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Journal Articles Probabilistic Engineering Mechanics Year : 2002

Non-Gaussian simulation using Hermite polynomial expansion: convergences and algorithms

Abstract

Mathematical justifications are given for a Monte Carlo simulation technique based on memoryless transformations of Gaussian processes. Different types of convergences are given for the approaching sequence. Moreover an original numerical method is proposed in order to solve the functional equation yielding the underlying Gaussian process autocorrelation function.
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Dates and versions

hal-00686282 , version 1 (09-04-2012)

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Bénédicte Puig, F. Poirion, Christian Soize. Non-Gaussian simulation using Hermite polynomial expansion: convergences and algorithms. Probabilistic Engineering Mechanics, 2002, 17 (3), pp.253-264. ⟨10.1016/S0266-8920(02)00010-3⟩. ⟨hal-00686282⟩
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