Simulation of multicorrelated random processes using the FFT algorithm

Abstract

A technique for the digital simulation of multicorrelated Gaussian random processes is described. This technique is based upon generating discrete frequency functions which correspond to the Fourier transform of the desired random processes, and then using the fast Fourier transform (FFT) algorithm to obtain the actual random processes. The main advantage of this method of simulation over other methods is computation time; it appears to be more than an order of magnitude faster than present methods of simulation. One of the main uses of multicorrelated simulated random processes is in solving nonlinear random vibration problems by numerical integration of the governing differential equations. The response of a nonlinear string to a distributed noise input is presented as an example.