Sixty years of stochastic linearization technique

Stochastic linearization technique is a versatile method of solving nonlinear stochastic boundary value problems. It allows obtaining estimates of the response of the system when exact solution is unavailable; in contrast to the perturbation technique, its realization does not demand smallness of th...

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Bibliographic Details
Main Authors: Elishakoff, Isaac, Crandall, Stephen H
Other Authors: Massachusetts Institute of Technology. Department of Mechanical Engineering
Format: Article
Language:English
Published: Springer Netherlands 2017
Online Access:http://hdl.handle.net/1721.1/106862
Description
Summary:Stochastic linearization technique is a versatile method of solving nonlinear stochastic boundary value problems. It allows obtaining estimates of the response of the system when exact solution is unavailable; in contrast to the perturbation technique, its realization does not demand smallness of the parameter; on the other hand, unlike the Monte Carlo simulation it does not involve extensive computational cost. Although its accuracy may be not very high, this is remedied by the fact that the stochastic excitation itself need not be known quite precisely. Although it was advanced about six decades ago, during which several hundreds of papers were written, its foundations, as exposed in many monographs, appear to be still attracting investigators in stochastic dynamics. This study considers the methodological and pedagogical aspects of its exposition.