性能関数の累積率計算法

概要

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This derives a simple moment-cumulant relationship to calculate the statistics of a safety margin that represents the performance of an engineering system. The r-th order joint moment is expressed by a sum of the product of cumulant and moment up to r-th and (r-1)-th order, respectively. Correlated random variables are transformed into sums of independent ones and the relationships among them are described in detail. Operation with the cumulant-generating function after this transformation simplifies the related calculation. Several ideal examples follow to descrive the calculation procedure. Considerable errors are observed in the cumulant evaluation of non-linear functions via the linear approximation. This is a generalization of the joint cumulant calculation on independent random variables to correlated ones.
社団法人日本建築学会の論文
1995-08-30