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Overview
Introduction
Elementary properties
Conditional random fields
Computational aspects
Example
Concluding remarks
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Random field
Real valued function H(x) defined in an n-dimensional space
H R;
x = [x1 , x2 , . . . xn ]T D Rn
H(x, )
x
y
x, y
L
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H(x)
= E[H(x)]
Autocovariance function
H(x)
= const.
x D;
x D
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bk (x)H(xk )
k=1
E[H(x)
H(x)] = 0
Minimize the variance of the dierence
E[(H(x)
H(x))2 ] Min.
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H(x1 )
[
]
..
H(x)
= CHH (x, x1 ) . . . CHH (x, xm ) C1
.
HH
H(xm )
CHH denotes the covariance matrix of the random field H(x)
at the locations of the measurements.
Covariance matrix of the conditional random field
y) = C(x, y)
C(x,
CHH (y, x1 )
]
[
..
CHH (x, x1 ) . . . CHH (x, xm ) C1
.
HH
CHH (y, xm )
Spectral decomposition
Perform a Fourier-type series expansion using deterministic
basis functions k and random coecients ck
H(x) =
ck R, k R, x D
ck k (x),
k=1
k=1
k k (x)k (y),
Discrete version
Discrete random field
Hi = H(xi ),
i = 1...N
(1)
k (xi )ck =
k=1
ik ck
(1)
k=1
In matrix-vector notation
H = c + H
Computation of basis vectors by solving for the eigenvalues
k of the covariance matrix CHH
CHH k = k k ; k 0; k = 1 . . . N
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Computational aspects
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p>1
i i uk,i
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ci
1
= 1 i=1
=1
ci
n
i=1 ni
i=1
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zk =
i uk,i
i
i i,1 uk,i , . . . ,
i i,M uk,i }
yk = {zk,1 , . . . , zk,M } = {
i=1
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i=1
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Example
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Example
M = 50
M = 200
M = 500
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Errors
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Concluding Remarks
Karhunen-Loeve expansion is very useful for reduction of
number of variables
Solution of eigenvalue problem may run into computational
problems (storage, time)
Suitable reduction methods reduce storage and time
requirements drastically
Software Statistics on Structures - SoS by
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