Detail publikace

GENERALIZATION OF COLORING LINEAR TRANSFORMATION

NOVÁK, L. VOŘECHOVSKÝ, M.

Originální název

GENERALIZATION OF COLORING LINEAR TRANSFORMATION

Typ

článek v časopise - ostatní, Jost

Jazyk

angličtina

Originální abstrakt

The paper is focused on the technique of linear transformation between correlated and uncorrelated Gaussian random vectors, which is more or less commonly used in the reliability analysis of structures. These linear transformations are frequently needed to transform uncorrelated random vectors into correlated vectors with a prescribed covariance matrix (coloring transformation), and also to perform an inverse (whitening) transformation, i.e. to decorrelate a random vector with a non-identity covariance matrix. Two well-known linear transformation techniques, namely Cholesky decomposition and eigendecomposition (also known as principal component analysis, or the orthogonal transformation of a covariance matrix), are shown to be special cases of the generalized linear transformation presented in the paper. The proposed generalized linear transformation is able to rotate the transformation randomly, which may be desired in order to remove unwanted directional bias. The conclusions presented herein may be useful for structural reliability analysis with correlated random variables or random fields.

Klíčová slova

Linear transformation, correlation, Cholesky decomposition, eigen-decomposition, structural reliability, uncertainty quantification, random fields.

Autoři

NOVÁK, L.; VOŘECHOVSKÝ, M.

Vydáno

31. 12. 2018

ISSN

1804-4824

Periodikum

Transactions of the VŠB – Technical University of Ostrava, Civil Engineering Series

Ročník

18

Číslo

2

Stát

Česká republika

Strany od

31

Strany do

35

Strany počet

5

BibTex

@article{BUT153298,
  author="Lukáš {Novák} and Miroslav {Vořechovský}",
  title="GENERALIZATION OF COLORING LINEAR TRANSFORMATION",
  journal="Transactions of the VŠB – Technical University of Ostrava, Civil Engineering Series",
  year="2018",
  volume="18",
  number="2",
  pages="31--35",
  doi="10.31490/tces-2018-0013",
  issn="1804-4824"
}