An information closure method for analytical investigation of response statistics and robust stability of nonlinear stochastic dynamic systems is proposed. Entropy modes are defined first based on the decomposition of probability density functions estimated by maximizing entropy in quasi-stationary. Then the entropy modes are selected and employed in the moment equations as the constraints for information closure. The estimated density with Lagrange multipliers is used for the closure of the hierarchical moment equations. By selecting single independent mode in every state, an explicit analysis of the entropy and density function can be obtained. The performance of the closure method is supported by employing three stochastic systems with some stationary exact solutions and through Monte Carlo simulations.
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September 2002
Technical Papers
Information Closure Method for Dynamic Analysis of Nonlinear Stochastic Systems
R. J. Chang, Professor,
R. J. Chang, Professor
Department of Mechanical Engineering, National Cheng Kung University, 701 Tainan, Taiwan, R.O.C.
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S. J. Lin, Graduate Student
S. J. Lin, Graduate Student
Department of Mechanical Engineering, National Cheng Kung University, 701 Tainan, Taiwan, R.O.C.
Search for other works by this author on:
R. J. Chang, Professor
Department of Mechanical Engineering, National Cheng Kung University, 701 Tainan, Taiwan, R.O.C.
S. J. Lin, Graduate Student
Department of Mechanical Engineering, National Cheng Kung University, 701 Tainan, Taiwan, R.O.C.
Contributed by the Dynamic Systems and Control Division for publication in the JOURNAL OF DYNAMIC SYSTEMS, MEASUREMENT, AND CONTROL. Manuscript received by the Dynamic Systems and Control Division December 1999. Associate Editor: S. Fassois.
J. Dyn. Sys., Meas., Control. Sep 2002, 124(3): 353-363 (11 pages)
Published Online: July 23, 2002
Article history
Received:
December 1, 1999
Online:
July 23, 2002
Citation
Chang, R. J., and Lin, S. J. (July 23, 2002). "Information Closure Method for Dynamic Analysis of Nonlinear Stochastic Systems ." ASME. J. Dyn. Sys., Meas., Control. September 2002; 124(3): 353–363. https://doi.org/10.1115/1.1485746
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