriu M. Random vibration of mechanical and

fractile correlations are in good agreement and the shape of structural systems. Englewood Cliffs, NJ: Prentice-Hall; 1993.

the non-Gaussian product – moment correlation is also [4] Grigoriu M. Simulation of non-Gaussian translation processes.

similar to the target fractile correlation as shown in Fig. 4. J Engng Mech, ASCE 1998;124(2):121– 6.

In this example, the product – moment correlation r4 of the [5] Grigoriu M. Non-Gaussian models for stochastic mechanics. Probab

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[6] Gurley K. Modelling and simulation of non-Gaussian processes. PhD

is therefore, not surprising that the product – moment Thesis. Department of Civil Engineering and Geological Science,

correlation functions of the desired non-Gaussian processes University of Notre Dame; 1997

are also non-negative definite as shown in Fig. 5. [7] Yamazaki F, Shinozuka M. Digital simulation of non-Gaussian

stochastic fields. J Engng Mech, ASCE 1988;114(7):1183– 97.

[8] Deodatis G, Micaletti RC. Simulation of highly skewed non-Gaussian

stochastic processes. J Engng Mech, ASCE 2001;127(12):1284–95.

4. Conclusions [9] Phoon KK, Huang SP, Quek ST. Simulation of second-order

processes using Karhunen–Loeve expansion. Comput Struct 2002;

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