spline-interpolation-based fft approach to fast simulation of multivariate stochastic processesspline-interpolation-based fft方法快速多元随机过程的模拟.pdf

Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2011, Article ID 842183, 24 pages doi:10.1155/2011/842183 Research Article Spline-Interpolation-Based FFT Approach to Fast Simulation of Multivariate Stochastic Processes Jinhua Li,1, 2 Chunxiang Li,1 and Shuisheng Chen2 1 Department of Civil Engineering, Shanghai University, No. 149 Yanchang Road, Shanghai 200072, China 2 Department of Civil Engineering, East China Jiaotong University, No. 808 Shuanggang Street, Nanchang 330013, China Correspondence should be addressed to Chunxiang Li, li chunxiang@ Received 2 June 2011; Revised 17 August 2011; Accepted 19 August 2011 Academic Editor: Wei-Chiang Hong Copyright q 2011 Jinhua Li et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The spline-interpolation-based fast Fourier transform FFT algorithm, designated as the SFFT algorithm, is proposed in the present paper to further enhance the computational speed of simulating the multivariate stochastic processes. The proposed SFFT algorithm first introduces the spline interpolation technique to reduce the number of the Cholesky decomposition of a spectral density matrix and subsequently uses the FFT algorithm to further enhance the computational speed. In order to highlight the superiority of the SFFT algorithm, the simulations of the multivariate stationary longitudinal wind velocity fluctuations have been carried out, respectively, with resorting to the SFFT-based and FFT-based spectral representation SR methods, taking into consideration that the elements of cro