Stochastic process models for linear structure behavior

Linear systems are good approximations of the input-output relationship for many real systems. In practice, ensembles of nominally identical systems can seldom be adequately represented by a single linear system. Some accommodation needs to be made for representing inherent ensemble randomness. One approach would be to use a parameterized model of the system, with the random nature captured in discrete parameters of the parameterized model. Another approach is to use data measured from each system in the ensemble to represent the random nature of the ensemble in a non-parametric form. This is the approach described in this paper. There are several different types of data that could be collected from each system in the ensemble, each type capable of capturing the input-output behavior of the linear system: input-output time domain data, perhaps with specific excitation sequences; Markov parameters; and Frequency Response Functions (FRFs) to name a few. We choose to work with FRF data because many system attributes can be easily interpreted by inspection of the FRF. FRF data can also be used directly for control design. This paper develops a Karhunen-Loeve expansion representation for linear system behavior based on FRF data to develop a compact representation of the uncertainty inherent in an ensemble of systems. This non-parametric, compact, representation of the distribution of linear systems can then be used to characterize the performance and stability of a given feedback control law, as well as for control law design.