Kolmogoroff backward equation for analyzing first passage time problem for linear single degree of freedom vibratory system with linear viscous dampin

Shinozuka, M.

Yang, J. N.

English

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N A T I O N A L  A E R O N A U T I C S  A N D  S P A C E  A D M I N I S T R A T I O N  
Technical Report 32- 1334 
A Note on the First Passage 
Time Problem 
J. N. Yang 
M. Shinozuka 
J E T  P R O P U L S I O N  L A B O R A T O R Y  
C A L I F O R N I A  I N S T I T U T E  O F  T E C H N O L O G Y  
P A  S A D E  N A ,  C A L I F O R  N I A 
October 15, 1968 
TECHNICAL REPORT 32- 1334 
Copyright @ 1968 
Jet Propulsion Laboratory 
California Institute of Technology 
Prepared Under Contract No. NAS 7-100 
National Aeronautics & Space Administration 
Preface 
The work described in this report was performed by the Engineering Mechanics 
Division of the Jet Propulsion Laboratory. 
JPL TECHNICAL REPORT 32-7334 iii 

Contents 
1 . Introduction . . . . . . . . . . . . .  . . . . . . . . . .  1 
II . White Noise Excitation . . . . . . . . . . . . . . . . . . . .  2 
A . Differential Equation and Initial Condition . . . . . . . . . . . . .  2 
B . Boundary Condition 2 
C . Distribution Function of the First Passage Time . . . . . . . . . . . .  
D . Stationary Starting Condition 
. . . . . . . . . . . . . . . . . . . . .  
3 
3 . . . . . . . . . . . . . . . . . .  
111 . Nonstationary Excitation . . . . . . . . . . . . . . . . . . .  3 
IV . Conclusion . . . . . . . . . . . . . . . . . . . . . . . . .  4 
References . . . . . . . . . . . . . . . . . . . . . . . . . .  4 
JPL TECHNICAL REPORT 32- 7 334 V 
Abstract 
An analytical formulation of the first passage time problem for a linear single- 
degree-of-freedom vibratory system with a linear viscous damping, and subjected 
to either stationary or nonstationary white noise excitation, is obtained as a well 
posed initial-boundary value problem. The formulation is based on the Kolmogorov 
backward equation, rather than the Fokker-Planck equation. This note should 
provide a valuable insight to the problem and serve as an important foothold for 
the future study in which, it is hoped, an efficient numerical integration scheme 
can be found. 
Vi  JPL TECHNICAL REPORT 32-1334 
A Note on the First Passage Time Problem 
I .  Introduction 
In the reliability analysis of engineering systems, it is 
often very important to obtain probabilistic information 
on the time T at which a random response process X (t) of 
the system exits the safe domain of operation for the first 
time (first passage time). Although some approximate 
methods (Ref. 1) and bounding techniques have been 
developed (Refs. 24), even for most fundamental cases, 
such as a linear single-degree-of-freedom system with a 
linear viscous damping (for which the theory of the 
second-order Markov process can apply), the exact solu- 
tion to this first passage time problem is not known at 
present. 
In this note, an analytical formulation of the first pas- 
sage time problem for a linear single-degree-of-freedom 
vibratory system with a linear viscous damping, subjected 
to either stationary or nonstationary white noise excitation, 
is obtained as a well posed initial-boundary value problem. 
This formulation is based on the Kolmogorov backward 
equation, rather than the Fokker-Planck equation (Ref. 5),  
since the latter (Kolmogorov forward formulation) pre- 
sents an analytical ambiguity in specdying the bound- 
ary condition. 
Because this point has never been noted and n9 con- 
sistent initial-boundary value formulation involving the 
first passage time of the system has been explicitly given, 
this note should provide a valuable insight to the problem 
and serve as an important foothold for the future study 
in which, it is hoped, an escient method of numerical 
integration can be found, if not an analytical solution. 
Consider a single-degree-of-freedom linear oscillator 
subject to the random excitation g (t): 
where c and o represent, respectively, the damping ratio 
and the undamped natural frequency of the oscillator. 
The excitation g( t )  can be a stationary white noise n( t )  
or a nonstationary white noise $ (t) n (t) with $ ( t )  being a 
deterministic function of t. 
Equation 1 is equivalent to a set of two equations 
X = Y  
9 + 250Y + 0 2 x  = g ( t )  
JPL TECHNICAL REPORT 32-1334 
It is well known (Ref. 5) that X and Y are jointly 
Markovian under the excitation g (t) described above. 
In general, let 
11. White Noise Excitation 
A. Differential Equation and Initial Condition 
Integrating Eq. 2 and using Eq. 6 with X, (t)  = X ( t )  
and X ,  (t) = Y (t) one can show that the Kolmogorov back- 
ward equation associated with the equation of motion 
(Eq. 2) is 
X ( t )  = [ X l ( t ) , X Z  @), . . - ,Xn( t ) I  
be an n-dimensional Markovian random vector process and 
be n-dimensional vectors. The transition probability den- 
sity f (x, t,; 5, tz) and the transition distribution function 
F (x, t1;5i, t,) of the Markovian random vector process are 
by definition 
where 
T = t z  - ti 
f (x, t,; x, t z )  = F,;., . . , Fn (x, t,; f, t z )  
F (~,t,; X, tz) = P [X (tz) L Z I X  (t,) = X] 
uz = , 4 2 g 0 3  
(3) and 
f (x, y; 5 6 .) = f (x, Y, t1; X , Y 7  t z )  where the subscript represents the partial digerentiation 
E,  given E,. 
and P [E ,  I E,] is the conditional probability of the event = F z ~  (x, y7 ti; Z, 5, t z )  
F (x, 9; x, @ T )  = F (% y, ti; x, g, t z )  
It is shown (Refs. 6 and 7) that the transition prob- = P [ x ( t , ) L E ,  Y (tz) Lij I x (t,) = x, Y (tl)l = y] 
(8) 
ability density satisfies the generalized Kolmogorov back- = P [x  ( T )  62,  Y ( T )  dy I x (0) =Z, Y (0) = V ]  
ward equation 
with s = the mean square spectral density function of n (t). 
n + 2 bi (x,  t,) fCi (x, tl; Z, tz) (tz > t,) Equation 5 reduces to 
i = l  
(4) f(x,Y;x,y;O)=6(x:--8(Y - id (9) 
and 
B. Boundary Condition 
12 
f (x, tl; x, tl) = rI 8 (xi - zi) (5) For the two-sided barrier problem, where the safe 
domain D is defined by - b  < x <a, - 0 0  < y < M, 
(b  > 0, a > 0), the boundary conditions are 
i = 1  
where 
1 bi (x, t,) = lim _ _ E  [AXi (tJl X (t,) = x ]  
A t l + u  At, 
with E and 6 ( t )  denoting the expectation and the Dirac 
delta function, respectively. Equation 5 simply states that 
no change of state may occur if the transition time is zero. 
It can be seen from Eq. 10 that x =a, y L 0  and x = - b, 
y L 0 are two mathematically, as well as physically mean- 
ingful, absorbing barriers in the phase plane. If either 
a or b is infinite, it is the one-side barrier problem. 
2 JPl TECHNICAL REPORT 32-1334 
C. Distribution Function of the First Passage Time T 
time T given X (0) = x ,  Y (0) = y is 
The distribution function, F ( T ;  x, y), of the first passage 
In other words, F ( T ;  x, y) is the probability that the 
response process X ( t )  exits the safe domain D before 
time T ,  whereas it is at the state (x, y) at t = 0. 
Integrating Eq. 7 and using Eq. 11, the governing 
differential equation is obtained. To obtain the initial 
and boundary conditions for the distribution function of 
the first passage time, Eqs. 9 and 10 are integrated and 
used with Eq. 11, as follows: 
F(O;x,y) = 0 (X>Y)ED 
F(N;a/o,yAO) = 1 
F(N; - b/a,y&O) = 1 
F(N;x, co) = 1 
F(N;x , -m)= 1 
where the following transformation has been made to 
nondimensionalize x, y and T 
x1 = x/a 
N = = number of cycles of undamped oscillation 
and x and y are written for xl and y1 again. I t  is to be 
noted from Eq. 12 that when the barrier levels are mea- 
sured in terms of a, standard deviation of the response 
process X (t), the distribution function F (N;  x, y) depends 
only on the damping ratio 5 for a given starting condition. 
D. Stationary Starting Condition 
If one is interested in the stationary starting condition 
for which there is an ensemble of values distributed 
according to the stationary response distribution, then the 
distribution function F ( N )  of the first passage time N is 
where 
V (x) = (2a)-x exp ( -x2/2) (15) 
since it can be shown that X (t) and Y (t)' are independent 
standardized gaussian processes under stationary start- 
ing conditions. The first two terms on the right hand side 
of Eq. 14 indicate the probability of initial failure. 
111. Nonstationary Excitation 
When the excitation g (t) is a nonstationary white noise, 
$ (t)  n (t), one can derive in a similar fashion the govern- 
ing differential equation and specify the initial and bound- 
ary conditions for the first passage time. However, the 
transition probability density and the transition distribu- 
tion function no longer depend on the time difference T 
only, but on tl and t,. The results are given as follows: 
where 
is the probability that the response process X (t) exits the 
safe domain D before time T has elapsed (or before time tz 
is reached) given X (tl) = X, Y (tJ = y with (x, y) ED. 
JPL TECHNICAL REPORT 32- 1334 3 
IV. Conclusion parabolic equation, for which many results on existence, 
uniqueness, and regularity theory have been obtained 
(Refs. 8-10>. It is suggested that effort be made to develop 
an a c i e n t  numerical scheme for the present problem. 
In conclusion, the differential equations in Eqs. 12 
and 16 belong to a class known as the degenerate elliptic- 
References 
1. Crandall, S. H., Chandiramani, K. L., and Cook, R. G., “Some First-Passage 
Problems in Random Vibration,” J. App. Mech., Vol. I, 33, No. 3, pp. 532538, 
Sept. 1966. 
2. Shinozuka, M., “On the Two-sided Barrier Problem,” J. App. Probability, 
Vol. 1, 2, pp. 79-87, 1965. 
3. Shinozuka, M., and Yao, j. T. P., “On the Two-sided Time-Dependent Barrier 
Problems,” 1. of Sound and Vibration, Vol. 1, 6, No. 1, pp. 98-104, 1967. 
4. Shinozuka, M., and Yang, J. N., On the Bound of First Excursion Probability, 
Technical Report 32-1304, Jet Propulsion Laboratory, Pasadena, Calif., 
Aug. 1968. 
5. Wang, M. C., and Uhlenbeck, G. E., “On the Theory of Brownian Motion 11,” 
in Selected Papers on Noise and Stochastic Processes. Edited by N .  Wax. 
Dover Publications, New York, 1954. 
6. Bharucha-Reid, Elements of the Theory of Markov Process and Their Applica- 
7. Blanc-Lapierre, A., and Fortet, R., T h e o y  of Random Functions, Volume I .  
Translated by Gani, J., Gordon and Breach, New York, 1965. 
8. Fichera, G., On a Unified Theory of Boundary Value Problem for Elliptic- 
Parabolic Equations of Second Order, Boundary Value Problem in Diferentiul 
Equution. pp. 97-120, University of Wisconsin Press, Madison, Wis., 1960. 
9. Oleinik, 0. A., “A Problem of Fichera,” Dokludy Akad. Nauk., SSSR., 
Vol. 157, pp. 1297-1301, 1964; Soviet Math., Vol. 5. pp. 1129-1133, 1964. 
. 10. Oleinik, 0. A., “On the Smoothness of Solution of Degenerate Elliptic and 
Parabolic Equations,” Doklady Akad. Nauk., SSSR., Vol. 163, pp. 577580,1965. 
tion, McGraw-Hill Book Co., Inc., New York, 1950. 
4 JPL TECHNICAL R E P o R r  32- 7 334 


A note on the first passage time problem

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