Simulating non-stationary and non-Gaussian cross-correlated fields using multivariate Karhunen–Loève expansion and L-moments-based Hermite polynomial model

Abstract

In practical engineering, cross-correlated random fields are often used to model structural materials or random loads containing multiple correlations. Effective and accurate simulation of these cross-correlation fields is an important prerequisite for subsequent reliability analysis and uncertainty quantification of complex systems. Therefore, this paper proposes a new simulation method for non-stationary non-Gaussian cross-correlated random fields to satisfy realistic engineering requirements. In this new method, L-moments-based Hermite polynomials model (LHPM) is extended to non-stationary non-Gaussian cross-correlated fields. Then, a transformation model from non-stationary non-Gaussian correlation matrix function (CMF) to the underlying Gaussian CMF is explicitly given. Multivariate K-L expansion is further used to approximate the underlying Gaussian cross-correlated fields, where the eigenvalue and eigenfunctions are estimated via the Nyström method with uniform weights. The approximation permits the application of few random variables to characterize the entire Gaussian cross-correlated fields. Ultimately, the simulated underlying Gaussian cross-correlated fields are mapped back to the target non-stationary non-Gaussian cross-correlated fields based on LHPM. Three typical examples, including exponential kernel, Wiener process kernel and spatially varying non-Gaussian and nonstationary seismic ground motions, are used to validate the effectiveness of the proposed method. The source code is readily available at: https://github.com/zhaozhao23/Simulation-of-non-stationary-and-non-Gaussian-cross-correlated-fields.