Random Vibrations II

ERASMUSTeaching(2009),TechnischeUniversittBerlin
Randomvibrations RandomvibrationsII II
Assoc.Prof.Dr.PelinGUNDESBAKIR Assoc.Prof.Dr.PelinGUNDESBAKIR
IstanbulTechnicalUniversity
gundes@itu.edu.tr gundes@itu.edu.tr
d b ki @ h d b ki @ h gundesbakir@yahoo.com gundesbakir@yahoo.com
Transmissionofrandomvibration
Pelin GndeBakr,ProbabilisticandstochasticmethodsinStructuralDynamics
Introduction
Introduction
d d h h h f d l Wearenowreadytoconsiderhowthecharacteristicsofrandomsignals
arechangedbytransmissionthroughstablelinearsystems.
Weshallconsidertheresponsey(t)totwoseparaterandominputsx
1
(t)
andx
2
(t).Theresponsetoasingleinputcanthenbeobtaineddirectlyby
putting either x or x zero and the response to more than two inputs can puttingeitherx
1
or x
2
zero,andtheresponsetomorethantwoinputscan
beinferredfromtheformofthesolutionfortwoinputs.
Thementalpictureweneedisofaninfinityofexperiments,allproceeding
simultaneously,andeachwithanidenticallinearsystemforwhichthe
impulse response functions are h
1
(t) and h
2
(t) and the corresponding impulseresponsefunctionsareh
1
(t)andh
2
(t)andthecorresponding
frequencyresponsefunctionsareH
1
()andH
2
().
Introduction
Introduction
h d b l f f h ( ) d ( ) Eachexperimentisexcitedbysamplefunctionsfromthex
1
(t)andx
2
(t)
randomprocessesandtheresponseisasamplefunctionfromthey(t)
randomprocess.
Introduction
Introduction
k h h h f h ( ) Wewanttoknowhowthecharacteristicsoftheoutputprocessy(t)
dependonthecharacteristicsofthetwoinputprocessesx
1
(t)andx
2
(t)
andontheinputoutputcharacteristicsofthesystem.
Thefunctionsh
1
(t)andH
1
()givetheresponsey(t)duetoaninputx
1
(t)
andthefunctionsh
2
(t)andH
2
()givetheresponsey(t)duetoaninput
x
2
(t) x
2
(t).
Mean level
Meanlevel
d Accordingto
the response y(t) of a typical sample experiment to the inputs x
1
(t) and
d t x h t y ) ( ) ( ) ( =

theresponsey(t)ofatypicalsampleexperimenttotheinputsx
1
(t)and
x
2
(t)maybeexpressedas:
IfwearenowtocalculatetheensembleaverageE[y(t)]wehaveto
determine the average values of both the integrals on the rhs of the above determinetheaveragevaluesofboththeintegralsontherhsoftheabove
equation.Todothis,weneedtorememberthatanintegralisjustthe
limitingcaseofasummationandthattheaverageofasumofnumbersis
the same as the sum of the average numbers for instance: thesameasthesumoftheaveragenumbers,forinstance:
Mean level
Meanlevel
h Orusingthesummationsign:
Applyingthisresultto
gives:
Providedthatboththerandominputsarestationary,thentheirmean
levelsE[x
1
]andE[x
2
]areindependentofthetimeofensembleaveraging [
1
] [
2
] p g g
(t),andsoweobtain:
Mean level
Meanlevel
From
We see that E[y(t)] is independent of time so that finally WeseethatE[y(t)]isindependentoftime,sothatfinally,
Mostengineerstendtothinkintermsoffrequencyresponseratherthan
impulseresponse,andwecanexpresstheaboveequationintheseterms
by using the basic result: byusingthebasicresult:
whichfor=0becomes
Onsubstitutiontothesecondequationabove,weget:
Mean level
Meanlevel
Where
l l Orinelectricalengineeringterms,
The mean levels of stationary random vibration are therefore transmitted just Themeanlevelsofstationaryrandomvibrationarethereforetransmittedjust
asthoughtheyareconstantnonrandomsignalsandthesuperimposed
randomexcurisonshavenoeffectontherelationshipsbetweenmeanlevels.
Autocorrelation
Autocorrelation
h l f f h ( ) Theautocorrelationfunctionfortheoutputprocessy(t)is:
According to Accordingto
wecanwriteformalsolutionsfory(t)andy(t+)and,putting
1
and
2
insteadof toavoidconfusion,theseare
and
Substitutingthethirdandfourthequationintothefirstequation:
Autocorrelation
Autocorrelation
Weget:
Si d li i h bl h i l i h b Sincewearedealingwithastablesystem,theintegralsintheabove
equationconvergeanditislegitimatetowriteeachproductoftwo
integralsasasingledoubleintegralsothatforinstance:
Autocorrelation
Autocorrelation
h h Whenwecometoaveragetheexpression
Wehavethentoaveragethesedoubleintegralstofindforexample:
whichisequalto:
Autocorrelation
Autocorrelation
P id d th t th i t (t) i t ti it t l ti Providedthattheinputprocessx
1
(t)isstationary,itsautocorrelation
functionisindependentofabsolutetimet,andso:
Theterm
maybewritten:
and is independent of time t. The same reasoning can be applied to the andisindependentoftimet.Thesamereasoningcanbeappliedtothe
otherthreetermsandsoforstationaryexcitation,theoutput
autocorrelationfunctionisindependentofabsolutetimetandcanbe
expressedbythefollowingratherlengthyexpression: p y g g y p
Autocorrelation
Autocorrelation
involving double convolutions of the input autocorrelation and involvingdoubleconvolutionsoftheinputautocorrelationand
crosscorrelationfunctions.
TheautocorrelationfunctionfortheoutputprocessR
y
()isindependentof
absolute time t for stationary excitation and this is a general result for the absolutetimet forstationaryexcitationandthisisageneralresultforthe
responseofanyconstantparameterlinearsystem.Itturnsoutthatall
averagesoftheoutputprocessaretimeinvariantforstationaryexcitation,and
theoutputprocessisthereforeitselfstationary.
Spectral density
Spectraldensity
l h h h Althoughtheequation
is such a complicated expression fortunately considerable simplifications issuchacomplicatedexpression,fortunatelyconsiderablesimplifications
emergeifwetakeFouriertransformsofbothsidestofindS
y
(),the
spectraldensityoftheoutputprocess.
Spectral density
Spectraldensity
From
the Fourier transform of the first double integral on the rhs of the
( ) ( )

d e R S
i
x x
=
2
1
theFouriertransformofthefirstdoubleintegralontherhsofthe
equation
is:
Spectral density
Spectraldensity
h h d f h b Changingtheorderofintegration,thismaybewritten:
Thelastintegraliswithrespectto with
1
and
2
constant.Wecan
thereforelegitimatelywritethis:
whichfrom
( ) ( )

d e R S
i
x x
=
2
1
isequalto:

2
Spectral density
Spectraldensity
h h Sothattheequation
canbewritten:
Th i i i l b l d h f Thetworemainingintegralscanberelatedtothefrequencyresponse
functionH()sincefrom:
( ) ( )
2 2 1 1
2

d e h H
i
+
=
andthecomplexconjugateofH
1
()

( ) ( )
1 1 1
*
1

d e h H
i
+
= ( ) ( )
1 1 1
1
d e h H

Spectral density
Spectraldensity
b f ll Henceweobtainfinally,
fortheFouriertransformofthefirstdoubleintegralontherighthandsideof
( ) ( ) ( )
1 1
*
1 1 x
S H H I =
g g
Thesameproceduremaybeappliedtotherestoftheaboveequationandthe
finalresultsoftakingtheFouriertransformsofbothsidesoftheequationis
thefollowingexpressionforthespectraldensityoftheoutputprocess.
Spectral density
Spectraldensity
Thisisamostimportantresult.Byconsideringmorethantwoinputs,itis
d ff l h h f h d notdifficulttoshowthat,forNinputs,thecorrespondingexpressionis:
when we define: whenwedefine:
forthespectraldensityoftherthinput.Theequation
isthecentralresultoftherandomvibrationtheoryanditssimplicity
justifiesourfaithintheFouriertransformandfrequencyresponse
approach.Inthecaseofresponsetoasingleinput,theaboveequation
becomes:
Or,sincetheproductofacomplexnumberanditscomplexconjugateis
equaltothemagnitudeofthenumbersquared,
Spectral density
Spectraldensity
l d f h h h l d ll Foruncorrelatedinputsforwhichthecrossspectraldensitytermsareall
zero,theequationcanbegeneralizedto:
Mean square response
Meansquareresponse
h l d h b d d h Oncetheresponsespectraldensityhasbeendetermined,themean
squareresponsecanbecalculateddirectlyfrom:
[ ] ( ) d S y E
y
+
=
2
whichforasingleinputbecomes:
[ ] ( ) y
y

andformanyuncorrelatedinputsis:
For uncorrelated inputs the mean square response is therefore the sum of Foruncorrelatedinputs,themeansquareresponseisthereforethesumof
themeansquareresponsesduetoeachinputseparately.However,in
general,thisisnotthecaseandforcorrelatedinputs,themeansquare
i j h f h I responseisnotjustthesumoftheseparatemeansquareresponses.In
thesecases,mustbeusedtofindtheresponse
spectraldensityS
y
()andthentheintegralgivenbelowisevaluated.
[ ] ( ) d S x E
x
+

=
2
Example 1
Example1
h l d ( ) f h l d f DeterminetheoutputspectraldensityS
y
()forthesingledegreeof
freedomoscillatorshowninthefigurewhenitisexcitedbyaforcing
functionx(t)whosespectraldensityS
x
()=S
o
.
From,whereH()isthecomplexfrequencyresponse
function To find H() put x(t)=e
it
and y=H()e
it
in the equation of function.TofindH(),putx(t)=e
it
andy=H()e
it
intheequationof
motion:
toobtain:
and
Example 1
Example1
h l d k h d d HencetheoutputspectraldensityassketchedinFiguredis:
Example 1
Example1
h d h l d l h Theareaunderthespectraldensitycurveisequaltothemeansquare,
whichmaybewritten:
Alistofdefiniteintegralsofthisformcanbefoundintheliteratureand
theresultis:
whichisindependentofthemagnitudeofthemassm.Thisisasurprising
resultaswewouldnaturallyexpectmtoaffecttheoverallmeansquare y p q
leveloftheoutputE[y
2
].Theexplanationcanbeseenbyconsideringthe
heightandwidthofthespectralpeakinthefigure(Rememberthatthe
peak in the lefthand half of the figure is just the mirror image of the peak peakintheleft handhalfofthefigureisjustthemirrorimageofthepeak
intherighthandhalf,sinceS
y
()isanevenfunctionof:
Example 1
Example1
Th k l f ll d i h Thepeakvalueoccursforsmalldampingwhen
Itsheightistherefore:
whichisproportionaltom.
Thewidthofthespectralpeakneedsdefinition,butsupposethatwe
arbitrarilydefinethisasthedifferenceinfrequency2 betweenthetwo
pointsoneithersideof
N
whoseheightishalfthepeakheight(theso p
N
g p g (
calledhalfpowerbandwidth).Forsmalldamping:
whichisinverselyproportionaltom.Hencewecanseethatincreasing
massmincreasestheheightofthespectralpeak,butatthesametime
reduces its width As we have seen it turns out that these two opposite reducesitswidth.Aswehaveseen,itturnsoutthatthesetwoopposite
effectscanceloutandthetotalareaunderthespectraldensitycurve,and
thereforethemeansquarevalue,isindependentofm.
Example 2
Example2
h l ll h h f d b b Themasslesstrolleyshowninthefigureisconnectedtotwoabutmentsby
springsandviscousdashpotsasshown.Iftheabutmentsmovedistances
x
1
(t)andx
2
(t)withspectraldensities(constant)but
,sothatthecrossspectraare
determinetheresponsespectraldensityS
y
()andthemeansquare
response p
Example 2
Example2
h l b f h ll Fortheequilibriumofthetrolley
So that the equation of motion is: Sothattheequationofmotionis:
Todeterminethefrequencyresponsefunctions,firstput
tofind:
andthenput
to find: tofind:
Henceaccordingto:
Example 2
Example2
whichaftercollectingtermsbecomes:
Wh th d l ti T i th t (t) (t) th th t WhenthedelaytimeTiszero,sothatx
1
(t)=x
2
(t),thenweseethat
andmotionofthetrolleyisalwaysequaltomotionoftheabutments.
Example 2
Example2
l (h h f ) Forlarge (highfrequencies):
which is finite and so: whichisfiniteandso:
onaccountofthecharacteristicsofwhitenoiseexcitationwhichhasan
infinitemeansquarevalue.Forthecasewhenthetwospringstiffnesses
andthetwodampercoefficientsarethesame,
whichhastheformshowninthefigure.
Cross correlation
Crosscorrelation
h f d b h l f l Inthecaseofasystemexcitedbymanyinputs,itissometimeshelpfulto
determinethecrosscorrelationbetweentheoutputandoneofthe
inputs.Beginningwiththedefinition
forthecaseoftwoinputs,using
Sincex
1
(t)isnotafunctionof,itmaybemovedundertheintegralsigns
andtheaveragingprocesscarriedouttogive:
Cross correlation
Crosscorrelation
f h l d l f Intermsoftheinputautocorrelationandcrosscorrelationfunctions,
whichexpressesthecrosscorrelationbetweeninputx
1
(t)andoutputy(t)
intermsoftheautocorrelationofx
1
(t),thecrosscorrelationbetweenx
1
(t)
d h h i ( ) d h i l f i b andtheotherinputx
2
(t),andtheimpulseresponsefunctionsbetweenx
1
andyandx
2
andy.
Forthespecialcasewhenx
1
iswhitenoisesothatfrom
( ) ( )
0
2 S R
x
=
p
1
andx
1
andx
2
areuncorrelatedsothat
Cross correlation
Crosscorrelation
h Then
gives: gives:
Thecrosscorrelationfunctionbetweenawhitenoiseinputx
1
(t)andthe
outputy(t)isthereforethesameastheimpulseresponseatyforaunit
impulse at x
1
multiplied by the factor This is an interesting result impulseatx
1
multipliedbythefactor.Thisisaninterestingresult
whichissometimesusedtoobtaintheimpulseresponsefunction
experimentally.
Cross spectral density
Crossspectraldensity
T ki th F i t f f b th id f TakingtheFouriertransformsofbothsidesof
gives:
Rearrangingtermsinthesamewayasforthepreviouscalculationofthe
spectraldensitygives:
Theintegralswithrespectto arewith constant,andsoif()is
replacedby (say)thend becomesd.
+
1
Using
( ) ( )
( ) ( )

d e R S
i
i
x x
+
=
1
2
1
( ) ( )
( ) ( )

d e R S
d e R S
i
i
xy xy
=
=
1
2
1
toevaluatetheintegralswithrespectto,andtoevaluate
the integrals with respect to which then remain we obtain:
( ) ( )
d e R S
yx yx

=
2
( ) dt e t h H
t i
=

) (
theintegralswithrespectto whichthenremain,weobtain:
WhenthereareNseparateinputs,ofwhichx
r
(t)isatypicalone,the p p ,
r
( ) yp ,
aboveequationbecomesthesummation
Foruncorrelatedinputswecanseethat
whereH()isthecomplexfrequencyresponsefunctionrelatingtheinput
x(t) to the output y(t) S () is the spectral density of the input process x(t)totheoutputy(t),S
x
()isthespectraldensityoftheinputprocess,
andS
xy
()isthecrossspectraldensitybetweentheinputandtheoutput.
Fromthepropertiesofthecrossspectra
Itfollowsthat
( ) ( )
( ) ( )

*
*
yx xy
xy yx
S S
S S
=
=
SinceS
x
()isofcoursealwaysarealquantity.
Probability distributions
Probabilitydistributions
W id h th b bilit di t ib ti f th f Wenowconsiderhowtheprobabilitydistributionfortheresponseofa
linearsystemdependsontheprobabilitydistributionoftheexcitation.We
cansayatoncethatthereisnosimplerelationship.Thereisnogeneral
method for obtaining the output probability distributions for a linear methodforobtainingtheoutputprobabilitydistributionsforalinear
systemexceptforthespecialcasewhentheinputprobabilitydistributions
areGaussian.
Thefactthatwecancalculatetheoutputprobabilitydistributionsfora
linearsystemsubjectedtoGaussianexcitationarisesfromthespecial
i f G i propertiesofGaussianprocesses.
Firstly,thereisageneraltheoremwhichsaysthatify
1
andy
2
areapairof y, g y y
1
y
2
p
jointlyGaussianrandomvariables,thenifyisdefinedsothat,
thenewrandomvariablewillalsobeGaussian.
dl h l b l d h h h ( ) f Secondly,thisresultmaybeappliedtoshowthattheresponsey(t)ofa
linearsystemwillbeaGaussianprocessiftheexcitationx(t)isGaussian.
Usingtheconvolutionintegral,weknowthat:
h h( ) i h i l f i b h whereh(t)istheimpulseresponsefunction.Itcanbeshown
mathematicallythattheaboveintegralcanbethoughtofasthelimiting
caseofalinearsumofasumofrandomvariablesofwhich
isthesimplestexample.Henceifx(t)isaGaussianprocess,y(t)mustbe
the same Finally these results can be extended to the case of more than thesame.Finally,theseresultscanbeextendedtothecaseofmorethan
onejointlyGaussianinputtoshowthattheoutputprocessesafter
transmissionthroughalinearsystemwillalsobejointlyGaussian.
h f l b d h f TheoutputofalinearsystemsubjectedtoGaussianinputsistherefore
Gaussianandtheoutputprobabilitydistributionscanbecalculatedifthe
respectivemeanvalues,variancesandcovariancesareknown.
l i d i i b d h li i i f h
( )( ) [ ]
y x
y x
xy
m y m x E

=
Alsosinceaderivativecanbeexpressedasthelimitingcaseofthe
difference{y(t+t)y(t)}/t betweentworandomvariablesy(t+t)and
y(t)iftheprocessy(t)isGaussiansoisitsderivativeandsoarehigher
derivativessuchasacceleration.
Example
Example
l b d l f AlinearsystemissubjectedtostationaryGaussianexcitationasaresultof
whichtheresponsey(t)hasameanlevelm
y
,standarddeviation
y
,andan
autocorrelationfunctionR
y
().Determinetheprobabilitydensityfunction
y
p(y
1
,y
2
)forthejointdistributionofyatt
1
andyatt
2
wheret
2
=t
1
+.
ReferringtothedefinitionofthesecondorderGaussianprobability
densityfrom y
thenormalizedcovariance
y1y2
isgivenby:
the equation gives: theequationgives:
Example
Example
h h l d f Whenthetimeintervalandfrom
Inthiscase,becomes
d ( ) d ( ) h i i ll i d d andy
1
=y(t
1
)andy
2
=y(t
2
)arethenstatisticallyindependent.
A f i i l l ti th ld i ft Asasummary,forengineeringcalculations,theworldisoften
assumedtobelinear,stationary,ergodicandGaussian.Actually,
thereisanimportanttheoremofprobabilitytheorycalledthe
central limit theorem which helps to explain why the probability centrallimittheorem whichhelpstoexplainwhytheprobability
distributionsofmanynaturallyoccurringprocessesshouldbe
Gaussian.
Roughlyspeaking,thecentrallimittheoremsaysthatwhena
randomprocessresultsfromthesummationofinfinitelymany
random elementary events then this process will tend to have randomelementaryevents,thenthisprocesswilltendtohave
Gaussianprobabilitydistributions.Wethereforehavegoodreasons
toexpectthat,forinstance,thenoisegeneratedbyfallingrain,or
by a turbulent fluid boundary layer or by the random emission of byaturbulentfluidboundarylayer,orbytherandomemissionof
electronsinathermionicdevice,willallhaveprobability
distributionswhichapproximatetoGaussian.
h h h Furthermore,evenwhentheexcitationisnonGaussian,asystems
responsemayapproximatetoGaussianifitisanarrowbandresponse
derivedfrombroadbandexcitationbecausetheconvolutionintegral
i b h h f h li i i f li f mayagainbethoughtofasthelimitingcaseofalinearsumof
approximatelyindependentrandomvariables.
However,thereshouldbeonewordofcaution.AnassumedGaussian
probabilitydistributionmaygiveapoorapproximationatthetailsofthe
distribution and predictions of maximum excursion of a random process distributionandpredictionsofmaximumexcursionofarandomprocess,
basedonsuchanassumeddistributionshouldbetreatedwithsuspicion.
Statistics of narrow band Statisticsofnarrowband
processes p
Introduction
Introduction
I th i h t id d l l ti Inthepreviouschapter,weconsideredgeneralrelations
betweentheinputandtheoutputofalinearsystem
subjectedtorandomexcitation.Thecharacteristicsofthe
f f excitationaremodifiedbytheresponseofthesystem,
whichinelectricalengineeringterms,actsasafilter.
Inmostvibrationproblems,thesystemhasatleastone
resonantfrequencyatwhichlargeamplitudescanbe
t d b ll i t generatedbysmallinputs.
At other frequencies transmission is reduced and at very Atotherfrequencies,transmissionisreducedand,atvery
highfrequencies,theeffectivemassmaybesohighthat
theoutputisnotmeasurable.
Introduction
Introduction
l f f ( ) f h AtypicalfrequencyresponsefunctionH()forsucharesonantsystemis
showninthefigure,whichalsoshowshowthecharacteristicsofthebroad
bandnoisearechangedbytransmissionthroughthissystem.
Becausetheoutputspectrumisconfinedtoanarrowbandoffrequencies
in the vicinity of the resonant frequency the response y(t) is a narrow inthevicinityoftheresonantfrequency,theresponsey(t)isanarrow
bandrandomprocessandthetypicaltimehistoryofy(t)resemblesasine
waveofvaryingamplitudeandphaseasshowninthefigure.
Introduction
Introduction
Inordertomakesomesimplecalculations,supposethatthefrequency o de o a e so e s p e ca cu a o s, suppose a e eque cy
responsefunctionhasverysharpcutoffsaboveandbelowtheresonant
frequencysothattheresponsespectraldensitySy()hastheidealized
form shown in the figure formshowninthefigure.
Wehavealreadyworkedoutthecorrespondingautocorrelationfunction
in the previous chapters and this is as shown in the figure and formula inthepreviouschaptersandthisisasshowninthefigureandformula
below:
Introduction
Introduction
f h f d h b b l d b f IftheexcitationisGaussian,wecanfindtheprobabilitydistributionsfory
andforlaterreference,weshallneddthefirstorderprobabilitydensity
functionp(y)andthesecondorderprobabilitydensityfunction ) , ( y y p &
forthejointprobabilityofyanditsderivative.Bothofthesefunctionsare
givenbythestandardexpressions
1

=
y x xy y
x
m y m x m y
m x
m x
e x p

) )( ( 2 ) (
) ( 1
2 / ) (
2
2
2 2
2
1
) (
=
y x
y y
y
y
x
x
xy
xy y x
e y x p

) (
) 1 ( 2
2
2 2 2
) 1 ( 2
1
) , (
andareknownprovidedthatthestatisticsare
known.
Introduction
Introduction
d h l l f f h b h h Firstconsiderthemeanlevelofy,m
y
.Ifthisweretobeotherthanzero,
thespectraldensityforywouldhavetoshowadeltafunctionat=0,
becauseotherwisetherecannotbeafinitetributiontoE[y
2
]at=0.Since
thespectraldensityS
y
()showninthefiguredoesnothavethisdelta
function,themeanleveliszero,m
y
=0.
Next,sincethespectraldensityoftheprocessisgivenaccordingto y&
( ) ( ) S S
2
Thefunctionalsocannothaveadeltafunctionat=0,sothemean
levelofisalsozero,
( ) ( )
y y
S S
2
=
&
( )
y
S
&
y&
0 =
y
m
& ,
Introduction
Introduction
d l l h Inordertocalculatethevariancesweuse
(variance)=(standard deviation)
2
={Mean square(Mean)
2
}
[ ] [ ] ( )
2 2 2
x E x E =
(variance)=(standarddeviation) ={Meansquare (Mean) }
[ ] ( ) d S x E
x

=
2
tofind:
Lastly from the normalized covariance is:
( )( ) [ ]
y x
m y m x E

=
Lastlyfrom,thenormalizedcovarianceis:
y x
xy

Introduction
Introduction
W k th t th t f th ti b Weknowthatthenumeratoroftheequationcanbe
expressedas:
IfR
y
()isexpressedastheFourierintegralofthecorrespondingspectral
density,using y, g
Weget:
( ) ( )

d e S R
i
x x

=
NowsinceS
y
()isarealevenfunctionoffrequency,theintegrand
S
y
()isarealoddfunctionof.Whenintegratedovertherangeminus
i fi i l i fi i h ib i f i i fi i i infinitytoplusinfinity,thecontributionfromminusinfinitytozerois
exactlyequalbutoppositeinsigntothecontributionfromzerotoplus
infinity.Hencetheaboveintegralmustbeequaltozeroandweobtain:
Introduction
Introduction
h f f d ( ) h d Itisthereforeapropertyofanystationaryrandomprocessy(t)thatyand
itsderivativeareuncorrelatedandsothenormalizedcovarianceis
alwayszero.
Wenowhavealltheparametersweneedandcansubstitute

=
m x
e x p

2 / ) (
2 2
2
1
) (
=
y x
y x xy
y
y
x
x
xy
m y m x m y
m x
xy y x
e y x p

) )( ( 2 ) (
) (
) 1 ( 2
1
2
2
2
2
2
2
) 1 ( 2
1
) , (
2
toobtaintheprobabilitydensityfunctions
y y
wherearegivenby:
Introduction
Introduction
h f k h d h f l d h d Thesefunctionsaresketchedinthefigurealongsidethecorresponding
spectraldensityandautocorrelationcurves.
Crossing analysis
Crossinganalysis
l h h h d h f l b h b d Althoughthedatainthepreviousfiguresaysalotaboutthenarrowband
processy(t)bydescribingitsfrequencycompositionanditsamplitudeand
velocitydistributions,itispossibletogofurtherandobtainimportant
informationaboutthedistributionofpeakvalues,thatistosay
informationabouttheamplitudeofthefluctuatingsinewavethatmakes
uptheprocess. p p
Supposethatweenquirehowmanycyclesofy(t)haveamplitudesgreater
h h l l d i h i i d T h i h fi F h thanthelevely=aduringthetimeperiodTasshowninthefigure.Forthe
sampleshown,therearethreecycles.
Crossing analysis
Crossinganalysis
h f h h h h h Anotherwayofsayingthisisthattherearethreecrossingswithpositive
slopeofthelevely=aintimeT.Eachofthesepositiveslopecrossingsis
markedwithacrossinthefigure.
Nowconsiderthefigureasonesamplefunctionofanensembleof
functionswhichmakeupthestationaryrandomprocessy(t).Let
d h b f i i l i f i i T f i l denotethenumberofpositiveslopecrossingsofy=aintimeTforatypical
sampleandletthemeanvalueforallthesamplesbewhere
Crossing analysis
Crossinganalysis
h f k d l f d Sincetheprocessisstationary,ifwetakeasecondintervalofdurationT
immediatelyfollowingthefirstweshallobtainthesameresult,andforthe
twointervalstogether(totaltime2T)weshallthereforeobtain:
fromwhichitfollowsthat,forastationaryprocess,theaveragenumberof
crossings is proportional to the time interval T Hence crossingsisproportionaltothetimeintervalT.Hence
whereistheaveragefrequencyofpositiveslopecrossingsofthelevel
y=a.Wenowconsiderhowthefrequencyparametercanbededuced
from the underlying probability distributions for y(t) fromtheunderlyingprobabilitydistributionsfory(t).
Crossing analysis
Crossinganalysis
d ll l h f d d f l l f Considerasmalllengthofdurationdtofatypicalsamplefunctionas
showninthefigure.Sinceweareassumingthatthenarrowbandprocess
y(t)isasmoothfunctionoftime,withnosuddenupsanddowns,ifdtis
smallenough,thesamplecanonlycrossy=awithpositiveslopeify<aat
thebeginningoftheinterval,timet.Furthermorethereisaminimum
slopeattimetifthelevely=aistobecrossedintimedtdependingonthe p y p g
valueofyattimet.Fromthefigure,thisis:
andsotherewillbeapositiveslopecrossingofy=ainthenexttime
interval dt if at time t intervaldt,ifattimet,
Crossing analysis
Crossinganalysis
I d t d t i h th th diti Inordertodeterminewhethertheconditionsare
satisfiedatanyarbitrarytimet,wemustfindhowthevaluesofyand
aredistributedbyconsideringtheirjointprobabilitydensity.
Supposethatthelevely=aandtimeintervaldtarespecified.Thenweare
onlyinterestedinvaluesofy<aandvaluesofwhich
meanstheshadedwedgeofvaluesyandasshowninthefigure.The
wedgeangle ischosensothatinordertosatisfythe
aboveequation.
Crossing analysis
Crossinganalysis
f h l f l h h h d d d h h ll b Ifthevaluesofliewithinthisshadedwedge,thentherewillbea
positiveslopecrossingofy=aintimedt.Iftheydonotlieintheshaded
wedge,thentherewillnotbeacrossing.Theprobabilitythattheydoliein
theshadedwedgecanbecalculatedfromthejointprobabilitydensity
functionandisjusttheshadedvolumeshowninthefigure,i.e.,the
volumeundertheprobabilitysurfaceabovetheshadedwedgeof p y g
acceptablevaluesof.Hence,
Crossing analysis
Crossinganalysis
h d h l f h d d d h Whendt0,theangleofthewedge=dt0andinthiscaseitis
legitimatetoput
sinceatlargevaluesof,theprobabilitydensityfunctionapproaches
zerofastenough.Hencetheequation
maybewrittenas:
inwhichtheintegrandisnolongerafunctionofysothatthefirstintegral
isjust:
Crossing analysis
Crossinganalysis
H ith t dt Hencewithtan=dt
whenthetermisunderstoodtomeanthejointprobabilitydensity
evaluatedaty=a.Nowwehavesaidthattheaveragenumberofpositiveslope
crossingsintimeTisTheaveragenumberofcrossingsintimedtis
thereforeSupposethatdt=0.01sandthatthefrequency
crossings/s.Inthiscase,theaveragenumberofcrossingsin0.01swouldbe
i N t i i th t id i bl f 500 crossings.Nextimaginethatwewereconsideringanensembleof500
samples.Eachsamplewouldeithershowonecrossingindtornocrossings,as
dtisassumedverysmallcomparedwiththeaverageperiodofthenarrow
band process The number of samples with a positive slope crossing must bandprocess.Thenumberofsampleswithapositiveslopecrossingmust
thereforebe10since10/500=0.02.But10/500isalsotheprobabilitythatany
onesamplechosenatrandomhasacrossingintimedt.Sowearriveatthe
followingresult: g
Crossing analysis
Crossinganalysis
h l l Theresultisonlytrue
because dt is small and the process y(t) is smooth so that there can not be becausedtissmallandtheprocessy(t)issmoothsothattherecannotbe
morethanonecrossingofy=aintimedt.Acceptingtheaboveequation
andsubstitutingfromand
gives:
fromwhichdtcancelstogivethefollowingresultforthefrequency
parameterintermsofthejointprobabilitydensityfunction
Crossing analysis
Crossinganalysis
h l l h h l f b b l d b b Thisisageneralresultwhichappliesforanyprobabilitydistribution,but
forthespecialcaseofaGaussianprocessweknowfrom
that
whichonsubstitutionto
gives:
Theintegralisoneofthestandardresultsanditsvalueissothatthe
finalresultis,foraGaussianprocess,
Crossing analysis
Crossinganalysis
l f k h l l b h Aspecialcaseoccursifwetakethelevela=0becausethisgivesa
statisticalaveragefrequencyforcrossingthelevely=0,thefigure,which
maybethoughtofasastatisticalaveragefrequencyfortheprocess.
Noticethatisobtainedbyaveragingacrosstheensembleandsoitis
not the same as the average frequency along the time axis unless the notthesameastheaveragefrequencyalongthetimeaxisunlessthe
processisergodic.
Example
Example
l l h f f f h l l f h l Calculatethefrequencyofpositivecrossingsofthelevely=aforthesingle
degreeoffreedomoscillatorshowninthefigurewhenitissubjectedto
GaussianwhitenoiseofspectraldensityS
o
.
Example
Example
l f h f h h k d h h f InExample1ofthefirstchapter,wehaveworkedoutthatthefrequency
responsefunctionis:
sothat
asalreadycalculated.Thefrequencyresponsefunctionrelatingtothe
excitationx(t)isobtainedbymultiplyingH()byi toobtain:
sothat
Toresultofthisintegralis:
Example
Example
ll b Finallysubstitutingingives:
Theaveragefrequencyfortheprocessisobtainedbyputtinga=0togive
where
N
isthenaturalfrequencyoftheoscillatorinrad/s.
Distribution of peaks
Distributionofpeaks
b d h f f f d ff l Havingobtainedthefrequencyofcrossingsofy=a,itisnotdifficultto
extendthiscalculationtodeterminetheprobabilitydistributionofpeaks.
Letbetheprobabilitythatthemagnitudeofapeak,chosenat
random,liesintherangeatoa+da.Theprobabilitythatanypeakis
greaterthanaistherefore
NowintimeT,weknowthatonaverage,therewillbecycles(since
onepositivecrossingofy=0occursforeachfullcycleofthenarrowband
process)ofwhichonlywillhavepeakvaluesexceedingy=a.
Distributionofpeaks
h f l h k l d h f Theproportionofcycleswhosepeakvalueexceedsy=aistherefore,
andthismustbetheprobabilitythatanypeakvalue,chosenatrandom
exceedsy=a.Henceweobtain:
d hi i b diff i d i h i andthisequationmaybedifferentiatedwithrespecttoatogive:
whichisageneralresultfortheprobabilitydensityfunctionforthe
occurrenceofpeaks.Itappliesforanynarrowbandprocessprovidedthat
hi i h i h h l i h l l 0 thisisasmoothprocesswitheachcyclecrossingthemeanlevely=0so
thatallthemaximaoccurabovey=0andalltheminimaoccurbelowy=0.
Distributionofpeaks
h l f b b l d b b Theequationappliesforanyprobabilitydistribution,but
if y(t) is Gaussian then there is a simple and important result for p (a) ify(t)isGaussian,thenthereisasimpleandimportantresultforp
p
(a).
Substituting
into
gives: gives:
or
whichisthewellknownRayleighdistribution.
Distributionofpeaks
h f ( ) h l h d d d Thefunctionpp(a)hasitsmaximumvalueata=y,thestandarddeviation
oftheyprocess,anditisclearfromthefigurethatthemajorityofthe
peakshaveaboutthismagnitude.
Theprobabilityoffindingverysmallorverylargepeaksissmallandthe
probabilitythatanypeak,chosenatrandom,exceedsaisfrom
Example
Example
l l h b b l h k l f b d CalculatetheprobabilitythatanypeakvalueofaGaussiannarrowband
processy(t)exceeds3
y
,Fromwhere3
y
isitsstandarddeviation.From
therequiredprobabilityis
soonaverageonlyabout1peakina100exceedsthe3
y
level.
Frequency of maxima
Frequencyofmaxima
l f k l d h l h d b f OuranalysisofpeaksleadingtotheRayleighdistributionforaGaussian
processisbasedontheassumptionthatthenarrowbandprocessy(t)
resemblesasinewaveofvaryingamplitudeandphase.Wecaninvestigate
thevalidityofthisassumptionbycalculatingthedistributionofthelocal
maximaofy(t)byanotherapproach.Weknowthaty(t)isanextremum
whendy/dt=0andthatthisextremumisamaximumif,atthesametime, y/ , ,
d
2
y/dt
2
isnegative.Thereforethefrequencyofmaximaofy(t)mustbethe
frequencyofthenegativezerocrossingsofthederivedprocessand,
since there is one negative crossing for each positive crossing this is the sincethereisonenegativecrossingforeachpositivecrossing,thisisthe
sameasthefrequencyofpositivezerocrossingsof.Henceif
y
isthe
frequencyofmaximaofy(t),andisthefrequencyofzerocrossingsof
we have ,wehave
wherecanbecalculatedfrombysubstituting y g
Frequency of maxima
Frequencyofmaxima
Andputtingtheleveltoobtain
This is a general expression for the frequency of maxima of the process Thisisageneralexpressionforthefrequencyofmaximaoftheprocess
y(t).Foratheoreticalnarrowbandprocesswhosespectraldensityis
showninthefigureandforwhichwehave:
and similarly andsimilarly,
inwhichcase
gives:
forthefrequencyofmaxima.
Frequency of maxima
Frequencyofmaxima
f h f f d h Ifthefrequencyofmaxima
y
iscomparedwith,we
obtain:
forthefrequencyofzerocrossingsofy(t).Thefrequencyofmaximaand
thefrequencyofzerocrossingsarethereforethesameandour
assumption that there is only one peak for each zero crossing is justified assumptionthatthereisonlyonepeakforeachzerocrossingisjustified.
Ifthebandwidthofthenarrowbandprocessisnotnarrowenoughto
assumethisconclusionishowevermodified.Supposethatthe
spectraldensityofy(t)hastheformshowninthefigure.Inthiscase,the
variancesofy,andare:
Frequency of maxima
Frequencyofmaxima
h f f Thefrequencyofmaximaisnow:
comparedwiththefrequencyofzerocrossingswhichis:
andtheseclearlyarenotthesame.
Example
Example
l l h f f d h f f f Calculatethefrequencyofmaximaandthefrequencyofzerocrossingsfor
aGaussianprocesswhosespectrumisflatandcoversanoctaveband
widthfrom
1
/2=70.7Hz(c/s)to
2
/2=141.4Hz(c/s),asshowninthe
figure,withacenterfrequencyof100Hz.Notethatforanoctave
bandwidththeuppercutofffrequencyistwicethelowercutoff
frequency.Substitutingnumbersinto q y g
gives
y
=115Hzandinto
gives
approximately There are therefore about 6 5 percent more local maxima approximately.Therearethereforeabout6.5percentmorelocalmaxima
thantherearezerocrossings.
Frequency of maxima
Frequencyofmaxima
h f h d ff d h f h ( ) l b Thereasonforthedifferenceisduetothefactthaty(t)canonlybe
representedbyasinewaveofslowlyvaryingamplitudeandphaseifits
spectrumhastheformshowninthefigureandincludesonlyavery
narrowbandoffrequencies.
Ithasbeenshownthatforamoregeneralnarrowbandspectrum,as g p ,
showninthefigurebelow,thehighfrequencycomponentspresent
introduceirregularitiesinthesmoothformofthesinewave
approximation and it is these irregularities which cause the additional approximationanditistheseirregularitieswhichcausetheadditional
maxima.
Frequency of maxima
Frequencyofmaxima
l d l h h l l d Inmanyapplications,weareconcernedonlywiththelargeamplitude
excursionsofanarrowbandprocessandtheRayleighdistributionof
peaks,whichassumesonlyonemaximumforeachzerocrossing,isthena
valuableguidetotheprobabilityofoccurrenceoflargepeakvalues
Accuracyofmeasurements
Accuracy of measurements
S f h b d ith th b i th ti l th f Sofar,wehavebeenconcernedwiththebasicmathematicaltheoryof
randomprocesssanalysis.Weturnnowtoamorepracticalaspectofthe
subject:experimentalmeasurements.Weshallconcentratealmostentirelyon
measuring the spectral density of a random process or the crossspectral measuringthespectraldensityofarandomprocessorthecrossspectral
densitybetweentworandomprocesses.Thisemphasisonspectral
measurementsisjustifiedbythecentralrolewhichspectraoccupyinthe
theoryofrandomvibrations.Theirimportancecomesfromthesimpleformof y p p
theinputoutputrelationsforspectraldensityforalinearsystemsubjectedto
randomexcitation.Inthischapter,weshalldescribetheoperationofan
analoguespectrumanalyseranddiscussatlengththefactorswhichaffectthe
f f l d accuracyofanymeasurementofspectraldensity.
Thefundamentalexperimentalproblemisthatourmeasurementsmustbe
madeononesamplefunctionofatheoreticallyinfiniteensemble,oratthe
most,ononlyafewsamplefunctionsfromtheinfiniteensemble.
F th l bl t l li it d l th f i l Furthermore,weareonlyabletoanalyzealimitedlengthofanygivensample
functionbecausewecannotgoontakingmeasurementsforever.
Thefactthatwearelimitedtoasinglesampleandthatwecanonlyanalyzea
finitelengthofitmeansthat,automatically,weshallintroduceerrorsintothe
measuredspectrum.
Evenassumingthattherandomprocesswearesudyingisergodic,inwhich
anyonesamplefunctioncompletelyrepresentstheinfinityoffunctionswhich
k th bl till i t d i h l d l ith makeuptheensemble,wearestillintroducingerrorswhenweonlydealwith
afinitelengthofasamplefunction.
Rememberthatasampleaverageforanergodicprocessisonlythesameasan
ensembleaveragewhenthesampleaveragingtimeisinfinite.Obviously,this
isnotapracticalproposition.
f f ll h h l d f f l d Ifwefollowthemathematicaldefinitionofspectraldensity,wemust
beginbymeasuringtheautocorrelationfortheprocessbeingstudiedand
thendeviseawayofcalculatingtheFouriertransformofthe
autocorrelationfunction.However,inpractice,thisisnotthebestwayto
proceed.
Itturnsoutthatitiseasiertomeasurespectrabyaprocedurewhichdoes
notinvolvefirstcalculatingcorrelationfunctions.Althoughthe
i l d f ll hi h i h i ll experimentalprocedurefollowsaroutewhichisnotmathematically
rigorous,andthereforecannotbeusedtodefinethespectraldensity
functions,weshallseethatwecanobtainapproximationsforthetrue
spectrawhicharecorrecttoanystatedaccuracy;furthermorethe
measurementsareconsiderablysimplerandquickerthantheywould
otherwisebe.
Analogue spectrum analysis
Analoguespectrumanalysis
ll b f l h ll d f Mostengineerswillbefamiliarwithaninstrumentcalledafrequency
analyzer.Theoutputofanaccelerometer,orothervibrationtransducer,is
fedintotheinstrumentwhichisessentiallyavariablefrequencynarrow
bandfilterwithanr.m.s.metertodisplaythefilteroutput.
Usually the filter center frequency is continuously variable and the Usually,thefiltercenterfrequencyiscontinuouslyvariableandthe
experimenteradjuststhisashesearchesforthepredominantfrequencies
presentinavibrationsignal.Ananaloguespectrumanalyzerisasimilar
i h i h fil d i l lib d instrumentexceptthatithasmoreaccuratefiltersandpreciselycalibrated
bandwidths.
h h ( ) l f f d ( d Supposethattheinputx(t)isasamplefunctionofanergodic(and
thereforestationary)randomprocess.Thesignalisfilteredbyafilter
whosetheoreticalfrequencyresponseisshowninthesecondfigure
below.
h f l ( ) d d h h ( ) l l d Thefilteroutputy(t)issquaredandthenthetimeaveragez(t)calculated
where
SincetheaveragingtimeTcannotbeinfinite,z(t)isitselfafunctionof
i d fl b i l ( h bl ) time,andfluctuatesaboutitstruemeanvalue(theensembleaverage).
However,ifTislongenough,thefluctuationsaresmallandthemeanlevel
E[z]canbeapproximatelydeterminedfromtheanalyzersoutputmeter.
Fromtheaboveequation,weknowthat
sincey(t)isstationary,andfrom
[ ] ( ) ( ) d S H y E
2
2
[ ] ( ) ( ) d S H y E
x

=
Whichforthefilterfrequencyresponseshowninthefigure,with
canbeapproximatedby pp y
Combiningtheaboveequationwith
theaverageoutputofthespectrumanalyserisproportionaltothe
spectral density of the input process at the filter center frequency or spectraldensityoftheinputprocessatthefiltercenterfrequency
o
,or
turningtheformularound
ThemeanoutputlevelE[z]isthereforeadirectmeasureoftheinput
spectraldensity.
h ll h f h l h Weshallnowinvestigatetheaccuracyofthismeasurement.Itisclearthat
wearelikelytoimprovetheaccuracyifweuseaninstrumentwithalong
averagingtime,becausethentheoutputdependsonanaverage
integratedoveralongperiodoftimeasshown.
Also,ifwewanttodistinguishsharppeaksinthecurveofspectraldensity
againstfrequency,weshoulduseasharpfilterwithaverynarrow
bandwidth.Inthenextsection,weshallfindanexpressionwhich
relatestheaccuracyofmeasurementstoboththesequantities.
Variance of the measurement
Varianceofthemeasurement
FromthespectraldensityS
x
() canbedeterminedif
H
o
, andE[z]areallknown.Wecandeterminethefirsttwotoany
desiredaccuracybyusingpreciselycalibratednarrowbandfilters.
[ ] b l d d bl However,E[z]cannotbepreciselydeterminedsinceitisanensemble
averageandthereforenotobtainablefrommeasurementsoffinitelength
onasinglesample.Allwecandoistrytomakesurethatz(t)neverdiffers
verymuchfromitsmeanvalueE[z]sothataspotvalueofz(T)islikelyto
beacloseapproximationforE[z].Thevarianceofz(t)isameasureofthe
magnitudeofitsfluctuationsaboutthemeanandwedefine, g ,
asthevarianceofthemeasurementaccordingto
[ ] [ ] ( )
2
Weshallnowseektodetermine
2
.Clearly,thiswilldependonthe
characteristics of the y(T) random process which is the output of the
[ ] [ ] ( )
2
2 2
x E x E =
characteristicsofthey(T)randomprocess,whichistheoutputofthe
spectrumanalyzersnarrowbandfiltersincez(t)isafunctionofy(t).
b b b f f Webeginbysubstitutingforzintermsofyin
Using Using
theE[z]termcanbereplacedbyE[y
2
]toobtain:
buttheE[z
2
]termismoredifficult.Returningtothedefinitionofz(t),
wecanwrite:
wherethetwodifferenttimevariablest
1
andt
2
areintroducedsothat
h d f l b h l d bl Thisproductoftwointegralsmaybewrittenastheequivalentdouble
integral
Averagingtheaboveequationfortheensemblethengives:
whichsubstitutinginto
givesthefollowingexpressionforthevarianceofthemeasurement
2
.
d Inordertouse
we first relate the fourth order average to the wefirstrelatethefourthorderaveragetothe
autocorrelationfunctionfortheyprocessRy().Thisiseasytodoify(T)is
aGaussianprocess.Fortunately,thisislikelytobeafairapproximation
since y(t) is the output from a narrow band filter and so we may expect its sincey(t)istheoutputfromanarrowbandfilterandsowemayexpectits
probabilitydistributiontoapproachaGaussiandistributionwhenthe
inputtothefilterisbroadbandnoise.ForaGaussianprocesswithzero
h f h d E[ ] b d i f mean,thefourthorderaverageE[y
1
y
2
y
3
y
4
]canbeexpressedintermsof
secondorderaveragesbythefollowingequation
whichfory
3
=y
1
andy
4
=y
2
simplifiesto
f b Ifnowweput,weobtain:
in which since y(t) is a stationary process inwhich,sincey(t)isastationaryprocess,
andsofinallyforaGaussianprocess,
Substituting
givesthefollowingexpressionforthevarianceofthemeasurement,
h l f d d l h Forastationaryinput,theautocorrelationfunctiondependsonlyonthe
timedifference=t
2
t
1
,sochangingoneofthevariablest
2
to+t
1
(where
t
1
isaconstantfortheintegrationwithrespectto)weobtain:
Si h i d i f i f l f h i bl f Sincetheintegrandisafunctionofonlyoneofthetwovariablesof
integration,wecanintegrateimmediatelywithrespecttotheother
variable.However,thelimitsofintegrationrequiresomethought.The
rangeofvaluesof andt
1
coveredbythedoubleintegralisshowninthe
figure:
Integrating with respect to t with constant i e Along the shaded strip Integratingwithrespecttot
1
with constant,i.e.Alongtheshadedstrip
inthefiguregives:
andthenintegratingwithrespecttotheothervariableoveritsfullrange
fromTto+T,weobtain:
In order to evaluate this integral we must introduce an expression for the Inordertoevaluatethisintegral,wemustintroduceanexpressionforthe
autocorrelationfunctionSincey(t)istheoutputofanarrowband
filter,asshowninthefigure,itsautocorrelationfunctionwillhavethe
form ( )
( ) 2 / sin
form
whichmaybewritten:
( )
( )

0 0
cos
2 / sin
4

= S R
y
W t t b tit t i t Wenowwanttosubstituteinto
andthenevaluatetheintegraltoobtainthevariance.Fortunately,we
areonlylookingfortheorderofthemagnitudeofratherthananexact
value,anditissufficienttointegrateonlyapproximately.Firstwenote , g y pp y
thatthefirstequationincludesthequotient
whichwhensquaredandplottedasafunctionof,hastheformshownin
thefigure:
Thi b i t d it l l b th t i ht li f ti Thismaybeapproximatedquitecloselybythestraightlinefunctionas
showninthefigures
h h b f Withthisassumption,becomes,after
substitutingforR
y
()
Secondly,weshallassumethattheaveragingtimeTofther.m.s.meterin
fi i l h figureislongsothat
in which case we can make a further simplification of the integrand to inwhichcasewecanmakeafurthersimplificationoftheintegrandto
obtain
Th i t l i t d b th h d d h i th fi Theintegralisrepresentedbytheshadedareashowninthefigure.
Providedthatthebandwidth issmallcomparedwiththecenter
frequencyofthefilter
0
,thentherewillbemanycyclesofinside
the triangular envelope of the figure and in this case the shaded area is thetriangularenvelopeofthefigure,andinthiscase,theshadedareais
equaltohalfthetotalareaenclosedbythedottedtriangleinfigure.
Hencetheintegralisgivenapproximatelyby:
andsowearrivetotheapproximateresult: pp
h b l d h b d d h h PuttingthesymbolBtodenotethebandwidthinHz,sothat
Thisisthesimplifiedversionof
wehavebeenlookingfor.Itgivesthevarianceoftheoutputofaspectrum
analyzer Since the correct output should be from analyzer.Sincethecorrectoutputshouldbefrom
wheremdenotesthemeanoutputoftheanalyzer.
h f ll b d Theequationmayfinallybewrittenas:anditis
clearthatifthestandarddeviationofthemeasurementistobesmall,we
musthave:
whichconfirmstheapproximationinevaluatingtheintegrals.
Wearenowinapositiontoappreciatethebasicdilemmawhicharises
h i l d i hi h l i h fil b d id h whenmeasuringspectraldensity.Forhighresolution,thefilterbandwidth
oftheanalyzer,B,mustbesmall,whileforgoodstatisticalreliabilityB
mustbelargecomparedwith1/T.Thiscanonlybeachievedifthe
averagingtimeTislong,whichmeansthatthesamplefunctionx(t)must
lastforalongtimeandthattheexperimentermustbepreparedtowaita
sufficientlylongtimetoachieveanaccurateresult. y g
Example
Example
Example
Example
Analysis of finite length records
Analysisoffinitelengthrecords
We have seen how the standard deviation of a single measurement of spectral Wehaveseenhowthestandarddeviationofasinglemeasurementofspectral
densityisaffectedbythebandwidthBandaveragingtimeTofananalogue
spectrumanalyserand,toagoodapproximation,theratioofthestandard
deviation toitsmeanvaluemisindependentofthevarianceoftheinput
signalanddependsonlyonBandT,accordingtothefundamentalresult
IftheinstrumentsaveragingtimeisT,itsoutputatanyinstantisbasedonly
ontheinputvaluesfortheimmediatelyprecedingtimeintervalT,
Th b i bl i h i i j ibl l l h i Thebasicproblemisthatitisjustnotpossibletocalculatetheprecise
estimateofspectraldensitywhenonlyalimitedlengthofdataisavailablefor
analysis.
Now with an analogue spectrum analyzer operating on a continuous random Now,withananaloguespectrumanalyzer,operatingonacontinuousrandom
process,wecangoontakinginstantaneousmeasurementsofspectraldensityand
bywatchingthemovementoftheinstrumentsoutputmeter,quicklyappreciate
thevariabilityoftheoutput.
Usually,ananalogueinstrumenthastwoormorealternativeaveragingtimesand
severaldifferentbandwidths,andbyalteringthesettingsoftheinstrument,itis
soon possible to judge how the instrument has to be adjusted to give reasonable soonpossibletojudgehowtheinstrumenthastobeadjustedtogivereasonable
accuracywithanacceptablebandwidth,andthereforeadequateresolutionof
closespectralpeaks.
However,analoguespectrumanalysistakestime,sincemanyseparatereadings
havetobetakentocoverawiderangeoffrequencies;alsothemaximum
resolutionobtainablefromanaloguefiltersislimited.
Digitaldataanalysismetodsarethereforeextensivelyusedandvirtuallyallrandom
dataanalysisexceptforsocalledquicklookspectrumanalysisisnowcarriedout
digitally.
The sample function x(t) is first digitized by an analogue to digital converter and Thesamplefunctionx(t)isfirstdigitizedbyananaloguetodigitalconverterand
thenadigitalcomputerisusedtomakecalculationsonthedigitizeddata.
Since there is a limit to the number of data points that can be fed into a computer, Sincethereisalimittothenumberofdatapointsthatcanbefedintoacomputer,
thereisalimittothelengthofthesamplefunctionthatcanbeanalyzed.
Thisrestrictedlengthofsamplecausesthesamelossofprecisionasthatoccurring
i l i i h fi i i i inananalogueinstrumentwithafiniteaveragingtime.
ItturnsoutthataccuracystilldependsonrecordlengthTandbandwidthB,except
that the bandwidth is no longer that of an analogue filter but has to be thatthebandwidthisnolongerthatofananaloguefilter,buthastobe
interpretedinadifferentway.
Weshallnowconsiderthegeneralproblemofanalysingarecordoffinitelength
andintroducetheconceptofaspectralwindowwhichisusedtodefinethe
equivalentbandwidthB
e
ofadigitalcalculation.
h { ( )} d f Supposethat{x(t)}isastationaryrandomprocessconsistingofan
ensembleofsamplefunctions.Sincetheprocessisstationary,each
samplefunctiontheoreticallygoesforever.However,supposethatrecords
areonlyavailablefortheperiodt=0tot=T,asshowninthefigure.Inthis
case,theautocorrelationfunctioncanonlybedetermined
for|| T.Wecannotthereforecalculatethecorrespondingspectral | | p g p
densityfromsincewedonotknow
Th b t d i t i t S ( ) b t ti th i t l t ThebestwecandoistoapproximateS
x
()bytruncatingtheintegralto
givetheapproximation
Althoughasalreadymentioned,thecalculationprocedurecarriedoutina
computermaynotactuallyinvolvefindingtheautocorrelationfunction
neverthelessthebasicdifficultywhicharisesistheinherentlossof
accuracyresultingfromanapproximationequivalenttotheabove
equation.
Toillustratehowtheapproximatespectrumislikelyto
differfromitstruevaluecalculatedfrom
suppose that supposethat
wheretheamplitudeaandthefrequency
o
areconstant,andthephase
angle isconstantforeachsamplefunction,butvariesrandomlyfrom
l l h ll l b d b ll l k l sampletosamplewithallvaluesbetween0and2 beingequallylikely.In
thiscase,
whichputtingp()=1/2,gives:
Nowsupposethattherecordsx(t)areonlydefinedfort=0tot=T,sothat
weonlyknowandconsidercalculatingtheapproximationfor
in
gives:
sincecos
0
tisanevenfunctionof,thismayinturnbewrittenas:
h h b l d Whichcanbeeasilyintegratedtogive:
Notice that the terms on the r h s of the above equation have a form Noticethatthetermsonther.h.s.oftheaboveequationhaveaform
similartothoseinequation
( )
2
sin
2
cos
4
2 2

o
x
S
R =
whichhasbeenshowntobecomeadeltafunction,andsothe
approximationforgivenby
tendstotwodeltafunctionsinthelimitwhenthelengthoftherecord,T,
becomesinfinite.
h h l IntheFigurea,theapproximateresult
fromtheequation
forTfiniteisshowncomparedwithfigure
(b),theexactresultwhenT .The
conclusion we can draw from this is that conclusionwecandrawfromthisisthat
theresultofanalysingonlyafinitelength
ofrecordistosmearoutasharpspectral
li b d f f i f id h lineoverabandoffrequenciesofwidth
=2/Tapproximately.Inorderto
resolvetwonearbyspectralpeaks,the
lengthofrecordT,mustbelongenough
fortheirfrequencydifferencetobelarge
comparedwith1/THz. p /
h l d l d h l Howeveraccuratetheanaloguetodigitalconversionandhoweverlarge
thecomputer,closespectralpeakscanonlybedistinguishediftherecord
lengthTislongenough.
h () h l f h f b h SupposethatW()istherectangularfunctionshowninfigureb.Inthis
case,thesmoothedformofthespectrumdefinedby
issketchedinFigurec.SincepositiveandnegativehalfcyclesofS()tend
l h h h h d h h i tocanceleachotherout,thesmoothedspectrumhastheapproximate
formshownandonaccountoftheshadedareasinFigureaand
Figurecareapproximatelyequal.
h f () ll d l d f d h h f ThefunctionW()iscalledaspectralwindowfunctionandtheshapeofa
graphofW()against issaidtobetheshapeofthewindow.Many
differentshapeshavebeensuggested,buttheeffectivewidthofthe
windowiswhatmattersbecausethisdefinesthebandoffrequenciesover
whichaveragingoccurs.
Forarectangularwindowasshowninthefigure,thebandwidthB
e
isjust
thefullwidthofthefunction.However,forotherfunctionswhichmayrise
d ll k d h f ll ff d ll i i l l graduallytoapeakandthenfalloffgradually,itisnecessarytocalculate
aneffectivewidthandthisisusuallydefinedbytheeffectivebandwidthB
e
where,
whichwithbecomes
( ) 1 =
+

d W
J t th i f t d ith l t l Justasthevarianceofameasurementmadewithananaloguespectral
analyserdependsonthefilterbandwidthandtheaveragingtime,sothe
varianceofanyestimationofmeansquarespectraldensitydepndson(i)
the effective band width of the spectral window B and (ii) the length of theeffectivebandwidthofthespectralwindow,B
e
,and(ii)thelengthof
therecord,T.Itcanbeshownthattheresult
1
stillappliesprovidedthatthespectrumchangesslowlyoverfrequency
intervalsoforder1/T,i.e.,providedthattherecordlengthislongenough
BT
m
toresolveadjacentspectralpeaks.Inthiscase,wethereforestillhave:
where is the standard deviation of a measurement whose mean value is where isthestandarddeviationofameasurementwhosemeanvalueis
m,B
e
istheeffectivebandwidthofthespectralwindowandTistherecord
length.
h h Furthermore,theequation
alsoappliesapproximatelytomeasurementsoftheautocorrelation
function.Inthiscase,theeffectivebandwidthBeisthebandwidthofthe
i i i di id l f l i entireinputprocesssoanindividualmeasurementofacorrelation
functionhasgreaterstatisticalreliabilitythananindividualmeasurement
ofspectraldensityfromthesamelengthoftherecord.However,in
transformingfromthetimedomaintothefrequencydomain,weare
forcedtoemployselectivefilterswhichautomaticallyreducetheeffective
bandwidthandthereforereducethestatisticalreliabilityoftheresults y
obtained.

Random Vibrations II

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ERASMUSTeaching(2009),TechnischeUniversittBerlin

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