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Detail publikace
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" }