Comput Mech (2009) 43:781–796
DOI 10.1007/s00466-008-0345-4
ORIGINAL PAPER
Solution of generalized density evolution equation via a family
of δ sequences
Wenliang Fan · Jianbing Chen · Jie Li
Received: 10 April 2008 / Accepted: 10 October 2008 / Published online: 6 November 2008
© Springer-Verlag 2008
Abstract The traditional probability density evolution
equations of stochastic systems are usually in high dimen-
sions. It is very hard to obtain the solutions. Recently the
development of a family of generalized density evolution
equation (GDEE) provides a new possibility of tackling non-
linear stochastic systems. In the present paper, a numerical
method different from the finite difference method is deve-
loped for the solution of the GDEE. In the proposed method,
the formal solution is firstly obtained through the method of
characteristics. Then the solution is approximated by introdu-
cing the asymptotic sequences of the Dirac δ function com-
bined with the smart selection of representative point sets
in the random parameters space. The implementation proce-
dure of the proposed method is elaborated. Some details of
the computation including the selection of the parameters are
discussed. The rationality and effectiveness of the proposed
method is verified by some examples. Some features of the
numerical results are observed.
Keywords Principle of preservation of probability ·
Generalized density evolution equation · formal solution ·
δ Sequences
W. Fan
School of Civil Engineering, Tongji University, 1239 Siping Road,
200092 Shanghai, People’s Republic of China
e-mail: davidfwl@hotmail.com
J. Chen · J. Li (B)
State Key Laboratory for Disaster Reduction in Civil Engineering,
School of Civil Engineering, Tongji University, 1239 Siping Road,
200092 Shanghai, People’s Republic of China
e-mail: lijie@mail.tongji.edu.cn
J. Chen
e-mail: chenjb@mail.tongji.edu.cn
1 Introduction
In many engineering problems the randomness is usually
unavoidable because of more or less uncontrollability of the
embedded factors [1]. Specifically, in the performance-based
design and control of civil structures, various factors invol-
ved in circumstances and structural properties exhibit strong
uncertainties and should be taken as random variables or sto-
chastic processes. In this context, the past over 50 years have
seen great development in stochastic dynamics, including the
random vibration theory and the theory for analysis of sto-
chastic structures [2]. Various approaches are available for
stochastic response analysis of linear systems. However, for
nonlinear systems, particularly for multi-degree-of-freedom
or multi-dimensional nonlinear systems, even the second
order statistics of the stochastic responses are still unavai-
lable [2,3]. For instance, although a variety of approaches
have been developed in the random vibration theory, the
approaches applicable to large nonlinear systems are still
not well-developed [3,4]. On the other hand, as far as the
analysis of stochastic structures is concerned, the standard
Monte Carlo simulation is universal but limited by its pro-
hibitively large computational efforts as well as the random
nature of convergence [5,6]. The perturbation method can
reduce the computational effort greatly, but is only applicable
to stochastic systems with small variance and is essentially
confined to static cases because of the secular terms in dyna-
mic problems [7]. In contrast, the orthogonal polynomials
expansion method avoids the above two drawbacks, and can
acquire the second order statistics of response for linear sys-
tems with uncertain parameters [7,8]. Unfortunately, so far
it is not applicable to systems with nonpolynomial-type non-
linearity [9].
An alternative methodology is to examine the problem
from the point of view of evolution of densities [10]. In
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this framework, the classical probability density evolution
equations including the Liouville [11–14], FPK [3,15] and
the Dostupov–Pugachev equation [16] can be derived. Howe-
ver, at present it is still unfeasible to analytically or even
numerically solve these high-dimensional partial differential
equations related to general nonlinear systems [2]. In the past
few years, Li and Chen [17] found that these equations are
essentially the results of the principle of preservation of pro-
bability when it is viewed from the state space description
combined with coupled state equations. In this point of view,
all the components of the state vector are inseparable and
thus the dimension of the above classical probability density
evolution equations is identical to the dimension of the state
vector. In contrast, when the principle of preservation of pro-
bability is clarified from the random event description combi-
ned with the arbitrary-dimensional Lagrangian description of
the dynamical system, a family of any arbitrary-dimensional
generalized density evolution equation (GDEE) can be deri-
ved [17,18]. In the past years, this methodology has been sys-
tematically developed and successfully applied to dynamic
response analysis [19–21] and reliability evaluation of linear
and nonlinear multi-degree-of-freedom systems [22,23].
In the numerical solution of the GDEE, a partial differen-
tial equation, an accurate and efficient numerical method is
of paramount importance. Investigations show that for many
practical problems the finite difference method employing
the Lax–Wendroff scheme or the modified scheme with TVD
nature combined with the strategies of selecting ‘uniformly
scattered’ point sets exhibits good performance [24–26]. But
this does not exclude the attempt of developing alternative
numerical methods. As a matter of fact, the finite difference
method starts with discretization of the partial differential
equation directly. On the other hand, the closed-form
solution of the GDEE can be obtained by the method of
characteristics. Although in most practical cases this closed-
form solution is usually a formal solution which can not be
employed directly to obtain the final solution, it does provide
a possibility of approaching the solution through numerical
approximation of the formal solution. In the present paper, a
groping study on the numerical solution of GDEE is carried
out from the formal solution of GDEE, which could be des-
cribed by a Dirac δ function. Based on this result, a new
numerical solution for the GDEE is put forward by introdu-
cing the asymptotic sequences of Dirac δ function.
2 The generalized density evolution equation
To make the idea that will be developed in the present paper
clearer, here the fundamentals of the generalized density evo-
lution equation is outlined. Without loss of generality, consi-
der a stochastic dynamical system
Ẏ = G (Y , , t) , Y (t0 ) = y0 (1)
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Comput Mech (2009) 43:781–796
where Y = (Y1 , Y2 , . . . , Yn )T is the n by 1 state vector,
 = (1 , . . . , s ) is the s-dimensional random vector cha-
racterizing the randomness involved in the system. Suppose
the joint PDF of  is known and denoted by p (θ ).
Obviously, most dynamical systems can be transformed
to the form of system (Eq. 1) [17]. For instance, the equation
of motion of structures is usually a second order ordinary
differential equation, which can be rewritten into the form of
system (Eq. 1) by introducing the state vector composed of
the displacement and velocity vector. Meanwhile, if the ran-
domness is involved simultaneously in the initial conditions,
excitations and system parameters, it can always be repre-
sented by functions of a set of basic random variables, say
through the decomposition or discretization of related sto-
chastic processes and random fields [27,28]. In this sense,
all the randomness involved is indicated in a unified way and
characterized by  in the system (Eq. 1) [17].
For the well-posed problems, solution of the dynamical
system (Eq. 1) exists and is unique. Of course the solution
must depend on  and therefore can be written in a form
Y = H Y (, t) (2)
of which the component form reads
Yl = Hl (, t) (l = 1, . . . , n) (3)
Likewise, the velocity can be assumed to take the form
Ẏ = hY (, t) (4)
For convenience, denote the component of hY (, t)
by h l (, t), l = 1, 2, . . . , n. In essence, Eq. 3 is a
Lagrangian description of the system (Eq. 1).
Now let us consider any m physical quantities
X = (X 1 , X 2 , . . . , X m )T related to the system (Eq. 1). Gene-
rally speaking, these quantities can be determined by the state
vector, say through
Ẋ = fX (Y , Ẏ ) = fX (H Y(, t) , hY(, t))
= h(, t), X(t0 ) = x 0 (5)
For example, the X l here might be the displacement or velo-
city of some degree-of-freedom, or the strain or stress at some
point of the structure, or even the internal force in a section
of a member. These quantities are usually available once the
information of the displacements and velocities is obtained.
Because all the randomness comes from , the augmented
system (X, ) is probability preserved [17]. Thus, if the
joint probability density function of (X, ) is denoted by
PX (x, θ , t0 ), then from the random event description of
the principle of preservation of probability we have


D
p X (x, θ, t) dx dθ = 0 (6)
Dt
t ×θ
Comput Mech (2009) 43:781–796 783

where D(·)/Dt is the total derivative or substantial derivative, d p X (x, θ , t) d p X [x1 (τ ), . . . , xm (τ ), θ , t (τ )]

=
t is the domain at time t corresponding to 0 , which is an dτ dτ
arbitrary domain at time t0 in the X space, θ is any arbitrary ∂ p X (x, θ , t) dt
=
domain in the  space. ∂t dτ
Through some manipulations we can finally obtain the  m
∂ p X (x, θ , t) dxl
+ · (10)
governing equation [17]: ∂ xl dτ
l=1
∂ p X (x, θ , t) 
m
∂ p X (x, θ , t)
+ h l (θ , t) · =0 (7a) Comparing this equation with Eq. 7a, it is found that if we
∂t ∂ xl set
l=1
As m=1, Eq. 7a reduces to the following one- dt dxl
dimension partial differential equation = 1, = h l (θ, t), l = 1, 2, . . . , m (11)
dτ dτ
∂ p X (xl , θ , t) ∂ p X (xl , θ , t) then Eq. 7a becomes
+ h l (θ , t) · =0 (7b)
∂t ∂ xl
d p X [x1(τ ) , . . . , xm(τ ), θ, t (τ )]
The initial condition for Eq. 7a is: =0 (12)
dτ
p X (x, θ , t0 ) = δ(x − H (θ, t0 )) · p (θ) (8)
which is an ordinary differential equation.
Remark 1 Equation 7a, b are referred to as the generalized The curves determined by Eq. 11 are the characteristic
density evolution equation in the sense that [17,18]: (1) they curves. They are essentially the realizable trajectories of the
hold for both linear and nonlinear multi-dimensional stochas- dynamical system. Thus, the physical meaning of Eq. 12 is
tic dynamical systems; (2) the randomness involved in the that the probability density is preserved along the charac-
initial condition, system parameters and excitations are all teristic curves, which is nothing but the embodiment of the
taken into account in a reasonable way; and (3) particularly, random event description of the principle of preservation of
the dimension of the GDEE can be arbitrary and is inde- probability.
pendent to the dimension of the original dynamical system Note that if the initial condition of Eq. 9 takes
(1), which is in obvious contrast to the traditional probabi- 
lity density evolution equations such as the Liouville, FPK xl (0) = χl , l = 1, 2, . . . , m
(13)
and the Dostupov–Pugachev equation that are all in the same t (0) = 0
dimension as the state vector of original dynamical system.
The coordinate system (x1 , . . . , xm , t) can be transformed to
By the way, it is also noted that in the form the GDEE is
the coordinate system (χ1 , . . . , χm , τ ) by
somewhat analogous to some type of transport equation, say
 τ
the Vlasov equation, which is a simplified Boltzmann equa- xl = χl + 0 h l (θ , t) dt = χl + ϕl (τ ), l = 1, m
(14)
tion via replacing all interparticle forces by microscopically t = t (χ1 , . . . , χm , τ ) = τ
smoothed and self-consistent electromagnetic fields [29,30]. τ
Of course, the physical background of the two families of where ϕl (τ ) = 0 h l (θ, t)dt.
equations are different, but there might be something com- The transformation in Eq. 14 is nonsingular so that the
mon need to be further clarified and some of the numerical inverse transformation exists
methods developed in the two disciplines might be used for 
χl = xl − ϕl (τ ), l = 1, 2, . . . , m
reference mutually [31,32]. (15)
τ = τ (x1 , . . . , xm , t) = t
3 Analytical solution of generalized density evolution It is well known that the solution of Eq. 12 is then given by
equation
p X [x1 (χ1 , τ ) , . . . , xm (χm , τ ) , θ , t (χ1 , . . . , χm , τ )]
Being a first-order linear partial differential equation, theo- = p X [x1 (χ1 , τ0 ) , . . . , xm (χm , τ0 ) , θ ,
retically Eq. 7 can be analytically solved by the method of t (χ1 , . . . , χm , τ0 )] (16)
characteristics through which the partial differential equa-
tion can be transformed to an ordinary differential equation With Eqs. 13 and 14 in mind, we have, from Eq. 16,
along the characteristic curves [33]. In fact, introducing a
parameter τ , utilizing the parametric equation p X [x1 (χ1 , τ ) , . . . , xm (χm , τ ) , θ , t (χ1 , . . . , χm , τ )]
 = p X,0 (χ1 , . . . , χm , θ ) (17)
xl = xl (τ ) , l = 1, 2, . . . , m
(9)
t = t(τ )
where p X,0 (x, θ ) is the initial condition of p X (x, θ , t),
and substituting it in Eq. 7a, we have i.e. p X,0 (x, θ ) = p X (x, θ , 0).

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784
Introducing the inverse transformation Eq. 15 will then
give the solution of Eq. 7a by
p X (x1 , . . . , xm , θ , t)
= p X,0 [x1 − ϕ1 (t), . . . , xm − ϕm (t), θ ] (18)
Note the initial condition (Eq. 8), we have
p X (x1 , . . . , xm , θ , t) = δ (x − H(θ, t)) · p (θ ) (19)
According to the total probability formula, the PDF of X(t)
is given by
p X (x, t) = p X (x1 , . . . , xm , t)

as the harmonic functions, Legendre polynomials, Hermite
= p X [x1 , . . . , xm , θ , t] dθ


sequences:
= δ(x − H (θ, t)) · p (θ ) dθ



m
= δ (xl − Hl (θ , t)) · p (θ) dθ (20)
 l=1
This is the closed-form solution of the GDEE (7a).
4 Solution of generalized density evolution equation
via a family of δ sequences
The closed-form solution of GDEE, Eq. 20, seems a simpler
expression. But it is usually unfeasible to obtain the PDF
of the responses by directly employing this expression in
that [21]: (1) the Dirac’s δ function is involved in the multi-
dimensional integral, to perform which the multi-integral
of implicit inverse functions is needed, and (2) the explicit
expression of the formal solution h l (θ , t) is usually unavai-
lable, particularly for complex nonlinear systems. That’s why
numerical methods to solve Eq. 7a, say the finite difference
method employing different schemes, are developed rather
than direct employing Eq. 20 in the previous investigations
[20,21]. Nonetheless, Eq. 20 does provide the possibility of
approximating the PDF through replacing the Dirac’s func-
tion by the asymptotic Dirac’s function sequences other than
the finite difference method. In some aspects, this algorithm
might have advantages over the former ones.
4.1 Dirac’s δ sequences
The Dirac’s δ function is a family of generalized functions,
also referred to as distribution functions in some literatures.
They can be approached as the limit of different families of
functions, which might be called as the Dirac’s sequence, i.e.
if a family of functions δλ (x − x0 ) with λ belonging to an
index set satisfies
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Comput Mech (2009) 43:781–796
lim δλ (x − x0 ) → δ(x − x0 ) (21)
λ→0
Then δλ (x − x0 ), λ ∈ R, construct a Dirac’s sequence. Obvi-
ously, all the Dirac’s sequences converge to Dirac’s δ function
in the weak star sense [34]. Because the one-dimensional
δ sequence is the basis of constructing a high-dimensional
δ sequence, and one of the simplest choices for construc-
ting a high-dimensional δ sequence is the direct multiplica-
tions of a series of one-dimensional δ sequences, it is very
important to clarify the features of the one-dimensional δ
sequences. Clearly, the δ sequences are nonunique. Actually,
there exist many kinds of one-dimensional δ sequences, such
polynomials and many probability density functions and so
on [35]. For instance, as follows are three typical δ
(1) Uniform distribution
⎧
⎨ 1, |x − H (θ )| ≤ λ
δλ (x − H(θ )) = 2λ (22a)
⎩
0, otherwise
(2) Normal distribution
1 −1
δλ (x − H (θ )) = √ exp (x − H (θ ))2 (22b)
2π λ 2λ2
(3) Harmonic function
2
1/λ
δλ (x − H (θ )) = cos[(2i + 1)(x − H (θ ))] (22c)
π
i=0
Theoretically, the foregoing three sequences can be used
to replace δ(x − H (θ )) in Eq. 20 approximately because
it is easy to verify that they all satisfy Eq. 21. However,
their performances in numerical solution are quite different.
For instance, the function sequences in Eq. 22a are disconti-
nuous in its definition domain and thus using them will make
the numerical results discontinuous. On the other hand, the
function sequences in Eq. 22c are continuous and smooth
in any-order but will lead to high-frequency oscillation in
the result. Thus, it is crucial to select appropriate δ func-
tion sequences in the numerical solving algorithm. In the
present context, because the solution of Eq. 20 is a PDF, the
δ sequences based on PDF of course might be preferred, at
least they can guarantee the nonnegative nature and satisfy
the consistent condition of probability. Besides, the PDF
of the structural responses is smooth in most cases provi-
ded the PDFs of the basic random variables are smooth, thus
it is more reasonable to employ the smooth sequences than to
employ the discontinuous ones. With such consideration in
Comput Mech (2009) 43:781–796 785

mind, we employ the δ sequences based on the normal PDF tangent sphere [25] and those via number theoretical method
in Eq. 22b as a preferred choice. [26] and so on, the approximation of Eq. 25a becomes

4.2 Numerical implementation 

Ñsel
1
p X (x, t, λ) ≈ √ m
Based on the above judgment, the high-dimensional q=1 2π λ
δ sequences constructed by multiplications of independent ⎡    2 ⎤
−1 
m
x − H θ , t
× exp ⎣ 2 ⎦
normal PDFs is adopted as follows: l l q
2λ Hl,0

m l=1
δλ (x − H (θ , t)) = δλ (xl − Hl (θ ))

m
1  
l=1 × · p θ q θ q (25b)
  Hl,0

m
1 −1 l=1
= √ exp (xl − Hl (θ ))2
2π λl 2λl2
l=1 where Ñsel is the number of the selected points, θ q ’s are the
1 selected points, θ q = V / Ñsel is the volume of the repre-
= √ m sentative region by θ q , and V is the volume of the random
( 2π )m l=1 λl
 m  variable space. Introducing the concept of assigned
 −1 probability [26] (also see the Appendix), Eq. 25b can be
× exp (xl − Hl (θ )) 2
(23a)
2λl2 rewritten as
l=1

For simplicity, take λ1 = · · · = λm = λ. Then Eq. 23a 

Ñsel
1
reduces to p X (x, t, λ) ≈ P q √ m
q=1 2πλ
1
δλ (x − H(θ , t)) = √ m ⎡    2 ⎤
2π λ −1 
m
xl − Hl θ q , t
  × exp ⎣ 2 ⎦
2λ Hl,0
−1 
m
l=1
× exp (xl − Hl (θ )) 2
(23b)
2λ2 
m
l=1 1
× (25c)
Replacing δ(x − H(θ , t)) by δλ (x − H(θ, t)) as in Eq. 23b, Hl,0
l=1
Eq. 20 becomes


m   where Pq ; q = 1, 2, . . . , Ñsel are the assigned probabilities
xl − Hl (θ , t) 1
p X (x, t) = δ · · p (θ ) dθ given by
Hl,0 Hl,0
 l=1

  

m   Pq = Pr  ∈ Vq = p (θ)dθ ≈ p (θ q )θ q (25d)
1 −1  xl − Hl (θ , t) 2
= lim √ m exp Vq
λ→0
2πλ  2λ2 Hl,0
l=1



m Here Vq is the representative volume of the point θ q , usually
1
× · p (θ )dθ (24) the Voronoi cell can be employed [36].
Hl,0 Most of the marginal and joint PDFs of the basic ran-
l=1
dom variables involved in stochastic systems have only one
where Hl,0 = max(Hl (θ, t)). As λ is appropriately small,
peak and attenuate radially. Thus, [26] proposed a sieving
the approximation of p X (x, t) will be
strategy via a hyper-sphere for θ q when the joint PDF of 
p X (x, t) ≈ p X (x, t, λ) is spherically symmetric or nearly spherically symmetric.

 m    In order to extend the sieving strategy to nonspherically-
1 −1  xl − Hl (θ, t) 2
= √ m exp symmetric variables, a new sieving technique via indicator
2π λ  2λ2 Hl,0 function reads:
l=1



m
1   1, Pq ≥ P0
× · p(θ ) dθ (25a) I θq = (26)
Hl,0 0, Pq < P0
l=1

Introducing the strategy of selecting points uniformly scat- where P0 is a given value small enough. Eq. 25 is then trans-
tered in the multi-dimensional space, such as the points via formed to

123
786 Comput Mech (2009) 43:781–796


Ñsel
  1 Remark 2 The proposed algorithm and the finite difference
p X (x, t, λ) ≈ I θ q · √ m method are two different numerical methods for solution
q=1 2πλ of the GDEE. The basic steps in the two methods, inclu-
⎡  2⎤ m
ding the selection of representative point sets together with
−1 
m
xl − Hl θ q , t  1 determination of assigned probabilities and the deterministic
×exp ⎣ 2 ⎦ · Pq dynamic response analysis, are identical. The differences lie
2λ Hl,0 Hl,0
l=1 l=1
in the solving process of the generalized density evolution
equation: the proposed algorithm starts with the numerical

Nsel
1
= √ m approximation of the formal solution of the partial differen-
q=1 2πλ tial equation, whereas the finite difference method starts with
the discretization of the partial differential equation itself.
⎡    2 ⎤ Generally speaking, the finite difference method is a versatile
−1 
m
xl − Hl θ q , t
×exp ⎣ 2 ⎦ approach for partial differential equation if appropriate diffe-
2λ Hl,0 rence schemes are employed for the studied problems. While
l=1
for some special problems, particularly for those problems

m
1 with the formal solution available where Dirac’s delta func-
× ·Pq (27)
Hl,0 tions are involved, the proposed algorithm can be employed
l=1
and the computational efficient might be higher than the finite
where Nsel is the number of the final selected points. difference method.
In summary, the whole solving procedure follows the steps
below: Remark 3 It is very interesting that the basic idea of the pro-
posed approach is very similar to that employed in some
(a) Select discretized representative point sets θ q (q = 1, meshfree and particle methods in computational mechanics,
. . . , Ñsel ) in the domain  via the number theoreti- such as the smooth particle hydrodynamics (SPH) and the
cal method or tangent spheres method, where Ñsel is reproducing kernel particle method (RKPM) [37,38]. Of
the total number of the selected points. Meanwhile cal- course, this is not just a coincidence, but lies in some
culate the assigned probability of each representative common mathematical background. For instance, in all these
point according to the joint probability density function problems the approximation of Dirac’s delta functions are
of . Further, for the specified threshold value P0 , sieve involved although in different stages of solution of the pro-
Nsel effective representative points from the Ñsel initial blems. But because of different physical background, usually
representative points according to Eq. 26; there might be some special features in different problems
(b) For any prescribed  = θ q , evaluate the value of and therefore some special technique issues are usually deve-
Hl (θq , tk ) by deterministic analysis of structure, where loped in the above different problems. It is very beneficial
tk is the time instants tk = kt, k = 0, 1, 2, . . . , t is to use these related researches for reference in the future
the time step; elaborations.
(c) Determine the discretized spatial coordinate xl, j = jx,
j = 0, ±1, ±2, . . ., where x is the space step in
the direction of xl , then choose appropriately small λ, 5 Error of approximation for PDF
calculate the numerical solution of p X (x, t), i.e. p X
(x 1, j1 , . . . , xm, jm , tk ) according to Eq. 27. According to Eq. 27, the approximation of p X (x, t),
p X (x, t, λ), is obviously a function of λ. The accuracy of
Theoretically, if the number of the representative points is the numerical solution thus in a large degree depends on λ.
infinite, the accuracy of numerical solution will be improved The discrepancy of two functions can be expressed as:
as λ is closer and closer to zero. However, it is unpractical for
∞
stochastic system analysis because of the prohibitively consi-
Err1 (λ) = [ p X (x, t) − p X (x, t, λ)]2 dx (28)
derable computational effort. In fact, usually several han-
−∞
dreds of points are chosen. In this case the value of λ should
not be too small because of the condensation effect in the Theoretically, the optimal λ should be the value that makes
neighborhood of x = Hl (θ q , t) which distorts the real PDF. Err1 (λ) stationary. But it is almost impossible to acquire the
Qualitively, the more and denser the representative points are exact optimal λ in practice because p X (x, t) is unknown.
selected, the smaller λ should be, and vice versa. Thus the According to the basic lemma of variational principles
value of λ is essential and at present is determined according [39], it can be proved that if the following equations hold
to computational experiences. for all j

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Comput Mech (2009) 43:781–796 787

∞ usually the λ reaches the optimal value as Err2,1 (λ) reaches

x j [ p X (x, t)− p X (x, t, λ)] dx = 0, j = 1, 2, . . . (29) minimum.
−∞ On the other hand, note from Eq. 25c that p X (x, t, λ) also
then there must exist depends on the selected representative points, particularly,
on the number of selected points. Thus, an optimal λ must
p X (x, t) = p X (x, t, λ) (30) also depend on Nsel . Quantitatively, the larger the Nsel is, the
smaller the optimal λ is.
Accordingly, the error of the approximation can be evaluated
by
 ∞  6 Numerical examples


 

Err2, j (λ) =  x [ p X (x, t) − p X (x, t, λ)] dx 
j
  To verify the proposed algorithm, three types of numerical
−∞
 ∞  examples are studied, including: (1) re-construction exam-


  ples, i.e. to select representative points from a given random
 x j
p (x, t) dx  (31)
 X  variable and calculate its PDF, (2) mapping examples, i.e. to
 
−∞ obtain the PDF of a function of given random variables, and
The first and second order error estimations are mostly (3) stochastic response analysis of dynamical systems.
used in practice, i.e.
 ∞ 

 6.1 Re-construction of probability density function
 

Err2,1 (λ) =  x [ p X (x, t) − p X (x, t, λ)] dx 
  In this subsection, we consider the re-construction of PDF.
−∞
 ∞  For instance, for a given random variable Z with known


  PDF p Z (z), our purpose is to obtain the PDF of Y , which
 x p X (x, t)dx  = |E(t)− E(t, λ)|/|E(t)|
 is determined by Y = Z . Clearly, the exact solution is
 
−∞
pY (y) = p Z (y). To verify the proposed method, the algo-
(32a)
 ∞  rithm elaborated above is employed to evaluate the numerical


  solution of pY (y). The representative points are firstly selec-
Err2,2 (λ) =  x 2 [ p X (x, t) − p X (x, t, λ)] dx  ted in the Z space and the corresponding assigned probabi-
 
−∞ lities are determined, then the asymptotic Dirac’s sequences
 ∞ 

 are used to obtain the numerical solution of the PDF of
 
 x 2
p (x, t)dx  = |V (t)−V (t, λ)|/V (t) Y, pY(y, λ).
 X 
 
−∞
(32b) Case 1 (Normal distribution N (0, 1)) Assume Z obeys
standard normal distribution N (0, 1). Totally 60 points are
where E(·) and V (·) are the first and second origin moment, selected over the interval [−4, 4] using the lattice grid. Mean-
respectively. while the assigned probability Pq , q = 1, 2, . . . , 60 are cal-
Clearly, Err2,1 (λ) and Err2,2 (λ) are essentially the errors culated. Employing the proposed method, the approximation
of the mean and the variance respectively. Because Px (x, t) of the PDF, pY (y, λ), varying against λ, can be acquired.
is usually unknown, in practical implementation the exact The comparisons between the approximation pY (y, λ) and
mean and variance can be approximated by the correspon- the exact solution pY (y) = p Z (y) are shown in Fig. 1. The
ding statistical values. By the way, to avoid possible nume- errors Err2,1 (λ) as well as Err2,2 (λ) varying against λ are
rical singularity, in the case E(t) is close to zero, it is more listed in Table 1. From these results it can be seen that the
reasonable to define the first order error Err2,1 (λ) by numerical solutions vary against λ. As the λ increases, the
 ∞ 

 smearing effect becomes less but the high-frequency oscilla-
 
Err2,1 (λ) =  x [ p X (x, t) − p X (x, t, λ)] dx  tion becomes more obvious. One can also find that the nume-
  rical solution approaches the best when Err2,1 (λ) is nearly
−∞
minimum, i.e. λ = 0.03. Besides, the approximation of the
= |E(t) − E(t, λ)| (32c)
mean value and standard deviation is less sensitive to λ than
instead of Eq. 32a. that of the PDF. It can be seen that a balance should be made
It seems that the optimal λ will make both the Err2,1 (λ) between the dissipation and high-frequency oscillation. That
and Err2,2 (λ) minimum. However, computational practice is, if λ is too large, the effect of dissipation is too large,
shows that the Err2,1 (λ) and Err2,2 (λ) do not reach their whereas if λ is too small, the effect of high-frequency oscil-
minimum simultaneously. As will be seen in the next section, lation is too large. The reason that λ cannot be too small is

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788 Comput Mech (2009) 43:781–796

Fig. 1 Tendency of approximation for PDF varying against λ (normal distribution)

Table 1 The errors Err2,1 (λ),

λ 0.10 0.08 0.06 0.04 0.03 0.02 0.01
Err2,2 (λ) varying against λ
µ 7.14e–05 7.14e–05 7.14e–05 7.14e–05 7.14e–05 7.13e–05 7.14e–05
σ 1.0765 1.0494 1.0278 1.0121 1.0066 1.0026 1.0002
Err2,1 (λ) 8.61e–08 3.11e–08 3.09e–08 1.45e–08 8.44e–10 1.68e–08 3.33e–08
Err2,1 (λ) is calculated according Err2,2 (λ) 7.71e–02 5.00e–02 2.84e–02 1.27e–02 7.18e–03 3.20e–03 8.01e–04
to Eq. 32c

that the number of selected points is not too large. In other
words, the optimal λ must depend on the number of selected
points.
Case 2 (Lognormal distribution) Logarithmic normal PDF
can be formulated as:
 
1 −[ln(x) − µ]2
p X (x, t) = √ exp (33)
2π σ x 2σ 2
where µ = 0, σ = 1. The figures of p X (x, t) over the
interval x ∈ [0, 8] is observed in this case, µ X = 1.4208,
σ X = 1.3772.
Totally 80 points are selected over [0, 8] using the lat-
tice grid, simultaneously the assigned probabilities Pq ’s are
obtained. The approximation of the PDF varying against λ
and the comparisons between the approximation and the
exact solution are shown in Fig. 2. Meanwhile, the errors
Err2,1 (λ) and Err2,2 (λ) varying against λ are listed in Table 2.
Likewise, it can be found that the numerical solution is best
when Err2,1 (λ) is nearly minimum. Again it is seen that the
approximation of the mean value and the standard deviation
is less sensitive to λ than that of the PDF. Besides, it can be
seen that the optimal λ should also be related to the number
of selected points.
Case 3 (Uniform distribution) In this case totally 300 points
are selected in [0, 100] using the lattice grid. The approxima-
tion of the PDF varying against λ and the comparisons bet-
ween the approximation and the exact solution are pictured
in Fig. 3. Simultaneously, the errors Err2,1 (λ) and Err2,2 (λ)
varying against λ are listed in Table 3. Similar observation
finds that the numerical solution is best when Err2,1 (λ) is
nearly minimum. By the way, it can be seen that because
of the effect of dissipation the numerical solution is much
smoothed compared to the exact solution. Thus, one should
be very cautious in the case discontinuous points exist in the
solution.
Case 4 (Probability density function with double peaks)
Assume the PDF of a random variable is given by
3 ! 2 "
f (x) = −x + sign(x) · 5x , x ∈ [−5, 5] (34)
125
where sign(·) is the signum function. This is a double-mode
PDF (Fig. 4).

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Comput Mech (2009) 43:781–796 789

Fig. 2 Tendency of approximation for PDF varying against λ (Lognormal distribution)

Table 2 The errors Err2,1 (λ),

λ 0.03 0.025 0.02 0.015 0.01 0.0075 0.005
Err2,2 (λ) varying against λ
µ 1.4199 1.4199 1.4199 1.4199 1.4199 1.4199 1.4199
σ 1.3966 1.3904 1.3853 1.3813 1.3785 1.3775 1.3768
Err2,1 (λ) 3.36e–07 8.40e–08 4.20e–07 4.20e–07 0.00e+00 2.52E–07 5.04e–07
Err2,2 (λ) 1.48e–02 1.03e–02 6.61e–03 3.73e–03 1.66e–03 9.32e–04 4.16e–04

Fig. 3 Tendency of approximation for PDF varying against λ (uniform distribution)

Now 100 points are selected over the interval [−5, 5] and the exact solution are shown in Fig. 4. The errors
using the lattice grid. The approximation of the PDF varying Err2,1 (λ) and Err2,2 (λ) varying against λ are listed in
against λ and the comparisons between the approximation Table 4. It can be seen that the numerical solution is best when

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790 Comput Mech (2009) 43:781–796

Table 3 The errors Err2,1 (λ), Err2,2 (λ) varying against λ

λ 0.06 0.04 0.03 0.02 0.01 0.005 0.0025 0.0015

µ 50.1666 50.1666 50.1666 50.1666 50.1666 50.1666 50.1762 50.1850

σ 29.4843 29.1432 29.0228 28.9365 28.8847 28.8717 28.8908 28.9366
Err2,1 (λ) 0.00e + 00 1.52e−07 0.00e + 00 1.52e−07 7.60e−08 3.80e−07 1.92e−04 3.66e−04
Err2,2 (λ) 2.14e−02 9.55e−03 5.39e−03 2.40e−03 6.00e−04 1.51e−04 8.11e−04 2.40e−03

Fig. 4 Tendency of approximation for PDF varying against λ (distribution with double peaks)

Table 4 The errors Err2,1 (λ), Err2,2 (λ) varying against λ

λ 0.05 0.04 0.03 0.02 0.015 0.0125 0.01 0.0075

µ −7.06e−08 2.62e−07 1.0e−07 6.44e−08 −1.64e−07 5.85e−08 5.39e−09 3.35e−08

σ 2.7491 2.7450 2.7418 2.7395 2.7387 2.7384 2.7382 2.7380
Err2,1 (λ) 7.10e−08 2.62e−07 1.00e−07 6.40e−08 1.65e−07 5.81e−08 4.96e−09 3.31e−08
Err2,2 (λ) 4.16e−03 2.66e−03 1.50e−03 6.67e−04 3.75e−04 2.60e−04 1.67e−04 9.38e−05
Err2,1 (λ) is calculated according to Eq. 32c

Err2,1 (λ) is nearly minimum. Also, the approximation of the
mean value and standard deviation is less sensitive to λ than
that of the PDF. For the points where the derivative is dis-
continuous, the effect of smooth is also very obvious.
Case 5 (2D Probability density function) In many practi-
cal cases for analysis of stochastic systems, one-dimensional
GDEE is enough by adopting the thought of equivalent
extreme event [23], therefore the examples mentioned above
are mainly concentrated on the case of one dimension. Howe-
ver, the proposed method is also valid for high-dimensional
GDEE. For convenience, a re-construction case of two-
dimensional independent joint normal PDF is carried out.
Firstly, 60×60 points are selected over the square [−4, 4]2
using the lattice grid, then the approximation of joint PDF
can be obtained by the proposed method and comparisons
between the approximation and the exact solution are shown
in Fig. 5. Secondly, 1261 points are selected over the square
[−4, 4]2 via tangent spheres [25] with P0 = 6.20e−06, then
the approximation of the joint PDF and comparisons bet-
ween the approximation and the exact solution are pictured
in Fig. 6. It can be seen from these results that the numerical
solution is also rational for high-dimensional GDEE and the
selection of points via tangent sphere is more effective than
the lattice grid.

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Comput Mech (2009) 43:781–796
Fig. 5 Approximation for PDF
and comparison between
approximation and exact
solution at peak (lattice
60 × 60, λ = 0.02)
Fig. 6 Approximation for PDF
and comparison between
approximation and exact
solution at peak (representative
points via tangent sphere 1261,
λ = 0.0275)
6.2 Mapping of probability density function
In this part, we consider the mapping of PDF, that is, for a
given random variable Y with known PDF pY (y), our pur-
pose is to obtain the PDF of X , which is determined by
X = f (Y ). In some special cases, the closed-form solu-
tion of p X (x) is available. Steps of the numerical solution
for p X (x) by the proposed method include: (1) select the
representative points in the Y space and determine the cor-
responding assigned probabilities; and (2) use the asymptotic
Dirac’s sequences to obtain the numerical solution of PDF
of Y, p X (x, λ).
Assume ln(x) = y ∼ N (0, 1), then x = e y is a lognormal
random variable. Here, totally 100 points, say yq , for N (0, 1)
are selected in [−4, 4] using the lattice grid, simultaneously
the assigned probabilities Pq ’s are determined. Then yq is
mapped to be xq via x = e y . The approximation of the PDF of
x based on xq and Pq varying against λ and the comparisons
between the approximation and the exact solution are shown
in Fig. 7. The errors Err2,1 (λ) and Err2,2 (λ) varying against λ
are listed in Table 5. It can be seen that the numerical solution
is best when Err2,1 (λ) is nearly minimum. Once again, it is
found that the approximation of the mean value and standard
deviation is less sensitive to λ than that of the PDF.
791
6.3 Stochastic response analysis of dynamical systems
Consider a 10-story shear frame as shown in Fig. 8 subjected
to earthquake. Randomness is involved in the mass parame-
ters, stiffness parameters, the parameters of nonlinear res-
toring force model and the peak parameters of the ground
acceleration.
The mean of the lumped masses m 1 , m 2 , . . . , m 10 are
listed in Table 6. From the bottom to the top, the masses
of the lower four floors are completely correlated and thus
the randomness can be characterized by a single random
variable, so are the masses of the upper six floors. The-
refore two random parameters are involved in the masses.
In a similar way another two random parameters are invol-
ved in the initial elastic modulus. The Bouc–Wen model
[40,41], which can describe the typical nonlinearity invol-
ving degradation of strength, degradation of stiffness and
the effect of pinching, is employed to characterize the inter-
story restoring force v.s. the inter-story drift. In this model,
there are 13 parameters, of which α is the ratio of post-
yield stiffness to the pre-yield one, A, β, γ , n are the shape
parameters, δv is a parameter reflecting degradation of the
strength, δη is a parameter reflecting degradation of the stiff-
ness, the other parameters p, q, λ, ψ, δψ , ξs are related to the
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792 Comput Mech (2009) 43:781–796

Fig. 7 Tendency of approximation for PDF varying against λ (random variables via mapping)

Table 5 The errors Err2,1 (λ), Err2,2 (λ) varying against λ

λ 0.0024 0.0021 0.0018 0.0015 0.0012 0.0009 0.0006 0.0003

µ 1.6466 1.6466 1.6466 1.6466 1.6466 1.6466 1.6467 1.6776

σ 2.1284 2.1274 2.1266 2.1259 2.1254 2.1249 2.1246 2.1380
Err2,1 (λ) 5.79e−07 7.96e−07 9.41e−07 3.62e−07 3.62e−07 6.52e−07 6.96e−05 1.88e−02
Err2,2 (λ) 1.90e−03 1.46e−03 1.07e−03 7.42e−04 4.75e−04 2.67e−04 1.43e−04 6.43e−03

m 10 ping is adopted such that C = aM + bK, where K is the

h initial stiffness matrix, a = 0.01, b = 0.005. The ground
m9 acceleration is assumed to be linear combination of the El
h Centro accelerograms in the N–S and E–W directions with
random combination coefficients PGA,1 and PGA,2 . Regar-
m8
ding all the randomness, totally 10 random variables are
h
involved. The partition of probability assigned space combi-
m2 ned with the Number Theoretical Method [26,42] is
h employed to generate the represent points and then the gene-
m1 ralized density evolution equation is solved to obtain the
probabilistic information of the stochastic response of the
h1
nonlinear structure.
Figures 9 through 11 illustrate part of the results. It is
seen that both the mean and the standard deviation of the
Fig. 8 Model of 10-story shear frame response agree quite well with the Monte Carlo simulation
(Fig. 9). In the computation only 570 representative points
effect of pinching. According to the sensitivity analysis of the are selected in the PDEM whereas 16,000 re-analysis are
parameters [41], the model parameters β, γ , δv , δη are taken carried out in the Monte Carlo simulation (MCS). Thus, the
as random variables of which the probabilistic information is efficiency of the propose approach is higher by tens of times
given in Table 7. The other model parameters take the values than the MCS. Moreover, one of the most important advan-
α = 0.01, A = 1, n = 1, q = 0, p = 600, δψ = 0, λ = tages of the PDEM is that the instantaneous PDF of the res-
0.5, ξs = 0.95, ψ = 0.2. For simplicity, the Rayleigh dam- ponse can be captured. This can be seen in Fig. 10a where

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Comput Mech (2009) 43:781–796 793

Table 6 Probabilistic
information of the mass and Number of story Mean value Coefficient of variation
stiffness parameters
Lumped mass Initial elastic modulus Lumped mass Initial elastic
(×10,000 kg) (×100,000 MPa) modulus

10 0.5 2.8 0.2 0.2

9 1.1 2.8
8 1.1 3.0
7 1.0 3.0
6 1.1 3.0
5 1.1 3.0
4 1.3 3.25 0.2 0.2
3 1.2 3.25
2 1.2 3.25
1 1.2 3.25

Table 7 Probabilistic information of parameters in the Bouc–Wen second order moments, but also in the sense of CDF. The PDF
model and excitation surface evolving against time is shown in Fig. 11. Typical
Parameters β γ δv δη PGA,1 PGA,2 characteristics of the PDF are similar to those have been dis-
cussed in [20,21].
Mean value 60 10 200 200 2.0 m/s2 2.0 m/s2
Coefficient of variation 0.2 0.2 0.2 0.2 0.2 0.2
7 Conclusions and remarks

the PDFs at three different instants of time are illustrated.
Meanwhile, the comparison between the cumulative distri-
bution function (CDF) by the proposed method and the empi-
rical cumulative distribution function by the MCS is shown
in Fig. 10b, where one can find that the difference is very
small, showing acceptable accuracy not only in the sense of
In stochastic dynamics, from the view of the random event
description of the principle of preservation, a family of
arbitrary-dimensional generalized density evolution equa-
tion can be derived. Based on the formal solution of this
equation, the asymptotic sequences of Dirac δ function are
employed to approximate the analytical results. This leads to

Fig. 9 Mean and standard

deviation of the stochastic
response

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794 Comput Mech (2009) 43:781–796

Fig. 10 Typical PDF of

stochastic responses at different
instants of time and the
comparison of CDF between the
proposed method and MCS

Fig. 11 PDF evolution surface

a new family of numerical solution method, different from
the finite difference method which starts with the direct dis-
cretization of the partial differential equation, for the genera-
lized density evolution equation. In the present paper, details
of the algorithm including the implementation procedure
and the error estimation are studied. Furthermore, combined
with the previously developed strategies of selecting repre-
sentative points, the proposed method can be implemented
efficiently. The proposed algorithm is verified by some typi-
cal examples, including the re-construction examples, the
mapping example and the stochastic response analysis of
dynamical systems. It is seen that the numerical solutions
vary with λ. An optimal value of λ exists when the point
sets are determined. Besides, the efficiency of the propo-
sed method is higher by tens of times than the Monte Carlo
simulation.
As an initial study of a new numerical method, some
important issues need to be studied further, such as the best
choice of asymptotic δ sequences and the choice of λ in a
rational rather than an empirical way.
Acknowledgments Supports from the Natural Science Foundation of
China for Innovative Research Groups (Grant No. 50621062), for Young
Scholars (Grant No. 10402030) and the New Century Excellent Scholar
Plan of the Ministry of Education of China are gratefully appreciated.
Appendix A: The concept of representative points and
their assigned probabilities
Consider a point set
Psel = {θq = (θ1,q , θ2,q , . . . , θs,q ); q = 1, 2, . . . , Nsel } (A.1)

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Comput Mech (2009) 43:781–796 795

Here p (θ ) is the joint density of the random parameters  =

(1 , 2 , . . . , s ). By doing this, in fact we have discretized
the joint density p (θ) through replacing it by
rcv q i ,V i 
Nsel

q ,V j p̃ (θ ) = {Pq δ(θ − θ q )}

q=1
⎧ ⎫
Nsel ⎨
 
s ⎬
= Pq δ(θ − θ j,q ) . (A.7)
⎩ ⎭
q=1 j=1
(a) Covering radius (b) Voronoi cells
Clearly, we have
Fig. 12 The point set and the corresponding Voronoi cells in a plane
lim p̃ (θ ) = p (θ) (A.8)
rcv →0

in an s-dimensional domain  . Then the representative cells where rcv is the covering radius of the point set Psel , and
of the point set can be determined. For instance, the Voronoi is also the minimum circumradius of the Voronoi cells. In
cells can be adopted such that [36] addition, in consideration of Eq. A.5 it follows that
# # # #
V (θq ) = Vq = {x ∈ Rs : #x−θq # ≤ #x−θ j # for all j}. (A.2)


Nsel Nsel


p (θ )dθ = p̃ (θ)dθ = Pq = p (θ ) dθ
Here, V (θq ) is the Voronoi cell of the point θq . Equation A.2
  q=1 q=1 V
means that the Voronoi cell V (θq ) is the sub-domain in which

q

the points are those nearest to point θq compared to all the

= p (θ )dθ = 1. (A.9)
other points θ j , j = q.
Nsel
Schematically shown in Fig. 12 are the Voronoi cells of ∪q=1 Vq
the points. Also from Fig. 12a one can see that a covering
radius exists and is specified by The point set in Eq. A.1 is usually referred to as the repre-
# # sentative point set. Employing the above concepts, a strategy
rcv = sup inf #x − θq # . (A.3) of selecting representative points via partition of probability-
x∈Rs θ q ∈P
assigned space can be further developed and was adopted in
Because all the Voronoi cells are mutually exclusive except Sect. 6.3. For details, refer to [42].
in a zero measured set related to the boundary surfaces, they
form a complete but nonoverlapping partition of the space
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