Simulation of Multi-Variate Random Processes

다변수 확률과정의 시뮬레이션

An improved algorithm for simulation of multi-variate random processes has been presented. It is based on the spectral representation method. The conventional methods give sample time histories which satisfy the target spectral density matrix only in the sense of ensemble average. However, the present method can generate sample functions which satisfy the target spectra in the ergodic sense. Example analysis is given for the simulation of earthquake accelerations with three components.