Convergence study of the truncated Karhunen-Loeve expansion for simulation of stochastic processes

International Journal for Numerical Methods in Engineering

Volumn 52, Issue 9, 2001, Pages 1029-1043

  Huang, S P ^a   Quek, S T ^a   Phoon, K K ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Covariance models; Karhunen Loeve expansion; Non stationary Gaussian process; Simulation; Stationary Gaussian process; Stochastic representation

Indexed keywords

COMPUTER SIMULATION; EIGENVALUES AND EIGENFUNCTIONS; FUNCTION EVALUATION; PARAMETER ESTIMATION;

COVARIANCE FUNCTION;

RANDOM PROCESSES;

STOCHASTIC PROCESS;

EID: 0035976363     PISSN: 00295981     EISSN: None     Source Type: Journal    
DOI: 10.1002/nme.255     Document Type: Article

References (11)

1. Simulation of the stochastic process by spectral representation
2. On the spectral representation method in simulation
3. Orthogonal series expansions of random processes in reliability analysis
4. Optimal discretization of random processes
5. On the numerical expansion of a second order stochastic process